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Credit Suisse Structured Products

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Credit Suisse Structured Products Fixed Terms - 15 October 2013 Telephone Contacts Conversations on these phone lines may be recorded. Private Individuals: +41 (0)44 332 66 68 Selected Key Parameters We assume that you have no objections thereto. Institutional Investors and Banks: +41(0)44 335 72 15 Credit Suisse Structured Products Credit Linked Note on Jaguar Land Rover Automotive PLC (1) 25 October 2013 until 20 December 2018 The Notes do not constitute a collective investment scheme within the meaning of the Swiss Federal Act on Collective Investment Schemes (CISA). Therefore, the Notes are not subject to authorisation by the Swiss Financial Market Supervisory Authority (FINMA) and potential investors do not benefit from the specific investor protection provided under the CISA. The Notes are structured products within the meaning of the CISA. This is a structured product involving derivatives. Do not invest in it unless you (the Purchaser as defined on page 1) fully understand and are willing to assume the risks associated with it. Warning: The contents of this document have not been reviewed by any regulatory authority in Hong Kong. Investors are advised to exercise caution in relation to any offer. If an investor is in any doubt about any of the contents of this document, the investor should obtain independent professional advice. This is a structured product which involves derivatives. Do not invest in it unless you fully understand and are willing to assume the risks associated with it. If you are in any doubt about the risks involved in the product, you may clarify with Credit Suisse AG or seek independent professional advice. Please refer to our Important Notice on Sales Disclosure to Investors for further details on sales disclosures. Risk Category Complex Product (2) Product Type Credit Linked Notes Product Category Not Categorised SSPA Code 9999(3) I. Product Description Credit Linked Notes are structured financial investments offering 100% redemption of the Denomination at maturity as well as a periodical coupon payment as specified below, provided that no Credit Event (see page 2) has occurred with regard to the Reference Entity. The coupon is capped at 5% per annum and floored at 3% per annum. The Notes are subject to the credit risk of the Reference Entity. For more information on the risks associated with this product please see Pages 4 to 7. For the purposes of the Credit-Linked Provisions, the definitions and provisions contained in the 2003 ISDA Credit Derivatives Definitions (as published by the International Swaps and Derivatives Association, Inc. (“ISDA”)) as supplemented by the 2009 ISDA Credit Derivatives Determination Committees, Auctions Settlement and Restructuring Supplement to the 2003 ISDA Credit Derivatives Definitions (together the “Credit Derivatives Definitions”) are incorporated into the terms and conditions of the Notes (including the terms and conditions of the Reference CDS further described below). In the event of any inconsistency between the Credit Derivatives Definitions and this Summary Terms and Conditions, the terms detailed herein shall govern. Issue Details Redemption Security Codes Swiss Sec. No. 21272130 Final Redemption Date / 20 December 2018 (the “Scheduled Maturity Date”), subject to the Business Day Convention, WKN A1HRHN Maturity Date being the date on which each Note will be ISIN XS0953450003 redeemed at the Redemption Amount, subject to Issuer Credit Suisse AG, Zurich, acting through its London “Redemption following a Credit Event”, “Maturity Branch, London (rated A1/A) Date Extensions” and the terms of the Lead Manager / Dealer Credit Suisse International, London Reference CDS. Calculation Agent Credit Suisse International, London Redemption Amount 100% of the Specified Denomination subject to Paying Agent Bank of New York Mellon the “Redemption following a Credit Event” below. Purchaser The purchaser of the Notes on the Issue Date and any investor in the Notes thereafter. Entitlement Each Note entitles the holder thereof to the Redemption Amount once only. Reference Currency EUR Interest Principal Amount EUR 1,000,000 subject to “the Credit Linked Provisions”. Interest Amount The amount of interest payable in respect of each (Issue Size) Note for any Interest Accrual Period shall be EUR 10,000 Specified Denomination calculated by multiplying: Issue Price 100% of the Specified Denomination (i) Rate of Interest, (ii) the Day Count Fraction, and Minimum Investment EUR 100,000, respectively the equivalent of (iii) the Principal Amount of the Notes outstanding Amount for EEA resident EUR 100,000 thereof on the last date of the Interest Accrual Period. investors Trade Date 11 October 2013 Interest is subject to “Redemption following a Credit Subscription End Date 11 October 2013 at 14:00 CET Event” and the terms of the Reference CDS. 3-month Euribor Issue/Payment Date 25 October 2013, being the date on which the Rate of Interest (per (per annum) subject to a Notes are issued. annum) minimum of 3% per annum and a maximum of 5% per annum. Minimum Subscription EUR 10,000 Amount 3-month Euribor The floating rate quoted on Reuters Screen EURIBOR01 Page on the second TARGET (the “Reference Rate“) Banking Day before the start of each Interest Accrual Period. If such rate does not appear, it shall be determined by the Calculation Agent in its sole and absolute discretion acting in a commercially reasonable manner. (1) Herein called the Notes. (2) Investing in the Notes requires specific knowledge on the part of the potential investor regarding the Notes and the risks associated therewith. It is recommended that the potential investor obtains adequate information regarding the risks associated with the Notes before making an investment decision. (3) See Swiss Derivatives Map at www.sspa-association.ch. 1/7 Interest Accrual Period The period from (and including) the Issue Method” being Auction Settlement, the Fallback Date/Payment Date to (but excluding) the first Settlement may apply in certain circumstances Interest Payment Date and thereafter from (and including inter alia: including) each Interest Payment Date to (but (1) where an Auction is cancelled; or excluding) the next following Interest Payment (2) where ISDA publicly announces that the Date. relevant Credit Derivatives Determinations Interest Payment Date(s) Each 20 March, 20 June, 20 September and 20 Committee has resolved that no Auction will be December commencing on 20 December 2013 held or that it will not determine if a Credit Event and ending on the Scheduled Maturity Date, has occurred; or subject to the Business Day Convention. (3) where an Event Determination Date has Day Count Fraction Act/360 (adjusted) occurred and no Credit Event Resolution Request Business Days London and TARGET Date has occurred within 3 Business Days of such Event Determination Date. Business Day Convention Following Credit Linked Provisions – Reference CDS If Fallback Settlement applies, the Notes will still be redeemed as specified under ”Redemption The return on the Notes is linked to a hypothetical credit default swap (the following a Credit Event” but in calculation of the "Reference CDS"), the principal terms of which are set out below. Post-Event Amount, the Final Price shall be ISDA Definitions The 2009 ISDA Credit Derivatives Determinations determined by the Calculation Agent in Committees, Auction Settlement and Restructuring accordance with the terms and conditions of the Supplement to the 2003 ISDA Credit Derivatives Notes. The Calculation Agent shall attempt to Definitions will apply to the Reference CDS. obtain quotations in respect of any combination of Scheduled Termination Scheduled Maturity Date of the Notes the obligations of the Reference Entity, which may Date be direct loans, bonds or other obligations issued directly by the Reference Entity or obligations in Floating Rate Payer On any day, this shall be the Principal Amount of respect of which the Reference Entity acts a Calculation Amount the Notes outstanding on such day. guarantor, which the Calculation Agent determines Reference Entity Jaguar Land Rover Automotive PLC provided would be eligible for delivery in settlement of the that, if a Succession Event occurs and a Successor Reference CDS (each selected obligation, a or Successors are determined, each Successor “Valuation Obligation”) from five or more third shall be a Reference Entity. party dealers in obligations such as the selected The Reference Obligation is rated Ba2 (Moody’s) / Valuation Obligations, as selected by the BB (Standard & Poor’s) as of the Trade Date. Calculation Agent. Relevant Auction Seniority Senior Post-Event Amount In respect of each Note, an amount, floored at Transaction Type European Corporate zero and equal to: Obligation Category Borrowed Money (a) the outstanding nominal amount of each Note; multiplied by Obligation Characteristics None (b) Auction Final Price (or Final Price if Fallback All Guarantees Applicable Settlement Method applies). Credit Events Bankruptcy, Failure to Pay and Restructuring Maturity Date Deferral If on or before the Scheduled Maturity Date, the (Multiple Holder Obligation: Applicable, Modified Calculation Agent determines that after the Restructuring Maturity Limitation and Conditionally Scheduled Maturity Date: Transferable Obligation: Applicable). (i) an Event Determination Date may be concluded Event Determination Date As defined in accordance with Section 1.8 of the (such conclusion, the “EDD Conclusion”) to have Credit Derivative Definitions: occurred or not; or (a) the Credit Event Resolution Request Date, or (ii) an Auction Final Price Determination Date shall (b) subject to certain conditions, the date on which occur; a Credit Event Notice is given (and if applicable, Each, in respect of a Credit Event taking place on Notice of Publically Available Information). or prior to the Scheduled Maturity Date, then the Credit Event Notice A notice of the occurrence of a Credit Event given redemption of the Notes will be deferred to the by the Calculation Agent at any time prior to the date (the “Extended Maturity Date”) determined later of: (i) the Scheduled Maturity Date and (ii) if by the Calculation Agent and falling not later than applicable, the Extended Maturity Date.
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