Filed
pursuant to Rule 433
Registration Statement No. 333-180300
-03 October 25, 2013
SLVO
Silver Shares Covered Call ETN
Credit Suisse AG, Investor Solutions October
2013
Executive
Summary
Credit Suisse Silver Shares Covered Call
ETN
Ticker
SLVO
Intraday Indicative
Value Ticker
SLVO.IV
Bloomberg Index Ticker
QSLVO
CUSIP
22542D449
Primary Exchange
Nasdaq
ETN
Annual Investor Fee
0.65%
1
Inception Date
4/16/2013
Index
Credit Suisse NASDAQ Silver
FLOWS
TM
106 Index
1
Because of daily compounding,
the actual investor fee realized may exceed 0.65% per annum.
Credit Suisse AG October 2013 2
Executive
Summary
Credit Suisse Silver Shares Covered Call
ETN
First exchange traded product in the US
offering a covered call strategy on a silver investment Follows the recent launch of GLDI, a similar product on gold shares.
Provides variable monthly cash distributions
A scalable covered call solution for advisors
and investors to deploy across a range of portfolio sizes and asset allocations The Index notionally sells a 6% out-of-the-money
call option each month while maintaining a notional long position in shares of the iShares
®
Silver Trust ETF (ticker:
SLV UP
<Equity>) (SLV shares)
Investors have a maximum upside each month
of approximately 6% plus the premium generated Investors have full exposure to the downside of the Index
Credit Suisse AG October 2013 3
Covered
Call Strategies
Payoff at Expiration
An investor establishes a long position
in a stock and an equal number of call options are sold The seller of a call option agrees to sell the underlying stock at a specific
strike price upon the expiration of the call option A premium is received by the seller in consideration for the sale of the option
At expiration of the call option: If the stock price is less than the strike price, the option expires worthless If the stock
price is greater than the strike price, the call option seller delivers the stock, and forgoes any gain above the strike price
Credit Suisse AG October 2013 4
iShares®
Silver Trust ETF (SLV)
Calendar Months Return Distribution (Jan
2007 Aug 2013)
2007 2008
2009 2010 2011 2012 2013 20 Jan 5.07% 14.43% 11.79% 3.86% 9.24% 19.82% 3.64% 18 Feb 4.51% 16.95% 2.88% 1.07% 20.87% 3.93% 9.53%
16 Mar 5.47% 13.36% 0.70% 6.66% 11.05% 6.47% 0.40% 14 Apr 0.13% 1.88% 4.53% 6.53% 27.50% 4.05% 14.47% 12 May 0.36% 0.28% 26.70%
1.26% 19.80% 10.46% 8.63% 10 Jun 7.72% 3.54% 13.51% 1.00% 10.00% 1.15% 11.50%
Occurences
8
#
Jul 3.66% 1.55% 2.39% 3.46% 14.81% 1.76%
0.90% 6 Aug 6.28% 23.73% 6.72% 7.68% 4.12% 13.53% 18.08% 4 Sep 13.81% 11.37% 12.04% 12.57% 28.53% 8.74% 7.52% 2 Oct 5.16% 19.16%
1.89% 13.42% 15.67% 6.60% 0
<
12% 11.9% to 5.9% to 0% to 6% to 12% < Nov 3.20% 6.79% 12.94% 13.53% 4.31% 3.49% 6% 0% 5.9%
12% Dec 5.73% 9.48% 8.88% 9.99% 15.81% 9.24%
Monthly Performance
The iShares® Silver Trust ETF was
launched on April 21, 2006
Over the 81 calendar months from Jan 2007
Sep 2013, the iShares ® Silver Trust ETF (SLV) appreciated more than 6% in a single month 26 times, roughly
about 1/3 of the time The average calendar month gain from Jan 2007 Sep 2013 was 1.22%
The above data is based on the historical
performance of the SLV shares on the primary exchange from January 1, 2007 to September 30, 2013 and illustrates the distribution
of calendar monthly returns that have been greater than or less than 6%. Historical performance is not indicative of future performance.
The above data do not reflect any performance of the ETNs or include the investor fees associated with the ETNs, which will reduce
the amount of the return on the ETNs at maturity or upon acceleration or repurchase by Credit Suisse.
Source: Bloomberg Professional
Credit Suisse AG October 2013 5
iShares®
Silver Trust ETF (SLV)
Spot Silver & SLV Price History
Spot Silver & SLV
Price History
$60.00 $50.00 $40.00
$30.00 $20.00 $10.00 $
London Silver Market Fixing $
SLV ETF $ price
The above graph sets forth the historical
performance of the SLV shares on the primary exchange from April 28, 2006 to September 30, 2013, and the historical price of silver
(using the London fixing price) from January 1, 1971 to September 30, 2013. Historical performance is not indicative of future
performance. The above graph does not reflect any performance of the ETNs or include the investor fees associated with the ETNs,
which will reduce the amount of the return on the ETNs at maturity or upon acceleration or repurchase by Credit Suisse.
Source: Bloomberg Professional
Credit Suisse AG October 2013 6
iShares® Silver Trust ETF (SLV)
SLV AUM Since Inception ($mm, monthly)
18000 15000 12000 9000 6000 3000 0
Source: Bloomberg Professional
Credit Suisse AG October 2013 7
Current
Yield Environment
Traditional Sources of Cash Flow Not Meeting
Investor Needs
12 Month
Annual Dividend Yield 1 Volatility 1 STOCKS & BONDS
SPDR S&P 500
®
ETF
Trust (SPY)
2.02% 11.89%
iShares
®
Core Total US Bond (AGG)
2.82% 3.60%
iShares
®
iBoxx
USD High Yield Corporate Bond ETF (HYG)
6.38% 6.89%
iShares
®
Dow Jones Select Dividend ETF (DVY)
3.30%
11.28%
EQUITY SECTORS
Utilities Select Sector SPDR
®
ETF (XLU)
3.92% 12.62%
iShares
®
Dow Jones US Telecommunications ETF (IYZ)
2.75% 14.39%
ALTERNATIVE ASSET CLASSES
Vanguard REIT ETF (VNQ)
3.90% 14.98%
iShares
®
Mortgage Real Estate Capped ETF (REM)
15.36% 20.80%
Credit Suisse Cushing
®
30
MLP Index ETN (MLPN)
4.66% 15.54%
iShares
®
Silver Trust (SLV)
n/a 32.85%
Credit Suisse Silver Shares
Covered Call ETN (SLVO)
16.32% 2 28.72%
1
As of 9/30/13. Annual
volatility equals the annualized standard deviation of the relative price change for the 260 most recent trading days closing
price (and in the case of SLVO, all trading days since the inception of SLVO), expressed as a percentage.
2
Represents the average monthly
coupon payment since inception multiplied by 12 and does not reflect a full 12 months of historical coupon payments. Actual coupons
per ETN since inception are: May 2013: $0.1721, June 2013: $0.1830, July 2013: $0.2497, August 2013: $0.3319,
September 2013: $0.2463.
Source: Bloomberg Professional
Credit Suisse AG October 2013 8
Current
Yield Environment
Traditional Sources of Cash Flow Not Meeting
Investor Needs
Traditional sources of yield are not meeting
the cash flow needs of a segment of investors Search for cash flows is extending into a broader array of assets Challenge is balancing
search for cash flows with risk to capital Innovative sources of cash flow generated through strategies with low correlation to
existing assets held are needed
Credit Suisse AG, Investor Solutions October
2013 9
SLVO
A Single Security Solution to a Covered
Call Strategy
Silver FLOWS
TM
106 Index
Monthly Call Challenges to operating a rolling covered Overwrite Process call strategy:
Selecting tenor & strike
Select strike
Rolling options and
funding re-purchases of
of calls
(approx. 6%
in-the-money options
out of the
money)
Maintaining consistent access and comparable offerings for all clients
Pay out net
Managing strategy across advisor
platforms
cash Notionally Sell
premium as calls over 5
(advisory,
discretionary, non-discretionary, etc.)
monthly Notional days distribution
Long
SLV SLVO
presents a single security solution to position a covered call strategy on SLV:
Single instrument provides access
Notionally Sell
Rules based methodology
is operated entirely within
Hold cash
SLV to buy
the Index
received
for back calls selling calls
over 5 days
Allocation to strategy
can be customized to specific clients goals, constraints, & cash flow needs Can be implemented in a scalable fashion
across a variety of platforms
Credit Suisse AG October 2013 10
SLVO
Summary
Potential for
SLVO offers
the potential for monthly cash distributions to the
Monthly Cash
extent of the premiums generated on the notional sale
of the
Flow
monthly call options on SLV shares A covered call strategy on SLV shares could offer diversification
to the asset allocation
Single Security
Scalable opportunity to allocate to a covered call strategy on SLV
Solution
shares
Allows
for custom allocations to the strategy to align with investors specific goals, constraints, and cash flow needs
Transparency
Rules based and transparent strategy
& Daily Liquidity
Listed on Nasdaq
First to Market
First US
exchange traded product to offer cash flow stream linked to exposure to the price of a silver investment
Credit Suisse AG, Investor Solutions October
2013 11
Silver
Shares Covered Call ETN (SLVO)
Selected Investment Considerations
The ETNs are fully exposed to any decline
in the Index. Furthermore, the return at maturity or upon repurchase will be reduced by the fees and charges associated with the
ETNs. Therefore, the level of the Index must increase by an amount sufficient to offset the applicable fees and charges.
The monthly coupon payments (if any) are
variable and dependent on the premium generated by the notional sale of options on the SLV shares, and you will not receive any
fixed periodic interest payments on the ETNs.
Although the return on the ETNs will be
based on the performance of the Index, the payment of any amount due on the ETNs, including any payment at maturity, is subject
to the credit risk of Credit Suisse. Investors are dependent on Credit Suisses ability to pay all amounts due on the ETNs,
and therefore investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in
the markets view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the market
value of the ETNs prior to maturity.
Unfavorable price movements in the SLV
shares or the options on the SLV shares may cause negative performance of the Index and loss of your investment, and there is
no assurance that the strategy on which the Index is based will be successful.
We have listed the ETNs on Nasdaq under
the symbol SLVO . We expect that investors will purchase and sell the ETNs primarily in the secondary market. We have
no obligation to maintain this listing on Nasdaq or any listing on any other exchange, and may delist the ETNs at any time.
The indicative value is not the same as
the closing price or any other trading price of the ETNs in the secondary market. The trading price of the ETNs at any time is
the price at which you may be able to sell your ETNs in the secondary market at such time, if one exists. The trading price of
the ETNs at any time may vary significantly from the indicative value of such ETNs at such time. Before trading in the secondary
market, you should compare the indicative value with the then-prevailing trading price of the ETNs.
The return on the ETNs is linked to the
performance of the Index, which measures the return of a covered call strategy on the SLV shares. Your investment reflects a concentrated
exposure to a single asset and, therefore, could experience greater volatility than a more diversified investment.
The ETNs should not be expected to track
the price of silver because of the fees and expenses applied to each of the SLV shares and the ETN as well as the design of the
Index methodology which limits upside participation in any appreciation of the SLV shares. Accordingly, the performance of the
ETNs should not be expected to mirror the performance of the price of silver.
The Index replicates notional positions
in SLV shares and options. As an owner of the ETNs, you will not have rights that holders of the SLV Shares or in any calloptions
ontheSLV Shares may have, and you will have no right to receive delivery of any components of the Index or any interest in silver.
We have the right to repurchase your ETNs
in whole or in part at any time. The amount you may receive upon a repurchase by Credit Suisse may be less than the amount you
would receive on your investment at maturity or if you had elected to have us repurchase your ETNs at a time of your choosing.
Tax consequences of the ETNs are uncertain
and potential investors should consult their tax advisors regarding the U.S. federal income tax consequences of an investment
in the ETNs.
An investment in the ETNs involves significant
risks. The selected investment considerations herein are not intended as a complete description of all risks associated with the
ETNs. For further information regarding risks, please see the section entitled Risk Factors in the applicable pricing
supplement.
Credit Suisse AG (Credit Suisse)
has filed a registration statement (including prospectus supplement and prospectus) with the Securities and Exchange Commission,
or SEC, for the offering of securities. Before you invest, you should read the applicable pricing supplement, the Prospectus Supplement
dated March 23, 2012, and Prospectus dated March 23, 2012, to understand fully the terms of the ETNs and other considerations
that are important in making a decision about investing in the ETNs. You may get these documents without cost by visiting EDGAR
on the SEC website at www.sec.gov. Alternatively, Credit Suisse, any agent or dealer participating in an offering will arrange
to send you the pricing supplement, prospectus supplement and prospectus if you so request by calling toll-free 1 (800) 221-1037.
Credit Suisse AG, Investor Solutions October
2013 12
Silver
Shares
Covered Call ETN (SLVO)
Ticker
SLVO
Intraday Indicative
Value Ticker
SLVO.IV
Bloomberg Index Ticker
QSLVO
CUSIP
22542D449
Primary Exchange
Nasdaq
ETN
Annual Investor Fee
0.65%
1
Inception Date
4/16/2013
Index
Credit Suisse NASDAQ Silver
FLOWS
TM
106 Index
For more information, please contact us:
Phone: 212-538-7333 Email: ETN.Desk@credit -suisse.com Website: www.credit-suisse.com/etn
1
Because of daily compounding,
the actual investor fee realized may exceed 0.65% per annum.
Credit Suisse AG October 2013 13
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