Preliminary Pricing Supplement No. U454
To the Underlying Supplement dated June 24, 2010,
Product Supplement No. U-I dated October 18, 2010,
Prospectus Supplement dated March 25, 2009 and
Prospectus dated March 25, 2009
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158199-10
July 15, 2011
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Financial
Products
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$1,000,000
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Five Month 6.00% per annum (approximately 2.50% for the term of the securities) Callable Yield Notes due December 20, 2011 Linked to the Performance of the Russell 2000® Index
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The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlying. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Interest will be paid monthly in arrears at a rate of 6.00% per annum (approximately 2.50% for the term of the securities), subject to Early Redemption. Interest will be calculated on a 30/360 basis.
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The Issuer may redeem the securities, in whole but not in part, on any Interest Payment Date scheduled to occur on or after October 24, 2011. No interest will accrue or be payable following an Early Redemption.
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Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing December 20, 2011.†
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Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
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The securities priced on July 15, 2011 (the “Trade Date”) and are expected to settle on July 20, 2011. Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
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Underlying:
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The Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Knock-In Level:
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Underlying
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Ticker
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Initial Level
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Knock-In Level
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Russell 2000 Index® (“RTY”)
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RTY
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828.78
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642.3045
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Interest Rate:
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6.00% per annum (approximately 2.50% for the term of the securities). Interest will be calculated on a 30/360 basis.
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Interest Payment Dates:
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Unless redeemed earlier, interest will be paid in arrears on August 22, 2011, September 22, 2011, October 24, 2011, November 22, 2011 and the Maturity Date, subject to the modified following business day convention. No interest will accrue or be payable following an Early Redemption.
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Redemption Amount:
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At maturity, the Redemption Amount you will be entitled to receive will depend on the performance of the Underlying and whether a Knock-In Event occurs. If the securities are not subject to Early Redemption, the Redemption Amount will be determined as follows:
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If a Knock-In Event occurs during the Observation Period, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return. In this case, the maximum Redemption Amount will equal the principal amount of the securities. Therefore, unless the Final Level is greater than or equal to the Initial Level, the Redemption Amount will be less than the principal amount of the securities and you could lose your entire investment.
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If a Knock-In Event does not occur during the Observation Period, the Redemption Amount will equal the principal amount of the securities you hold.
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Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Early Redemption:
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The Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after October 24, 2011 upon at least three business days notice at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment Date.
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Knock-In Event:
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A Knock-In Event will occur if the closing level of the Underlying reaches or falls below the Knock-In Level on any trading day during the Observation Period.
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Knock-In Level:
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The Knock-In Level is set forth in the table above.
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Underlying Return:
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The Underlying Return will be calculated as follows:
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Final Level – Initial Level
Initial Level
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; subject to a maximum of zero
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Initial Level:
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The closing level of the Underlying on the Trade Date.
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Final Level:
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The closing level of the Underlying on the Valuation Date.
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Observation Period:
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The period from but excluding the Trade Date to and including the Valuation Date.
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Valuation Date:†
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December 15, 2011
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Maturity Date:†
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December 20, 2011
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Listing:
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The securities will not be listed on any securities exchange.
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CUSIP:
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22546TCA7
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Price to Public
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Underwriting Discounts and Commissions(1)
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Proceeds to Issuer
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Per security
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$1,000.00
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$2.50
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$997.50
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Total
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$1,000,000.00
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$2,500.00
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$997,500.00
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Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee
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Notes
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$1,000,000.00
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$116.10
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Underlying supplement dated June 24, 2010:
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Product supplement No. U-I dated October 18, 2010:
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Prospectus supplement dated March 25, 2009:
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Prospectus dated March 25, 2009:
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Final Level
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Percentage Change
from the Initial Level to the Final Level
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Underlying Return
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Redemption Amount
per $1,000 Principal Amount of Securities (Knock-In Event does not occur)
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Total Interest Payment per $1,000 Principal Amount of Securities
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Total Payment per $1,000
Principal Amount of Securities
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1260.00
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50%
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0%
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$1,000
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$25.00
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$1,025.00
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1176.00
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40%
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0%
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$1,000
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$25.00
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$1,025.00
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1092.00
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30%
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0%
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$1,000
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$25.00
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$1,025.00
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1008.00
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20%
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0%
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$1,000
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$25.00
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$1,025.00
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924.00
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10%
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0%
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$1,000
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$25.00
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$1,025.00
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840.00
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0%
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0%
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$1,000
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$25.00
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$1,025.00
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756.00
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−10%
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−10%
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$1,000
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$25.00
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$1,025.00
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714.00
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−15%
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−15%
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$1,000
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$25.00
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$1,025.00
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672.00
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−20.00%
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−20.00%
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$1,000
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$25.00
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$1,025.00
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651.08
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−22.49%
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−22.49%
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$1,000
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$25.00
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$1,025.00
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Final Level
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Percentage Change
from the Initial Level to the Final Level
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Underlying Return
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Redemption Amount per $1,000 Principal Amount of Securities (Knock-In Event occurs)
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Total Interest Payment per $1,000 Principal Amount of Securities
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Total Payment per $1,000 Principal Amount of Securities
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1260.00
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50%
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0%
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$1,000
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$25.00
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$1,025.00
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1176.00
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40%
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0%
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$1,000
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$25.00
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$1,025.00
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1092.00
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30%
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0%
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$1,000
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$25.00
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$1,025.00
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1008.00
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20%
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0%
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$1,000
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$25.00
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$1,025.00
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924.00
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10%
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0%
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$1,000
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$25.00
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$1,025.00
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840.00
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0%
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0%
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$1,000
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$25.00
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$1,025.00
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756.00
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−10%
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−10%
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$900
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$25.00
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$925.00
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672.00
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−20%
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−20%
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$800
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$25.00
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$825.00
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588.00
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−30%
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−30%
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$700
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$25.00
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$725.00
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504.00
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−40%
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−40%
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$600
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$25.00
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$625.00
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420.00
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−50%
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−50%
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$500
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$25.00
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$525.00
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336.00
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−60%
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−60%
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$400
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$25.00
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$425.00
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Underlying Return
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=
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(1008 - 840) / 840 = 20%, subject to a maximum of 0.00
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=
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0%
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Redemption Amount
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=
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Principal × (1 + Underlying Return)
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$1,000 × 1.00
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=
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$1,000
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Underlying Return
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=
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(756 - 840) / 840
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=
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−10%
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Redemption Amount
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=
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Principal × (1 + Underlying Return)
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$1,000 × 0.90
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=
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$900
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YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY – You may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any accrued or unpaid interest. If a Knock-In Event occurs during the Observation Period and the Final Level is less than the Initial Level, you will be fully exposed to any depreciation in the Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur, and in the event that there is a Knock-In Event, whether and by how much the Final Level will decrease in comparison to the Initial Level. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS ACCRUED AND UNPAID INTEREST, AT MATURITY OR UPON EARLY REDEMPTION – The securities will not pay more than the principal amount, plus accrued and unpaid interest, at maturity or upon early redemption. If the Final Level is greater than the Initial Level (regardless of whether a Knock-In Event has occurred), you will not receive the appreciation of the Underlying. Assuming the securities are held to maturity and the term of the securities is exactly five months, the maximum amount payable with respect to the securities will not exceed $1,025.00 for each $1,000 principal amount of the securities.
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THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE – Although the return on the securities will be based on the performance of the Underlying, the payment of any amount due on the securities, including any applicable interest payments, early redemption payment or payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
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THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO ACCRUE INTEREST OVER THE FULL TERM OF THE SECURITIES – The securities are subject to a potential early redemption. The securities may be redeemed on any Interest Payment Date scheduled to occur on or after October 24, 2011 upon at least three business days notice. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal amount of your securities and any accrued but unpaid interest payable on that Interest Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid interest from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much interest as the securities.
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CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE SECURITIES PRIOR TO MATURITY – While the payment at maturity described in this pricing supplement is based on the full principal amount of your securities, the original issue price of the securities includes the agent’s commission and the cost of hedging our obligations under the securities through one or more of our affiliates. As a result, the price, if any, at which Credit Suisse (or its affiliates), will be willing to purchase securities from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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LACK OF LIQUIDITY – The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
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POTENTIAL CONFLICTS – We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES – In addition to the level of the Underlying on any trading day during the Observation Period, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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the expected volatility of the Underlying;
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the time to maturity of the securities;
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the Early Redemption feature, which is likely to limit the value of the securities;
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interest and yield rates in the market generally;
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investors’ expectations with respect to the rate of inflation;
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geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlying, or markets generally and which may affect the level of the Underlying; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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NO OWNERSHIP RIGHTS RELATING TO THE EQUITY SECURITIES COMPRISING THE UNDERLYING – Your return on the securities will not reflect the return you would realize if you actually owned the equity securities that comprise the Underlying. The return on your investment, which is based on the percentage change in the Underlying, is not the same as the total return based on the purchase of shares of the equity securities that comprise the Underlying.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS – As a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the equity securities that comprise the Underlying.
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