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The notes do not pay interest.
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Although the return on the notes will be based on the performance of the Basket, the payment of any amount due on the notes is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the notes and, therefore, investors are subject to our credit risk.
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If the Basket Return is greater than 1.00, you will receive at maturity $1,000 plus an additional amount that will not exceed a predetermined percentage of the principal amount, regardless of the appreciation in the Basket, which may be significant. We refer to this percentage as the Maximum Return, which will be set on the Pricing Date and will not be less than 11.60%. Accordingly, the maximum amount payable on the notes is expected to be $1,116.00 per $1,000 principal amount of notes. Any payment on the notes is subject to our ability to pay our obligations as they become due.
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Price movements in the Basket Components and movements in the exchange rates of the Basket Currencies may not correlate with each other. Increases in the value of one or more of the Basket Components and/or one or more of the Basket Currencies relative to the U.S. dollar may be moderated, or more than offset, by lesser increases or declines in the value of the other Basket Components and/or the value of the other Basket Currencies against the U.S. dollar.
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The exchange rate of the Hong Kong dollar relative to the U.S. dollar is fixed within a narrow range by the Hong Kong Monetary Authority. For so long as the Hong Kong Monetary Authority restricts the Hong Kong dollar from floating relative to the U.S. dollar, the exchange rate between the Hong Kong dollar and the U.S. dollar will not fluctuate by any appreciable amount. If at any time the Hong Kong Monetary Authority permits the Hong Kong dollar to float, the exchange rate between the Hong Kong dollar and the U.S. dollar is likely to move significantly in a very short period of time, which would affect the Basket Return, and, consequently, the value of your notes.
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The original issue price of the notes includes the agent’s commission and the cost of hedging our obligations under the notes 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 notes 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. You should be willing and able to hold your notes to maturity.
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Investments in securities linked to foreign equity securities involve risks associated with the securities markets in those countries, including the risk of volatility in those markets, governmental intervention and cross-shareholdings in companies in certain countries. In addition, foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies.
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As a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the assets included in the Basket, including the Basket Currencies.
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The notes will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the notes 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 notes when you wish to do so. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the notes.
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We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging our obligations under the notes. 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 notes.
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In addition to the levels of the Basket Components and the exchange rates of the Basket Currencies, the value of the notes will be affected by a number of economic and market factors that may either offset or magnify each other, including: the expected volatility of the Basket Components and Basket Currencies, the time to maturity of the notes; the dividend rate on the equity securities included comprising the Basket Components; interest and yield rates in the market generally; investors’ expectations with respect to the rate of inflation; geopolitical conditions and a variety of economic, financial, political, regulatory and judicial events that affect the Basket Components or
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markets generally; the exchange rate and volatility of the exchange rate between the U.S. dollar, the Hong Kong dollar, the Korean won, the new Taiwan dollar and the Singapore dollar and our creditworthiness, including actual or anticipated downgrades in our credit ratings. Some or all of these factors may influence the price that you will receive if you choose to sell your notes prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.
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