Pricing Supplement No. U737
To the Underlying Supplement dated March 23, 2012,
Product Supplement No. U-I dated March 23, 2012,
Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
November 30, 2012
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Financial
Products
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$726,000
High/Low Coupon Callable Yield Notes due March 5, 2014
Linked to the Performance of the S&P 500® Index and the Russell 2000® Index
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•
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The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlyings. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs with respect to either Underlying. 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 quarterly in arrears at a rate per annum that will depend on whether a Knock-In Event occurs. If a Knock-In Event does not occur, interest will be paid at an Applicable Rate per annum of 7.50%. If a Knock-In Event occurs during any Observation Period, interest for that quarterly period and each subsequent quarterly interest period will be paid at an Applicable Rate per annum of 1.0%. Interest will be calculated on a 30/360 basis, subject to 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 June 5, 2013. 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 March 5, 2014.†
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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 November 30, 2012 (the “Trade Date”) and are expected to settle on December 5, 2012 (the “Settlement Date”). 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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Underlyings:
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Each 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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S&P 500® Index (“SPX”)
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SPX
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1416.18
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920.517
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Russell 2000® Index (“RTY”)
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RTY
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821.92
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534.248
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Applicable Rate:
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If a Knock-In Event does not occur, the Applicable Rate will be 7.50% per annum.
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If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding interest period and each subsequent interest period will be 1.0% per annum.
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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 quarterly in arrears at the Applicable Rate per annum on March 5, 2013, June 5, 2013, September 5, 2013, December 5, 2013 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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The Redemption Amount you will be entitled to receive will depend on the individual performance of each 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, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying. In this case, the maximum Redemption Amount will equal the principal amount of the securities. Therefore, unless the Final Level of each of the Underlyings is greater than or equal to its Initial Level, the Redemption Amount will be less than the principal amount of the securities. You could lose your entire investment.
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If a Knock-In Event does not occur, 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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Prior to the Maturity Date, the Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after June 5, 2013, upon notice on or before the relevant Early Redemption Notice Date at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment Date.
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Early Redemption Notice Dates:
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Notice of Early Redemption will be provided prior to the relevant Interest Payment Date on or before May 31, 2013, August 30, 2013 or December 2, 2013, as applicable.
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Knock-In Event:
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A Knock-In Event will occur if, on any trading day during any Observation Period, the closing level of either Underlying is equal to or less than its Knock-In Level.
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Knock-In Level:
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For each Underlying, as set forth in the table above.
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Lowest Performing Underlying:
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The Underlying with the lowest Underlying Return.
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Underlying Return:
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For each Underlying, 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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For each Underlying, as set forth in the table above.
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Final Level:
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For each Underlying, the closing level of such Underlying on the Valuation Date.
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Observation Periods:
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There are five quarterly Observation Periods. The first Observation Period will be from but excluding the Trade Date to and including the first Observation Date. Each subsequent Observation Period will be from but excluding an Observation Date to and including the next following Observation Date.
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Observation Dates:†
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February 28, 2013, May 31, 2013, August 30, 2013, December 2, 2013 and the Valuation Date.
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Valuation Date:†
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February 28, 2014
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Maturity Date:†
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March 5, 2014
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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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22546TF89
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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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$726,000.00
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$37.50
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$725,962.50
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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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$726,000.00
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$99.03
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•
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Underlying supplement dated March 23, 2012:
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Product supplement No. U-I dated March 23, 2012:
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Prospectus supplement and Prospectus dated March 23, 2012:
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Principal
Amount
of Securities
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Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
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Underlying Return of the Lowest Performing Underlying
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Redemption
Amount
(Knock-In Event
does not occur)
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Total Interest
Payment on
the Securities
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Total Payment
on the Securities
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$1,000.00
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50.00%
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0.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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40.00%
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0.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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30.00%
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0.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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20.00%
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0.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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10.00%
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0.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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0.00%
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0.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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−10.00%
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−10.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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−20.00%
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−20.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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−30.00%
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−30.00%
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$1,000.00
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$93.75
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$1,093.75
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$1,000.00
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−34.99%
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−34.99%
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$1,000.00
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$93.75
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$1,093.75
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Principal
Amount
of Securities
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Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
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Underlying Return of the Lowest Performing Underlying
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Redemption Amount (Knock-In Event occurs)
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Total Interest Payments on the Securities
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$1,000.00
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50.00%
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0.00%
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$1,000.00
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(See table below)
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$1,000.00
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40.00%
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0.00%
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$1,000.00
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$1,000.00
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30.00%
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0.00%
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$1,000.00
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$1,000.00
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20.00%
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0.00%
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$1,000.00
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$1,000.00
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10.00%
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0.00%
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$1,000.00
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$1,000.00
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0.00%
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0.00%
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$1,000.00
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$1,000.00
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−10.00%
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−10.00%
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$900.00
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$1,000.00
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−20.00%
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−20.00%
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$800.00
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$1,000.00
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−30.00%
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−30.00%
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$700.00
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$1,000.00
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−40.00%
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−40.00%
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$600.00
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$1,000.00
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−50.00%
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−50.00%
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$500.00
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$1,000.00
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−60.00%
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−60.00%
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$400.00
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$1,000.00
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−70.00%
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−70.00%
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$300.00
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$1,000.00
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−80.00%
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−80.00%
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$200.00
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$1,000.00
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−90.00%
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−90.00%
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$100.00
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$1,000.00
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−100.00%
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−100.00%
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$0.00
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Time of First Knock-In Event
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Total Interest Payment on the Securities
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From Trade Date to first Observation Date
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$12.50
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From first Observation Date to second Observation Date
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$28.75
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From second Observation Date to third Observation Date
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$45.00
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From third Observation Date to fourth Observation Date
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$61.25
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From fourth Observation Date to Valuation Date
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$77.50
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level
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SPX
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1410
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1410.00 (100% of Initial Level)
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1551.00 (110% of Initial Level)
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RTY
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810
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526.50 (65% of Initial Level)
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526.50 (65% of Initial Level)
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Final Level of RTY – Initial Level of RTY
Initial Level of RTY
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; subject to a maximum of 0.00
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level
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SPX
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1410
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916.50 (65% of Initial Level)
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1551.00 (110% of Initial Level)
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RTY
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810
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704.70 (87% of Initial Level)
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704.70 (87% of Initial Level)
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Final Level of RTY – Initial Level of RTY
Initial Level of RTY
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; subject to a maximum of 0.00
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level
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SPX
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1410
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916.50 (65% of Initial Level)
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1551.00 (110% of Initial Level)
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RTY
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810
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729.00 (90% of Initial Level)
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972.00 (120% of Initial Level)
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Final Level of SPX – Initial Level of SPX
Initial Level of SPX
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; subject to a maximum of 0.00
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Underlying
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Initial Level
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Lowest closing level of the Underlying
during any Observation Period
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Final Level
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SPX
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1410
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1226.70 (87% of Initial Level)
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1551.00 (110% of Initial Level)
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RTY
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810
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712.80 (88% of Initial Level)
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891.00 (110% of Initial Level)
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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 and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will not receive the maximum amount of interest payable on the securities and you will be fully exposed to any depreciation in the Lowest Performing 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 of the Lowest Performing Underlying will decrease in comparison to its 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 THE APPLICABLE RATE, AT MATURITY OR UPON EARLY REDEMPTION — The securities will not pay more than the principal amount, plus accrued and unpaid interest at the Applicable Rate, at maturity or upon early redemption. If the Final Level of each Underlying is greater than its respective Initial Level (regardless of whether a Knock-In Event has occurred), you will not receive the appreciation of either Underlying. Assuming the securities are held to maturity and the term of the securities is exactly 15 months, the maximum amount payable with respect to the securities will not exceed $1,093.75 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 Underlyings, 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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IF A KNOCK-IN EVENT OCCURS DURING ANY OBSERVATION PERIOD, THE APPLICABLE RATE FOR THE CORRESPONDING QUARTERLY INTEREST PERIOD AND EACH SUBSEQUENT INTEREST PERIOD WILL BE 1.0% PER ANNUM — If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding quarterly interest period and each subsequent interest period will be 1.0% per annum. For example, if a Knock-In Event occurs during the period from the Trade Date to the first Observation Date, the Applicable Rate per annum for each interest period will be 1.0% and the maximum amount of interest you will be entitled to receive, assuming the term of the securities is exactly 15 months, will not exceed $12.50 per $1,000 principal amount of the securities.
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THE REDEMPTION AMOUNT PAYABLE AT MATURITY WILL BE LESS THAN THE PRINCIPAL AMOUNT OF THE SECURITIES EVEN IF A KNOCK-IN EVENT OCCURS WITH RESPECT TO ONLY ONE UNDERLYING AND THE FINAL LEVEL OF ONLY ONE UNDERLYING IS LESS THAN ITS INITIAL LEVEL — Even if on a trading day during any Observation Period the closing level of only one Underlying is equal to or less than its Knock-In Level, a Knock-In Event will have occurred. In this case, the Redemption Amount payable at maturity will be less than the principal amount of the securities if, in addition to the occurrence of a Knock-In Event, the Final Level of at least one Underlying is less than its Initial Level. This will be true even if on any trading day during every Observation Period the closing level of the Lowest Performing Underlying was never equal to or less than its Knock-In Level.
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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 —
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SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING — Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing Underlying, the individual performance of each Underlying is not combined to calculate your return and the depreciation of any Underlying is not mitigated by the appreciation of any other Underlying. Instead, the Redemption Amount payable at maturity depends on the lowest performing of the Underlyings to which the securities are linked.
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•
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THE SECURITIES ARE LINKED TO THE RUSSELL 2000® INDEX AND ARE SUBJECT TO THE RISKS ASSOCIATED WITH SMALL-CAPITALIZATION COMPANIES — The Russell 2000® Index is composed of equity securities issued by companies with relatively small market capitalization. These equity securities often have greater stock price volatility, lower trading volume and less liquidity than the equity securities of large-capitalization companies, and are more vulnerable to adverse business and economic developments than those of large-capitalization companies. In addition, small-capitalization companies are typically less established and less stable financially than large-capitalization companies. These companies may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products. Therefore, the Russell 2000® Index may be more volatile than it would be if it were composed of equity securities issued by large-capitalization companies.
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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 levels of the Underlyings on any trading day during any 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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o
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the expected volatility of the Underlyings;
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o
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the time to maturity of the securities;
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o
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the Early Redemption feature, which would limit the value of the securities;
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o
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interest and yield rates in the market generally;
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o
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investors’ expectations with respect to the rate of inflation;
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o
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geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings, or markets generally and which may affect the levels of the Underlyings; and
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o
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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•
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NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYINGS — Your return on the securities will not reflect the return you would realize if you actually owned the equity securities comprising Underlyings. The return on your investment, which is based on the percentage change in the Underlyings, is not the same as the total return you would receive based on the purchase of the equity securities that comprise the Underlyings.
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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 Underlyings.
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