Pricing Supplement No. U987
To the Underlying Supplement dated July 29, 2013,
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
March 25, 2014
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![]() $4,000,000
6.00% 6.25 Year Callable Daily Range Accrual Securities due June 29, 2020 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, if the Underlying declines by more than 20%, be willing to lose up to 80% of their investment. 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 provide Contingent Coupon payments, if any, that will vary depending on the performance of the Underlying during the term of the securities. Contingent Coupon payments, if any, will be paid monthly in arrears at a rate equal to (i) the Applicable Rate of 6.00% per annum multiplied by (ii) the quotient of (a) the number of Accrual Days in the applicable Observation Period divided by (b) the number of Non-Disrupted Days in such Observation Period, subject to Early Redemption. Contingent Coupons 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 Contingent Coupon Payment Date scheduled to occur on or after March 30, 2015. No Contingent Coupon will accrue or be payable following an Early Redemption.
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Senior unsecured obligations of Credit Suisse AG, acting through its London Branch, maturing June 29, 2020.†
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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 March 25, 2014 (the “Trade Date”) and are expected to settle on March 28, 2014 (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 London Branch
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Underlying:
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The securities are linked to the performance of the Russell 2000® Index. For more information on the Underlying, see “The Reference Indices—The Russell 2000® Index” in the accompanying underlying supplement. The Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Accrual Barrier:
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Underlying
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Ticker
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Initial Level
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Accrual Barrier
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Russell 2000® Index (“RTY”)
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RTY <Index>
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1178.05
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942.44
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Contingent Coupon Payment Dates:
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Subject to Early Redemption, Contingent Coupons, if any, will be paid monthly in arrears on April 28, 2014, May 28, 2014, June 30, 2014, July 28, 2014, August 28, 2014, September 29, 2014, October 28, 2014, November 28, 2014, December 29, 2014, January 28, 2015, February 27, 2015, March 30, 2015, April 28, 2015, May 28, 2015, June 29, 2015, July 28, 2015, August 28, 2015, September 28, 2015, October 28, 2015, November 30, 2015, December 28, 2015, January 28, 2016, February 29, 2016, March 28, 2016, April 28, 2016, May 31, 2016, June 28, 2016, July 28, 2016, August 29, 2016, September 28, 2016, October 28, 2016, November 28, 2016, December 28, 2016, January 30, 2017, February 28, 2017, March 28, 2017, April 28, 2017, May 30, 2017, June 28, 2017, July 28, 2017, August 28, 2017, September 28, 2017, October 30, 2017, November 28, 2017, December 28, 2017, January 29, 2018, February 28, 2018, March 28, 2018, April 30, 2018, May 29, 2018, June 28, 2018, July 30, 2018, August 28, 2018, September 28, 2018, October 29, 2018, November 28, 2018, December 28, 2018, January 28, 2019, February 28, 2019, March 28, 2019, April 29, 2019, May 28, 2019, June 28, 2019, July 29, 2019, August 28, 2019, September 30, 2019, October 28, 2019, November 29, 2019, December 30, 2019, January 28, 2020, February 28, 2020, March 30, 2020, April 28, 2020, May 28, 2020 and the Maturity Date, subject to the modified following business day convention. No Contingent Coupon will accrue or be payable following an Early Redemption. Contingent Coupons will be payable to the holders of record at the close of business on the business day immediately preceding the applicable Coupon Payment Date, provided that the Contingent Coupon payable on the Early Redemption Date or the Maturity Date, as applicable, will be payable to the person to whom the Early Redemption Amount or the Redemption Amount, as applicable, is payable.
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Contingent Coupon:
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Subject to Early Redemption, for each $1,000 principal amount of securities you hold, you will be entitled to receive a monthly Contingent Coupon, if any, for each Observation Period on the applicable Contingent Coupon Payment Date, calculated as follows:
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$1,000 × [Applicable Rate × (n / N)],
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where,
n is the number of Accrual Days during such Observation Period; and
N is the total number of Non-Disrupted Days during such Observation Period.
If on each Non-Disrupted Day during an Observation Period the closing level of the Underlying is less than the Accrual Barrier, then the Contingent Coupon will be zero, and you will not receive any Contingent Coupon payment on the corresponding Contingent Coupon Payment Date. If on any Non-Disrupted Day during an Observation Period, the closing level of the Underlying is less than the Accrual Barrier, the Contingent Coupon for that Observation Period, if any, will be less, and possibly significantly less, than $5.00 per $1,000 principal amount of securities (the maximum possible amount of any monthly Contingent Coupon).
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Applicable Rate:
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6.00% per annum, calculated on a 30/360 basis.
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Accrual Day:
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A Non-Disrupted Day on which the closing level of the Underlying is equal to or greater than the Accrual Barrier.
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Non-Disrupted Day:
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A trading day on which a market disruption event does not occur.
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Accrual Barrier:
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As set forth in the table above.
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Price to Public(1)
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Underwriting Discounts and Commissions(2)
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Proceeds to Issuer
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Per security
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$1,000.00
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$35.00
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$965.00
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Total
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$4,000,000.00
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$140,000.00
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$3,860,000.00
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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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$4,000,000.00
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$515.20
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Redemption Amount:
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Subject to Early Redemption, at maturity you will be entitled to receive a Redemption Amount in cash that will equal the principal amount of the securities held multiplied by the sum of 1 plus the Underlying Return, calculated as set forth below. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Underlying Return:
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If the Final Level is equal to or greater than the Initial Level, the Underlying Return will equal zero.
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If the Final Level is less than the Initial Level by not more than the Buffer Amount, the Underlying Return will equal zero.
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If the Final Level is less than the Initial Level by more than the Buffer Amount, the Underlying Return will be calculated as follows:
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Final Level – Initial Level
Initial Level
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+ Buffer Amount
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If the Final Level is less than the Initial Level by more than the Buffer Amount, the Underlying Return will be negative and you will receive less than the principal amount of your securities at maturity. You could lose up to $800 per $1,000 principal amount.
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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 Contingent Coupon Payment Date scheduled to occur on or after March 30, 2015 upon notice to the trustee on or before the immediately preceding Early Redemption Notice Date at 100% of the principal amount of the securities (the “Early Redemption Amount”), together with the Contingent Coupon, if any, payable on that Contingent Coupon Payment Date (the “Early Redemption Date”).
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Early Redemption Notice Dates:
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Notice of Early Redemption will be provided prior to the relevant Contingent Coupon Payment Date on or before March 25, 2015, April 23, 2015, May 22, 2015, June 24, 2015, July 23, 2015, August 25, 2015, September 23, 2015, October 23, 2015, November 24, 2015, December 22, 2015, January 25, 2016, February 24, 2016, March 22, 2016, April 25, 2016, May 25, 2016, June 23, 2016, July 25, 2016, August 24, 2016, September 23, 2016, October 25, 2016, November 22, 2016, December 22, 2016, January 25, 2017, February 23, 2017, March 23, 2017, April 25, 2017, May 24, 2017, June 23, 2017, July 25, 2017, August 23, 2017, September 25, 2017, October 25, 2017, November 22, 2017, December 22, 2017, January 24, 2018, February 23, 2018, March 23, 2018, April 25, 2018, May 23, 2018, June 25, 2018, July 25, 2018, August 23, 2018, September 25, 2018, October 24, 2018, November 23, 2018, December 24, 2018, January 23, 2019, February 25, 2019, March 25, 2019, April 24, 2019, May 22, 2019, June 25, 2019, July 24, 2019, August 23, 2019, September 25, 2019, October 23, 2019, November 25, 2019, December 24, 2019, January 23, 2020, February 25, 2020, March 25, 2020, April 23, 2020 or May 22, 2020, as applicable.
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Buffer Amount:
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20%
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Initial Level:
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As set forth in the table above.
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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 Periods:
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There are 75 monthly 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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April 23, 2014, May 22, 2014, June 25, 2014, July 23, 2014, August 25, 2014, September 24, 2014, October 23, 2014, November 24, 2014, December 23, 2014, January 23, 2015, February 24, 2015, March 25, 2015, April 23, 2015, May 22, 2015, June 24, 2015, July 23, 2015, August 25, 2015, September 23, 2015, October 23, 2015, November 24, 2015, December 22, 2015, January 25, 2016, February 24, 2016, March 22, 2016, April 25, 2016, May 25, 2016, June 23, 2016, July 25, 2016, August 24, 2016, September 23, 2016, October 25, 2016, November 22, 2016, December 22, 2016, January 25, 2017, February 23, 2017, March 23, 2017, April 25, 2017, May 24, 2017, June 23, 2017, July 25, 2017, August 23, 2017, September 25, 2017, October 25, 2017, November 22, 2017, December 22, 2017, January 24, 2018, February 23, 2018, March 23, 2018, April 25, 2018, May 23, 2018, June 25, 2018, July 25, 2018, August 23, 2018, September 25, 2018, October 24, 2018, November 23, 2018, December 24, 2018, January 23, 2019, February 25, 2019, March 25, 2019, April 24, 2019, May 22, 2019, June 25, 2019, July 24, 2019, August 23, 2019, September 25, 2019, October 23, 2019, November 25, 2019, December 24, 2019, January 23, 2020, February 25, 2020, March 25, 2020, April 23, 2020, May 22, 2020 and the Valuation Date.
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Valuation Date:†
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June 24, 2020
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Maturity Date:†
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June 29, 2020
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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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22547QKC9
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Underlying supplement dated July 29, 2013:
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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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Percentage Change
from Initial Level
to Final Level
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Underlying Return
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Redemption
Amount per $1,000 Principal Amount
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100.00%
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0.00%
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$1,000.00
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90.00%
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0.00%
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$1,000.00
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80.00%
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0.00%
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$1,000.00
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70.00%
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0.00%
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$1,000.00
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60.00%
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0.00%
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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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40.00%
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0.00%
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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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20.00%
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0.00%
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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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0.00%
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0.00%
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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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−20.00%
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0.00%
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$1,000.00
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−30.00%
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−10.00%
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$900.00
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−40.00%
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−20.00%
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$800.00
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−50.00%
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−30.00%
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$700.00
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−60.00%
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−40.00%
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$600.00
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−70.00%
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−50.00%
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$500.00
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−80.00%
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−60.00%
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$400.00
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−90.00%
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−70.00%
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$300.00
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−100.00%
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−80.00%
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$200.00
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Underlying Return
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=
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[(Final Level - Initial Level) / Initial Level] + Buffer Amount
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=
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−50% + 20%
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=
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−30%
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Redemption Amount
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=
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$1,000 × (1 + Underlying Return)
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=
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$1,000 × (1 − 0.30)
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=
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$700
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Number of Accrual Days
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Contingent Coupon Rate Per Annum*
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Monthly Contingent Coupon Payment Per $1,000 Principal Amount of Securities
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22
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6.00%
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$5.00
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18
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4.91%
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$4.09
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14
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3.82%
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$3.18
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10
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2.73%
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$2.27
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6
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1.64%
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$1.36
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2
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0.55%
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$0.45
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0
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0.00%
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$0.00
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[Applicable Rate × (n / N)]
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where,
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n is the number of Accrual Days during such Observation Period; and
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N is the total number of Non-Disrupted Days during such Observation Period.
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YOUR INVESTMENT IN THE SECURITIES MAY RESULT IN A LOSS — You may receive less at maturity than you originally invested in the securities, excluding any accrued or unpaid Contingent Coupon payments. If the Final Level is less than the Initial Level by more than the Buffer Amount of 20%, you will lose 1% of your principal for each 1% decline in the Final Level as compared to the Initial Level beyond the Buffer Amount. You could lose up to $800 per $1,000 principal amount of securities. 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 ANY ACCRUED AND UNPAID CONTINGENT COUPON, AT MATURITY OR UPON EARLY REDEMPTION — The securities will not pay more than the principal amount, plus accrued and unpaid Contingent Coupon, if any, at maturity or upon early redemption. If the Final Level is greater than the Initial Level, you will not participate in the appreciation of the Underlying. Assuming the term of the securities is exactly 6.25 years, the maximum amount payable with respect to the securities will not exceed $1,375 for each $1,000 principal amount of the securities.
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THE SECURITIES DO NOT PROVIDE FOR REGULAR FIXED INTEREST PAYMENTS — Unlike conventional debt securities, the securities do not provide for regular fixed interest payments. The amount of Contingent Coupon payments you receive over the term of the securities, if any, will depend on the performance of the Underlying during the term of the securities. The annual rate for any monthly Contingent Coupon depends on the number of Non-Disrupted Days during the relevant Observation Period on which the closing level of the Underlying is equal to or greater than the Accrual Barrier. If on any Non-Disrupted Day during an Observation Period the closing level of the Underlying is less than the Accrual Barrier, the Contingent Coupon for that Observation Period, if any, will be less, and possibly significantly less, than $5.00 per $1,000 principal amount of securities (the maximum possible amount of any monthly Contingent Coupon). For example, if on each Non-Disrupted Day during an Observation Period the closing level of the Underlying is less than the Accrual Barrier, then the Contingent Coupon will be zero, and you will not receive any Contingent Coupon payment on the corresponding Contingent Coupon Payment Date. There can be no assurance that you will receive a Contingent Coupon payment on any Contingent Coupon Payment Date or as to the rate per annum on any Contingent Coupon payments you do receive. The securities are not a suitable investment for investors who require regular fixed income payments, since the Contingent Coupon payments are variable and may be zero.
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ANY CONTINGENT COUPON PAYMENT FOR ANY OBSERVATION PERIOD WILL DEPEND ON THE CLOSING LEVEL OF THE UNDERLYING DURING THE OBSERVATION PERIOD — The Contingent Coupon payment for an Observation Period will be reduced for every Non-Disrupted Day on which the closing level of the Underlying is not equal to or greater than the Accrual Barrier, and if the closing level of Underlying is not equal to or greater than the Accrual Barrier for the entirety of any such Observation Period, you will not receive any Contingent Coupon payment for that Observation Period. As a result, the return on the securities (the effective yield to maturity) may be less than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other debt securities of ours.
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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 Contingent Coupon 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 CONTINGENT COUPONS OVER THE FULL TERM OF THE SECURITIES —The securities are subject to a potential early redemption. Prior to maturity, the securities may be redeemed on any Contingent Coupon Payment Date scheduled to occur on or after March 30, 2015, upon notice on or before the immediately preceding Early Redemption Notice Date. 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 Contingent Coupon payable on such Contingent Coupon Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid Contingent Coupons 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 coupon as the securities.
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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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THE OCCURENCE OF A MARKET DISRUPTION EVENT MAY ADVERSELY AFFECT YOUR RETURN — If a market disruption event occurs during any Observation Period (other than on the Observation Date included in such Observation Period), the total number of Non-Disrupted Days during such Observation Period will be reduced. Any such reduction in the number of Non-Disrupted Days during such Observation Period will magnify the relative weighting of any day on which the closing level of the Underlying is less than the Accrual Barrier relative to the total number of Non-Disrupted Days during such Observation Period. Under these circumstances, your Contingent Coupon payment could be less than if a market disruption event had not occurred.
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THE ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE MAY BE LESS THAN THE PRICE TO PUBLIC — The initial estimated value of your securities on the Trade Date (as determined by reference to our pricing models and our internal funding rate) may be significantly less than the original Price to Public. The Price to Public of the securities includes the agent’s discounts or commissions as well as transaction costs such as expenses incurred to create, document and market the securities and the cost of hedging our risks as issuer of the securities through one or more of our affiliates (which includes a projected profit). These costs will be effectively borne by you as an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in connection with our structuring and offering of the securities (except to the extent discounts or commissions are reallowed to other broker-dealers or any costs are paid to third parties).
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On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a fixed income component valued using our internal funding rate, and individual option components valued using mid-market pricing. Our option valuation models are proprietary. They take into account factors such as interest rates, volatility and time to maturity of the securities, and they rely in part on certain assumptions about future events, which may prove to be incorrect.
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Because Credit Suisse’s pricing models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value at any time may not be comparable to estimated values of similar securities of other issuers.
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EFFECT OF INTEREST RATE USED IN ESTIMATING VALUE — The internal funding rate we use in structuring notes such as these securities is typically lower than the interest rate that is reflected in the yield on our conventional debt securities of similar maturity in the secondary market (our “secondary market credit spreads”). If on the Trade Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms of the securities will generally be less favorable to you than they would have been if our secondary market credit spread had been used in structuring the securities. We will also use our internal funding rate to determine the price of the securities if we post a bid to repurchase your securities in secondary market transactions. See “—Secondary Market Prices” below.
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SECONDARY MARKET PRICES — If Credit Suisse (or an affiliate) bids for your securities in secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade Date. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the securities in the secondary market (if any exists) at any time. The secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated value determined by reference to our pricing models and other factors. These other factors include our internal funding rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or improvement in our creditworthiness. In circumstances where our internal funding rate is lower than our secondary market credit spreads, our secondary market bid for your securities could be more favorable than what other dealers might bid because, assuming all else equal, we use the lower internal funding rate to price the securities and other dealers might use the higher secondary market credit spread to price them. Furthermore, assuming no change in market conditions from the Trade Date, the secondary market price of your securities will be lower than the Price to Public because it will not include the agent’s discounts or commissions and hedging and other transaction costs. If you sell your securities to a dealer in a secondary market transaction, the dealer may impose an additional discount or commission, and as a result the price you receive on your securities may be lower than the price at which we may repurchase the securities from such dealer.
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We (or an affiliate) may initially post a bid to repurchase the securities from you at a price that will exceed the then-current estimated value of the securities. That higher price reflects our projected profit and costs that were included in the Price to Public, and that higher price may also be initially used for account statements or otherwise. We (or our affiliate) may offer to pay this higher price, for your benefit, but the amount of any excess over the then-current estimated value will be temporary and is expected to decline over a period of approximately 90 days.
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The securities are not designed to be short-term trading instruments and any sale prior to maturity could result in a substantial loss to you. You should be willing and able 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 as agent of the issuer for the offering of the securities and hedging our obligations under the securities and determining their estimated value. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the securities. Further, hedging activities may adversely affect any payment on or the value of the securities. Any profit in connection with such hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of the securities, which creates an additional incentive to sell the securities to you.
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — In addition to the levels of the Underlying on any 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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the expected volatility of the Underlying;
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the time to maturity of the securities;
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the dividend rate on the equity securities comprising the Underlying;
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the Early Redemption feature, which is likely to 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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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 levels 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 UNDERLYING — Your return on the securities will not reflect the return you would realize if you actually owned the equity securities comprising Underlying. The return on your investment, which is based on the percentage change in the Underlying, is not the same as the total return you would receive based on the purchase 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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·
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a financial institution,
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·
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a mutual fund,
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·
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a tax-exempt organization,
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a grantor trust,
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certain U.S. expatriates,
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an insurance company,
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a dealer or trader in securities or foreign currencies,
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a person (including traders in securities) using a mark-to-market method of accounting,
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a person who holds the securities as a hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction, or
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an entity that is treated as a partnership for U.S. federal income tax purposes.
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