CALCULATION OF REGISTRATION FEE
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||||
Title
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Maximum Aggregate
Offering Price
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Amount of Registration
Fee
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||
Notes
Notes
Notes
Notes
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$2,045,000.00
$417,500.00
$139,000.00
$1,288,000.00
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$237.63
$48.51
$16.15
$149.67
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PRICING SUPPLEMENT No. U1138, U1139, U1140 and U1141
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
Dated December 5, 2014
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Investment Description
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This pricing supplement describes four separate offerings of Trigger Phoenix Autocallable Optimization Securities (each, the “Securities”) each of which is a senior unsecured obligation of Credit Suisse AG, acting through its London Branch (“Credit Suisse” or the “Issuer”) linked to the performance of the Class B common stock or common stock, as applicable, (each, the “Reference Shares”) of a specific underlying issuer (each, the “Reference Share Issuer”). With respect to each issuance of the Securities, Credit Suisse will pay you a monthly Contingent Coupon payment if on an Observation Date (including the Final Valuation Date) the closing price of the applicable Reference Shares is equal to or greater than the Coupon Barrier. Otherwise, no Contingent Coupon will be payable with respect to that Observation Date. Credit Suisse will automatically call the Securities prior to maturity if on any Observation Date (monthly, beginning after one year) the closing price of the applicable Reference Shares is equal to or greater than the Initial Share Price. If the Securities are called, Credit Suisse will pay you the principal amount of your Securities plus the Contingent Coupon payable on the Coupon Payment Date immediately following that Observation Date (the “Automatic Call Date”), and no further amounts will be owed to you under the Securities. If the Securities are not called prior to maturity and a Trigger Event does not occur, Credit Suisse will pay you a cash payment at maturity equal to the principal amount of your Securities. If the Securities are not called prior to maturity and a Trigger Event occurs, Credit Suisse will pay you less than the full principal amount of your Securities, if anything, resulting in a loss on your principal that is proportionate to the depreciation of the applicable Reference Shares. In that case, you will lose a substantial portion and possibly all of your investment. A Trigger Event will be deemed to have occurred if the Final Share Price is less than the Trigger Price. Investing in the Securities involves significant risks. You may lose some or all of your investment if the Securities are not called and a Trigger Event occurs. The Trigger Price is observed only on the Final Valuation Date and the contingent repayment of principal applies only if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the ability of Credit Suisse to pay its obligations as they become due. If Credit Suisse were to default on its obligations, you may not receive any amounts owed to you under the Securities.
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Features
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Key Dates
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q Automatically Callable —If on any Observation Date (monthly, beginning after one year) the closing price of the applicable Reference Shares is equal to or greater than the Initial Share Price, Credit Suisse will automatically call the Securities and pay you the principal amount of your Securities plus the Contingent Coupon payable for that month on the Coupon Payment Date immediately following that Observation Date, and no further payments will be made on the Securities. If the Securities are not called, investors may be exposed to any depreciation of the applicable Reference Shares at maturity.
q Contingent Repayment of Principal Amount at Maturity — If the Securities have not been called and a Trigger Event has not occurred, Credit Suisse will pay you the full principal amount of your Securities at maturity. If a Trigger Event occurs, Credit Suisse will pay you less than your principal amount, if anything, resulting in a loss of your principal that will be proportionate to the full depreciation of the applicable Reference Shares. The Trigger Price is observed on the Final Valuation Date and the contingent repayment of your principal applies only at maturity. Any payment on the Securities, including any repayment of principal, is subject to the ability of Credit Suisse to pay its obligations as they become due.
q Contingent Coupon — Subject to Automatic Call, Credit Suisse will pay you a monthly Contingent Coupon payment if on an Observation Date the closing price of the applicable Reference Shares is equal to or greater than the Coupon Barrier. Otherwise, no coupon will be paid for that month.
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Trade Date
Settlement Date
Observation Dates*
Final Valuation Date*
Maturity Date*
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December 5, 2014
December 10, 2014
Monthly (callable after 1 year) (see page 4)
December 5, 2019
December 11, 2019
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* The determination of the closing price for the Reference Shares on each Observation Date, other than the Final Valuation Date, is subject to postponement as described herein and in the accompanying product supplement.
THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO PAY THE FULL PRINCIPAL AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES CAN EXPOSE YOUR INVESTMENT TO THE FULL DEPRECIATION OF THE APPLICABLE REFERENCE SHARES. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF CREDIT SUISSE. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES. YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 8 AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-3 OF THE ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY EXCHANGE.
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Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the Securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.
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Security Offering
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Reference Shares
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Ticker
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Contingent
Coupon Rate
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Initial Share Price
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Trigger Price
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Coupon Barrier
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CUSIP
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ISIN
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Class B common stock of CBS Corporation
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CBS UN <Equity>
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8.00% per annum
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$55.09
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$42.69 (77.50% of the Initial Share Price)
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$42.69 (77.50% of the Initial Share Price)
|
22547T480
|
US22547T4803
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Common stock of Kansas City Southern
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KSU UN <Equity>
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7.00% per annum
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$117.30
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$81.52 (69.50% of the Initial Share Price)
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$81.52 (69.50% of the Initial Share Price)
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22547T498
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US22547T4985
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Common stock of Juniper Networks, Inc.
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JNPR UN <Equity>
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8.00% per annum
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$22.34
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$14.74 (66% of the Initial Share Price)
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$14.74 (66% of the Initial Share Price)
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22547T506
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US22547T5065
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Common stock of Verizon Communications Inc.
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VZ UN <Equity>
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7.00% per annum
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$48.61
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$37.55 (77.25% of the Initial Share Price)
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$37.55 (77.25% of the Initial Share Price)
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22547T514
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US22547T5149
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Offering of Securities
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Price to Public
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Underwriting Discount and Commissions(1)
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Proceeds to Credit Suisse AG
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Total
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Per Security
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Total
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Per Security
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Total
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Per Security
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Securities linked to the Class B common stock of CBS Corporation
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$2,045,000
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$10.00
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$51,125
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$0.25
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$1,993,875
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$9.75
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Securities linked to the common stock of Kansas City Southern
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$417,500
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$10.00
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$10,437.50
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$0.25
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$407,062.50
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$9.75
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Securities linked to the common stock of Juniper Networks, Inc.
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$139,000
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$10.00
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$3,475
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$0.25
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$135,525
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$9.75
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Securities linked to the common stock of Verizon Communications Inc.
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$1,288,000
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$10.00
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$32,200
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$0.25
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$1,255,800
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$9.75
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Additional Information about Credit Suisse and the Securities
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¨
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Product supplement No. U-I dated March 23, 2012:
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¨
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Prospectus supplement and Prospectus dated March 23, 2012:
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Investor Suitability
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The Securities may be suitable for you if:
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The Securities may not be suitable for you if:
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¨ You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may be exposed to any depreciation of the applicable Reference Shares.
¨ You believe the closing price of the applicable Reference Shares will be equal to or greater than the Coupon Barrier on each of the Observation Dates, and you believe a Trigger Event will not occur, meaning the Reference Shares will close at or above the Trigger Price on the Final Valuation Date.
¨ You understand and accept that you will not participate in any appreciation in the price of the applicable Reference Shares, which may be significant, and that your potential return is limited to the Contingent Coupon payments, if any, that are based on the contingent coupon rate listed on the cover hereof.
¨ You are willing to invest in the Securities based on the Trigger Price and Coupon Barrier specified on the cover hereof.
¨ You are willing to forgo any dividends paid on the Reference Shares.
¨ You do not seek guaranteed current income from your investment.
¨ You are willing to invest in securities that are subject to potential Automatic Call after one year, and you are otherwise willing to hold such securities to maturity and accept that there may be little or no secondary market for the Securities.
¨ You seek an investment with exposure to one Reference Share Issuer and that is not diversified among a basket or index of Reference Share Issuers.
¨ You are willing to assume the credit risk of Credit Suisse for all payments under the Securities, and understand that the payment of any amount due on the Securities is subject to the credit risk of Credit Suisse.
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¨ You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You seek an investment designed to provide a full return of principal at maturity.
¨ You cannot tolerate a loss of all or a substantial portion of your investment, and you are not willing to make an investment that may be exposed to any depreciation of the applicable Reference Shares.
¨ You believe that the applicable Reference Shares will close below the Coupon Barrier on the Observation Dates or you believe a Trigger Event will occur, meaning the closing price of the applicable Reference Shares will be below the Trigger Price on the Final Valuation Date.
¨ You seek an investment that participates in the full appreciation in the price of the applicable Reference Shares, and whose return is not limited to the Contingent Coupon payments, if any, that are based on the contingent coupon rate listed on the cover hereof.
¨ You are not willing to invest in the Securities based on the Trigger Price and Coupon Barrier specified on the cover hereof.
¨ You seek guaranteed current income from your investment.
¨ You prefer to receive the dividends paid on the Reference Shares.
¨ You are unable or unwilling to hold securities that are subject to potential Automatic Call after one year or are otherwise unable or unwilling to hold such securities to maturity or you seek an investment for which there will be an active secondary market for the Securities.
¨ You do not seek an investment with exposure to one Reference Share Issuer and that is not diversified among a basket or index of Reference Share Issuers.
¨ You are unwilling to assume the credit risk of Credit Suisse for all payments under the Securities.
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Final Terms
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Issuer
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Credit Suisse AG (“Credit Suisse”), acting through its London Branch.
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Principal Amount
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$10.00 per Security
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Term(1)
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Approximately 5 years, unless called earlier. In the event that we make any change to the expected Settlement Date, the calculation agent may adjust (i) the Observation Dates to ensure that the term between each Observation Date remains the same and/or (ii) the Final Valuation Date and Maturity Date to ensure that the stated term of the Securities remains the same.
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Reference Shares
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Class B common stock of CBS Corporation
Common stock of Kansas City Southern
Common stock of Juniper Networks, Inc.
Common stock of Verizon Communications Inc.
This pricing supplement describes four separate offerings of Securities, each of which provides returns based on the performance of the applicable Reference Shares of a specific Reference Share Issuer.
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Contingent Coupon
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If on any Observation Date the closing price of the applicable Reference Shares is equal to or greater than the Coupon Barrier, Credit Suisse will pay you the Contingent Coupon applicable to such Observation Date.
If on any Observation Date the closing price of the applicable Reference Shares is less than the Coupon Barrier, the Contingent Coupon applicable to such Observation Date will not accrue or be payable and you will not be entitled to receive any payment on the relevant Coupon Payment Date.
Contingent Coupons will be calculated on a 30/360 basis from and including the Settlement Date to and excluding the earlier of the Automatic Call Date and the Maturity Date, as applicable. The table below sets forth the Contingent Coupon amount (based on the Contingent Coupon Rates of (i) 8.00% per annum for Securities linked to the Class B common stock of CBS Corporation, (ii) 7.00% per annum for Securities linked to the common stock of Kansas City Southern, (iii) 8.00% per annum for Securities linked to the common stock of Juniper Networks, Inc. and (iv) 7.00% per annum for Securities linked to the common stock of Verizon Communications Inc.) that would be applicable to each Observation Date on which the closing price of the applicable Reference Shares is greater than or equal to the Coupon Barrier.
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Contingent Coupon (per Security)
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CBS Corporation
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$0.0667
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Kansas City Southern
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$0.0583
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Juniper Networks, Inc.
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$0.0667
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Verizon Communications Inc.
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$0.0583
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Contingent Coupon payments on the Securities are not guaranteed. Credit Suisse will not pay you the Contingent Coupon for any Observation Date on which the closing price of the applicable Reference Shares is less than the Coupon Barrier.
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Trigger Event
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A Trigger Event will occur if the Final Share Price is less than the Trigger Price.
In this case, you will be fully exposed to any depreciation in the price of the applicable Reference Shares from the Trade Date to the Final Valuation Date.
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Contingent Coupon Rate
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The Contingent Coupon rate is (i) 8.00% per annum for Securities linked to the Class B common stock of CBS Corporation, (ii) 7.00% per annum for Securities linked to the common stock of Kansas City Southern, (iii) 8.00% per annum for Securities linked to the common stock of Juniper Networks, Inc. and (iv) 7.00% per annum for Securities linked to the common stock of Verizon Communications Inc.
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Automatic Call Feature
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The Securities will be automatically called if on any Observation Date after one year the closing price of the applicable Reference Shares (monthly, beginning December 8, 2015) is equal to or greater than the Initial Share Price.
If the Securities are called on any Observation Date after one year (monthly, beginning December 8, 2015), on the Coupon Payment Date immediately following the relevant Observation Date (the “Automatic Call Date”), Credit Suisse will pay you a cash payment per Security equal to your principal amount plus the Contingent Coupon payable on that Coupon Payment Date. No further amounts will be owed to you under the Securities.
The Securities will not be subject to an Automatic Call on an Observation Date (monthly, beginning December 8, 2015) if the closing price of the applicable Reference Shares on such Observation Date is below the Initial Share Price.
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Payment at
Maturity (per Security)
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If the Securities are not called and a Trigger Event does not occur, on the Maturity Date Credit Suisse will pay you a cash payment per Security equal to $10.00.
If the Securities are not called and a Trigger Event occurs, on the Maturity Date, Credit Suisse will pay you less than the principal amount of your Securities, if anything, resulting in a loss on your initial investment that is proportionate to the Underlying Return of the applicable Reference Shares, for an amount equal to:
$10.00 + ($10.00 x Underlying Return of the applicable Reference Shares)
You will lose some or all of your principal amount if the Securities are not called and a Trigger Event occurs.
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Final Terms
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Underlying Return
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Final Share Price – Initial Share Price
Initial Share Price
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Trigger Price
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A percentage of the Initial Share Price, as specified on the first page of this pricing supplement.
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Coupon Barrier
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A percentage of the Initial Share Price, as specified on the first page of this pricing supplement.
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Initial Share Price
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The closing price of the applicable Reference Shares on the Trade Date, as specified on the first page of this pricing supplement.
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Final Share Price
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The closing price of the applicable Reference Shares on the Final Valuation Date, as determined by the calculation agent.
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Observation Dates
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The first Observation Date will occur on January 8, 2015; Observation Dates will occur monthly thereafter as listed in the “Observation Dates/Coupon Payment Dates” section below. The final Observation Date, December 5, 2019, will be the “Final Valuation Date.”
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Coupon Payment Dates
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Three business days following each Observation Date, except that the Coupon Payment Date for the Final Valuation Date is the Maturity Date.
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Product Supplement Defined Term
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Pricing Supplement Defined Term
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Knock-In Price
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Trigger Price
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Knock-In Event
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Trigger Event
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Valuation Date
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Final Valuation Date
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Investment Timeline
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Trade Date
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The Initial Share Price is observed, and the Trigger Price and Coupon Barrier for the Reference Shares are determined.
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Monthly, including the Final Valuation Date
(callable after 1 year)
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If on any Observation Date the closing price of the applicable Reference Shares is equal to or greater than the Coupon Barrier, Credit Suisse will pay you a Contingent Coupon on the applicable Coupon Payment Date.
The Securities will be called if on any Observation Date on or after December 8, 2015 the closing price of the applicable Reference Shares is equal to or greater than the Initial Share Price. If the Securities are called, Credit Suisse will pay you a cash payment per Security equal to $10.00 plus the Contingent Coupon payable on the Automatic Call Date.
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Maturity Date
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The Final Share Price is observed on the Final Valuation Date.
If the Securities have not been called and a Trigger Event has not occurred, on the Maturity Date, Credit Suisse will pay you a cash payment per Security equal to $10.00.
If the Securities have not been called and a Trigger Event has occurred, Credit Suisse will pay you less than the principal amount of your Securities, if anything, resulting in a loss on your initial investment proportionate to the depreciation of the applicable Reference Shares, for an amount equal to:
$10.00 + ($10.00 x Underlying Return of the applicable Reference Shares)
per Security
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Observation Dates(1) and Coupon Payment Dates(2)(3)
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Observation Dates
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Coupon Payment Dates
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Observation Dates
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Coupon Payment Dates
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Observation Dates
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Coupon Payment Dates
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January 8, 2015*
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January 12, 2015
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September 8, 2016
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September 12, 2016
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May 8, 2018
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May 10, 2018
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February 6, 2015*
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February 10, 2015
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October 7, 2016
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October 11, 2016
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June 7, 2018
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June 11, 2018
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March 6, 2015*
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March 10, 2015
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November 8, 2016
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November 10, 2016
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July 6, 2018
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July 10, 2018
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April 8, 2015*
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April 10, 2015
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December 8, 2016
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December 12, 2016
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August 8, 2018
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August 10, 2018
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May 7, 2015*
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May 11, 2015
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January 6, 2017
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January 10, 2017
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September 6, 2018
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September 10, 2018
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June 8, 2015*
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June 10, 2015
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February 8, 2017
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February 10, 2017
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October 8, 2018
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October 10, 2018
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July 8, 2015*
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July 10, 2015
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March 8, 2017
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March 10, 2017
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November 9, 2018
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November 13, 2018
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August 6, 2015*
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August 10, 2015
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April 6, 2017
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April 10, 2017
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December 6, 2018
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December 10, 2018
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September 8, 2015*
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September 10, 2015
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May 8, 2017
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May 10, 2017
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January 8, 2019
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January 10, 2019
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October 9, 2015*
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October 13, 2015
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June 8, 2017
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June 12, 2017
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February 7, 2019
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February 11, 2019
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November 6, 2015*
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November 10, 2015
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July 6, 2017
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July 10, 2017
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March 7, 2019
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March 11, 2019
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December 8, 2015
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December 10, 2015
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August 8, 2017
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August 10, 2017
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April 8, 2019
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April 10, 2019
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January 7, 2016
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January 11, 2016
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September 7, 2017
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September 11, 2017
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May 8, 2019
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May 10, 2019
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February 8, 2016
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February 10, 2016
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October 6, 2017
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October 10, 2017
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June 6, 2019
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June 10, 2019
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March 8, 2016
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March 10, 2016
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November 8, 2017
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November 10, 2017
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July 8, 2019
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July 10, 2019
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April 7, 2016
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April 11, 2016
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December 7, 2017
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December 11, 2017
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August 8, 2019
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August 12, 2019
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May 6, 2016
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May 10, 2016
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January 8, 2018
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January 10, 2018
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September 6, 2019
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September 10, 2019
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June 8, 2016
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June 10, 2016
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February 8, 2018
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February 12, 2018
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October 8, 2019
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October 10, 2019
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July 7, 2016
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July 11, 2016
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March 8, 2018
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March 12, 2018
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November 8, 2019
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November 12, 2019
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August 8, 2016
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August 10, 2016
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April 6, 2018
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April 10, 2018
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December 5, 2019
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December 11, 2019
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*
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The Securities are not callable until the twelfth Observation Date, which is December 8, 2015.
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(1)
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The determination of the closing price for the Reference Shares on each Observation Date, other than the Final Valuation Date, is subject to postponement, as described herein under “Market Disruption Events.”
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(2)
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Each subject to the modified following business day convention and subject to postponement as described herein under “Market Disruption Events.”
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(3)
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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 upon Automatic Call or at maturity, as applicable, will be payable to the person to whom the principal amount upon Automatic Call or the Payment at Maturity, is payable.
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Key Risks
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¨
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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. If the Final Share Price is less than the Trigger Price, you will be fully exposed to any depreciation in the applicable Reference Shares and will incur a loss proportionate to the Underlying Return of the Reference Shares. In this case, at maturity, the amount Credit Suisse will pay you 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 Trigger Event will occur, and in the event that there is a Trigger Event, by how much the Final Share Price will decrease in comparison to the Initial Share Price. Any payment on the Securities is subject to our ability to pay our obligations as they become due.
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¨
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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 applicable Reference Shares, the payment of any amount due on the Securities, including any applicable Contingent Coupon payments, if any, Automatic Call payment and 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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¨
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The Securities will not pay more than the principal amount, plus any Contingent Coupons payable by maturity or upon Automatic Call — The return potential on the Securities is limited to the Contingent Coupon Rate regardless of the potential appreciation of the applicable Reference Shares. Therefore, the Securities do not provide for a return greater than the principal amount, plus any Contingent Coupons received up to maturity or upon Automatic Call. Even if the Final Share Price is greater than the Initial Share Price, you will not participate in the appreciation of the applicable Reference Shares despite the potential for full downside exposure to the Reference Shares at maturity. The actual return on the Securities will depend on the number of Observation Dates on which the requirements for the Contingent Coupon are met and the amount payable per Security may be less than the amount payable on a traditional debt security that pays interest at prevailing market rates or an investment that allows for participation in any appreciation of the applicable Reference Shares.
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¨
|
The Securities are subject to a potential Automatic Call prior to maturity, which would limit your opportunity to accrue Contingent Coupons over the full term of the Securities —If on any Observation Date the closing price of the applicable Reference Shares after one year is equal to or greater than the Initial Share Price, the Securities will be called and you will be entitled to receive a cash payment equal to the principal amount of the Securities you hold plus the Contingent Coupon payable on that Coupon Payment Date, and no further payments will be made in respect of the Securities. If the Securities are called prior to maturity, you will lose the opportunity to continue to accrue and be paid Contingent Coupons from the date of Automatic Call to the scheduled Maturity Date and you may be unable to invest in other Securities with a similar level of risk that yield as much as the Securities.
|
¨
|
You may not receive any Contingent Coupons — Credit Suisse will not necessarily make periodic coupon payments on the Securities. If on an Observation Date the closing price of the applicable Reference Shares is less than the Coupon Barrier, Credit Suisse will not pay you the Contingent Coupon applicable to such Observation Date. If on each of the Observation Dates the closing price of the applicable Reference Shares is less than the Coupon Barrier, Credit Suisse will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on, your Securities.
|
¨
|
Higher contingent coupon rates are generally associated with a greater risk of loss — Greater expected volatility with respect to the Reference Shares reflects a higher expectation as of the Trade Date that the price of the applicable Reference Shares could close below the Trigger Price on the Final Valuation Date of the Securities. This greater expected risk will generally be reflected in a higher Contingent Coupon Rate for that Security. However, while the Contingent Coupon Rate will be a fixed amount, the volatility of the applicable Reference
|
|
Shares can change significantly over the term of the Securities. The price of the applicable Reference Shares for your Securities could fall sharply, which could result in a significant loss of principal.
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¨
|
No affiliation with the Reference Share Issuer — We are not affiliated with the Reference Share Issuer. You should make your own investigation into the Reference Shares and the Reference Share Issuer. In connection with the offering of the securities, neither we nor our affiliates have participated in the preparation of any publicly available documents or made any due diligence inquiry with respect to the Reference Share Issuer.
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¨
|
Hedging and trading in the Reference Shares— While the securities are outstanding, we or any of our affiliates may carry out hedging activities related to the securities, including in the Reference Shares or instruments related to the Reference Shares. We or our affiliates may also trade in the Reference Shares or instruments related to the Reference Shares from time to time. Any of these hedging or trading activities as of the Trade Date and during the term of the securities could adversely affect our payment to you at maturity.
|
¨
|
Single stock risk — Each Security is linked to the equity securities of a single Reference Share. The price of each of such Reference Shares can rise or fall sharply due to factors specific to such Reference Shares and its Reference Share Issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review financial and other information filed periodically by the Reference Share Issuer with the SEC.
|
¨
|
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).
|
|
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.
|
¨
|
Effect of interest rate used in structuring the Securities — 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.
|
¨
|
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.
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 12 months.
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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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¨
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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. The full repayment of principal is contingent upon an Automatic Call or, if the Securities are not called, a Trigger Event not occurring. Because a Trigger Event is determined by observing the Trigger Price only on the Final Valuation Date, if you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss even if the price of the applicable Reference Shares is above the Trigger Price at that time.
|
¨
|
Potential conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Securities, including acting as calculation agent, 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. We and/or our affiliates may also currently or from time to time engage in business with the Reference Share Issuer, including extending loans to, or making equity investments in, the Reference Share Issuer or providing advisory services to the Reference Share Issuer. In addition, one or more of our affiliates may publish research reports or otherwise express opinions with respect to the Reference Share Issuer and these reports may or may not recommend that investors buy or hold the Reference Shares. As a prospective purchaser of the securities, you should undertake an independent investigation of the Reference Share Issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the securities.
|
¨
|
Many economic and market factors will affect the value of the Securities — In addition to the price of the applicable Reference Shares, 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:
|
|
o
|
the expected volatility of the applicable Reference Shares;
|
|
o
|
the time to maturity of the Securities;
|
|
o
|
the Automatic Call feature, which would limit the value of the Securities;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the Reference Shares or markets generally and which may affect the prices of the applicable Reference Shares; and
|
|
o
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
¨
|
No ownership rights in Reference Shares — Your return on the Securities will not reflect the return you would realize if you actually owned the Reference Shares. The return on your investment, which is based on the percentage change in the Reference Shares, is not the same as the total return based on a purchase of the applicable Reference Shares.
|
¨
|
No dividend payments or voting rights — As a holder of the Securities, you will not have any ownership interest or rights in the Reference Shares, such as voting rights or dividend payments. In addition, the issuer of the applicable Reference Shares will not have any obligation to consider your interests as a holder of the securities in taking any corporate action that might affect the value of the applicable Reference Shares and therefore, the value of the securities.
|
¨
|
Anti-dilution protection is limited — The calculation agent will make anti-dilution adjustments for certain events affecting the Reference Shares. However, an adjustment will not be required in response to all events that could affect the Reference Shares. If an event occurs that does not require the calculation agent to make an adjustment, or if an adjustment is made but such adjustment does not fully reflect the economics of such event, the value of the securities may be materially and adversely affected. See “Description of the Securities—Adjustments—For equity securities of a Reference Share Issuer” in the accompanying product supplement.
|
Hypothetical Examples of How the Securities Might Perform
|
Principal Amount:
|
$10.00
|
Term:
|
Approximately 5 years
|
Hypothetical Contingent Coupon Rate:
|
8.00% per annum (or 0.6667% per month)
|
Hypothetical Contingent Coupon:
|
$0.0667 per month
|
Observation Dates:
|
Monthly (callable after 1 year)
|
Hypothetical Initial Share Price:
|
$60.00
|
Hypothetical Coupon Barrier:
|
$46.50 (77.50% of the Hypothetical Initial Share Price)
|
Hypothetical Trigger Price:
|
$46.50 (77.50% of the Hypothetical Initial Share Price)
|
Date
|
Closing Price
|
Payment (per Security)
|
||
First Observation Date
|
$50.00 (at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on first Coupon Payment Date.
|
||
Second Observation Date
|
$55.00 (at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on second Coupon Payment Date.
|
||
Third Observation Date
|
$60.00 (at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on third Coupon Payment Date.
|
||
Fourth through Eleventh Observation Dates
|
Various (all at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on the fourth through eleventh Coupon Payment Dates.
|
||
Twelfth Observation Date
|
$60.00 (at or above Initial Share Price and Coupon Barrier)
|
Securities called; holder entitled to principal plus Contingent Coupon payment of $0.0667 on Automatic Call Date.
|
||
Total Payment (per $10.00 Security)
|
$10.8000 (8.0000% total return)
|
Date
|
Closing Price
|
Payment (per Security)
|
||
First Observation Date
|
$50.00 (at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on first Coupon Payment Date.
|
||
Second Observation Date
|
$55.00 (at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on second Coupon Payment Date.
|
||
Third Observation Date
|
$20.00 (below Coupon Barrier)
|
Securities NOT callable; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
||
Fourth through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
Securities NOT callable; Issuer DOES NOT pay Contingent Coupon payment on any Coupon Payment Date immediately following the fourth through eleventh Observation Date.
|
||
Twelfth through Fifty-ninth Observation Dates
|
Various (all below Coupon Barrier)
|
Securities NOT callable; Issuer DOES NOT pay Contingent Coupon payment on any Coupon Payment Date immediately following the twelfth through fifty-ninth Observation Date.
|
||
Final Valuation Date
|
$55.00 (at or above Coupon Barrier and Trigger Price; below Initial Share Price)
|
Securities NOT callable; holder is entitled to receive principal plus Contingent Coupon payment of $0.0667 on Maturity Date.
|
||
Total Payment (per $10.00 Security)
|
$10.2000 (2.0000% total return)
|
Date
|
Closing Price
|
Payment (per Security)
|
||
First Observation Date
|
$55.00 (at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on first Coupon Payment Date.
|
||
Second Observation Date
|
$50.00 (at or above Coupon Barrier)
|
Securities NOT callable; Contingent Coupon payment equals $0.0667 on second Coupon Payment Date.
|
||
Third Observation Date
|
$20.00 (below Coupon Barrier)
|
Securities NOT callable; Issuer DOES NOT pay Contingent Coupon on third Coupon Payment Date.
|
||
Fourth through Eleventh Observation Dates
|
Various (all below Coupon Barrier)
|
Securities NOT callable; Issuer DOES NOT pay Contingent Coupon payment on any Coupon Payment Date immediately following the fourth through the eleventh Observation Dates.
|
||
Twelfth through Fifty-ninth Observation Dates
|
Various (all below Coupon Barrier)
|
Securities NOT callable; Issuer DOES NOT pay Contingent Coupon payment on any Coupon Payment Date immediately following the twelfth through the fifty-ninth Observation Dates.
|
||
Final Valuation Date
|
$24.00 (below Trigger Price and Coupon Barrier)
|
Securities NOT callable; Issuer DOES NOT pay Contingent Coupon payment on Maturity Date, and holder will be entitled to receive less than the principal amount resulting in a loss proportionate to the depreciation of the Reference Shares.
|
||
Total Payment (per $10.00 Security)
|
$4.1333 (58.6667% loss)
|
Percentage Change
from the Initial Share Price
to the Final Share Price
|
Underlying Return of the applicable Reference Shares
|
Payment at Maturity (excluding Contingent Coupon payments, if any)
|
||
100.00%
|
N/A
|
$10.00
|
||
90.00%
|
N/A
|
$10.00
|
||
80.00%
|
N/A
|
$10.00
|
||
70.00%
|
N/A
|
$10.00
|
||
60.00%
|
N/A
|
$10.00
|
||
50.00%
|
N/A
|
$10.00
|
||
40.00%
|
N/A
|
$10.00
|
||
30.00%
|
N/A
|
$10.00
|
||
20.00%
|
N/A
|
$10.00
|
||
10.00%
|
N/A
|
$10.00
|
||
0.00%
|
0.00%
|
$10.00
|
||
−10.00%
|
−10.00%
|
$10.00
|
||
−20.00%
|
−20.00%
|
$10.00
|
||
−22.50%
|
−22.50%
|
$10.00
|
||
−22.51%
|
−22.51%
|
$7.75
|
||
−30.00%
|
−30.00%
|
$7.00
|
||
−40.00%
|
−40.00%
|
$6.00
|
||
−50.00%
|
−50.00%
|
$5.00
|
||
−60.00%
|
−60.00%
|
$4.00
|
||
−70.00%
|
−70.00%
|
$3.00
|
||
−80.00%
|
−80.00%
|
$2.00
|
||
−90.00%
|
−90.00%
|
$1.00
|
||
−100.00%
|
−100.00%
|
$0.00
|
Market Disruption Events
|
Credit Suisse AG; Supplemental Use of Proceeds and Hedging
|
The Reference Shares
|
What Are the Tax Consequences of the Securities?
|
|
·
|
a financial institution,
|
|
·
|
a mutual fund,
|
|
·
|
a tax-exempt organization,
|
|
·
|
a grantor trust,
|
|
·
|
certain U.S. expatriates,
|
|
·
|
an insurance company,
|
|
·
|
a dealer or trader in securities or foreign currencies,
|
|
·
|
a person (including traders in securities) using a mark-to-market method of accounting,
|
|
·
|
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
|
|
·
|
an entity that is treated as a partnership for U.S. federal income tax purposes.
|
Supplemental Plan of Distribution
|
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