Pricing Supplement No. U1182
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
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
February 18, 2015
|
Financial
Products
|
![]() |
|
$3,394,000
|
||
9.75% per annum Contingent Coupon Autocallable Yield Notes due February 24, 2020
Linked to the Performance of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE® ETF
|
•
|
The securities are designed for investors who are mildly bearish or neutral on the Underlyings. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs. Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
•
|
Subject to Automatic Redemption, if, for any contingent coupon period, a Coupon Barrier Event does not occur, we will pay a contingent coupon at a Contingent Coupon Rate of 9.75% per annum. If a Coupon Barrier Event occurs, no contingent coupon will be paid for the corresponding contingent coupon period. Contingent coupons will be calculated on a 30/360 basis from and including the Settlement Date to and excluding the earlier of the Automatic Redemption Date and the Maturity Date, as applicable.
|
•
|
If a Trigger Event occurs, the securities will be automatically redeemed and you will be entitled to receive a cash payment equal to the principal amount of the securities you hold and any contingent coupon payable, if any, on the corresponding Contingent Coupon Payment Date. No further payments will be made in respect of the securities.
|
•
|
Senior unsecured obligations of Credit Suisse AG, acting through its London Branch, maturing February 24, 2020.†
|
•
|
Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
|
•
|
The securities priced on February 18, 2015 (the “Trade Date”) and are expected to settle on February 23, 2015 (the “Settlement Date”). Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
|
Issuer:
|
Credit Suisse AG (“Credit Suisse”), acting through its London Branch
|
|||||
Underlyings:
|
The securities are linked to the performance of the S&P 500® Index, the Russell 2000® Index and the iShares® MSCI EAFE® ETF. For more information on the Underlyings, see “The Reference Indices—The S&P Dow Jones Indices—The S&P 500® Index,” “The Reference Indices—The Russell 2000® Index” and “The Reference Funds—The iShares® Funds—The iShares® MSCI EAFE® ETF” in the accompanying underlying supplement. Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level, Knock-In Level, Coupon Barrier Level and Trigger Level:
|
|||||
Underlying
|
Ticker
|
Initial Level
|
Knock-In Level
|
Coupon Barrier Level
|
Trigger Level
|
|
S&P 500® Index (“SPX”)
|
SPX <Index>
|
2099.68
|
1574.76
|
1574.76
|
2099.68
|
|
Russell 2000® Index (“RTY”)
|
RTY <Index>
|
1227.955
|
920.96625
|
920.96625
|
1227.955
|
|
iShares® MSCI EAFE® ETF (“EFA”)
|
EFA UP <Equity>
|
$64.35
|
$48.2625
|
$48.2625
|
$64.35
|
|
Contingent Coupon Rate:
|
Subject to Automatic Redemption, the Contingent Coupon Rate is 9.75% per annum for any contingent coupon period. If a Coupon Barrier Event occurs, no contingent coupon will be paid for the corresponding contingent coupon period. Contingent coupons will be calculated on a 30/360 basis from and including the Settlement Date to and excluding the earlier of the Automatic Redemption Date and the Maturity Date, as applicable.
|
|||||
Coupon Barrier Event:
|
A Coupon Barrier Event will occur with respect to a contingent coupon period if on the Observation Date for that contingent coupon period the closing level of any Underlying is less than its Coupon Barrier Level.
|
|||||
Coupon Barrier Level:
|
For each Underlying, as set forth in the table above.
|
|||||
Contingent Coupon Payment Dates:†
|
Subject to Automatic Redemption, unless a Coupon Barrier Event occurs, contingent coupons will be paid quarterly in arrears on May 26, 2015, August 24, 2015, November 23, 2015, February 23, 2016, May 23, 2016, August 23, 2016, November 23, 2016, February 23, 2017, May 23, 2017, August 23, 2017, November 24, 2017, February 23, 2018, May 23, 2018, August 23, 2018, November 23, 2018, February 25, 2019, May 23, 2019, August 23, 2019, November 25, 2019 and the Maturity Date, subject to the modified following business day convention. No contingent coupons will be payable following an Automatic Redemption. Contingent coupons will be payable to the holders of record at the close of business on the business day immediately preceding the applicable Contingent Coupon Payment Date, provided that the contingent coupon payable on the Automatic Redemption Date or Maturity Date, as applicable, will be payable to the person to whom the Automatic Redemption Amount or the Redemption Amount, as applicable, is payable.
|
Price to Public(1)
|
Underwriting Discounts and Commissions(2)
|
Proceeds to Issuer
|
|
Per security
|
$1,000.00
|
$23.50
|
$976.50
|
Total
|
$3,394,000.00
|
$79,759.00
|
$3,314,241.00
|
Title of Each Class of Securities Offered
|
Maximum Aggregate Offering Price
|
Amount of Registration Fee
|
Notes
|
$3,394,000.00
|
$394.38
|
February 18, 2015 | (continued on next page) |
Redemption Amount:
|
At maturity, the Redemption Amount you will be entitled to receive will depend on the individual performance of each Underlying and whether a Knock-In Event occurs. Subject to Automatic Redemption, the Redemption Amount will be determined as follows:
|
•
|
If a Knock-In Event occurs, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying. In this case, the Redemption Amount will be less than $750 per $1,000 principal amount of securities. You could lose your entire investment.
|
|
•
|
If a Knock-In Event does not occur, the Redemption Amount will equal the principal amount of the securities you hold.
|
Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
|||
Automatic Redemption:
|
If a Trigger Event occurs, the securities will be automatically redeemed and you will be entitled to receive a cash payment equal to the principal amount of the securities you hold (the “Automatic Redemption Amount”) and any contingent coupon payable, if any, on the corresponding Contingent Coupon Payment Date. No further payments will be made in respect of the securities. Payment will be made in respect of such automatic redemption on the Contingent Coupon Payment Date immediately following the relevant Observation Date (the “Automatic Redemption Date”). Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
||
Trigger Event:
|
A Trigger Event will occur on any Observation Date scheduled to occur on or after May 20, 2015 if the closing level of each Underlying is equal to or greater than its respective Trigger Level.
|
||
Trigger Level:
|
For each Underlying, as set forth in the table above.
|
||
Knock-In Event:
|
A Knock-In Event will occur if the Final Level of any Underlying is less than its Knock-In Level.
|
Knock-In Level:
|
For each Underlying, as set forth in the table above.
|
Lowest Performing
Underlying:
|
The Underlying with the lowest Underlying Return.
|
Underlying Return:
|
For each Underlying, the Underlying Return will be calculated as follows:
|
Final Level − Initial Level
Initial Level
|
, subject to a maximum of zero |
Initial Level:
|
For each Underlying, as set forth in the table above.
|
||
Final Level:
|
For each Underlying, the closing level of such Underlying on the Valuation Date.
|
||
Observation Dates:†
|
May 20, 2015, August 19, 2015, November 18, 2015, February 18, 2016, May 18, 2016, August 18, 2016, November 18, 2016, February 17, 2017, May 18, 2017, August 18, 2017, November 20, 2017, February 20, 2018, May 18, 2018, August 20, 2018, November 19, 2018, February 20, 2019, May 20, 2019, August 20, 2019, November 20, 2019 and the Valuation Date.
|
||
Valuation Date:†
|
February 19, 2020
|
||
Maturity Date:†
|
February 24, 2020
|
||
Listing:
|
The securities will not be listed on any securities exchange.
|
||
CUSIP:
|
22546V4W3
|
|
•
|
Underlying supplement dated July 29, 2013:
|
|
•
|
Product supplement No. U-I dated March 23, 2012:
|
|
•
|
Prospectus supplement and Prospectus dated March 23, 2012:
|
Percentage Change
from the Initial Level
to the Final Level of the Lowest Performing Underlying
|
Underlying Return of
the Lowest Performing
Underlying
|
Redemption Amount (excluding contingent coupon payments, if any) |
Total Contingent
Coupon Payments
|
|||
−0.01% | −0.01% | $1,000.00 |
(See table below)
|
|||
−10.00% | −10.00% | $1,000.00 | ||||
−20.00% | −20.00% | $1,000.00 | ||||
−25.00% | −25.00% | $1,000.00 | ||||
−25.01% | −25.01% | $749.90 | ||||
−30.00% | −30.00% | $700.00 | ||||
−40.00% | −40.00% | $600.00 | ||||
−50.00% | −50.00% | $500.00 | ||||
−60.00% | −60.00% | $400.00 | ||||
−70.00% | −70.00% | $300.00 | ||||
−80.00% | −80.00% | $200.00 | ||||
−90.00% | −90.00% | $100.00 | ||||
−100.00% | −100.00% | $0.00 |
Number of Coupon Barrier Events
|
Total Contingent Coupon Payments
|
A Coupon Barrier Event does not occur
|
$487.50
|
A Coupon Barrier Event occurs on 1 Observation Date
|
$463.13
|
A Coupon Barrier Event occurs on 2 Observation Dates
|
$438.75
|
A Coupon Barrier Event occurs on 3 Observation Dates
|
$414.38
|
A Coupon Barrier Event occurs on 4 Observation Dates
|
$390.00
|
A Coupon Barrier Event occurs on 5 Observation Dates
|
$365.63
|
A Coupon Barrier Event occurs on 6 Observation Dates
|
$341.25
|
A Coupon Barrier Event occurs on 7 Observation Dates
|
$316.88
|
A Coupon Barrier Event occurs on 8 Observation Dates
|
$292.50
|
A Coupon Barrier Event occurs on 9 Observation Dates
|
$268.13
|
A Coupon Barrier Event occurs on 10 Observation Dates
|
$243.75
|
A Coupon Barrier Event occurs on 11 Observation Dates
|
$219.38
|
A Coupon Barrier Event occurs on 12 Observation Dates
|
$195.00
|
A Coupon Barrier Event occurs on 13 Observation Dates
|
$170.63
|
A Coupon Barrier Event occurs on 14 Observation Dates
|
$146.25
|
A Coupon Barrier Event occurs on 15 Observation Dates
|
$121.88
|
A Coupon Barrier Event occurs on 16 Observation Dates
|
$97.50
|
A Coupon Barrier Event occurs on 17 Observation Dates
|
$73.13
|
A Coupon Barrier Event occurs on 18 Observation Dates
|
$48.75
|
A Coupon Barrier Event occurs on 19 Observation Dates
|
$24.38
|
A Coupon Barrier Event occurs on 20 Observation Dates
|
$0.00
|
Underlying
|
Final Level
|
SPX
|
110% of Initial Level
|
RTY
|
40% of Initial Level
|
EFA
|
80% of Initial Level
|
Underlying
|
Final Level
|
SPX
|
80% of Initial Level
|
RTY
|
90% of Initial Level
|
EFA
|
95% of Initial Level
|
|
•
|
YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY — If the securities are not automatically redeemed prior to the Maturity Date, you may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any applicable contingent coupons, if any. If the Final Level of any Underlying is less than its Knock-In Level, you will be fully exposed to any depreciation in the Lowest Performing Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities, and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur, and in the event that there is a Knock-In Event, by how much the level of the Lowest Performing Underlying has decreased from its Initial Level to its Final Level.
|
|
Furthermore, even if you receive your principal amount at maturity you may nevertheless suffer a loss on your investment in the securities, in real value terms. This is because inflation may cause the real value of the principal amount of your securities to be less at maturity than it is at the time you invest, and because an investment in the securities represents a forgone opportunity to invest in an alternative asset that does generate a positive real return. Any payment on the securities is subject to our ability to pay our obligations as they become due. You should carefully consider whether an investment that may not provide for any return on your investment, or may provide a return that is lower than the return on alternative investments, is appropriate for you.
|
|
•
|
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 Underlyings during the term of the securities and the number of Coupon Barrier Events that occur. If a Coupon Barrier Event occurs on an Observation Date, you will not receive any contingent coupon payment for the corresponding contingent coupon period. For example, if a Coupon Barrier Event occurs on every Observation Date, you will not receive any contingent coupon payments during the term of the securities. Thus, the securities are not a suitable investment for investors who require regular fixed income payments, since the total contingent coupon payments are variable and may be zero. |
|
If rates generally increase over the term of the securities, it is more likely that the contingent coupon, if any, could be less than market rates at that time. This would have the further effect of decreasing the value of your securities both nominally in terms of below-market coupon payments and in real terms. In addition, because the amount of contingent coupons, if any, depends on the performance of the Underlyings during the term of the securities and the number of Coupon Barrier Events that occur, it is possible that you will not be paid any contingent coupons (or you will be paid a below-market coupon relative to our conventional debt securities with a similar term) for the full term of the securities, and still lose your principal investment. This would worsen your loss because even if you receive more than zero at maturity, you will not be compensated for the time value of money. These securities are not short-term investments, so you should carefully consider these risks before investing.
|
|
•
|
THE HIGHER POTENTIAL YIELD OFFERED BY THE SECURITIES IS ASSOCIATED WITH GREATER RISK THAT THE SECURITIES WILL PAY A LOW OR NO CONTINGENT COUPON ON ONE OR MORE OF THE CONTINGENT COUPON PAYMENT DATES, OR THAT YOU MIGHT LOSE SOME OR ALL OF YOUR INVESTMENT AT MATURITY — The securities offer contingent coupon payments with the potential to result in a higher yield than the yield on our conventional debt securities of the same maturity. You should understand that, in exchange for this potentially higher yield, you will be exposed to significantly greater risks than investors in our conventional debt securities. These risks include (i) the risk that the contingent coupon payments you receive, if any, will result in a yield on the securities that is lower, and perhaps significantly lower, than the yield on our conventional debt securities of the same maturity and (ii) the risk that you would lose some or all of your principal amount at maturity if a Knock-In Event occurs. The volatility of the Underlyings is an |
|
|
important factor affecting these risks. Greater expected volatility of the Underlyings as of the Trade Date may contribute to the higher yield potential, but would also represent a greater expected likelihood as of the Trade Date that you will receive low or no contingent coupon payments on the securities or lose some or all of your principal at maturity.
|
|
•
|
THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS THE APPLICABLE CONTINGENT COUPON, IF ANY, AT MATURITY OR UPON AUTOMATIC REDEMPTION — The securities will not pay more than the principal amount, plus the applicable contingent coupon, if any, at maturity or upon automatic redemption. Even if the Final Level of each Underlying is greater than its respective Initial Level, you will not participate in the appreciation of any Underlying. Assuming the securities are held to maturity and the term of the securities is exactly 5 years, the maximum amount payable with respect to the securities will be $1,487.50 for each $1,000 principal amount of the securities.
|
|
•
|
THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Although the return on the securities will be based on the performance of the Underlyings, the payment of any amount due on the securities, including any applicable contingent coupon payments, if any, automatic redemption 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.
|
|
•
|
IF A COUPON BARRIER EVENT OCCURS ON ANY OBSERVATION DATE, YOU WILL NOT RECEIVE ANY CONTINGENT COUPON PAYMENT FOR THE CORRESPONDING CONTINGENT COUPON PERIOD — If a Coupon Barrier Event occurs on an Observation Date, you will not receive any contingent coupon payment for the corresponding contingent coupon period. For example, if a Coupon Barrier Event occurs on every Observation Date, you will not receive any contingent coupon payments during the term of the securities.
|
|
•
|
THE SECURITIES ARE SUBJECT TO A POTENTIAL AUTOMATIC REDEMPTION, WHICH WOULD LIMIT YOUR OPPORTUNITY TO BE PAID CONTINGENT COUPONS OVER THE FULL TERM OF THE SECURITIES —The securities are subject to a potential automatic redemption. If a Trigger Event occurs, the securities will be automatically redeemed and you will be entitled to receive a cash payment equal to the principal amount of the securities you hold and any applicable contingent coupon payable, if any, on that Contingent Coupon Payment Date, and no further payments will be made in respect of the securities. In this case, you will lose the opportunity to continue to be paid contingent coupons from the date of Automatic Redemption to the scheduled Maturity Date. If the securities are automatically 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 as the securities.
|
|
•
|
YOUR RETURN WILL BE BASED ON THE INDIVIDUAL RETURN OF EACH UNDERLYING —If a Coupon Barrier Event occurs on an Observation Date, even with respect to only one Underlying, you will not receive any contingent coupon payment for the corresponding contingent coupon period. Additionally, because the Redemption Amount will be determined based on the Underlying Return of the Lowest Performing Underlying, you will not benefit from the performance of any other Underlying. If a Knock-In Event occurs, even with respect to only one Underlying, the Underlying Return of the Lowest Performing Underlying will be negative and you will receive less than the principal amount of your securities at maturity.
|
|
•
|
SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING — Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which case the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could
|
|
|
be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing Underlying, the individual performance of each Underlying is not combined to calculate your return and the depreciation of any Underlying is not mitigated by the appreciation of any other Underlying. Instead, if a Knock-In Event occurs, the Redemption Amount payable at maturity will be based on the lowest performing of the Underlyings to which the securities are linked. Likewise, if on any Observation Date, the closing level of any Underlying is less than its Coupon Barrier Level, no contingent coupon will be paid for the corresponding contingent coupon period.
|
|
•
|
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.
|
|
•
|
RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES LINKED TO THE PERFORMANCE OF FOREIGN EQUITY SECURITIES — The equity securities included in the iShares® MSCI EAFE® ETF (the “Reference Fund”) are issued by foreign companies and trade in foreign securities markets. Investments in securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including the risk of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies.
|
|
•
|
THERE ARE RISKS ASSOCIATED WITH THE REFERENCE FUND — Although shares of the Reference Fund are listed for trading on the NYSE Arca, Inc. (“NYSE Arca”) and a number of similar products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Reference Fund or that there will be liquidity in the trading market. The Reference Fund is subject to management risk, which is the risk that the Reference Fund’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Pursuant to the Reference Fund’s investment strategy or otherwise, the investment advisor for the Reference Fund may add, delete or substitute the components held by the Reference Fund. Any of these actions could affect the price of the shares of the Reference Fund and consequently the value of the securities.
|
|
•
|
THE PERFORMANCE OF THE REFERENCE FUND MAY NOT CORRELATE TO THE PERFORMANCE OF THE TRACKED INDEX — The Reference Fund will generally invest in all of the equity securities included in the MSCI EAFE® Index, the “Tracked Index” for the Reference Fund. There may, however, be instances where BlackRock Fund Advisors (“BFA”), the Reference Fund’s investment advisor, may choose to overweight another stock in the Tracked Index, purchase securities not included in the Tracked Index that BFA believes are appropriate to substitute for a security included in the Tracked Index or utilize various combinations of other available investment techniques. In addition, the performance of the Reference Fund will reflect additional transaction costs and fees that are not included in the calculation of the Tracked Index. Finally, because the shares of the Reference Fund are traded on the NYSE Arca and are subject to market supply and investor demand, the market value of one share of the Reference Fund may differ from the net asset value per share of the Reference Fund. For these reasons, the performance of the Reference Fund may not correlate with the performance of the Tracked Index. For additional information about the variation between the performance of the Reference Fund and the performance of the Tracked Index,
|
|
|
see the information set forth under “The Reference Funds—The iShares® Funds—The iShares® MSCI EAFE® ETF” in the accompanying underlying supplement.
|
|
•
|
CURRENCY EXCHANGE RISK — Because the prices of the equity securities included in the Reference Fund are converted into U.S. dollars for purposes of calculating the level of the Reference Fund, investors will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities included in the Reference Fund trade. Currency exchange rates may be highly volatile, particularly in relation to emerging or developing nations’ currencies and, in certain market conditions, also in relation to developed nations’ currencies. Significant changes in currency exchange rates, including changes in liquidity and prices, can occur within very short periods of time. Currency exchange rate risks include, but are not limited to, convertibility risk, market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or particular transactions in foreign currency. These factors may adversely affect the values of the equity securities included in the Reference Fund, the level of the Reference Fund and the value of the securities.
|
|
•
|
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.
|
|
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.
|
|
•
|
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 90 days.
|
|
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
|
•
|
MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — In addition to the levels of the Underlyings, 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 Underlyings;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
the Automatic Redemption feature, which would limit the value of the securities;
|
|
o
|
the dividend rate on the equity securities comprising the Underlyings;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
investors’ expectations with respect to the rate of inflation;
|
|
o
|
geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings or markets generally and which may affect the levels of the Underlyings;
|
|
o
|
the exchange rate and the volatility of the exchange rate between the U.S. dollar and the currencies of the equity securities held by the Reference Fund and any other currency relevant to the value of the Reference Fund; and
|
|
o
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
|
|
Some or all of these factors may influence the price that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.
|
|
•
|
NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYINGS — Your return on the securities will not reflect the return you would realize if you actually owned the equity securities that comprise the Underlyings. The return on your investment is not the same as the total return you would receive based on the purchase of shares of the equity securities that comprise the Underlyings.
|
|
•
|
NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the equity securities that comprise the Underlyings.
|
|
•
|
ANTI-DILUTION PROTECTION IS LIMITED — The Calculation Agent will make anti-dilution adjustments for certain events affecting the Reference Fund. However, an adjustment will not be required in response to all events that could affect the Reference Fund. 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 a reference fund” in the accompanying product supplement.
|
|
•
|
if a market disruption event has occurred and is continuing with respect to the S&P 500® Index or the Russell 2000® Index (each a “Reference Index”), the calculation agent will determine the closing level for such Reference Index on that calculation date in accordance with the formula for and method of calculating such Reference Index last in effect prior to the commencement of the market disruption event in respect of such Reference Index using exchange traded prices on the relevant exchanges (as determined by the calculation agent in its sole discretion) or, if trading in any component comprising such Reference Index has been materially suspended or materially limited, its good faith estimate of the prices that would have prevailed on such exchanges (as determined by the calculation agent in its sole discretion) but for the suspension or limitation, as of the valuation time on that calculation date, of each component comprising such Reference Index (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference index” in the accompanying product supplement); and
|
|
•
|
if a market disruption event has occurred and is continuing with respect to the Reference Fund, the calculation agent will determine the closing level for the Reference Fund on that calculation date using its good faith estimate of the settlement prices that would have prevailed on the relevant exchange for the Reference Fund but for the occurrence of a market disruption event as of the relevant valuation time on that calculation date (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference fund” in the accompanying product supplement).
|
|
·
|
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.
|
OV5Q;>)AXE\.L\.G>*
MHTTB$ZEIOA1;S[/X0M[=[&32K>VM8YYK_P`MFD`_#\+&IXG\`7%[_P`%7/"D
MZ^/_`(D62O\`L[-XV%M8Z_9PV<,&E>-S9-X'@B?2)2G@'59+8ZCJ^B;VN[K5
M;R[NH]5MUE2&,#^NQ\E?#ZR^)7@W]E#]JSX]>"?C9\0_`^H_##]HSXFZGX5\
M&>%Y/#]IX.OKY/%7A2+59O&-E>:%>ZAXFCU*&]AMXK.?4X+*PALP([>9;N[2
M4`]X^+?QX^-OQ#^->A?#+2+SXZZ3X?T7]FOPA\5[JW_9P;P!HOB;5/&'C"SL
M7F\1>(]4^(6J:;;/X#T&6[-H=*TJ1R]\1]K95#2P@'VG^S=\2_%_Q%_9#M?&
MWQ[M%DUA/"OC6S\97GA>?2=:;Q+H>A_VM8SZ[I*>#+K4M/EU'5='MF:2QT6:
M0C5UN(+2&-C'"H!^3MY'JGP9_9HTOQEX'^)O[/\`^U+^QEIFL0ZGI7PB^+OA
M:Q\-?$C2KJ]\6.&L='DL8H-4N/&VG7%W>&6;4;Y)([=[VXM_#-QIS!6`_KL>
MK?M3:S\9?CG\?/%FM_LOZ-_P@GC[]E[X%:;/XIUR\U;[-XO\;^'/BUX?M?$7
M_"$>'_#=]I]SILA\/Z1J&IW,&HW)BG&NK<0PSQWW]AJP&WE;\+AIWQB^''Q'
M_P""9/[17@SX2>`?%7@OP%\'O"FA>%-/O?%FK6&IZCX@U?5K[1O$?B2>X6U6
M*:VO[37-0O/MNZ$6-RMU;7&GO$CS:=IX&WE;\+GHGAGX.?M6?M(3?LDM\2OA
MW\+OA5\+?@KJ7@/XE6'C#P_XI7Q!XT\36?A_1]';1='M(+?S9M*&N010SZK;
MRF&TR%FFN&N-/M+:Y`/M+]N[2_#OB']F?QQX2\5_%+1O@WH'BZ[\-^']1\=Z
M]I&I:UIUA#/K]A>FQDM-+N;2:-M6-B-/%S-,HQK4Y72U3D[)19Y.'SO!U9582?U=PG*-)
M591BL1!.I%5*+O9J4J4X[[I:^\CF_"\GQY^/L5OXJN/$
+]MS**J5U)TU4I3:46J5YWBFW
M:\M?=1;\*>(_C)\'_`6I_`?Q5XML=*^)&I>)OAYHGP^UNY,FKK9^#OB%J=EX
M:U*_\/SR&T;5KGP=J+70>)LRZ?,\5RZRV\D),XBAE>98RGF^&PTYX&G0QM7&
M48VI
+8S/<-')*((0VA@R2M'%+((TRY2
M-V`PK$`$W_";Z#_<\0_^$=XO_P#E%0`?\)OH/]SQ#_X1WB__`.45`$,GQ`\,
MPS6]O))K<4]T9!:POX2\6I+.8HS+*(4.AAI#')($!V("S8'-`$W_";Z#_<
M\0_^$=XO_P#E%0`?\)OH/]SQ#_X1WB__`.45`$,GQ`\,PS6]O))K<4]R9%M8
M7\)>+4EN&AC,LHAC.AAI#'$#)($!*H"S8`S0!-_PF^@_W/$/_A'>+_\`Y14`
M'_";Z#_<\0_^$=XO_P#E%0!$?'_AI;B.U+ZXMS)#+<1VY\(^+1,\$#PQS3)'
M_8>]HHI+BW21P-J/-$K$&100"7_A-]!_N>(?_".\7_\`RBH`/^$WT'^YXA_\
M([Q?_P#**@"$>/\`PS]H:T5];^U1PQW+VP\)>+?/2WE>6**=HAH>]8I)(9HT
MD*A6>*10248``F_X3?0?[GB'_P`([Q?_`/**@`_X3?0?[GB'_P`([Q?_`/**
M@"$?$#PS]H:S$FM_:HX8[E[8>$O%OGI;RO)%'.T7]A[UBDDAEC20KM9XW4$E
M6``)O^$WT'^YXA_\([Q?_P#**@`_X3?0?[GB'_PCO%__`,HJ`(8_B!X9>:>V
MBDUM[BU$1N8$\)>+6EMQ.K/"9HUT/=&)E5FCW@;U4E<@&@";_A-]!_N>(?\`
MPCO%_P#\HJ`#_A-]!_N>(?\`PCO%_P#\HJ`(8O'_`(:F:=('UR5[2;[/YN+.X6*>-HI#!=VDL%U:S!6)BN;::&X@DVRPRQR*K@`_+?5O"NBZ!I
MWQ&\%/8^.=4\92?'R>\\*?!?Q!XD^+GB'2?B!X-OO%ECJ1U"Z6X\3#2-9T_Q
M!YFI^-[OQ1>^?::#/82Z9JXO(M.U!+T#8_5&@`H`_.6WUGP;\-_B7\2-"\2:
MG^RWXCU7Q!\7=6\407'C'Q/J,7Q!T>+Q3=Z0--T#5$?P#KT+ZGIDMQ9Z=HMM
M#JUM#:P3Z-HL:I+''-.`?HU0`4`?GAX(U.7P8/"7B71-4\
:UAN[:6ZM\&>VBGB>>`'-"KF2+.1C>JYR/6@#G+;Q[X'N_$,WA*T\8
M>%[GQ3;&59_#EOKVERZY"T"H\Z2:7'=->H\"2(\R&$/$KJSA0 [WW>Y[.#Q"Q6&HXA1=/VD.9P>\))N,XNUMI)K9>:
M6QWE<9TA0`4`%`!0!XO\4/C_`/#'X-ZAINF>/=8NM*N-5TN_U6R,&EWU_"T-
MC(D0@FELXI5MKJ_F9X=.2X\J.ZEAG02J8S7J9?DV/S*$YX.E&<:52%.5ZD(-
M.:;NE)KFC!:S<;N*DG9W.#&9G@\!*$,3.5-SA*<;0E)6B[6;BGRN3T@G9-IZ
MZ')2?M9_!A_`6L_$+1];O]?TK0M7T?P]>:=I6DWG]N'7M>$?]E:7!IU\ED;B
M:Y>0Q^=;R2VH>*Y`FVAD\82MK&IZM_9%S:#6Y%T2('4FMOMD4^IOLB$A@W
MOA`#IOVK_P!DWQ-^TQK/PVU#3?C;J7PRT[X::C+XAT[0K?P/I/C#3M0\6B:)
MM/\`$=_;:QJ]E8W-SI%O&;?3K:]L+Z"V-Q=3Q[9+AQ0!D:S^QQXK^(/P@UOX
M:_&G]HGQC\2_$8\9:+X\^'OQ+7PIX?\`">O?#?Q%X=@"Z3<:78:5<3VNHQ1W
M37,UTL\]M+-#=RP03VDJPW<0`O@G]A?PO9>#/CIH?Q<^(/BGXR^,?VA[33M,
M^(OQ#U:RT[PYJITKP_:K;^%K/0=,L3?V.D-H$J1W\$I:ZCN+Z"U>6V%M;Q6H
M`&?!3]B*#X>>+K[QO\4_B]XM^/>O1?#1_@YX3;Q9I5CHMEX4^&UQYBW^AQVE
MA=WIU.^OXF%M<:S
'M-U"&RABN`\P&WE^!]*T`?)G[4L>F
MZ5)\)?'>J>)?AQHEKX%\8ZW?-I?Q0CU>Z\.^(5U;P9KNDSP6]CHUI?W/]K:5
M:SSZQ;:F]E=0Z5;6=Y)-%Y,\LD8!Z3\"O%^E^,O"FI:AI3_#]HK+Q'?Z5