Pricing Supplement No. IR-36
To the Product Supplement No. IR-I dated March 30, 2012
Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
February 24, 2015
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Financial
Products
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$2,000,000
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Callable Step-Up Securities due February 27, 2022
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The securities are designed for investors who seek semi-annual interest payments at a rate that will increase periodically over the term of the securities, subject to Early Redemption. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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The Issuer may redeem the securities, in whole but not in part, on any Interest Payment Date scheduled to occur on or after August 27, 2015. No interest will accrue or be payable following an Early Redemption.
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Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing February 27, 2022.†
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Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
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The securities priced on February 24, 2015 (the “Trade Date”) and are expected to settle on February 27, 2015 (the “Settlement Date”). Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
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Redemption Amount:
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Subject to Early Redemption, at maturity, you will be entitled to receive a cash payment of $1,000 for each $1,000 principal amount of securities that you hold, plus interest payable on the Maturity Date. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Early Redemption:
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Prior to the Maturity Date, the Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after August 27, 2015 upon at least five business days’ notice to the trustee at 100% of the principal amount of the securities (the “Early Redemption Amount”), together with the interest payable on that Interest Payment Date (the “Early Redemption Date”). No interest will accrue or be payable following an Early Redemption.
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Interest Rate:
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· For each Interest Period with an Interest Payment Date scheduled to occur from and including August 27, 2015 to and including February 27, 2018, 2.00% per annum.
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· For each Interest Period with an Interest Payment Date scheduled to occur from and including August 27, 2018 to and including February 27, 2019, 2.25% per annum.
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· For each Interest Period with an Interest Payment Date scheduled to occur from and including August 27, 2019 to and including February 27, 2020, 3.00% per annum.
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· For each Interest Period with an Interest Payment Date scheduled to occur from and including August 27, 2020 to and including February 27, 2021, 4.00% per annum.
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· For each Interest Period with an Interest Payment Date scheduled to occur from and including August 27, 2021 to and including the Maturity Date, 5.50% per annum.
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Interest:
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Subject to Early Redemption, on each Interest Payment Date, for each $1,000 principal amount of securities, you will receive an interest payment in respect of the immediately preceding Interest Period, calculated as follows using the applicable Interest Rate in respect of such Interest Period:
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Interest Rate × $1,000 × Day Count Convention
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Price to Public(1)
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Underwriting Discounts and Commissions(2)
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Proceeds to Issuer
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Per security
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$1,000.00
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$10.00
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$990.00
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Total
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$2,000,000.00
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$20,000.00
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$1,980,000.00
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Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee
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Notes
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$2,000,000.00
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$232.40
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February 24, 2015 | (continued on next page) |
Interest Periods:
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The period from and including the Settlement Date to but excluding the first scheduled Interest Payment Date, and each successive period from and including a scheduled Interest Payment Date to but excluding the next succeeding scheduled Interest Payment Date.
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Interest Payment Dates:
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Semi-annually on the 27th day of each February and August, beginning on August 27, 2015, through and including the earlier of the Early Redemption Date and the Maturity Date, as applicable, subject to adjustment in accordance with the Following Business Day Convention. No interest will accrue or be payable following an Early Redemption. Interest will be payable to the holders of record at the close of business on the business day immediately preceding the applicable Interest Payment Date, provided that the interest payable on the Early Redemption Date or Maturity Date, as applicable, will be payable to the person to whom the Early Redemption Amount or the Redemption Amount, as applicable, is payable.
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Day Count Convention:
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For each Interest Period, 30/360 unadjusted.
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Business Day:
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Any day, other than a Saturday, Sunday or a day on which banking institutions in the City of New York or in London, England are generally authorized or obligated by law or executive order to close.
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Maturity Date:†
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February 27, 2022
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Listing:
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The securities will not be listed on any securities exchange.
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CUSIP:
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22546V3X2
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Product supplement No. IR-I dated March 30, 2012:
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Prospectus supplement dated March 23, 2012 and Prospectus dated March 23, 2012:
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THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO ACCRUE INTEREST OVER THE FULL TERM OF THE SECURITIES —The securities are subject to a potential early redemption. Prior to maturity, the securities may be redeemed on any Interest Payment Date scheduled to occur on or after August 27, 2015, upon at least five business days’ notice to the trustee. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal amount of your securities and any accrued and unpaid interest payable on that Interest Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid interest from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much interest as the securities.
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THE PER ANNUM INTEREST RATE APPLICABLE AT A PARTICULAR TIME WILL AFFECT OUR DECISION TO REDEEM THE SECURITIES — It is more likely that we will redeem the securities prior to their Maturity Date during periods when the remaining interest is to accrue on the securities at a rate that is greater than that which we would pay on a conventional fixed-rate, non-callable debt security of comparable maturity. If we redeem the securities prior to maturity, you may not be able to invest in other securities with a similar level of risk that yield as much interest as the securities.
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STEP-UP RATE SECURITIES PRESENT DIFFERENT INVESTMENT CONSIDERATIONS THAN FIXED-RATE SECURITIES — Unless general interest rates rise significantly, you should not expect to earn the higher stated interest rates, which are applicable only after the first three years of the term of the securities, because the securities are likely to be redeemed prior to maturity if interest rates remain the same or fall during the term of the securities. In connection with your investment in the securities, you should consider, among other things, the overall annual percentage rate of interest to maturity or the various potential dates on which we may redeem the securities as compared to other equivalent investment alternatives rather than the higher stated interest rate or any potential interest payments you may receive after the first three years following issuance of the securities. If interest rates increase beyond the rates provided by the securities during the term of the securities, we will likely not redeem the securities, and investors will be holding securities that bear interest at below-market rates.
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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 Interest Rate, the payment of any amount due on the securities, including any applicable interest payments, early redemption payment and the redemption amount, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
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THE ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE MAY BE LESS THAN THE PRICE TO PUBLIC — The initial estimated value of your securities on the Trade Date (as determined by reference to our pricing models and our internal funding rate) may be significantly less than the original Price to Public. The Price to Public of the securities includes the agent’s discounts or commissions as well as transaction costs such as expenses incurred to create, document and market the securities and the cost of hedging our risks as issuer of the securities through one or more of our affiliates (which includes a projected profit). These costs will be effectively borne by you as an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in connection with our structuring and offering of the securities (except to the extent discounts or commissions are reallowed to other broker-dealers or any costs are paid to third parties).
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On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a fixed income component valued using our internal funding rate, and individual option components valued using mid-market pricing. Our option valuation models are proprietary. They take
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into account factors such as interest rates, volatility and time to maturity of the securities, and they rely in part on certain assumptions about future events, which may prove to be incorrect.
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Because Credit Suisse’s pricing models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value at any time may not be comparable to estimated values of similar securities of other issuers.
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EFFECT OF INTEREST RATE USED IN 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.
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SECONDARY MARKET PRICES — If Credit Suisse (or an affiliate) bids for your securities in secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade Date. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the securities in the secondary market (if any exists) at any time. The secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated value determined by reference to our pricing models and other factors. These other factors include our internal funding rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or improvement in our creditworthiness. In circumstances where our internal funding rate is lower than our secondary market credit spreads, our secondary market bid for your securities could be more favorable than what other dealers might bid because, assuming all else equal, we use the lower internal funding rate to price the securities and other dealers might use the higher secondary market credit spread to price them. Furthermore, assuming no change in market conditions from the Trade Date, the secondary market price of your securities will be lower than the Price to Public because it will not include the agent’s discounts or commissions and hedging and other transaction costs. If you sell your securities to a dealer in a secondary market transaction, the dealer may impose an additional discount or commission, and as a result the price you receive on your securities may be lower than the price at which we may repurchase the securities from such dealer.
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We (or an affiliate) may initially post a bid to repurchase the securities from you at a price that will exceed the then-current estimated value of the securities. That higher price reflects our projected profit and costs that were included in the Price to Public, and that higher price may also be initially used for account statements or otherwise. We (or our affiliate) may offer to pay this higher price, for your benefit, but the amount of any excess over the then-current estimated value will be temporary and is expected to decline over a period of approximately 90 days.
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The securities are not designed to be short-term trading instruments and any sale prior to maturity could result in a substantial loss to you. You should be willing and able to hold your securities to maturity.
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LACK OF LIQUIDITY — The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
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POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and as agent of the issuer for the offering of the securities, hedging our obligations under the securities and determining their estimated value. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the securities. Further, hedging activities may adversely affect any payment on or the value of the securities. Any profit in connection with such hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of the securities, which creates an additional incentive to sell the securities to you.
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — The value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
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the time to maturity of the securities;
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the Early Redemption feature, which is likely to limit the value of the securities;
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changes in U.S. interest and swap rates;
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interest and yield rates in the market generally;
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investors’ expectations with respect to the rate of inflation;
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geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the interest and yield rates or markets generally; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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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.
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