The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell these notes and it is not soliciting an offer to buy these notes in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated August 15, 2017
Preliminary Pricing Supplement No. J724 Prospectus Supplement dated June 30, 2017 and Prospectus dated June 30, 2017 |
Filed Pursuant to Rule 424(b)(2) Registration Statement No. 333-218604-02 August 15, 2017 |
Structured Investments |
Credit Suisse $ Contingent Coupon Autocallable Yield Notes due September 5, 2018 Linked to the Performance of the American Depositary Shares of Anheuser-Busch InBev SA/NV |
• | The securities, which we refer to as the “notes,” are designed for investors who are mildly bearish or neutral on the Underlying. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs. Any payment on the notes is subject to our ability to pay our obligations as they become due. |
• | Subject to Automatic Redemption, if a Coupon Barrier Event does not occur on an Observation Date, we will pay on the immediately following Contingent Coupon Payment Date a contingent coupon expected to be $21 (to be determined on the Pricing Date) per $1,000 principal amount of notes and all prior unpaid contingent coupons, if any, that were not paid because a Coupon Barrier Event occurred on the Observation Dates related to such unpaid contingent coupons. However, if a Coupon Barrier Event occurs, no contingent coupon will be paid on the immediately following Contingent Coupon Payment Date. Contingent coupons should not be viewed as ordinary periodic interest payments. |
• | If a Trigger Event occurs, the notes will be automatically redeemed and you will receive a cash payment equal to the principal amount of the notes you hold and the contingent coupon payable on the immediately following Contingent Coupon Payment Date, and no further payments will be made following an Automatic Redemption. |
• | Senior unsecured obligations of Credit Suisse AG, acting through its London branch, maturing September 5, 2018. |
• | Minimum purchase of $10,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof. |
• | The notes are expected to price on or about August 18, 2017 (the “Pricing Date”) and are expected to settle on or about August 23, 2017 (the “Settlement Date”). Delivery of the notes in book-entry form only will be made through The Depository Trust Company. |
Key Terms
Issuer: | Credit Suisse AG (“Credit Suisse”), acting through its London branch | |||||
Underlying: | The notes are linked to the Underlying set forth in the table below (the issuer of the ordinary shares of Anheuser-Busch InBev SA/NV, the “Reference Share Issuer”). The Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level, Coupon Barrier Level, Knock-In Level and Trigger Level: | |||||
Underlying |
Ticker |
Initial Level |
Coupon Barrier Level |
Knock-In Level |
Trigger Level | |
The American Depositary Shares of Anheuser-Busch InBev SA/NV, each representing one ordinary share of Anheuser-Busch InBev SA/NV | BUD UN <Equity> | |||||
Contingent Coupons: | Subject to Automatic Redemption, if a Coupon Barrier Event does not occur, we will pay on the immediately following Contingent Coupon Payment Date a contingent coupon expected to be $21 (to be determined on the Pricing Date) per $1,000 principal amount of notes and all prior unpaid contingent coupons, if any, that were not paid because a Coupon Barrier Event occurred on the Observation Dates related to such unpaid contingent coupons. If a Coupon Barrier Event occurs, no contingent coupon will be paid on the immediately following Contingent Coupon Payment Date. | |||||
Coupon Barrier Event: | A Coupon Barrier Event will occur if, on any Observation Date, the Observation Level applicable to such Observation Date is less than the Coupon Barrier Level. | |||||
Observation Level: | For each Trigger Observation Date and each Observation Date, excluding the Final Valuation Date, the Observation Level will equal the closing level of the Underlying on such Trigger Observation Date or Observation Date, as applicable. For the Final Valuation Date, the Observation Level will equal the Final Level. | |||||
Coupon Barrier Level: | The Coupon Barrier Level will be approximately 80% of the Initial Level (to be determined on the Pricing Date). | |||||
Contingent Coupon Payment Dates: | Subject to Automatic Redemption, unless a Coupon Barrier Event occurs, contingent coupons will be paid on December 5, 2017, March 6, 2018 and June 5, 2018 and the Maturity Date, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” If any Contingent Coupon Payment Date is not a business day, the contingent coupon will be payable on the first following business day, unless that business day falls in the next calendar month, in which case payment will be made on the first preceding business day. The amount of any contingent coupon will not be adjusted in respect of any postponement of a Contingent Coupon Payment Date and no interest or other payment will be payable hereon because of any such postponement of a Contingent Coupon Payment Date. No contingent coupons will be payable following an Automatic Redemption. Contingent coupons, if any, will be payable on the applicable Contingent Coupon Payment Date to the holder 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. |
(“Key Terms” continued on next page)
Investing in the notes involves a number of risks. See “Selected Risk Considerations” beginning on page 4 of this pricing supplement and “Risk Factors” beginning on page PS-3 of any accompanying product supplement.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or any accompanying product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.
Price to Public(1) | Underwriting Discounts and Commissions(2) | Proceeds to Issuer | |
Per security | $1,000.00 | $ | $ |
Total | $ | $ | $ |
(1) Certain fiduciary accounts will pay a purchase price of $990.00 per note, and the placement agents with respect to sales made to such accounts will forgo any fees.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS LLC, and JPMorgan Chase Bank, N.A. will act as placement agents for the notes. The placement agents will forego fees for sales to fiduciary accounts. The total fees represent the amount that the placement agents receive from sales to accounts other than such fiduciary accounts. The placement agents will receive a fee from Credit Suisse or one of our affiliates that will not exceed $10.00 per $1,000 principal amount of notes.
Credit Suisse currently estimates the value of each $1,000 principal amount of the notes on the Pricing Date will be between $970.00 and $990.00 (as determined by reference to our pricing models and the rate we are currently paying to borrow funds through issuance of the notes (our “internal funding rate”)), which is less than the Price to Public listed above. This range of estimated values reflects terms that are not yet fixed. A single estimated value reflecting final terms will be determined on the Pricing Date. See “Selected Risk Considerations” in this pricing supplement.
The notes are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.
J.P. Morgan
Placement Agent
August , 2017
(continued from previous page)
Redemption Amount: | Subject to Automatic Redemption, at maturity, the Redemption Amount you will receive will depend on the performance of the Underlying and whether a Knock-In Event has occurred. For each $1,000 principal amount of notes, the Redemption Amount will be determined as follows: | |
• | If a Knock-In Event has occurred, $1,000 multiplied by the sum of one plus the Underlying Return. In this case, the Redemption Amount will be less than $800 per $1,000 principal amount of notes. You could lose your entire investment. | |
• | If a Knock-In Event has not occurred, $1,000. Therefore, you will not participate in any appreciation of the Underlying. | |
Any payment on the notes is subject to our ability to pay our obligations as they become due. | ||
Automatic Redemption: | If a Trigger Event occurs, the notes will be automatically redeemed and you will receive on the Contingent Coupon Payment Date immediately following the relevant Trigger Observation Date (the “Automatic Redemption Date”) a cash payment equal to the principal amount of the notes you hold (the “Automatic Redemption Amount”) and the contingent coupon payable on such Contingent Coupon Payment Date and all prior unpaid contingent coupons, if any, that were not paid because a Coupon Barrier Event occurred on the Observation Dates related to such unpaid contingent coupons. No further payments will be made in respect of the notes. Any payment on the notes is subject to our ability to pay our obligations as they become due. | |
Trigger Event: | A Trigger Event will occur if, on any Trigger Observation Date, the Observation Level applicable to such Trigger Observation Date is equal to or greater than the Trigger Level. | |
Trigger Observation Dates: | November 30, 2017, March 1, 2018 and May 31, 2018, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” For purposes of any accompanying product supplement, each Trigger Observation Date shall be a “calculation date.” | |
Trigger Level: | The Trigger Level is expected to be 100% of the Initial Level (to be determined on the Pricing Date). | |
Knock-In Event: | A Knock-In Event will occur if the Final Level is less than the Knock-In Level. | |
Knock-In Level: | The Knock-In Level will be approximately 80% of the Initial Level (to be determined on the Pricing Date). |
Underlying Return: | The Underlying Return will be calculated as follows: | |
Final
Level − Initial Level Initial Level |
, subject to a maximum of zero |
Initial Level: | The closing level of the Underlying on the Pricing Date. In the event that the closing level for the Underlying is not available on the Pricing Date, the Initial Level for the Underlying will be determined on the immediately following trading day on which a closing level is available. |
Final Level: | The arithmetic average of the closing levels of the Underlying on each of the five Valuation Dates. |
Observation Dates: | November 30, 2017, March 1, 2018, May 31, 2018 and the Final Valuation Date, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” |
Valuation Dates: | August 24, 2018, August 27, 2018, August 28, 2018, August 29, 2018 and August 30, 2018 (each, a “Valuation Date,” and August 30, 2018, the “Final Valuation Date”), subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” |
Maturity Date: | September 5, 2018, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” |
Listing: | The notes will not be listed on any securities exchange. |
CUSIP: | 22550BFK4 |
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer on the date the notes are priced. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Additional Terms Specific to the Notes
You should read this pricing supplement together with the product supplement dated June 30, 2017, the prospectus supplement dated June 30, 2017 and the prospectus dated June 30, 2017, relating to our Medium-Term Notes of which these notes are a part. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
• | Product Supplement No. I–A dated June 30, 2017: |
http://www.sec.gov/Archives/edgar/data/1053092/000095010317006315/dp77780_424b2-ia.htm
• | Prospectus Supplement and Prospectus dated June 30, 2017: |
http://www.sec.gov/Archives/edgar/data/1053092/000104746917004364/a2232566z424b2.htm
In the event the terms of the notes described in this pricing supplement differ from, or are inconsistent with, the terms described in any product supplement, prospectus supplement or prospectus, the terms described in this pricing supplement will control.
Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, “we,” “us,” or “our” refers to Credit Suisse.
This pricing supplement, together with the documents listed above, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, fact sheets, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. We may, without the consent of the registered holder of the notes and the owner of any beneficial interest in the notes, amend the notes to conform to its terms as set forth in this pricing supplement and the documents listed above, and the trustee is authorized to enter into any such amendment without any such consent. You should carefully consider, among other things, the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in any accompanying product supplement, “Foreign Currency Risks” in the accompanying prospectus, and any risk factors we describe in the combined Annual Report on Form 20-F of Credit Suisse Group AG and us incorporated by reference therein, and any additional risk factors we describe in future filings we make with the SEC under the Securities Exchange Act of 1934, as amended, as the notes involve risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other advisors before deciding to invest in the notes.
1
Hypothetical Redemption Amounts and Total Payments on the Notes
The tables and examples below illustrate, for a $1,000 investment in the notes, hypothetical Redemption Amounts payable at maturity for a hypothetical range of Underlying Returns and, in the case of Table 2, total contingent coupons over the term of the notes, which will depend on the number and timing of Coupon Barrier Events that have occurred over the term of the notes. The tables and examples below assume that (i) if a Coupon Barrier Event does not occur on an Observation Date, a contingent coupon of $21 per $1,000 principal amount of notes will be paid on the immediately following Contingent Coupon Payment Date, (ii) the notes are not automatically redeemed prior to maturity, (iii) the Knock-In Level is 80% of the Initial Level and (iv) the Trigger Level is 100% of the Initial Level. The actual Contingent Coupon Rate and Knock-In Level will be determined on the Pricing Date. The examples are intended to illustrate hypothetical calculations of only the Redemption Amount and do not illustrate the calculation or payment of any individual contingent coupon.
The hypothetical Redemption Amounts and total contingent coupons set forth below are for illustrative purposes only. The actual Redemption Amounts and total contingent coupons applicable to a purchaser of the notes will depend on whether and when any Coupon Barrier Events have occurred over the term of the notes, whether a Knock-In Event occurs and on the Final Level. It is not possible to predict when and how many Coupon Barrier Events will occur, if any, or 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 Underlying has decreased from the Initial Level to the Final Level. Furthermore, it is not possible to predict whether a Trigger Event will occur. If a Trigger Event occurs, the notes will be automatically redeemed for a cash payment equal to the principal amount of the notes you hold, any contingent coupons payable and all prior unpaid contingent coupons, if any, that were not paid because a Coupon Barrier Event occurred on the Observation Dates related to such unpaid contingent coupons, and no further payments will be made in respect of the notes.
You will not participate in any appreciation in the Underlying. You should consider carefully whether the notes are suitable to your investment goals. Any payment on the notes is subject to our ability to pay our obligations as they become due. The numbers appearing in the tables and examples below have been rounded for ease of analysis.
TABLE 1: Hypothetical Redemption Amounts
Percentage
Change |
Underlying Return |
Redemption Amount (excluding contingent coupons, if any) |
Total Contingent Coupons |
100.00% | 0.00% | $1,000.00 | |
90.00% | 0.00% | $1,000.00 | |
80.00% | 0.00% | $1,000.00 | |
70.00% | 0.00% | $1,000.00 | |
60.00% | 0.00% | $1,000.00 | |
50.00% | 0.00% | $1,000.00 | |
40.00% | 0.00% | $1,000.00 | |
30.00% | 0.00% | $1,000.00 | |
20.00% | 0.00% | $1,000.00 | |
10.00% | 0.00% | $1,000.00 | |
0.00% | 0.00% | $1,000.00 |
(See table below)
|
−10.00% | 0.00% | $1,000.00 | |
−20.00% | 0.00% | $1,000.00 | |
−21.00% | −21.00% | $790.00 | |
−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 |
2
TABLE 2: The expected total contingent coupons will depend on when and how many Coupon Barrier Events occur.
Coupon Barrier Events |
Total Contingent Coupons |
A Coupon Barrier Event occurs on the 1st through 4th Observation Dates | $0.00 |
A Coupon Barrier Event occurs on the 2nd through 4th Observation Dates | $21.00 |
A Coupon Barrier Event occurs on the 3rd through 4th Observation Dates | $42.00 |
A Coupon Barrier Event occurs on the 4th Observation Date only | $63.00 |
A Coupon Barrier Event occurs on the 1st and 3rd Observation Dates only* | $84.00 |
A Coupon Barrier Event does not occur on any Observation Date* | $105.00 |
*As long as a Coupon Barrier Event does not occur on the 4th Observation Date, an investor will ultimately receive the maximum coupon amount, expected to be $105 (to be determined on the Trade Date) for each $1,000 principal amount of the notes.
The total payment on the notes will be equal to the Redemption Amount applicable to an investor plus the total contingent coupons on the notes.
The following examples illustrate how the Redemption Amount is calculated.
Example 1: A Knock-In Event has occurred because the Final Level is less than the Knock-In Level.
Reference Share |
Final Level |
BUD | 50% of Initial Level |
Since the Final Level is less than the Knock-In Level, a Knock-In Event has occurred.
Therefore, the Underlying Return will equal:
Final Level – Initial Level
Initial Level
= −0.50
The Redemption Amount = principal amount of the notes × (1 + Underlying Return)
= $1,000 × (1 – 0.50) = $500
Example 2: A Knock-In Event has not occurred because the Final Level is greater than the Knock-In Level.
Reference Share |
Final Level |
BUD | 90% of Initial Level |
Since the Final Level is not less than the Knock-In Level, a Knock-In Event has not occurred.
Therefore, the Redemption Amount equals $1,000.
3
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk Factors” section of any accompanying product supplement.
• | YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY — If the notes are not automatically redeemed prior to the Maturity Date, you may receive less at maturity than you originally invested in the notes, or you may receive nothing, excluding contingent coupons, if any. If the Final Level is less than the Knock-In Level, you will be fully exposed to any depreciation in the Underlying. In this case, the Redemption Amount you will receive will be less than the principal amount of the notes, 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 Underlying has decreased from the Initial Level to the Final Level. Any payment on the notes is subject to our ability to pay our obligations as they become due. |
• | REGARDLESS OF THE AMOUNT OF ANY PAYMENT YOU RECEIVE ON THE NOTES, YOUR ACTUAL YIELD MAY BE DIFFERENT IN REAL VALUE TERMS — Inflation may cause the real value of any payment you receive on the notes to be less at maturity than it is at the time you invest. An investment in the notes also represents a forgone opportunity to invest in an alternative asset that generates a higher real return. You should carefully consider whether an investment that may result in a return that is lower than the return on alternative investments is appropriate for you. |
• | THE NOTES DO NOT PROVIDE FOR REGULAR FIXED INTEREST PAYMENTS — Unlike conventional debt securities, the notes do not provide for regular fixed interest payments. The number of contingent coupons you receive over the term of the notes, if any, will depend on the performance of the Underlying during the term of the notes and when and how many Coupon Barrier Events occur. Contingent coupons should not be viewed as ordinary periodic interest payments. If a Coupon Barrier Event occurs on an Observation Date, you will not receive a contingent coupon on the Contingent Coupon Payment Date immediately following such Observation Date. Accordingly, if a Coupon Barrier Event occurs on every Observation Date, you will not receive any contingent coupons during the term of the notes. However, any such unpaid contingent coupon will be paid on a later Contingent Coupon Payment Date if a Coupon Barrier Event does not occur on the immediately preceding Observation Date. Thus, the notes are not a suitable investment for investors who require regular fixed income payments, since the number of contingent coupons are variable and may be zero. |
Even if you receive the maximum amount payable with respect to the notes, it is possible that you may not receive any contingent coupons for an extended period during the term of the notes. For example, if a Coupon Barrier Event occurs on each Observation Date beginning early in the term of the notes until near the end of the term of the notes, you would not receive any contingent coupons for an extended period of time during the term of the notes. You will not be compensated for the time value of money, nor will we pay interest or any other amount, if we pay contingent coupons after the related Contingent Coupon Payment Date.
In addition, if rates generally increase over the term of the notes, it is more likely that the contingent coupon, if any, could be less than the yield one might receive based on market rates at that time. This would have the further effect of decreasing the value of your notes both nominally in terms of below-market coupons and in real value terms. Furthermore, it is possible that you will not receive some or all of the contingent coupons over the term of the notes, and still lose your principal amount. Even if you do receive some or all of your principal amount at maturity, you will not be compensated for the time value of money. These notes are not short-term investments, so you should carefully consider these risks before investing.
• | MORE FAVORABLE TERMS TO YOU ARE GENERALLY ASSOCIATED WITH AN UNDERLYING WITH GREATER EXPECTED VOLATILITY AND THEREFORE CAN INDICATE A GREATER RISK OF LOSS — “Volatility” refers to the frequency and magnitude of changes in the level of the Underlying. The greater the expected volatility with respect to the Underlying on the Pricing Date, the higher the expectation as of the Pricing Date that (i) the level of the Underlying could be less than the Coupon Barrier Level on any Observation Date or (ii) the Final Level could be less than the Knock-In |
4
Level, indicating a higher expected risk of loss on the notes. This greater expected risk will generally be reflected in a higher contingent coupon than the yield payable on our conventional debt securities with a similar maturity, or in more favorable terms (such as a lower Coupon Barrier Level or Knock-In Level) than for similar notes linked to the performance of an Underlying with a lower expected volatility as of the Pricing Date. You should therefore understand that a relatively higher contingent coupon may indicate an increased risk of loss. Further, a relatively lower Coupon Barrier Level or Knock-In Level may not necessarily indicate that you will receive a contingent coupon on any Contingent Coupon Payment Date or that the notes have a greater likelihood of a return of principal at maturity. The volatility of the Underlying can change significantly over the term of the notes. The level of the Underlying for your notes could fall sharply, which could result in a significant loss of principal. You should be willing to accept the downside market risk of the Underlying and the potential to lose a significant amount of your principal at maturity.
• | AT MATURITY OR UPON AUTOMATIC REDEMPTION, THE NOTES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT PLUS THE FINAL CONTINGENT COUPON, IF ANY — At maturity or upon Automatic Redemption, the notes will not pay more than the principal amount plus the final contingent coupon, if any, in respect of that Contingent Coupon Payment Date and all prior unpaid contingent coupons, if any, that were not paid because a Coupon Barrier Event occurred on the Observation Dates related to such unpaid contingent coupons. Even if the Final Level is greater than the Initial Level, you will not participate in the appreciation of the Underlying. The maximum amount payable with respect to the notes (excluding any contingent coupons) is $1,000 for each $1,000 principal amount of the notes. |
• | THE NOTES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Investors are dependent on our ability to pay all amounts due on the notes and, therefore, if we were to default on our obligations, you may not receive any amounts owed to you under the notes. 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 notes prior to maturity. |
· | THE AVERAGING CONVENTION USED TO CALCULATE THE FINAL LEVEL COULD REDUCE THE REDEMPTION AMOUNT AND CONTINGENT COUPONS — Your investment in the notes may not perform as well as an investment in an instrument that measures the point-to-point performance of the Underlying from the Pricing Date to the Final Valuation Date. For example, if the closing level of the Underlying on the first four Valuation Dates is lower than the closing level of the Underlying on the Final Valuation Date and a Knock-In Event occurs, you will receive less at maturity than you would have received had the notes measured the point-to-point performance of the Underlying from the Pricing Date to the Final Valuation Date. |
The averaging convention may also affect whether you receive a contingent coupon on the Maturity Date. Because the Observation Level of the Underlying for the Final Valuation Date will equal the Final Level (which is the arithmetic average of its closing levels on each of the five Valuation Dates), it is possible that such Observation Level could be less than the Observation Level would have been had they been measured on a single day. As a result, a Coupon Barrier Event could occur under circumstances where one would not have occurred had the Observation Level for the Final Valuation Date been measured on a single day.
• | THE NOTES ARE SUBJECT TO A POTENTIAL AUTOMATIC REDEMPTION, WHICH EXPOSES YOU TO REINVESTMENT RISK — The notes are subject to a potential automatic redemption. If the notes are automatically redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that provide you with the opportunity to be paid the same coupons as the notes. |
• | AN AUTOMATIC REDEMPTION WOULD LIMIT YOUR OPPORTUNITY TO BE PAID CONTINGENT COUPONS OVER THE FULL TERM OF THE NOTES — The notes are subject to a potential automatic redemption. If a Trigger Event occurs, the notes will be automatically redeemed and you will receive a cash payment equal to the principal amount of the notes you hold and the contingent coupon payable on that Contingent Coupon Payment Date, and no further payments will be made in respect of the notes. 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. In |
5
addition, any cost effectively borne by you, such as transactions costs, hedging cost and agent’s discounts and commissions (as described below), will not be rebated if the notes are automatically redeemed.
• | THERE ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF THE UNDERLYING, AND THE RIGHTS OF HOLDERS OF THE ORDINARY SHARES OF ANHEUSER-BUSCH INBEV SA/NV — Because the notes are linked to the performance of the Underlying, each representing one ordinary share of Anheuser-Busch InBev SA/NV (which we refer to as the “Underlying Stock”), you should be aware that your securities are linked to the level of the Underlying and not the Underlying Stock. There are important differences between the rights of holders of the Underlying and holders of the Underlying Stock. The Underlying is a security evidenced by American Depositary Receipts that represents the Underlying Stock. The Underlying is issued under a deposit agreement which sets forth the rights and responsibilities of Anheuser-Busch InBev SA/NV or, as applicable, the relevant American Depositary Share depositary and holders of the Underlying. The rights of holders of the Underlying may be different from the rights of holders of the Underlying Stock. Any such differences between the rights of holders of the Underlying and holders of the Underlying Stock may be significant and may materially and adversely affect the value of the notes. For example, Anheuser-Busch InBev SA/NV may make distributions in respect of the Underlying Stock that are not passed on to the holders of the Underlying. |
• | FOREIGN COMPANY RISK — An investment in the notes is linked to the value of the Underlying, which represents interests in the Underlying Stock. The Underlying Stock is issued by a foreign company. Foreign companies are generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The Underlying Stock may be more volatile than domestic equity securities and may be subject to different political, market, economic, exchange rate, regulatory and other risks, including changes in foreign governments, economic and fiscal policies, currency exchange laws or other laws or restrictions. Moreover, the economies of foreign countries may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. These factors may adversely affect the value of the Underlying Stock, and therefore the performance of the Underlying and the value of the notes. |
• | NO AFFILIATION WITH THE REFERENCE SHARE ISSUER — We are not affiliated with the Reference Share Issuer. You should make your own investigation into the Underlying and the Reference Share Issuer. In connection with the offering of the notes, 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. |
• | HEDGING AND TRADING IN THE UNDERLYING — While the notes are outstanding, we or any of our affiliates may carry out hedging activities related to the notes, including in the Underlying or instruments related to the Underlying. We or our affiliates may also trade in the Underlying or instruments related to the Underlying from time to time. Any of these hedging or trading activities as of the Pricing Date and during the term of the notes could adversely affect our payment to you at maturity. |
• | THE ESTIMATED VALUE OF THE NOTES ON THE PRICING DATE MAY BE LESS THAN THE PRICE TO PUBLIC — The initial
estimated value of your notes on the Pricing 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 notes includes any discounts or commissions
as well as transaction costs such as expenses incurred to create, document and market the notes and the cost of hedging our risks
as issuer of the notes 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 notes. These amounts will be retained by Credit Suisse or our affiliates in connection with
our structuring and offering of the notes (except to the extent discounts or commissions are reallowed to other broker-dealers
or any costs are paid to third parties). On the Pricing Date, we value the components of the notes in accordance with our pricing models. These include a fixed income component valued using our internal funding rate, and individual option |
6
components valued using mid-market pricing. As such, the payout on the notes can be replicated using a combination of these components and the value of these components, as determined by us using our pricing models, will impact the terms of the notes at issuance. Our option valuation models are proprietary. Our pricing models take into account factors such as interest rates, volatility and time to maturity of the notes, 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 notes of other issuers.
• | EFFECT OF INTEREST RATE USED IN STRUCTURING THE notes — The internal funding rate we use in structuring notes such as these notes 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 Pricing Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms of the notes will generally be less favorable to you than they would have been if our secondary market credit spread had been used in structuring the notes. We will also use our internal funding rate to determine the price of the notes if we post a bid to repurchase your notes in secondary market transactions. See “—Secondary Market Prices” below. |
• | SECONDARY MARKET PRICES — If Credit Suisse (or an affiliate) bids for your notes 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 notes on the Pricing Date. The estimated value of
the notes on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the notes
in the secondary market (if any exists) at any time. The secondary market price of your notes 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 notes 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 notes and other dealers might use the higher secondary
market credit spread to price them. Furthermore, assuming no change in market conditions from the Pricing Date, the secondary market
price of your notes will be lower than the Price to Public because it will not include any discounts or commissions and hedging
and other transaction costs. If you sell your notes 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 notes may be lower than the price at which we may repurchase
the notes from such dealer. We (or an affiliate) may initially post a bid to repurchase the notes from you at a price that will exceed the then-current estimated value of the notes. 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 three months. The notes 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 notes to maturity. |
• | CREDIT SUISSE IS SUBJECT TO SWISS REGULATION — As a Swiss bank, Credit Suisse is subject to regulation by governmental agencies, supervisory authorities and self-regulatory organizations in Switzerland. Such regulation is increasingly more extensive and complex and subjects Credit Suisse to risks. For example, pursuant to Swiss banking laws, the Swiss Financial Market Supervisory Authority (FINMA) may open resolution proceedings if there are justified concerns that Credit Suisse is over-indebted, has serious liquidity problems or no longer fulfills capital adequacy requirements. FINMA has broad powers and discretion in the case of resolution |
7
proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity and/or cancel such liabilities in whole or in part. If one or more of these measures were imposed, such measures may adversely affect the terms and market value of the notes and/or the ability of Credit Suisse to make payments thereunder and you may not receive any amounts owed to you under the notes.
• | LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the notes 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 notes when you wish to do so. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the notes. If you have to sell your notes 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 notes, including acting as calculation agent, hedging our obligations under the notes 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 notes. Further, hedging activities may adversely affect any payment on or the value of the notes. 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 notes, which creates an additional incentive to sell the notes 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 Underlying. As a prospective purchaser of the notes, 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 notes. |
• | UNPREDICTABLE ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES — The payout on the notes can be replicated using a combination of the components described in “The estimated value of the notes on the Pricing Date may be less than the Price to Public.” Therefore, in addition to the level of the Underlying, the terms of the notes at issuance and the value of the notes prior to maturity may be influenced by factors that impact the value of fixed income securities and options in general, such as: |
o | the expected and actual volatility of the Underlying; |
o | the time to maturity of the notes; |
o | the dividend rate on the Underlying; |
o | interest and yield rates in the market generally; |
o | investors’ expectations with respect to the rate of inflation; |
o | events affecting companies engaged in the malt beverages industry; |
o | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Underlying or markets generally and which may affect the level of the Underlying; 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 notes 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.
8
• | NO OWNERSHIP RIGHTS IN THE UNDERLYING — Your return on the notes will not reflect the return you would realize if you actually owned shares of the Underlying. The return on your investment is not the same as the total return based on a purchase of the shares of the Underlying. |
• | NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not have any ownership interest or rights in the Underlying, such as voting rights or dividend payments. In addition, the issuer of the Underlying will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the Underlying and therefore, the value of the notes. |
• | ANTI-DILUTION PROTECTION IS LIMITED — The calculation agent will make anti-dilution adjustments for certain events affecting the Underlying. However, an adjustment will not be required in response to all events that could affect the Underlying. 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 notes may be materially and adversely affected. See “Description of the Securities—Adjustments” in the relevant product supplement. |
• | THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF THE NOTES ARE NOT CERTAIN — There are no statutory provisions, regulations, published rulings, or judicial decisions addressing the characterization, for U.S. federal income tax purposes, of instruments with terms that are substantially the same as those of the notes. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been sought as to the U.S. federal income tax consequences of the ownership and disposition of the notes, and the tax treatment described under “Material United States Federal Income Tax Considerations” is not binding on the IRS or any court. Thus, the U.S. federal income tax consequences of the notes are not certain. |
Supplemental Use of Proceeds and Hedging
We intend to use the proceeds of this offering for our general corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive from the sale of the notes may be used in connection with hedging our obligations under the notes through one or more of our affiliates. Such hedging or trading activities on or prior to the Pricing Date and during the term of the notes (including on any calculation date, as defined in any accompanying product supplement) could adversely affect the value of the Underlying and, as a result, could decrease the amount you may receive on the notes at maturity. For additional information, see “Supplemental Use of Proceeds and Hedging” in any accompanying product supplement.
9
The Underlying
Companies with securities registered under the Securities Exchange Act of 1934 (the “Exchange Act”) are required to periodically file certain financial and other information specified by the SEC. Information provided to or filed with the SEC by the Reference Share Issuer pursuant to the Exchange Act can be located by reference to the SEC file number provided below. According to its publicly available filings with the SEC, Anheuser-Busch InBev SA/NV is a brewer of beer. The American Depositary Shares of Anheuser-Busch InBev SA/NV, each representing one ordinary share of Anheuser-Busch InBev SA/NV with a par value 0.61 euro per share, are listed on the New York Stock Exchange. Anheuser-Busch InBev SA/NV’s SEC file number is 001-37911 and can be accessed through www.sec.gov.
This pricing supplement relates only to the notes offered hereby and does not relate to the Underlying or other securities of the Reference Share Issuer. We have derived all disclosures contained in this pricing supplement regarding the Underlying and the Reference Share Issuer from the publicly available documents described in the preceding paragraph. In connection with the offering of the notes, neither we nor our affiliates have participated in the preparation of such documents or made any due diligence inquiry with respect to the Reference Share Issuer.
Historical Information
The following graph sets forth the historical performance of the Underlying based on the closing levels of the Underlying from January 3, 2012 through August 14, 2017. The closing level of the Underlying on August 14, 2017 was $116.41. We obtained the historical information below from Bloomberg, without independent verification.
You should not take the historical levels of the Underlying as an indication of future performance of the Underlying or the notes. Any historical trend in the level of the Underlying during any period set forth below is not an indication that the level of the Underlying is more or less likely to increase or decrease at any time over the term of the notes.
For additional information about the Underlying, see “The Underlying” herein.
10
Material U.S. Federal Income Tax Considerations
The following discussion summarizes material U.S. federal income tax consequences of owning and disposing of the notes that may be relevant to holders of the notes that acquire their notes from us as part of the original issuance of the notes. This discussion applies only to holders that hold their notes as capital assets within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”). Further, this discussion does not address all of the U.S. federal income tax consequences that may be relevant to you in light of your individual circumstances or if you are subject to special rules, such as if you are:
· | 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 notes as a hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction, |
· | a person whose functional currency is not the U.S. dollar, or |
· | an entity that is treated as a partnership for U.S. federal income tax purposes. |
The discussion is based upon the Code, law, regulations, rulings and decisions, in each case, as available and in effect as of the date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and foreign laws are not addressed herein. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been sought as to the U.S. federal income tax consequences of the ownership and disposition of the notes, and the following discussion is not binding on the IRS.
You should consult your tax advisor as to the specific tax consequences to you of owning and disposing of the notes, including the application of federal, state, local and foreign income and other tax laws based on your particular facts and circumstances.
Characterization of the Notes
There are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of the notes or instruments with terms that are substantially the same as those of your securities. We cannot assure you that the IRS or any court will agree with the tax treatment described below. Possible alternative characterizations and risks to investors of such characterizations are discussed below.
Due to the terms of the notes and the uncertainty of the tax law with respect to the characterization of the notes, our special tax counsel, Orrick, Herrington & Sutcliffe LLP, believes that it is reasonable to treat the notes, for U.S. federal income tax purposes, as prepaid financial contracts with respect to the Underlying that are eligible for open transaction treatment in part, but is unable to opine that this characterization is more likely than not to be upheld. In the absence of an administrative or judicial ruling to the contrary, we intend to treat the notes and, by acceptance of the notes, you agree to treat the notes for all tax purposes in accordance with such characterization and the balance of this discussion assumes that the notes will be so treated.
Alternative Characterizations of the Notes
You should be aware that the characterization of the notes as described above is not certain, nor is it binding on the IRS or the courts. Thus, it is possible that the IRS would seek to characterize your securities in a manner that results in tax consequences to you that are different from those described below. For example, the IRS might characterize a note as a notional principal contract (an “NPC”). In general, payments on an NPC are accrued ratably (as ordinary income or deduction, as the case may be) over the period to which they relate
11
regardless of an investor’s usual method of tax accounting. Payments made to terminate an NPC (other than perhaps a final scheduled payment) are capital in nature. Deductions for NPC payments may be limited in certain cases. Certain payments under an NPC may be treated as U.S. source income. Generally, the notes are not, and we do not expect that the notes will be, listed on a securities exchange. In the event the notes are listed on a securities exchange and the IRS seeks to characterize your securities as options, the notes would be characterized as Code section 1256 contracts. In such case, the notes would be marked-to-market at the end of the year and 40% of any gain or loss would be treated as short-term capital gain or loss, and the remaining 60% of any gain or loss would be treated as long-term capital gain or loss. It is also possible that the IRS would assert that the notes are debt instruments, which may result in adverse tax consequences. You should consult your tax advisor regarding the possible tax consequences of characterization of the notes as debt instruments. If the underlying shares are a non-U.S. company, including American Depository Shares (“ADSs”), the IRS could also characterize your note as an option on a passive foreign investment company (“PFIC”). Alternatively, the IRS might assert that the notes constitute a “constructive ownership transaction,” in which case, under Code section 1260, all or a portion of your gain, if any, from the notes would be recharacterized as ordinary income, and you would be required to pay additional tax calculated by reference to interest on the tax on such recharacterized income. See “Constructive Ownership Transaction and Passive Foreign Investment Company Rules” below. We are not responsible for any adverse consequences that you may experience as a result of any alternative characterization of the notes for U.S. federal income tax or other tax purposes.
You should consult your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of your securities for U.S. federal income tax purposes.
U.S. Holders
For purposes of this discussion, the term “U.S. Holder,” for U.S. federal income tax purposes, means a beneficial owner of securities that is (1) a citizen or resident of the United States, (2) a corporation (or an entity treated as a corporation for U.S. federal income tax purposes) created or organized in or under the laws of the United States or any state thereof or the District of Columbia, (3) an estate, the income of which is subject to U.S. federal income taxation regardless of its source, or (4) a trust, if (a) a court within the United States is able to exercise primary supervision over the administration of such trust and one or more U.S. persons have the authority to control all substantial decisions of the trust or (b) such trust has in effect a valid election to be treated as a domestic trust for U.S. federal income tax purposes. If a partnership (or an entity treated as a partnership for U.S. federal income tax purposes) holds securities, the U.S. federal income tax treatment of such partnership and a partner in such partnership will generally depend upon the status of the partner and the activities of the partnership. If you are a partnership, or a partner of a partnership, holding securities, you should consult your tax advisor regarding the tax consequences to you from the partnership’s purchase, ownership and disposition of the notes.
In accordance with the agreed-upon tax treatment described above, a U.S. Holder will treat any coupon payment received in respect of a note as ordinary income includible in such U.S. Holder’s income in accordance with the U.S. Holder’s method of accounting. If the note provides for the payment of the redemption amount in cash based on the return of the Underlying, upon receipt of the redemption amount of the notes from us (and subject to the discussion below under “Constructive Ownership Transaction and Passive Foreign Investment Company Rules”), a U.S. Holder will recognize gain or loss equal to the difference between the amount of cash received from us and the U.S. Holder’s tax basis in the note at that time. Such gain or loss will be long-term capital gain or loss in the case of a U.S. Holder that has held the note for more than one year at maturity and short-term capital gain or loss otherwise. If the note provides for the payment of the redemption amount in physical shares or units of the Underlying (and subject to the discussion below under “Constructive Ownership Transaction and Passive Foreign Investment Company Rules”), the U.S. Holder should not recognize any gain or loss with respect to the note (other than with respect to cash received in lieu of fractional shares or units, as described below). A U.S. Holder should have a tax basis in all physical shares or units received (including for this purpose any fractional shares or units) equal to its tax basis in the note. A U.S. Holder’s holding period for any physical shares or units received should start on the day after the delivery of the physical shares or units. A U.S. Holder should generally recognize short-term capital gain or loss with respect to cash received in lieu of fractional shares or units in an amount equal to the difference between the amount of such cash received and the U.S. Holder’s basis in the fractional shares or units, which should be equal to the U.S. Holder’s basis in all of the physical shares or units (including the fractional shares or units), multiplied by a fraction, the numerator of which is the fractional shares or units and the denominator of which is all of the physical shares or units (including fractional shares or units). If the Underlying are shares in a non-U.S. company, including ADSs, you may be subject to the
12
PFIC rules (see “Constructive Ownership Transaction and Passive Foreign Investment Company Rules” below).
Upon the sale or other taxable disposition of a note, a U.S. Holder generally will recognize gain or loss equal to the difference between the amount realized on the sale or other taxable disposition and the U.S. Holder’s tax basis in the note. Subject to the discussion below under “Constructive Ownership Transaction and Passive Foreign Investment Company Rules,” such gain or loss will be long-term capital gain or loss in the case of a U.S. Holder that has held the note for more than one year at the time of disposition and short-term capital gain or loss otherwise. It is possible that a portion of the amount realized from the sale or taxable disposition of the notes prior to the payment date attributable to an expected coupon could be treated as ordinary income. You should consult your tax advisor regarding this possibility and the consequences of such treatment to you.
Constructive Ownership Transaction and Passive Foreign Investment Company Rules
All or a portion of gain arising from certain “constructive ownership transactions” may be recharacterized as ordinary income, and certain interest charges may be imposed with respect to any such recharacterized income. These rules by their terms may apply to any gain derived from the notes if the notes reference an equity interest in a “pass-thru entity” within the meaning of Code section 1260, which includes shares in a PFIC, an exchange-traded fund and certain other entities. If the term of the notes is one year or greater and the Underlying includes an equity interest in a PFIC or an exchange traded fund, the IRS might assert that the constructive ownership transaction rules of Code section 1260 apply.
If the notes are treated as a constructive ownership transaction, any gain therefrom that otherwise would be long-term capital gain in excess of the “net underlying long-term capital gain” will be treated as ordinary income, and an interest charge will apply as if such income had accrued for tax purposes at a constant yield over the term of the notes. There is a presumption that all of the gain realized that otherwise would have been long-term capital gain is subject to recharacterization as ordinary income and an interest charge, unless the contrary is demonstrated by clear and convincing evidence. Accordingly, any gain a U.S. Holder realizes from the sale, exchange or redemption of its notes in excess of the amount of long-term capital gain that it can establish that it would have realized had it (1) invested in the Underlying (rather than the notes) on the issue date of the notes, and (2) sold the Underlying on the date of sale, exchange or redemption of the notes, could be recharacterized as ordinary income and subject to an interest charge, as described above.
Code section 1260 also provides that the U.S. Department of the Treasury is to issue regulations that would exclude from the scope of Code section 1260 certain forward contracts that do not convey “substantially all of the economic return” with respect to the applicable reference asset, which in the case of the notes would be all or a portion of the Underlying. However, no such regulations have been issued despite the fact that Code section 1260 was enacted in 1999, and there can be no assurance that any regulations that may be issued would apply to notes that are issued before such regulations. Thus, although we believe that the notes should not be considered to convey substantially all the economic return with respect to the Underlying, in the absence of regulations, there can be no assurance that the notes would not be so considered or that Code section 1260 would not otherwise apply to the notes.
If the notes provide for the payment of the redemption amount in physical shares or units of the Underlying and such physical shares or units constitute an ownership interest in a PFIC, U.S. Holders generally would be subject to adverse U.S. federal income tax consequences if physical shares or units are received. If the physical shares or units received were to constitute an ownership interest in a PFIC, a U.S. Holder would be required to (1) allocate the amount of any “excess distribution” in respect of the PFIC (including any gain realized from the disposition of an interest in the PFIC) ratably to each day in its holding period for the physical shares or units (which, as noted above, would begin on the day after delivery of the physical shares or units), (2) pay tax on the excess distribution at the maximum tax rate in effect for each taxable year to which the excess distribution is allocable, and (3) pay additional tax equal to interest accruing (at the rate charged for underpayments of U.S. federal tax) on the tax determined under (2) above, accruing from (a) the beginning of the due date (without regard to extensions) for the filing of tax returns for the taxable years to which the excess distribution is allocated under (1) above, to (b) the due date for the taxable year in which the excess distribution occurred. Also, if the physical shares or units received were treated as an ownership interest in a PFIC, an individual U.S. Holder would not get a step-up in tax basis to the fair market value upon the holder’s death. A U.S. Holder would also be required to file IRS Form 8621 for each year in which the U.S. Holder (i) recognizes gain on the direct or indirect disposition of the physical shares, (ii) receives certain direct or indirect distributions from us, or (iii) makes any of certain reportable elections (including a mark-to-market election). In addition, subject to certain exceptions
13
applicable to de minimis shareholdings, each U.S. Holder who is a direct or indirect shareholder of a PFIC is required to file an annual report on IRS Form 8621. This requirement is in addition to other reporting requirements applicable to ownership in a PFIC. Additionally, in the event a U.S. Holder does not file such form, the statute of limitations on the assessment and collection of U.S. federal income taxes of such U.S. Holder for the related tax year may not close before the date which is three years after the date such form is filed.
We do not intend to ascertain whether the Underlying includes shares of an issuer that is a PFIC. Accordingly, it is possible that an underlying share issuer is a PFIC, and that the notes constitute an ownership interest in a PFIC, with the consequences described above. You should consult with your tax advisor regarding the possible application of the constructive ownership transaction and PFIC rules to the notes.
Medicare Tax
Certain U.S. Holders that are individuals, estates, and trusts must pay a 3.8% tax (the “Medicare Tax”) on the lesser of the U.S. Holder’s (1) “net investment income” or “undistributed net investment income” in the case of an estate or trust and (2) the excess of modified adjusted gross income over a certain specified threshold for the taxable year. “Net investment income” generally includes income from interest, dividends, and net gains from the disposition of property (such as the notes) unless such income or net gains are derived in the ordinary course of a trade or business (other than a trade or business that is a passive activity with respect to the taxpayer or a trade or business of trading in financial instruments or commodities). Net investment income may be reduced by allowable deductions properly allocable to such gross income or net gain. Any interest earned or deemed earned on the notes and any gain on sale or other taxable disposition of the notes will be subject to the Medicare Tax. If you are an individual, estate, or trust, you should consult with your tax advisor regarding application of the Medicare Tax to your income and gains in respect of your investment in the notes.
Securities Held Through Foreign Entities
Under certain provisions of the “Hiring Incentives to Restore Employment Act,” generally referred to as “FATCA,” and regulations thereunder, a 30% withholding tax is imposed on “withholdable payments” and certain “passthru payments” made to “foreign financial institutions” (as defined in the regulations or an applicable intergovernmental agreement) (and their more than 50% affiliates) unless the payee foreign financial institution agrees, among other things, to disclose the identity of any U.S. individual with an account at the institution (or the institution’s affiliates) and to annually report certain information about such account. The term “withholdable payments” generally includes (1) payments of fixed or determinable annual or periodical gains, profits, and income (“FDAP”), in each case, from sources within the United States, and (2) gross proceeds from the sale of any property of a type which can produce interest or dividends from sources within the United States. “Passthru payments” means any withholdable payment and any foreign passthru payment. To avoid becoming subject to the 30% withholding tax on payments to it, a financial institution may be required to report information to the IRS regarding the holders of the notes. In the case of holders who (i) fail to provide the relevant information, (ii) are foreign financial institutions who have not agreed to comply with these information reporting requirements, or (iii) hold the notes directly or indirectly through such non-compliant foreign financial institutions, a payor may be required to withhold on a portion of payments under the notes. FATCA also requires withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer identification number of any substantial U.S. owners (or certify that they do not have any substantial U.S. owners) to withhold tax at a rate of 30%. If payments on the notes are determined to be from sources within the United States, such payments will be treated as withholdable payments for these purposes.
Withholding under FATCA will apply to all withholdable payments and certain passthru payments without regard to whether the beneficial owner of the payment is a U.S. person, or would otherwise be entitled to an exemption from the imposition of withholding tax pursuant to an applicable tax treaty with the United States or pursuant to U.S. domestic law. Unless a foreign financial institution is the beneficial owner of a payment, it will be subject to refund or credit in accordance with the same procedures and limitations applicable to other taxes withheld on FDAP payments provided that the beneficial owner of the payment furnishes such information as the IRS determines is necessary to determine whether such beneficial owner is a U.S.-owned foreign entity and the identity of any substantial U.S. owners of such entity. If such withholding applies, we will not be required to pay any additional amounts with respect to amounts withheld.
Subject to the exceptions described below, FATCA’s withholding regime generally will apply to (i) withholdable payments (other than gross proceeds of the type described above and certain payments made with respect to a
14
“preexisting obligation,” as defined in the regulations), (ii) payments of gross proceeds of the type described above with respect to a sale or disposition occurring after December 31, 2018, and (iii) foreign passthru payments made after the later of December 31, 2018, or the date that final regulations defining the term “foreign passthru payment” are published. Notwithstanding the foregoing, the provisions of FATCA discussed above generally will not apply to (a) with respect to foreign passthru payments, any obligation (other than an instrument that is treated as equity for U.S. tax purposes or that lacks a stated expiration or term) that is executed on or prior to the date that is six months after the date on which final regulations defining foreign passthru payments are published (a “grandfathered obligation”), (b) any obligation that produces withholdable payments solely because the obligation is treated as giving rise to a dividend equivalent pursuant to Code section 871(m) and the regulations thereunder that is executed on or prior to the date that is six months after the date on which obligations of its type are first treated as giving rise to dividend equivalents, and (c) any agreement requiring a secured party to make payments with respect to collateral securing one or more grandfathered obligations (even if the collateral is not itself a grandfathered obligation). Thus, if you hold your securities through a foreign financial institution or foreign entity, a portion of any of your payments may be subject to 30% withholding.
Information Reporting Regarding Specified Foreign Financial Assets
The Code and regulations thereunder generally require individual U.S. Holders (“specified individuals”) and “specified domestic entities” with an interest in any “specified foreign financial asset” to file an annual report on IRS Form 8938 with information relating to the asset, including the maximum value thereof, for any taxable year in which the aggregate value of all such assets exceeds $50,000 on the last day of the taxable year or $75,000 at any time during the taxable year. Certain individuals are permitted to have an interest in a higher aggregate value of such assets before being required to file a report. Specified foreign financial assets include, with some limited exceptions, any financial account maintained at a foreign financial institution and any debt or equity interest in a foreign financial institution, including a financial institution organized under the laws of a U.S. possession, and any of the following that are held for investment and not held in an account maintained by a financial institution: (1) any stock or security issued by a person other than a U.S. person (including a person organized in a U.S. possession), (2) any financial instrument or contract that has an issuer or counterparty that is other than a U.S. person (including a person organized in a U.S. possession), and (3) any interest in a foreign entity. Additionally, the regulations provide that specified foreign financial assets include certain retirement and pension accounts and non-retirement savings accounts.
Pursuant to the regulations and subject to certain exceptions, “specified domestic entities” are domestic corporations, domestic partnerships, or certain trusts that are formed or used for the purposes of holding, directly or indirectly, specified foreign financial assets. Generally, specified domestic entities are certain corporations and partnerships, which are closely held by a specified individual and that meet passive income or passive asset tests, and, with certain exceptions, domestic trusts that have one or more specified individuals or specified domestic entities as a current beneficiary.
Depending on the aggregate value of your investment in specified foreign financial assets, you may be obligated to file an IRS Form 8938 under this provision if you are an individual U.S. Holder or a specified domestic entity. Penalties apply to any failure to file IRS Form 8938. In the event a U.S. Holder (either a specified individual or specified domestic entity) does not file such form, the statute of limitations on the assessment and collection of U.S. federal income taxes of such U.S. Holder for the related tax year may not close before the date which is three years after the date such information is filed. You should consult your tax advisor as to the possible application to you of this information reporting requirement and the related statute of limitations tolling provision.
Non-U.S. Holders Generally
The U.S. federal income tax treatment of the coupon payments is unclear. Except as provided under “Securities Held Through Foreign Entities” and “Substitute Dividend and Dividend Equivalent Payments,” we currently do not intend to withhold any tax on any coupon payments made to a holder of the notes that is not a U.S. Holder (a “Non-U.S. Holder”) and that has no connection with the United States other than holding its securities, provided that such Non-U.S. Holder complies with applicable certification requirements. However, it is possible that the IRS could assert that such payments are subject to U.S. withholding tax, or that we or another withholding agent may otherwise determine that withholding is required, in which case we or the other withholding agent may withhold up to 30% on such payments (subject to reduction or elimination of such withholding tax pursuant to an applicable income tax treaty). We will not pay any additional amounts in respect of such withholding.
15
Except as provided under “Securities Held Through Foreign Entities” and “Substitute Dividend and Dividend Equivalent Payments,” payment of the redemption amount by us in respect to the notes (except to the extent of the coupons) to a Non-U.S. Holder that has no connection with the United States other than holding its securities will not be subject to U.S. withholding tax, provided that such Non-U.S. Holder complies with applicable certification requirements. Any gain realized upon the sale or other disposition of the notes by a Non-U.S. Holder generally will not be subject to U.S. federal income tax unless (1) such gain is effectively connected with a U.S. trade or business of such Non-U.S. Holder or (2) in the case of an individual, such individual is present in the United States for 183 days or more in the taxable year of the sale or other disposition and certain other conditions are met. Any effectively connected gains described in clause (1) above realized by a Non-U.S. Holder that is, or is taxable as, a corporation for U.S. federal income tax purposes may also, under certain circumstances, be subject to an additional branch profits tax at a 30% rate or such lower rate as may be specified by an applicable income tax treaty.
Non-U.S. Holders that are subject to U.S. federal income taxation on a net income basis with respect to their investment in the notes should refer to the discussion above relating to U.S. Holders.
Substitute Dividend and Dividend Equivalent Payments
The Code and regulations thereunder treat a “dividend equivalent” payment as a dividend from sources within the United States. Unless reduced by an applicable tax treaty with the United States, such payments generally will be subject to U.S. withholding tax at a rate of 30%. A “dividend equivalent” payment is defined under the Code as (i) a substitute dividend payment made pursuant to a securities lending or a sale-repurchase transaction that (directly or indirectly) is contingent upon, or determined by reference to, the payment of a dividend from sources within the United States, (ii) a payment made pursuant to a “specified notional principal contract” (a “specified NPC”) that (directly or indirectly) is contingent upon, or determined by reference to, the payment of a dividend from sources within the United States, and (iii) any other payment determined by the IRS to be substantially similar to a payment described in the preceding clauses (i) and (ii).
Regulations provide that a dividend equivalent is any payment that references the payment or deemed payment of (i) a dividend from an underlying security pursuant to a securities lending or sale-repurchase transaction, (ii) a dividend from an underlying security pursuant to a specified NPC, (iii) a dividend from an underlying security pursuant to a specified equity-linked instrument (a “specified ELI”), and (iv) any other substantially similar payment. The regulations provide that a payment includes a dividend equivalent payment whether there is an explicit or implicit reference to a dividend with respect to the underlying security. An underlying security is any interest in an entity if a payment with respect to that interest could give rise to a U.S. source dividend pursuant to Treasury regulation section 1.861 3. An NPC is a notional principal contract as defined in Treasury regulation section 1.446-3(c). An equity-linked instrument (“ELI”) is a financial instrument (other than a securities lending or sale-repurchase transaction or an NPC) that references the value of one or more underlying securities, including a futures contract, forward contract, option, debt instrument, or other contractual arrangement. A “section 871(m) transaction” is any securities lending or sale-repurchase transaction, specified NPC, or specified ELI.
Pursuant to the regulations and Notice 2017-42, for any payment made on or after January 1, 2017 with respect to any transaction issued on or after January 1, 2017, any NPC or ELI that has a delta of one with respect to an underlying security when the NPC or ELI is issued is a specified NPC or specified ELI, respectively. For any payment made on or after January 1, 2019 with respect to any transaction issued on or after January 1, 2019, (a) a “simple” NPC or “simple” ELI that has a delta of 0.8 or greater with respect to an underlying security when the NPC or ELI is issued is a specified NPC or specified ELI, respectively, and (b) a “complex” NPC or “complex” ELI that meets a substantial equivalence test with respect to an underlying security at the time of issuance is a specified NPC or specified ELI, respectively.
Certain events could cause previously issued securities to be deemed to be issued as new securities for purposes of the effective dates provided in the regulations. For example, it is possible that the IRS could assert that a reconstitution or rebalancing of the Underlying is a significant modification of the notes due to an exercise of discretion with respect to such reconstitution or rebalancing and, therefore, a deemed issuance of the notes upon the occurrence of such event. It is also possible that U.S. withholding tax could apply to the notes under these rules if a Non-U.S. Holder enters, or has entered, into certain other transactions in respect of the underlying equity or the notes. A Non-U.S. Holder that enters, or has entered, into other transactions in respect of theUnderlying or the notes should consult its own tax advisor regarding the application of Code section 871(m) to its securities in the context of its other transactions.
16
Withholding on payments will be based on actual dividends or, if otherwise notified by us in accordance with applicable regulations, on estimated dividends used in pricing the note. If an adjustment is made for the actual dividends, then the true-up payment (in addition to the estimated dividend) is added to the per-share dividend amount. If a transaction is a section 871(m) transaction, information regarding the amount of each dividend equivalent, the delta of the potential 871(m) transaction, the amount of any tax withheld and deposited, the estimated dividend amount and any other information necessary to apply the regulations will be provided, communicated, or made available to Non-U.S. Holders in a manner permitted by the applicable regulations.
In accordance with the regulations, U.S. tax will be withheld on any portion of a payment or deemed payment (including, if appropriate, the payment of the purchase price) that is a dividend equivalent with respect to any note issued (or deemed issued) on or after January 1, 2017 and prior to January 1, 2019 that has a delta of one unless reduced by an applicable tax treaty and a properly executed IRS Form W-8 (or other qualifying documentation) is provided. Based on the terms of the notes and representations provided by us, our counsel is of the opinion that a note (exclusive of any other transactions that may be combined with the note as discussed herein) should not be a “delta-one transaction” with respect to a specified ELI or specified NPC within the meaning of the regulations and, as a result, we do not intend to treat the note as a section 871(m) transaction. If withholding applies, we will not be required to pay any additional amounts with respect to amounts withheld. These regulations are extremely complex. Non-U.S. Holders should consult their tax advisors regarding the U.S. federal income tax consequences to them of these regulations and whether payments or deemed payments on the notes constitute dividend equivalent payments.
U.S. Federal Estate Tax Treatment of Non-U.S. Holders
A note may be subject to U.S. federal estate tax if an individual Non-U.S. Holder holds the note at the time of his or her death. The gross estate of a Non-U.S. Holder domiciled outside the United States includes only property situated in the United States. Individual Non-U.S. Holders should consult their tax advisors regarding the U.S. federal estate tax consequences of holding the notes at death.
Potential Changes to the Tax Rules for Financial Instruments
Members of Congress have from time to time proposed legislation relating to financial instruments, including legislation that would require holders to annually mark to market affected financial instruments (potentially including the notes). These or other potential changes in law could adversely affect the tax treatment of the notes and may be applied with retroactive effect. You are urged to consult your tax advisor regarding how any such potential changes in law could affect you.
Backup Withholding and Information Reporting
A holder of the notes (whether a U.S. Holder or a Non-U.S. Holder) may be subject to backup withholding with respect to certain amounts paid to such holder unless it provides a correct taxpayer identification number, complies with certain certification procedures establishing that it is not a U.S. Holder or establishes proof of another applicable exemption, and otherwise complies with applicable requirements of the backup withholding rules. Backup withholding is not an additional tax. You can claim a credit against your U.S. federal income tax liability for amounts withheld under the backup withholding rules, and amounts in excess of your liability are refundable if you provide the required information to the IRS in a timely fashion. A holder of the notes may also be subject to information reporting to the IRS with respect to certain amounts paid to such holder unless it (1) is a Non-U.S. Holder and provides a properly executed IRS Form W-8 (or other qualifying documentation) or (2) otherwise establishes a basis for exemption. If such withholding applies, we will not be required to pay any additional amounts with respect to amounts withheld.
17
Supplemental Plan of Distribution
Under the terms of distributor accession confirmations with JPMS LLC and JPMorgan Chase Bank, N.A., each dated as of June 18, 2008, JPMS LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the notes. The placement agents will receive a fee from Credit Suisse or one of our affiliates that will not exceed $10.00 per $1,000 principal amount of notes and will forgo fees for sales to fiduciary accounts. For additional information, see “Underwriting (Conflicts of Interest)” in any accompanying product supplement.
We expect to deliver the notes against payment for the notes on the Settlement Date indicated herein, which may be a date that is greater than three business days following the Pricing Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than three business days after the Pricing Date, purchasers who wish to transact in the notes more than three business days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
18
Credit Suisse
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end