Pricing Supplement No. G129 Prospectus dated June 30, 2017 |
Filed Pursuant to Rule 424(b)(2)/424(b)(8) Registration Statement No. 333-218604-02 March 5, 2018 |
Financial Products |
$500,000 CS Notes due March 5, 2021 |
• | The securities are designed for investors who seek a return linked to the performance, measured annually, of an equally weighted basket consisting of the EURO STOXX 50® Index, the DAX® Index and the Swiss Market Index. Investors should be willing to forgo interest and dividend payments. Any payment at maturity is subject to our ability to pay our obligations as they become due. |
• | Because the Final Basket Level equals the arithmetic average of the Basket Levels on each of the three Valuation Dates, which occur approximately annually, a portion of the Final Basket Level will be set on each Valuation Date and your exposure to the Basket will therefore decline on each Valuation Date. The difference between the Final Basket Level and the level of the Basket on the Final Valuation Date could be particularly large if there is a significant change in the level of the Basket during the latter portion of the term of the securities or there is significant volatility in the levels of the Basket during the term of the securities. |
• | Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing March 5, 2021. Any payment on the securities is subject to our ability to pay our obligations as they become due. |
• | Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples in excess thereof. |
• | The offering price for the securities was determined on March 5, 2018 (the “Trade Date”) and the securities are expected to settle on March 8, 2018. Delivery of the securities in book-entry form only will be made through The Depository Trust Company. |
• | The securities will not be listed on any exchange. |
Investing in the securities involves a number of risks. See “Selected Risk Considerations” beginning on page 6 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 securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, any 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 | $4 | $996 |
Total | $500,000 | $2,000 | $498,000 |
(1) Certain fiduciary accounts may pay a purchase price of at least $996 per $1,000 principal amount of securities, and CSSU will forgo any fees with respect to such sales.
(2) We or one of our affiliates will pay discounts and commissions of $4 per $1,000 principal amount of securities. For more detailed information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
The agent for this offering, Credit Suisse Securities (USA) LLC (“CSSU”), is our affiliate. For more information, see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
Credit Suisse currently estimates the value of each $1,000 principal amount of the securities on the Trade Date is $998.20 (as determined by reference to our pricing models and the rate we are currently paying to borrow funds through issuance of the securities (our “internal funding rate”)). See “Selected Risk Considerations” in this pricing supplement.
The securities 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.
Credit Suisse
March 5, 2018
Key Terms
Issuer: | Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch |
Basket: | The securities are linked to the performance of an equally weighted basket consisting of three Underlyings (each a “Basket Component,” and together, the “Basket Components”). For additional information on the EURO STOXX 50® Index, the DAX® Index and the Swiss Market Index, see “The Reference Indices—The STOXX Indices—The EURO STOXX 50® Index,” “The Reference Indices—The DAX Indices—The DAX” and “The Reference Indices—The Swiss Market Index” in the accompanying underlying supplement. Each Basket Component is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Component Weighting: |
Basket Component |
Ticker |
Initial Level |
Component Weighting | |
EURO STOXX 50® Index | SX5E <Index> | 3324.75 | 1/3 | |
DAX® Index | DAX <Index> | 11913.71 | 1/3 | |
Swiss Market Index | SMI <Index> | 8628.51 | 1/3 |
Redemption Amount: | At maturity, for each $1,000 principal amount of securities, you will receive a Redemption Amount in cash that will equal $1,000 multiplied by the sum of one plus the Basket Return, calculated as set forth below. Any payment on the securities is subject to our ability to pay our obligations as they become due. | |
Basket Return: | • If the Final Basket Level is greater than the Initial Basket Level, an amount calculated as follows: | |
Upside Participation Rate × | Final Basket Level — Initial Basket Level Initial Basket Level | |
• If the Final Basket Level is less than or equal to the Initial Basket Level, zero. Accordingly, if the Final Basket Level is less than or equal to the Initial Basket Level, you will receive only your principal amount at maturity. | ||
Upside Participation Rate: | 140% | |
Initial Basket Level: | Set equal to 100 on the Strike Date. | |
Final Basket Level: | The arithmetic average of the Basket Levels on each of the three Valuation Dates. Because the Final Basket Level equals the arithmetic average of the Basket Levels on each of the three Valuation Dates, which occur approximately annually, a portion of the Final Basket Level will be set on each Valuation Date and your exposure to the basket will therefore decline on each Valuation Date. The difference between the Final Basket Level and the level of the Basket on the Final Valuation Date could be particularly large if there is a significant change in the level of the Basket during the latter portion of the term of the securities or there is significant volatility in the levels of the Basket during the term of the securities. | |
Basket Level: |
The Basket Level on any Valuation Date will depend on the Component Return for each Basket Component on such Valuation Date as adjusted by the Component Weighting for each Basket Component, calculated as follows:
100 × [1 + (SX5E Return × 1/3) + (DAX Return × 1/3) + (SMI Return × 1/3)]
| |
The “SX5E Return,” the “DAX Return,” and the “SMI Return” on each Valuation Date are the respective Component Returns for each Basket Component on such Valuation Date. | ||
Component Return: | With respect to each Basket Component, on any Valuation Date, the Component Return on such Valuation Date will be calculated as follows: | |
Component Closing Level — Initial Level Initial Level | ||
Component Closing Level: | For each Basket Component on any Valuation Date, the closing level of such Basket Component on such Valuation Date. | |
Strike Date: | March 2, 2018 | |
Initial Level: | For each Basket Component, the closing level of such Basket Component on the Strike Date, as set forth in the table above. | |
Valuation Dates: | March 4, 2019, March 2, 2020, and March 2, 2021 (each a “Valuation Date” and March 2, 2021, the “Final Valuation Date”), subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” |
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Maturity Date: | March 5, 2021, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” If the Maturity Date is not a business day, the Redemption Amount 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. |
Event of Default and Acceleration: | In case an event of default (as described in the accompanying prospectus) with respect to any issuance of securities shall have occurred and be continuing, the amount declared due and payable upon any acceleration of the securities will be determined by the Calculation Agent and will equal, for each security, the amount to be received on the Maturity Date, calculated as though the date of acceleration were the Valuation Date (or each remaining Valuation Date if there is more than one Valuation Date). |
CUSIP: | 22550WHK6 |
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Additional Terms Specific to the Securities
You should read this pricing supplement together with the underlying supplement dated June 30, 2017, 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 securities 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):
• | Underlying Supplement dated June 30, 2017: http://www.sec.gov/Archives/edgar/data/1053092/000095010317006313/dp77765_424b2-undsupp.htm |
• | Product Supplement No. I–G dated October 4, 2017: https://www.sec.gov/Archives/edgar/data/1053092/000095010317009709/dp81337_424b2-psg.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 securities described in this pricing supplement differ from, or are inconsistent with, the terms described in the underlying supplement, any product supplement, the 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 securities 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 securities and the owner of any beneficial interest in the securities, amend the securities 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 securities 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 securities.
Prohibition of Sales to EEA Retail Investors
The securities may not be offered, sold or otherwise made available to any retail investor in the European Economic Area. For the purposes of this provision:
(a) the expression “retail investor” means a person who is one (or more) of the following:
(i) | a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or |
(ii) | a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or |
(iii) | not a qualified investor as defined in Directive 2003/71/EC; and |
(b) the expression “offer” includes the communication in any form and by any means of sufficient information on the terms of the offer and the securities offered so as to enable an investor to decide to purchase or subscribe the securities.
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Hypothetical Redemption Amounts at Maturity
The table and examples below illustrate the hypothetical Redemption Amounts payable at maturity on a $1,000 investment in the securities for a hypothetical range of the performance of the Basket. The table and examples below assume an Upside Participation Rate of 140%. The actual Upside Participation Rate is set forth in “Key Terms” herein. The hypothetical Redemption Amounts set forth below are for illustrative purposes only. The actual Redemption Amount applicable to a purchaser of the securities will be based on the Final Basket Level. Any payment on the securities is subject to our ability to pay our obligations as they become due. The numbers appearing in the table below have been rounded for ease of analysis.
Percentage Change from Initial Basket Level to Final Basket Level |
Basket |
Redemption |
100% | 140% | $2,400 |
90% | 126% | $2,260 |
80% | 112% | $2,120 |
70% | 98% | $1,980 |
60% | 84% | $1,840 |
50% | 70% | $1,700 |
40% | 56% | $1,560 |
30% | 42% | $1,420 |
20% | 28% | $1,280 |
10% | 14% | $1,140 |
5% | 7% | $1,070 |
0% | 0% | $1,000 |
−5% | 0% | $1,000 |
−10% | 0% | $1,000 |
−15% | 0% | $1,000 |
−20% | 0% | $1,000 |
−30% | 0% | $1,000 |
−40% | 0% | $1,000 |
−50% | 0% | $1,000 |
−60% | 0% | $1,000 |
−70% | 0% | $1,000 |
−80% | 0% | $1,000 |
−90% | 0% | $1,000 |
−100% | 0% | $1,000 |
The following examples illustrate how the Redemption Amount is calculated.
Example 1: The Final Basket Level is greater than the Initial Basket Level.
Valuation Date |
Basket Level |
March 4, 2019 | 140% of Initial Basket Level |
March 2, 2020 | 180% of Initial Basket Level |
March 2, 2021 | 190% of Initial Basket Level |
Final Basket Level | 170% of Initial Basket Level |
Because the Final Basket Level is greater than the Initial Basket Level, the Redemption Amount is determined as follows:
Basket Return | = | Upside Participation Rate × [(Final Basket Level - Initial Basket Level) / Initial Basket Level] |
= | 140% x 70% | |
= | 98% | |
Redemption Amount | = | $1,000 × (1 + Basket Return) |
= | $1,000 × 1.98 | |
= | $1,980 |
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Because the Final Basket Level is greater than the Initial Basket Level, the Basket Return is equal to the appreciation in the level of the Basket from the Initial Basket Level to the Final Basket Level multiplied by the Upside Participation Rate.
Example 2: The Final Basket Level is less than or equal to the Initial Basket Level.
Valuation Date |
Basket Level |
March 4, 2019 | 60% of Initial Basket Level |
March 2, 2020 | 105% of Initial Basket Level |
March 2, 2021 | 120% of Initial Basket Level |
Final Basket Level | 95% of Initial Basket Level |
Because the Final Basket Level is less than or equal to the Initial Basket Level, the Redemption Amount is determined as follows:
Basket Return | = | 0% |
Redemption Amount | = | $1,000 × (1 + Basket Return) |
= | $1,000 × 1 | |
= | $1,000 | |
At maturity you would receive a Redemption Amount equal to $1,000 per $1,000 principal amount of securities even though there has been a decline in the level of the Basket.
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Selected Risk Considerations
An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the Basket or in any of the Basket Components. These risks are explained in more detail in the “Risk Factors” section of any accompanying product supplement.
• | THE SECURITIES DO NOT PAY INTEREST – We will not pay interest on the securities. You may receive less at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since the Redemption Amount is based on the arithmetic average of the Basket Levels on each of the three annual Valuation Dates. If the Final Basket Level is less than the Initial Basket Level, you will receive only your principal amount of securities at maturity, subject to our ability to pay our obligations as they become due. The return on the securities may not be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time. |
• | REGARDLESS OF THE AMOUNT OF ANY PAYMENT YOU RECEIVE ON THE SECURITIES, YOUR ACTUAL YIELD MAY BE DIFFERENT IN REAL VALUE TERMS — Inflation may cause the real value of any payment you receive on the securities to be less at maturity than it is at the time you invest. An investment in the securities 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 SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Investors are dependent on our ability to pay all amounts due on the securities and, therefore, if we were to default on our obligations, you may not receive any amounts owed to you under the securities. 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. |
• | THE PROBABILITY THAT THE BASKET RETURN WILL BE NEGATIVE WILL DEPEND ON THE VOLATILITY OF THE BASKET COMPONENTS — “Volatility” refers to the frequency and magnitude of changes in the levels of the Basket Components. The greater the expected volatility with respect to the Basket Components on the Trade Date, the higher the expectation as of the Trade Date that the Final Basket Level could be negative, and that you would receive only the principal amount of $1,000 for each $1,000 principal amount of securities. The terms of the securities are set, in part, based on expectations about the volatility of the Basket Components as of the Trade Date. The volatility of the Basket can change significantly over the term of the securities. The levels of the Basket Components could fall sharply and you could receive only the principal amount of $1,000 for each $1,000 principal amount of securities. |
• | CHANGES IN THE VALUES OF THE BASKET COMPONENTS MAY OFFSET EACH OTHER – Movements in the levels of the Basket Components may not correlate with each other. At a time when the value of one or more of the Basket Components increases, the level of one or more of the other Basket Components may not increase as much or may even decline. Therefore, in calculating the Basket Return, increases in the level of one or more of the Basket Components may be moderated, or more than offset, by lesser increases or declines in the level of the other Basket Components. |
• | THE AVERAGING CONVENTION OVER THE TERM OF THE SECURITIES USED TO CALCULATE THE AVERAGING RETURN COULD LIMIT RETURNS — Because the Final Basket Level used to calculate the Basket Return will equal the arithmetic average of the Basket Levels on each of the three annual Valuation Dates, the level of the Basket at various times during the term of the securities, including on the final Valuation Date, could be higher or lower than the Final Basket Level. You should be aware that, because the Final Basket Level equals the arithmetic average of the Basket Levels on each of the three Valuation Dates, which occur approximately annually, a portion of the Final Basket Level will be set on each Valuation Date and your exposure to the basket will therefore decline on each Valuation Date. The difference between the Final Basket Level and the level of the Basket on the Final Valuation Date could be particularly large if there is a significant |
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change in the level of the Basket during the latter portion of the term of the securities or there is significant volatility in the levels of the Basket during the term of the securities. For example, if the level of the Basket initially declines or remains relatively constant and then significantly increases above the Initial Basket Level in the year prior to maturity, the Final Basket Level will be significantly lower than the actual closing level of the Basket on the final Valuation Date. This is because the Final Basket Level will be based on the levels of the Basket on each of the annual Valuation Dates. Similarly, if the level of the Basket steadily increases and then steadily decreases back to its initial level by the final Valuation Date, the Final Basket Level will be significantly less than the level of the Basket at its peak. An increase in the level of the Basket on one or more Valuation Dates, including the final Valuation Date, compared to the Initial Basket Level may be substantially or entirely offset by a decrease in the level of the Basket on one or more other Valuation Dates.
• | FOREIGN SECURITIES MARKETS RISK — Some or all of the assets included in the Basket Components are issued by foreign companies and trade in foreign securities markets. Investments in the securities therefore involve risks associated with the securities markets in those countries, including risks of volatility in those markets, government intervention in those markets and cross shareholdings in companies in certain countries. Also, 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 equity securities included in the Basket Components 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 values of the equity securities included in the Basket Components, and therefore the performance of the Basket Components and the value of the securities. |
• | THE CLOSING LEVEL OF THE BASKET COMPONENTS WILL NOT BE ADJUSTED FOR CHANGES IN EXCHANGE RATES RELATIVE TO THE U.S. DOLLAR EVEN THOUGH THE EQUITY SECURITIES INCLUDED IN THE BASKET COMPONENTS ARE TRADED IN A FOREIGN CURRENCY AND THE SECURITIES ARE DENOMINATED IN U.S. DOLLARS — The value of your securities will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies in which the equity securities included in the Basket Components are based. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the securities, you will not receive any additional payment or incur any reduction in your return, if any, at maturity. |
• | HEDGING AND TRADING ACTIVITY — We or any of our affiliates may carry out hedging activities related to the securities, including in instruments related to the Basket Components. We or our affiliates may also trade instruments related to the Basket Components from time to time. Any of these hedging or trading activities on or prior to the Trade Date and during the term of the securities could adversely affect our payment to you at maturity. |
• | THE ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE IS 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) is less than the original Price to Public. The Price to Public of the securities includes any discounts or commissions as well as transaction costs such as expenses incurred to create, document and market the securities and the cost of hedging our risks as issuer of the securities through one or more of our affiliates (which includes a projected profit). These costs will be effectively borne by you as an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in connection with our structuring and offering of the securities (except to the extent discounts or commissions are reallowed to other broker-dealers or any costs are paid to third parties). |
On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a fixed income component valued using our internal funding rate, and individual option components valued using mid-market pricing. As such, the payout on the securities can be replicated using a combination of these components and the value of these components, as determined by us
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using our pricing models, will impact the terms of the securities 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 securities, and they rely in part on certain assumptions about future events, which may prove to be incorrect.
Because Credit Suisse’s pricing models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value at any time may not be comparable to estimated values of similar securities of other issuers.
• | EFFECT OF INTEREST RATE USED IN STRUCTURING THE SECURITIES — The internal funding rate we use in structuring notes such as these securities is typically lower than the interest rate that is reflected in the yield on our conventional debt securities of similar maturity in the secondary market (our “secondary market credit spreads”). If on the Trade Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms of the securities will generally be less favorable to you than they would have been if our secondary market credit spread had been used in structuring the securities. We will also use our internal funding rate to determine the price of the securities if we post a bid to repurchase your securities in secondary market transactions. See “—Secondary Market Prices” below. |
• | SECONDARY MARKET PRICES — If Credit Suisse (or an affiliate) bids for your securities in secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade Date. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the securities in the secondary market (if any exists) at any time. The secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated value determined by reference to our pricing models and other factors. These other factors include our internal funding rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or improvement in our creditworthiness. In circumstances where our internal funding rate is lower than our secondary market credit spreads, our secondary market bid for your securities could be more favorable than what other dealers might bid because, assuming all else equal, we use the lower internal funding rate to price the securities and other dealers might use the higher secondary market credit spread to price them. Furthermore, assuming no change in market conditions from the Trade Date, the secondary market price of your securities will be lower than the Price to Public because it will not include any discounts or commissions and hedging and other transaction costs. If you sell your securities to a dealer in a secondary market transaction, the dealer may impose an additional discount or commission, and as a result the price you receive on your securities may be lower than the price at which we may repurchase the securities from such dealer. |
We (or an affiliate) may initially post a bid to repurchase the securities from you at a price that will exceed the then-current estimated value of the securities. That higher price reflects our projected profit and costs that were included in the Price to Public, and that higher price may also be initially used for account statements or otherwise. We (or our affiliate) may offer to pay this higher price, for your benefit, but the amount of any excess over the then-current estimated value will be temporary and is expected to decline over a period of approximately three months.
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.
• | 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 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 |
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imposed, such measures may adversely affect the terms and market value of the securities and/or the ability of Credit Suisse to make payments thereunder and you may not receive any amounts owed to you under the securities.
• | 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. |
• | 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. |
• | UNPREDICTABLE ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — The payout on the securities can be replicated using a combination of the components described in “The estimated value of the securities on the Trade Date is less than the Price to Public.” Therefore, in addition to the level of the Basket, the terms of the securities at issuance and the value of the securities 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 Basket and the Basket Components; |
o | the expected and actual correlation, if any, between the Basket Components; |
o | the time to maturity of the securities; |
o | the dividend rate on the equity securities included in the Basket Components; |
o | the exchange rates between the U.S. dollar and the non-U.S. currencies in which the equity securities underlying the Basket Components are traded; |
o | interest and yield rates in the market generally; |
o | investors’ expectations with respect to the rate of inflation; |
o | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the equity securities included in the Basket Components or markets generally and which may affect the level of the Basket Components; and |
o | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
Some or all of these factors may influence the price that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.
• | NO OWNERSHIP RIGHTS RELATING TO THE BASKET COMPONENTS — Your return on the securities will not reflect the return you would realize if you actually owned the equity securities that comprise the Basket Components. The return on your investment is not the same as the total return based on the purchase of the equity securities included in the Basket Components. |
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• | NO VOTING RIGHTS OR DIVIDEND PAYMENTS — As a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the equity securities included in the Basket Components. |
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 securities may be used in connection with hedging our obligations under the securities through one or more of our affiliates. Such hedging or trading activities on or prior to the Trade Date and during the term of the securities (including on the calculation date, as defined in any accompanying product supplement) could adversely affect the value of the Basket and, as a result, could decrease the amount you may receive on the securities at maturity. For additional information, see “Supplemental Use of Proceeds and Hedging” in any accompanying product supplement.
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Historical Information
The following graphs set forth the historical performance of the Basket Components, as well as the Basket as a whole, based on the closing levels and prices of each Basket Component from January 2, 2013 through March 2, 2018. The Basket Component graphs set forth the historical performance of the Basket Components based on the closing level of each Basket Component from January 2, 2013 through March 2, 2018. We obtained the closing level and the closing prices for the Basket Components from Bloomberg, without independent verification.
You should not take the historical levels of the Basket Components or the Basket as an indication of future performance of the Basket Components or the securities. Any historical trend in the levels of the Basket Components during any period set forth below is not an indication that the levels of the Basket Components are more or less likely to increase or decrease at any time over the term of the securities.
For additional information on the EURO STOXX 50® Index, the DAX® Index and the Swiss Market Index, see “The Reference Indices—The STOXX Indices—The EURO STOXX 50® Index,” “The Reference Indices—The DAX Indices—The DAX” and “The Reference Indices—The Swiss Market Index” in the accompanying underlying supplement.
The closing level of the EURO STOXX 50® Index on March 2, 2018 was 3324.75.
11
The closing level of the DAX® Index on March 2, 2018 was 11913.71.
The closing level of the Swiss Market Index on March 2, 2018 was 8628.51.
12
The Basket graph sets forth the historical performance of the Basket from January 2, 2013 through March 2, 2018. The graph of the historical Basket performance assumes the Basket Level on March 2, 2018 was 100 and the Component Weightings were as specified on the cover of this pricing supplement.
13
United States Federal Tax Considerations
This discussion supplements and, to the extent inconsistent therewith, supersedes the discussion in the accompanying product supplement under “Material United States Federal Income Tax Considerations.” The discussions below and in the accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Internal Revenue Code.
In the opinion of our counsel, Davis Polk & Wardwell LLP, the securities will be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described in the section of the accompanying product supplement called “Material United States Federal Income Tax Considerations—U.S. Holders—Contingent Payment Debt Instruments,” and the remaining discussion assumes that this treatment of the securities is respected. If you are a U.S. Holder, you will be required to recognize interest income during the term of the securities at the “comparable yield,” which generally is the yield at which we could issue a fixed-rate debt instrument with terms similar to those of the securities, including the level of subordination, term, timing of payments and general market conditions, but excluding any adjustments for the riskiness of the contingencies or the liquidity of the securities. We are required to construct a “projected payment schedule” in respect of the securities representing a payment the amount and timing of which would produce a yield to maturity on the securities equal to the comparable yield. Assuming you hold the securities until their maturity, the amount of interest you include in income based on the comparable yield in the taxable year in which the securities mature will be adjusted upward or downward to reflect the difference, if any, between the actual and projected payment on the securities at maturity as determined under the projected payment schedule.
Upon the sale, exchange or retirement of the securities prior to maturity, you generally will recognize gain or loss equal to the difference between the proceeds received and your adjusted tax basis in the securities. Your adjusted tax basis will equal your purchase price for the securities, increased by interest previously included in income on the securities. Any gain generally will be treated as ordinary income, and any loss generally will be treated as ordinary loss to the extent of prior interest inclusions on the security and as capital loss thereafter.
We have determined that the comparable yield for a security is a rate of 3.02%, compounded semi-annually, and that the projected payment schedule with respect to a security is as follows:
Payment Dates | Projected payment (per $1,000) | OID deemed to accrue during accrual period (per $1,000) | Total OID deemed to have accrued from original issue date as of end of accrual period |
September 5, 2018 | $0.00 | $14.85 | $14.85 |
March 5, 2019 | $0.00 | $15.32 | $30.17 |
September 5, 2019 | $0.00 | $15.56 | $45.73 |
March 5, 2020 | $0.00 | $15.79 | $61.52 |
September 5, 2020 | $0.00 | $16.03 | $77.55 |
March 5, 2021 | $1,093.82 | $16.27 | $93.82 |
Neither the comparable yield nor the projected payment schedule constitutes a representation by us regarding the actual amount that we will pay on the securities.
Non-U.S. Holders. Subject to the discussions in the next paragraph and in “Material United States Federal Income Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally will not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements. See “Material United States Federal Income Tax Considerations —Non-U.S. Holders Generally” in the accompanying product supplement for a more detailed discussion of the rules applicable to Non-U.S. Holders of the securities.
As discussed under “Material United States Federal Income Tax Considerations—Non-U.S. Holders Generally—Substitute Dividend and Dividend Equivalent Payments” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code generally imposes a 30% withholding tax on “dividend equivalents” paid or
14
deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Treasury regulations under Section 871(m), as modified by an Internal Revenue Service (the “IRS”) notice, exclude from their scope financial instruments issued in 2018 that do not have a “delta” of one with respect to any U.S. equity. Based on the terms of the securities and representations provided by us, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this determination. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to a U.S. equity to which the securities relate. You should consult your tax advisor regarding the potential application of Section 871(m) to the securities.
We will not be required to pay any additional amounts with respect to U.S. federal withholding taxes.
You should read the section entitled “Material United States Federal Income Tax Considerations” in the accompanying product supplement.
You should also consult your tax advisor regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
15
Supplemental Plan of Distribution (Conflicts of Interest)
Under the terms and subject to the conditions contained in a distribution agreement dated May 7, 2007, as amended, which we refer to as the distribution agreement, we have agreed to sell the securities to CSSU.
The distribution agreement provides that CSSU is obligated to purchase all of the securities if any are purchased.
CSSU will offer the securities at the offering price set forth on the cover page of this pricing supplement, will receive discounts and commissions of $4 per $1,000 principal amount of securities and will forgo some or all fees for sales to fiduciary accounts. CSSU may re-allow some or all of the discount on the principal amount per security on sales of such securities by other brokers or dealers. If all of the securities are not sold at the initial offering price, CSSU may change the public offering price and other selling terms.
An affiliate of Credit Suisse has paid or may pay in the future a fixed amount to broker-dealers in connection with the costs of implementing systems to support these securities.
We expect to deliver the securities against payment for the securities on the Settlement Date indicated herein, which may be a date that is greater than two business days following the Trade 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 two business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than two business days after the Trade Date, purchasers who wish to transact in the securities more than two business days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The agent for this offering, CSSU, is our affiliate. In accordance with FINRA Rule 5121, CSSU may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer. A portion of the net proceeds from the sale of the securities will be used by CSSU or one of its affiliates in connection with hedging our obligations under the securities.
For further information, please refer to “Underwriting (Conflicts of Interest)” in any accompanying product supplement.
16
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as United States counsel to Credit Suisse, when the securities offered by this pricing supplement have been executed and issued by Credit Suisse and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such securities will be valid and binding obligations of Credit Suisse, enforceable against Credit Suisse in accordance with their terms, subject to (i) applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, (ii) possible judicial or regulatory actions giving effect to governmental actions or foreign laws affecting creditors’ rights and (iii) concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities. Insofar as this opinion involves matters governed by Swiss law, Davis Polk & Wardwell LLP has relied, without independent inquiry or investigation, on the opinion of Homburger AG, dated February 14, 2018 and filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on February 14, 2018. The opinion of Davis Polk & Wardwell LLP is subject to the same assumptions, qualifications and limitations with respect to such matters as are contained in the opinion of Homburger AG. In addition, the opinion of Davis Polk & Wardwell LLP is subject to customary assumptions about the establishment of the terms of the securities, the trustee’s authorization, execution and delivery of the indenture and its authentication of the securities, and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP dated February 14, 2018, which was filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on February 14, 2018. Davis Polk & Wardwell LLP expresses no opinion as to waivers of objections to venue, the subject matter or personal jurisdiction of a United States federal court or the effectiveness of service of process other than in accordance with applicable law. In addition, such counsel notes that the enforceability in the United States of Section 10.08(c) of the indenture is subject to the limitations set forth in the United States Foreign Sovereign Immunities Act of 1976.
17
Credit Suisse
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