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Term Sheet No. P3
To the Underlying Supplement dated June 24, 2010,
Product Supplement No. U-I dated July 23, 2010,
Prospectus Supplement dated March 25, 2009 and
Prospectus dated March 25, 2009 |
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Filed Pursuant to Rule 433
Registration Statement No. 333-158199-10
July 29, 2010 |
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$
Performance Yield Notes due March 5, 2012
Linked to the Worst Performing of the S&P 500® Index, the Market Vectors Gold
Miners ETF and the Russell 2000® Index |
General
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- The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlyings. Investors
should be willing to lose some or all of their investment if a Knock-In Event occurs with respect to any Underlying. Any payment on the securities is subject to our ability to pay our
obligations as they become due.
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- Subject to Early Redemption, interest will be paid quarterly in arrears at a rate per annum that will be determined on the
relevant Observation Date and will depend on the performance of the Lowest Performing Underlying on such Observation Date. Interest will be calculated on a 30/360 basis.
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- Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing March 5,
2012.
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- Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples in excess thereof.
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- The securities are expected to price on or about August 31, 2010 (the "Trade Date") and are expected to settle on or
about September 3, 2010. Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
Key Terms
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Issuer: |
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Credit Suisse AG ("Credit Suisse"), acting through its Nassau Branch |
Underlyings: |
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Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level, Knock-In Level and Knock-Out Level: |
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Underlying |
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Ticker |
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Initial Level* |
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Knock-In Level** |
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Knock-Out Level*** |
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S&P 500 Index ("SPX") |
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SPX |
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Market Vectors Gold Miners ETF ("GDX") |
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GDX UP |
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Russell 2000 Index ("RTY") |
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RTY |
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* The Initial Level for each Underlying will be the closing level of such Underlying on the Trade Date. |
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** The Knock-In Level for each Underlying will be 70% of the Initial Level of such Underlying. |
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*** The Knock-Out Level for each Underlying will be 105% of the Initial Level of such Underlying. |
Interest Payment Dates |
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Unless redeemed earlier, interest will be paid quarterly in arrears at the Applicable Rate per annum on December 5, 2010, March 5, 2011, June 5, 2011, September 6, 2011, December 5, 2011 and the
Maturity Date, subject to the modified following business day convention. No interest will accrue or be payable following an Early Redemption. |
Applicable Rate: |
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The Applicable Rate per annum on each Interest Payment Date, calculated on a 30/360 basis, will equal the sum of 17.00% plus 17.00% multiplied by the Underlying Return of the Lowest Performing Underlying on the immediately
preceding Observation Date. The Applicable Rate is subject to a minimum of zero. |
Observation Dates: |
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December 1, 2010; March 2, 2011; June 1, 2011, August 31, 2011, November 30, 2011 and the Valuation Date. |
Lowest performing Underlying: |
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On any Observation Date, the Underlying with the lowest Underlying Return on such Observation Date. |
Underlying Return: |
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For each Underlying, the Underlying Return on any Observation Date will be calculated as follows: |
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Final Level Initial Level
Initial Level |
Final Level: |
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For any Underlying on any Observation Date, the closing level for such Underlying on such Observation Date. The closing level for the GDX is subject to adjustment for dilution events as described in the accompanying
product supplement. |
Redemption Amount: |
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At maturity, the Redemption Amount you will be entitled to receive will depend on the individual performance of each Underlying and whether a Knock-In Event has occurred. If the securities are not subject to Early
Redemption, the Redemption Amount will be determined as follows: |
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If a Knock-In Event occurs, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying on the Valuation Date.
In this case, the Redemption Amount will be less than or equal to $700 per $1,000 principal amount of securities and you could lose your entire investment. |
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If a Knock-In Event does not occur, the Redemption Amount will equal the principal amount of the securities you hold. |
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Any payment you will be entitled to receive at maturity is subject to our ability to pay our obligations as they become due. |
Knock-In Event: |
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On the Valuation Date, a Knock-In Event will occur if the closing level of any Underlying is less than or equal to its Knock-In Level. |
Early Redemption
Amount: |
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If an Early Redemption Event occurs, the securities will be redeemed on the relevant Interest Payment Date at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment
Date. |
Early Redemption Event: |
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On any Observation Date, an Early Redemption Event will occur if the closing level of each Underlying on such Observation Date is greater than its Knock-Out Level. |
Valuation Date: |
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February 29, 2012 |
Maturity Date: |
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March 5, 2012 |
Listing: |
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The securities will not be listed on any securities exchange. |
CUSIP: |
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22546EXP4 |
Each
scheduled Observation Date and the Valuation Date is subject to postponement in respect of each Underlying if such date is not an underlying business day for such
Underlying or as a result of a market disruption event in respect of such Underlying as described in the accompanying product supplement under "Description of the SecuritiesMarket
disruption events." Each Interest Payment Date and the Maturity Date is subject to postponement if such date is not a business day or if the corresponding Observation Date or the Valuation Date,
respectively, is postponed because it is not an underlying business day for any Underlying or as a result of a market disruption event in respect of any Underlying.
Investing in the securities involves a number of risks. See "Selected Risk Considerations" in this term sheet and "Risk Factors" beginning on page PS-3 of the
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 term sheet or the
accompanying underlying supplement, the product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.
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Price to Public
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Underwriting Discounts and Commissions(1)
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Proceeds to Issuer
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Per security |
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$1,000.00 |
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$ |
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$ |
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Total |
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$ |
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$ |
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$ |
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(1) An affiliate of ours may pay fees to some broker-dealers of up to $8 per $1,000 principal amount of
securities and may pay referral fees of up to $5 per $1,000 principal amount of securities in connection with the distribution of the securities. For more detailed information, please see
"Supplemental Plan of Distribution (Conflicts of Interest)" on the last page of this term sheet.
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)" on the last page of this term sheet.
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
July 29, 2010
Credit Suisse has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this term sheet
relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that Credit Suisse has filed with the SEC for more complete
information about Credit Suisse and this offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Credit Suisse or any agent or any
dealer participating in this offering will arrange to send you this term sheet, underlying supplement, product supplement, prospectus supplement and prospectus if you so request by calling
1-800-221-1037.
You may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer on the date the securities are priced. We reserve the right to
change the terms of, or reject any offer to purchase the securities prior to their issuance. In the event of any changes to the terms of the securities, 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 Securities
You should read this term sheet together with the underlying supplement dated June 24, 2010, the product supplement dated July 23,
2010, the prospectus supplement dated March 25, 2009 and the prospectus dated March 25, 2009, 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):
Our
Central Index Key, or CIK, on the SEC website is 1053092. As used in this term sheet, the "Company," "we," "us," or "our" refers to Credit Suisse. This term sheet, together with the documents
listed above, contain the terms of the securities and supersede 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. You should carefully consider, among other things,
the matters set forth in "Risk Factors" in the product supplement and "Selected Risk Considerations" in this term sheet, 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.
1
Hypothetical Redemption Amounts and Interest Payments on the Securities
The table and examples below illustrate hypothetical amounts payable and, in the case of the examples, interest paid on a $1,000 investment in the
securities for a range of Underlying Returns of the Lowest Performing Underlying. The table assumes that the securities are not redeemed prior to maturity. The table and examples reflect the
Knock-In Level for each Underlying of 70% of the Initial Level of such Underlying. In addition, the examples below assume that the Initial Level is 1115 for SPX, $49 for the GDX and 665
for the RTY. The table is intended to illustrate hypothetical Redemption Amounts at maturity. The examples are intended to illustrate hypothetical calculations of the interest payments on the
securities. The Redemption Amounts and interest payment amounts set forth below are provided for illustration purposes only. The actual Redemption Amounts and interest payments applicable to a
purchaser of the securities will depend on several variables, including, but not limited to (a) whether the closing level of any Underlying is greater than its respective Knock-Out
Level on any Observation Date and (b) the Final Level of the Lowest Performing Underlying determined on the relevant Observation Date. It is not possible to predict whether an Early Redemption
Event or a Knock-In Event will occur or whether the Final Level of the Lowest Performing Underlying on any Observation Date will be greater than or less than the Initial Level of such
Underlying. Any payment at maturity is subject to our ability to pay our obligations as they become due. The numbers appearing in the following table and examples have been rounded for ease of
analysis.
Table: Hypothetical Redemption Amounts payable at maturity on the securities.
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Principal Amount of
Securities |
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Underlying Return
of the Lowest
Performing Underlying |
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Redemption
Amount |
$1,000 |
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100% |
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$1,000 |
$1,000 |
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90% |
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$1,000 |
$1,000 |
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80% |
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$1,000 |
$1,000 |
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70% |
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$1,000 |
$1,000 |
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60% |
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$1,000 |
$1,000 |
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50% |
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$1,000 |
$1,000 |
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40% |
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$1,000 |
$1,000 |
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30% |
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$1,000 |
$1,000 |
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20% |
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$1,000 |
$1,000 |
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10% |
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$1,000 |
$1,000 |
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0% |
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$1,000 |
$1,000 |
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-10% |
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$1,000 |
$1,000 |
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-20% |
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$1,000 |
$1,000 |
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-30% |
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$700 |
$1,000 |
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-40% |
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$600 |
$1,000 |
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-50% |
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$500 |
$1,000 |
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-60% |
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$400 |
$1,000 |
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-70% |
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$300 |
$1,000 |
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-80% |
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$200 |
$1,000 |
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-90% |
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$100 |
$1,000 |
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-100% |
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$0 |
2
Example 1: An Early Redemption Event does not occur and a Knock-In Event does not occur.
First
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on First Observation Date |
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SPX |
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1115 |
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1170.75 |
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5 |
% |
GDX |
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$49 |
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$51.45 |
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5 |
% |
RTY |
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665 |
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631.75 |
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-5 |
% |
Since
the Underlying Return of the RTY on the first Observation Date is -5%, the RTY is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the first Interest
Payment Date will equal:
17.00% + (17.00%
× -5%) = 16.15%
The
Interest Payment on the first Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (16.15% × 90/360) = $40.38
Second
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Second Observation Date |
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SPX |
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1115 |
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1170.75 |
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5 |
% |
GDX |
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$49 |
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$46.55 |
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-5 |
% |
RTY |
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665 |
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698.25 |
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5 |
% |
Since
the Underlying Return of the GDX on the second Observation Date is -5%, the GDX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the second Interest
Payment Date will equal:
17.00% + (17.00%
× -5%) = 16.15%
The
Interest Payment on the second Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (16.15% × 90/360) = $40.38
Third
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Third Observation Date |
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SPX |
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1115 |
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1170.75 |
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5 |
% |
GDX |
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$49 |
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$53.90 |
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10 |
% |
RTY |
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665 |
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731.50 |
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10 |
% |
Since
the Underlying Return of the SPX on the third Observation Date is 5%, the SPX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the third Interest Payment Date
will equal:
17.00% + (17.00%
× 5%) = 17.85%
The
Interest Payment on the third Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (17.85% × 90/360) = $44.63
3
Fourth
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Fourth Observation Date |
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SPX |
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1115 |
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1059.25 |
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-5 |
% |
GDX |
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$49 |
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$46.55 |
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-5 |
% |
RTY |
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665 |
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598.50 |
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-10 |
% |
Since
the Underlying Return of the RTY on the fourth Observation Date is -10%, the RTY is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the fourth Interest
Payment Date will equal:
17.00% + (17.00%
× -10%) = 15.30%
The
Interest Payment on the fourth Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (15.30% × 90/360) = $38.25
Fifth
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Fifth Observation Date |
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SPX |
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1115 |
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1115 |
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0 |
% |
GDX |
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$49 |
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$46.55 |
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-5 |
% |
RTY |
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656 |
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665 |
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0 |
% |
Since
the Underlying Return of the GDX on the fifth Observation Date is -5%, the GDX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the fifth Interest
Payment Date will equal:
17.00% + (17.00%
× -5%) = 16.15%
The
Interest Payment on the fifth Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (16.15% × 90/360) = $40.38
Sixth
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Sixth Observation Date |
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SPX |
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1115 |
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1170.75 |
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5 |
% |
GDX |
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$49 |
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$49 |
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0 |
% |
RTY |
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665 |
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665 |
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0 |
% |
Since
the Underlying Returns of the GDX and the RTY on the sixth Observation Date are equal at 0% and are less than the Underlying Return of the SPX on the sixth Observation Date, either the GDX or
the RTY can be the Lowest Performing Underlying for the purpose of calculating the Applicable Rate. Therefore, the Applicable Rate per annum on the sixth Interest Payment Date will equal:
17.00% + (17.00%
× 0%) = 17.00%
The
Interest Payment on the sixth Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (17.00% × 90/360) = $42.50
In
Example 1, the securities pay interest on each Interest Payment Date and the total interest paid over the term of the securities is $246.52 per $1,000 principal amount of securities. In addition,
an
4
investor
would be entitled to receive a Redemption Amount at maturity equal to $1,000 per $1,000 principal amount of securities because a Knock-In Event has not occurred.
Example 2: An Early Redemption Event does not occur and a Knock-In Event occurs.
First
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on First Observation Date |
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SPX |
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1115 |
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1170.75 |
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5 |
% |
GDX |
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$49 |
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$51.45 |
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5 |
% |
RTY |
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665 |
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631.75 |
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-5 |
% |
Since
the Underlying Return of the RTY on the first Observation Date is -5%, the RTY is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the first Interest
Payment Date will equal:
17.00% + (17.00%
× -5%) = 16.15%
The
Interest Payment on the first Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (16.15% × 90/360) = $40.38
Second
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Second Observation Date |
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SPX |
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1115 |
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1170.75 |
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5 |
% |
GDX |
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$49 |
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$46.55 |
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-5 |
% |
RTY |
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665 |
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698.25 |
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5 |
% |
Since
the Underlying Return of the GDX on the second Observation Date is -5%, the GDX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the second Interest
Payment Date will equal:
17.00% + (17.00%
× -5%) = 16.15%
The
Interest Payment on the second Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (16.15% × 90/360) = $40.38
Third
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Third Observation Date |
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SPX |
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1115 |
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1170.75 |
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5 |
% |
GDX |
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$49 |
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$53.90 |
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10 |
% |
RTY |
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665 |
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731.50 |
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10 |
% |
Since
the Underlying Return of the SPX on the third Observation Date is 5%, the SPX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the third Interest Payment Date
will equal:
17.00% + (17.00%
× 5%) = 17.85%
The
Interest Payment on the third Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (17.85% × 90/360) = $44.63
5
Fourth
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
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Underlying Return on Fourth Observation Date |
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SPX |
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1115 |
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1059.25 |
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-5 |
% |
GDX |
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$49 |
|
$46.55 |
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-5 |
% |
RTY |
|
665 |
|
598.50 |
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-10 |
% |
Since
the Underlying Return of the RTY on the fourth Observation Date is -10%, the RTY is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the fourth Interest
Payment Date will equal:
17.00% + (17.00%
× -10%) = 15.30%
The
Interest Payment on the fourth Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (15.30% × 90/360) = $38.25
Fifth
Observation Date / Interest Payment Date
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Underlying |
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Initial Level |
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Final Level |
|
Underlying Return on Fifth Observation Date |
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SPX |
|
1115 |
|
1003.50 |
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|
-10 |
% |
GDX |
|
$49 |
|
$41.65 |
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|
-15 |
% |
RTY |
|
665 |
|
598.50 |
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-10 |
% |
Since
the Underlying Return of the GDX on the fifth Observation Date is -15%, the GDX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the fifth Interest
Payment Date will equal:
17.00% + (17.00%
× -15%) = 14.45%
The
Interest Payment on the fifth Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (14.45% × 90/360) = $36.13
Sixth
Observation Date / Interest Payment Date
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Underlying |
|
Initial Level |
|
Final Level |
|
Underlying Return on Sixth Observation Date |
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SPX |
|
1115 |
|
557.50 |
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|
-50 |
% |
GDX |
|
$49 |
|
$34.30 |
|
|
-30 |
% |
RTY |
|
665 |
|
399 |
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|
-40 |
% |
Since
the Underlying Return of the SPX on the sixth Observation Date is -50%, the SPX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the sixth Interest
Payment Date will equal:
17.00% + (17.00%
× -50%) = 8.50%
The
Interest Payment on the sixth Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (8.50% × 90/360) = $21.25
In
Example 2, the securities pay interest on each Interest Payment Date and the total interest paid over the term of the securities is $221.02 per $1,000 principal amount of securities. However, since
a Knock-In Event has occurred, an investor would be entitled to receive a Redemption Amount at maturity of only $500 per $1,000 principal amount of securities, based on the performance of
the Lowest Performing Underlying, calculated as follows:
6
Redemption
Amount = $1,000 × (1 + Underlying Return of Lowest Performing Underlying)
$1,000 × (1 + -50%) = $500.
Example 3: An Early Redemption Event occurs on the Fourth Observation Date.
First
Observation Date / Interest Payment Date
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Underlying |
|
Initial Level |
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Final Level |
|
Underlying Return on First Observation Date |
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SPX |
|
1115 |
|
1170.75 |
|
|
5 |
% |
GDX |
|
$49 |
|
$51.45 |
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|
5 |
% |
RTY |
|
665 |
|
631.75 |
|
|
-5 |
% |
Since
the Underlying Return of the RTY on the first Observation Date is -5%, the RTY is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the first Interest
Payment Date will equal:
17.00% + (17.00%
× -5%) = 16.15%
The
Interest Payment on the first Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (16.15% × 90/360) = $40.38
Second
Observation Date / Interest Payment Date
|
|
|
|
|
|
|
|
|
Underlying |
|
Initial Level |
|
Final Level |
|
Underlying Return on Second Observation Date |
|
SPX |
|
1115 |
|
1170.75 |
|
|
5 |
% |
GDX |
|
$49 |
|
$46.55 |
|
|
-5 |
% |
RTY |
|
665 |
|
698.25 |
|
|
5 |
% |
Since
the Underlying Return of the GDX on the second Observation Date is -5%, the GDX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the second Interest
Payment Date will equal:
17.00% + (17.00%
× -5%) = 16.15%
The
Interest Payment on the second Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (16.15% × 90/360) = $40.38
Third
Observation Date / Interest Payment Date
|
|
|
|
|
|
|
|
|
Underlying |
|
Initial Level |
|
Final Level |
|
Underlying Return on Third Observation Date |
|
SPX |
|
1115 |
|
1170.75 |
|
|
5 |
% |
GDX |
|
$49 |
|
$53.90 |
|
|
10 |
% |
RTY |
|
665 |
|
731.50 |
|
|
10 |
% |
Since
the Underlying Return of the SPX on the third Observation Date is 5%, the SPX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the third Interest Payment Date
will equal:
17.00% + (17.00%
× 5%) = 17.85%
The
Interest Payment on the third Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (17.85% × 90/360) = $44.63
7
Fourth
Observation Date / Interest Payment Date
|
|
|
|
|
|
|
|
|
Underlying |
|
Initial Level |
|
Final Level |
|
Underlying Return on Fourth Observation Date |
|
SPX |
|
1115 |
|
1282.25 |
|
|
15 |
% |
GDX |
|
$49 |
|
$56.35 |
|
|
15 |
% |
RTY |
|
665 |
|
731.50 |
|
|
10 |
% |
Since
the Underlying Return of the RTY on the fourth Observation Date is 10%, the RTY is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the fourth Interest Payment Date
will equal:
17.00% + (17.00%
× 10%) = 18.70%
The
Interest Payment on the fourth Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (18.70% × 90/360) = $46.75
In
Example 3, since the closing level of each Underlying on the fourth Observation Date is greater than its Knock-Out Level, an Early Redemption Event occurs and the securities are
redeemed on the fourth Interest Payment Date. An investor would be entitled to receive an Early Redemption Amount of $1,000 per $1,000 principal amount of securities, along with the final interest
payment due on the fourth Interest Payment Date. The total interest paid over the term of the securities is $172.14 per $1,000 principal amount of securities. No interest will accrue or be payable
following an Early Redemption Event.
Example 4: An Early Redemption Event has occurred on the First Observation Date.
First
Observation Date / Interest Payment Date
|
|
|
|
|
|
|
|
|
Underlying |
|
Initial Level |
|
Final Level |
|
Underlying Return on first Observation Date |
|
SPX |
|
1115 |
|
1226.50 |
|
|
10 |
% |
GDX |
|
$49 |
|
$56.35 |
|
|
15 |
% |
RTY |
|
665 |
|
764.75 |
|
|
15 |
% |
Since
the Underlying Return of the SPX on the first Observation Date is 10%, the SPX is the Lowest Performing Underlying. Therefore, the Applicable Rate per annum on the first Interest Payment Date
will equal:
17.00% + (17.00%
× 10%) = 18.70%
The
Interest Payment on the first Interest Payment Date = principal amount of the securities × (Applicable Rate × 90/360)
$1,000
× (18.70% × 90/360) = $46.75
In
Example 4, since the closing level of each Underlying on the first Observation Date is greater than its Knock-Out Level, an Early Redemption Event occurs and the securities are redeemed
on the first Interest Payment Date. An investor would be entitled to receive an Early Redemption Amount of $1,000 per $1,000 principal amount of securities, along with the final interest payment due
on the first Interest Payment Date. The total interest paid over the term of the securities is $46.75 per $1,000 principal amount of securities. No interest will accrue or be payable following an
Early Redemption Event.
8
Selected Risk Considerations
An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the Underlyings.
These risks are explained in more detail in the "Risk Factors" section of the accompanying product supplement.
-
- YOU MAY RECEIVE LESS THAN YOUR PRINCIPAL AMOUNT AT
MATURITY You may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any accrued or unpaid
interest. If the Final Level of any Underlying is less than its Knock-In Level, you will be fully exposed to any depreciation in the Lowest Performing Underlying. In this case, the
Redemption Amount you will be entitled to receive will be less than the principal amount of the securities, and you will lose your entire investment if the level of the Lowest Performing Underlying
falls to zero. It is not possible to predict whether a Knock-In Event will occur and, in the event that there is a Knock-In Event, whether and by how much the Final Level of
the Lowest Performing Underlying will decrease in comparison to its Initial Level. Any payment you will be entitled to receive at maturity is subject to our ability to pay our obligations as they
become due.
-
- THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS INTEREST AT THE APPLICABLE RATE,
AT MATURITY OR UPON EARLY REDEMPTION The securities will not pay more than the principal amount, plus interest, at maturity or upon early redemption. If
the Final Level of each Underlying is greater
than its respective Initial Level, you will not receive the appreciation of any Underlying. Furthermore, if the Final Level of any Underlying is less than its Knock-In Level, you will be
fully exposed to any depreciation in the Lowest Performing Underlying.
-
- INTEREST PAYMENTS ON THE SECURITIES MAY BE LIMITED
Your only return on the securities will be the quarterly interest payments paid at the Applicable Rate on each Interest Payment Date, subject to Early Redemption. The Applicable Rate will equal the
sum of 17.00% plus 17.00% multiplied by the Underlying Return of the Lowest Performing Underlying on the relevant Observation Date. If the closing level of the Lowest Performing Underlying on the
applicable Observation Date is less than its Initial Level, resulting in a negative Underlying Return for such Underlying, any such return will adversely affect the Applicable Rate. Under such
circumstances, the Applicable Rate will be less, and could be significantly less, than 17.00%. The quarterly interest payments 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.
-
- THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT
SUISSE Although the return on the securities will be based on the performance of the Underlyings, the payment of any amount due on the securities,
including any applicable interest payments, early redemption payment or payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependant on our ability to pay all amounts
due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market's view of our creditworthiness or any
increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
-
- IF A KNOCK-IN EVENT OCCURS, YOUR RETURN WILL BE BASED ON THE
INDIVIDUAL PERFORMANCE OF
THE LOWEST PERFORMING UNDERLYING If a Knock-In Event occurs, your return will be based on the individual performance of the Lowest Performing Underlying. In such case,
your return will be negative even if a Knock-In Event occurs with
respect to only one Underlying and the Final Level of only one Underlying is at
or below its Knock-In Level.
9
-
- THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO
ACCRUE INTEREST OVER THE FULL TERM OF THE SECURITIES The securities are subject to a potential early redemption. The securities may be redeemed on any
Interest Payment Date upon the occurrence of an Early Redemption Event. If the closing level of each Underlying is greater than its
Knock-Out Level on any Observation Date, an Early Redemption Event will occur. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal
amount of your securities and any accrued but unpaid interest payable at the Applicable Rate on that Interest Payment Date. In this case, you will lose the opportunity to continue to accrue and be
paid interest from the Early Redemption Date to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar
level of risk that yield as much interest as the securities.
-
- SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY
EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING Since the securities are linked to the performance of more than one Underlying, the
securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which the risk is
mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example,
in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the Underlyings as reflected by the basket return. Thus, the depreciation of any
Underlying could be mitigated by the appreciation of another Underlying, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest
performing of three Underlyings, the individual performance of each Underlying is not combined to calculate your return and the depreciation of any
Underlying is not mitigated by the appreciation of the other Underlyings. Instead, the Redemption Amount payable at maturity depends on the lowest performing of the three Underlyings to which the
securities are linked.
-
- THERE ARE RISKS ASSOCIATED WITH THE MARKET VECTORS GOLD MINERS
ETF Although shares of the Market Vectors Gold Miners ETF (the "Fund") are listed for trading on a national securities exchange and a number of similar
products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Fund or that
there will be liquidity in the trading market. The Fund is subject to management risk, which is the risk that a Fund's investment strategy, the implementation of which is subject to a number of
constraints, may not produce the intended results. Pursuant to the Fund's investment strategy or otherwise, the Fund's investment advisor may add, delete or substitute the equity securities held by
the Fund. Any of these actions could adversely affect the price of the shares of the Fund and consequently the value of the securities. For further information on the Fund, please refer to the
accompanying underlying supplement.
-
- THE PERFORMANCE OF THE MARKET VECTORS GOLD MINERS ETF MAY NOT CORRELATE TO THE PERFORMANCE OF ITS
TRACKED INDEX The Market Vectors Gold Miners ETF will generally invest in all of the equity securities included in the index tracked by the Fund (the
"Tracked Index"). There may, however, be instances where the Fund's investment advisor may choose to overweight another stock in the Tracked Index, purchase securities not included in the Tracked
Index that the investment advisor believes are appropriate to substitute for a security included in the Tracked Index or utilize various combinations of other available investment techniques in
seeking to track accurately the Tracked Index. In addition, the performance of the Fund will reflect additional transaction
10
costs
and fees that are not included in the calculation of the Tracked Index. Also, corporate actions with respect to the equity securities (such as mergers and spin-offs) may impact the
variance between the Fund and the Tracked Index. Finally, because the shares of the Fund are traded on a national securities exchange and are subject to market supply and investor demand, the market
value of one share of the Fund may differ from the net asset value per share of the Fund. For these reasons, the performance of the Fund may not correlate with the performance of the Tracked Index.
-
- RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES WITH CONCENTRATION IN A SINGLE
INDUSTRY The stocks comprising the NYSE Arca Gold Miners Index and that are generally tracked by the Market Vectors Gold Miners ETF are stocks of companies
primarily engaged in the mining of gold or silver. The shares of the Market Vectors Gold Miners ETF may be subject to increased price volatility as they are linked to a single industry, market or
sector and may be more susceptible to adverse economic, market, political or regulatory occurrences affecting that industry, market or sector. Because the Market Vectors Gold Miners ETF primarily
invests in stocks and ADRs of companies that are involved in the gold mining industry, and to a lesser extent the silver mining industry, the shares of the Market Vectors Gold Miners ETF are subject
to certain risks associated with such companies
Gold
mining companies are highly dependent on the price of gold and subject to competition pressures that may have a significant effect on their financial condition. Gold prices are subject to
volatile price movements over short periods of time and are affected by numerous factors. These include economic factors, including, among other things, the structure of and confidence in the global
monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is generally quoted), interest
rates and gold borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial or other events. Gold prices may also be affected by industry factors such as
industrial and jewelry demand, lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions which hold gold,
levels of gold production and production costs, and short-term changes in supply and demand because of trading activities in the gold market.
Silver
mining companies are highly dependant on the price of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general economic trends, technical
developments, substitution issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the
U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global or regional political or
economic events, and production costs and disruptions in major silver producing countries such as Peru, Mexico and China.
11
-
- ANTI-DILUTION PROTECTION IS LIMITED The
calculation agent will make anti-dilution adjustments for certain events affecting the shares of the Market Vectors Gold Miners ETF. However, the calculation agent will not make an
adjustment in response to all events that could affect the shares of the Market Vectors Gold Miners ETF. If an event occurs that does not require the calculation agent to make an adjustment, the value
of the securities may be materially and adversely affected. See "Description of the SecuritiesAnti-dilution adjustments for funds" in the accompanying product supplement.
-
- CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE SECURITIES
PRIOR TO MATURITY While the payment at maturity described in this term sheet is based on the full principal amount of your securities, the original issue
price of the securities includes the agent's commission and the cost of hedging our obligations under the securities through one or more of our affiliates. As a result, the price, if any, at which
Credit Suisse (or its affiliates), will be willing to purchase securities from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior
to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold
your securities to maturity.
-
- NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYINGS Your
return on the securities will not reflect the return you would realize if you actually owned shares of the Fund and the equity securities that comprise the Underlyings. The return on your investment,
which is based on the percentage change in the Underlyings, is not the same as the total return based on the purchase of shares of the Fund or the
equity securities that comprise the Underlyings.
-
- NO DIVIDEND PAYMENTS OR VOTING RIGHTS As a holder of
the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the shares of the Fund or the equity securities that comprise
the Underlyings.
-
- LACK OF LIQUIDITY The securities will not be listed
on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it
may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at
which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your
securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
-
- POTENTIAL CONFLICTS We and
our affiliates play a
variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. In performing these duties, the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
12
-
- MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE
SECURITIES In addition to the levels of the Underlyings on any day, the value of the securities will be affected by a number of economic and market factors
that may either offset or magnify each other, including:
- o
- the
expected volatility of the Underlyings;
- o
- the
time to maturity of the securities;
- o
- the
Early Redemption feature, which is likely to limit the value of the securities;
- o
- interest
and yield rates in the market generally;
- o
- global
gold and silver supply and demand, which is influenced by such factors as forward selling by gold and silver producers, purchases made by gold and
silver producers to unwind gold and silver hedge positions, central bank purchases and sales of gold, and production and cost levels in major gold-producing countries and in major silver-
producing countries;
- o
- investors'
expectations with respect to the rate of inflation;
- o
- the
occurrence of certain events to the Market Vectors Gold Miners ETF that may or may not require an anti-dilution adjustment;
- o
- geopolitical
conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings,
or markets generally and which may affect the levels of the Underlyings; and
- o
- our
creditworthiness, including actual or anticipated downgrades in our credit ratings.
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 Valuation Date) could adversely affect the value of the Underlyings and, as a
result, could decrease the amount you may receive on the securities at maturity. For further information, please refer to "Use of Proceeds and Hedging" in the accompanying product supplement.
13
Historical Information
The following graphs set forth the historical performance of the S&P 500 Index and the Russell 2000 Index based on the closing levels of such
Underlyings from January 1, 2005 through July 27, 2010 and the historical performance of the Market Vectors Gold Miners ETF based on the closing prices of one share of such Underlying
from May 22, 2006 through July 27, 2010. The closing level of the S&P 500 Index on July 27, 2010 was 1113.84. The closing price of one share of the Market Vectors Gold
Miners ETF on July 27, 2010 was $47.09. The closing level of the Russell 2000 Index on July 27, 2010 was 662.17. We obtained the closing levels and closing prices below from Bloomberg,
without independent verification. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg. You should not take the historical levels and
prices of the Underlyings as an indication of future performance of the Underlyings or the securities. The level of any of the Underlying may decrease so that a Knock-In Event occurs and
at maturity you will receive a Redemption Amount equal to less than the principal amount of the securities. Any payment on the securities is subject to our ability to pay our obligations as they
become due. We cannot give you any assurance that the closing levels of the Underlyings will remain above their respective Knock-In Levels. If the closing level of any Underlying on the
Valuation Date is less than or equal to its Knock-In Level, then you will lose money on your investment. For further information on the Underlyings, see "The Reference
IndicesThe S&P IndicesThe S&P 500® Index," "The Reference FundsThe Market Vectors Gold Minders ETF" and "The Reference IndicesThe
Russell 2000® Index" in the accompanying underlying supplement.
Historical Performance of the S&P 500 Index
14
Historical Performance of the Market Vectors
Gold Miners ETF
Historical Performance of the Russell 2000 Index
15
Certain United States Federal Income Tax Considerations
Interest Payments on the Securities
In accordance with the agreed-upon tax treatment described above, the portion of each coupon payment on the security that should be
treated as interest on the Deposit is 0.88315% per annum and the balance should be treated as put premium received by the U.S. Holder in respect of the Put Option to us (the "Put Premium").
We
will treat the Deposit as a debt obligation issued by us. Accordingly, we will treat each coupon payment as consisting of interest of 0.88315% per annum on the Deposit and the balance as Put
Premium paid to you. U.S. Holders should therefore include such interest component of the coupon in income as received or accrued, based on their method of accounting.
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
proposes to offer the securities at the offering price set forth on the cover page of this term sheet and will not receive a commission in connection with the sale of the securities. If all of
the securities are not sold at the initial offering price, CSSU may change the public offering price and other selling terms.
In
addition, Credit Suisse International, an affiliate of Credit Suisse, may pay fees to some broker-dealers of up to $8 per $1,000 principal amount of securities and may pay referral fees to other
broker-dealers of up to $5 per $1,000 principal amount of securities in connection with the distribution of the securities. 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.
CSSU
is our affiliate. In accordance with NASD Rule 2720, 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 the accompanying product supplement.
16
Credit Suisse
QuickLinks
Historical Performance of the S&P 500 Index
Historical Performance of the Market Vectors Gold Miners ETF
Historical Performance of the Russell 2000 Index
Credit Suisse