-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, CDyqdpl49NFiw2RzHDh+bVXBCr7axPen4t77XJfhkJv9lcctlvQ+NZd3KoXSUSSZ v+r5FedNbWgd9zgi89CRNw== 0001104659-10-059919.txt : 20101124 0001104659-10-059919.hdr.sgml : 20101124 20101124101439 ACCESSION NUMBER: 0001104659-10-059919 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 6 FILED AS OF DATE: 20101124 DATE AS OF CHANGE: 20101124 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CREDIT SUISSE AG CENTRAL INDEX KEY: 0001053092 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 000000000 STATE OF INCORPORATION: V8 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-158199-10 FILM NUMBER: 101213623 BUSINESS ADDRESS: STREET 1: PARADEPLATZ 8 CITY: ZURICH STATE: V8 ZIP: CH-8070 BUSINESS PHONE: 41 44 333 1111 MAIL ADDRESS: STREET 1: PARADEPLATZ 8 CITY: ZURICH STATE: V8 ZIP: CH-8070 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE / /FI DATE OF NAME CHANGE: 20050607 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE FIRST BOSTON / /FI DATE OF NAME CHANGE: 19980115 424B2 1 a10-21765_2424b2.htm 424B2

 

Pricing Supplement No. U240

To the Underlying Supplement dated June 24, 2010,
Product Supplement No. U-I dated October 18, 2010,
Prospectus Supplement dated March 25, 2009 and
Prospectus dated March 25, 2009

Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158199-10
November 22, 2010

 

 

   

 

$657,000

 

1 Year 9.00% per annum Callable Yield Notes due November 29, 2011 Linked to the Performance of the iShares FTSE/Xinhua China 25 Index Fund, the iShares MSCI Brazil Index Fund and the iShares MSCI Australia Index Fund

General

·

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.

·

Interest will be paid quarterly in arrears at a rate of 9.00% per annum. Interest will be calculated on a 30/360 basis, subject to Early Redemption.

·

The Issuer may redeem the securities, in whole but not in part, on any Interest Payment Date scheduled to occur on or after February 28, 2011. No interest will accrue or be payable following an Early Redemption.

·

Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing November 29, 2011.

·

Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples in excess thereof.

·

The securities priced on November 22, 2010 (the “Trade Date”) and are expected to settle on November 29, 2010. Delivery of the securities in book-entry form only will be made through The Depository Trust Company.

Key Terms

Issuer:

 

Credit Suisse AG ("Credit Suisse"), acting through its Nassau Branch

Underlyings:

 

Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Knock-In Level:

 

 

Underlying

Ticker

Initial Level

Knock-In Level

 

 

iShares FTSE/Xinhua China 25 Index Fund ("FXI")

FXI UP

44.48

28.912

 

 

iShares MSCI Brazil Index Fund ("EWZ")

EWZ UP

76.35

49.6275

 

 

iShares MSCI Australia Index Fund ("EWA")

EWA UP

24.59

15.9835

Interest Rate:

 

9.00% per annum. Interest will be calculated on a 30/360 basis.

Interest Payment Dates:

 

Unless redeemed earlier, interest will be paid quarterly in arrears on February 28, 2011, May 28, 2011, August 28, 2011 and the Maturity Date, subject to the modified following business day convention. No interest will accrue or be payable following an Early Redemption.

Redemption Amount:

 

At maturity, the Redemption Amount you will be entitled to receive will depend on the individual performance of each Underlying and whether a Knock-In Event occurs. If the securities are not subject to Early Redemption, the Redemption Amount will be determined as follows:

 

 

·   If a Knock-In Event occurs during the Observation Period, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying. In this case, the maximum Redemption Amount will equal the principal amount of the securities. Therefore, unless the Final Level of each of the Underlyings is greater than or equal to its Initial Level, the Redemption Amount will be less than the principal amount of the securities and you could lose your entire investment.

 

 

·   If a Knock-In Event does not occur during the Observation Period, the Redemption Amount will equal the principal amount of the securities you hold.

 

 

Any payment you will be entitled to receive at maturity is subject to our ability to pay our obligations as they become due.

Early Redemption:

 

The Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after February 28, 2011 upon at least three business days notice at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment Date.

Knock-In Event:

 

A Knock-In Event will occur if the closing level of any Underlying reaches or falls below the Knock-In Level for that Underlying on any trading day during the Observation Period.

Knock-In Level:

 

 For each Underlying, as set forth in the table above.

Lowest Performing Underlying:

 

The Underlying with the lowest Underlying Return.

Underlying Return:

 

For each Underlying, the Underlying Return will be calculated as follows:

 

 

 

Final Level – Initial Level

   ; subject to a maximum of zero

 

 

 

 

Initial Level

 

Initial Level:

 

For each Underlying, as set forth in the table above.  

Final Level:

 

For each Underlying, the closing level of such Underlying on the Valuation Date.

Observation Period:

 

The period from but excluding the Trade Date to and including the Valuation Date.

Valuation Date:

 

November 23, 2011

Maturity Date:

 

November 29, 2011

Listing:

 

The securities will not be listed on any securities exchange.

CUSIP:

 

22546EG65

The Valuation Date for any Underlying is subject to postponement if such date is not an underlying business day for such Underlying or as a result of a market disruption event in respect to such Underlying and the Maturity Date is subject to postponement if such date is not a business day or if the Valuation Date for any Underlying is postponed, in each case as described in the accompanying product supplement under the "Description of the Securities-Market disruption events."

 

Investing in the securities involves a number of risks. See “Selected Risk Considerations” in this pricing supplement 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 pricing supplement or the accompanying underlying supplement, the product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.

 

 

Price to Public

Underwriting Discounts and Commissions (1)

Proceeds to Issuer

Per security

$1,000.00

$22.50

$977.50

Total

$657,000.00

$13,537.50

$643,462.50

(1)  We or one of our affiliates will pay varying discounts and commissions of between $20.00 and $22.50 per $1,000 principal amount of securities in connection with the distribution of the securities, for total underwriting discounts and commissions of $13,537.50. In addition, an affiliate of ours will pay referral fees of up to $5.00 per $1,000 principal amount of securities. For more detailed information, please see ‘‘Supplemental Plan of Distribution (Conflicts of Interest)’’ on the last page of 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)’’ on the last page of 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.

 

CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee

Notes

$657,000

$46.84

 

Credit Suisse

November 22, 2010

 


 


 

Additional Terms Specific to the Securities

 

You should read this pricing supplement together with the underlying supplement dated June 24, 2010, the product supplement dated October 18, 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):

 

·                  Underlying supplement dated June 24, 2010:

 

http://www.sec.gov/Archives/edgar/data/1053092/000104746910006110/a2199225z424b2.htm

 

·                  Product supplement No. U-I dated October 18, 2010:

 

http://www.sec.gov/Archives/edgar/data/1053092/000095010310003007/dp19604_424b2-ui.htm

 

·                  Prospectus supplement dated March 25, 2009:

 

http://www.sec.gov/Archives/edgar/data/1053092/000104746909003093/a2191799z424b2.htm

 

·                  Prospectus dated March 25, 2009:

 

http://www.sec.gov/Archives/edgar/data/1053092/000104746909003289/a2191966z424b2.htm

 

 

Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, the “Company,” “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. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the product supplement and “Selected Risk Considerations” in this pricing supplement, 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 Total Payments on the Securities

 

The tables and examples below illustrate hypothetical Redemption Amounts payable at maturity and, in the case of the tables, total payments over the term of the securities (which include both payments at maturity and the total interest paid on the securities) on a $1,000 investment in the securities for a range of Underlying Returns for the Lowest Performing Underlying, both in the event a Knock-In Event does not occur and in the event a Knock-In Event does occur. The tables and examples reflect that the Interest Rate applicable to the securities is 9.00% per annum and assume that (i) the securities are not redeemed prior to maturity, (ii) the term of the securities is exactly one year and (iii) the Knock-In Level for each Underlying is 65% of the Initial Level for such Underlying. In addition, the examples below assume that the Initial Level is $44 for FXI, $76 for EWZ and $25 for EWA. The examples are intended to illustrate hypothetical calculations of only the Redemption Amount and do not illustrate the calculation or payment of any individual interest payment. The Redemption Amounts and total payment amounts set forth below are provided for illustration purposes only. The actual Redemption Amounts and total 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 less than or equal to its respective Knock-In Level on any trading day during the Observation Period and (b) the Final Level of the Lowest Performing Underlying determined on the Valuation Date. 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 is subject to our ability to pay our obligations as they become due. The numbers appearing in the following tables and examples have been rounded for ease of analysis.

 

 

TABLE 1:    A Knock-In Event DOES NOT occur during the Observation Period.

 

Percentage

 

 

 

 

 

 

 

 

Change from the

 

 

 

 

 

 

 

 

Initial Level to

 

Underlying

 

Redemption Amount per

 

 

 

Total

the Final Level

 

Return of the

 

$1,000 Principal Amount

 

Total Interest

 

Payment per

for the Lowest

 

Lowest

 

of Securities

 

Payment per $1,000

 

$1,000 Principal

Performing

 

Performing

 

(Knock-In Event

 

Principal Amount of

 

Amount of

Underlying

 

Underlying

 

does not occur)

 

Securities

 

Securities

50%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

40%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

30%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

20%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

10%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

0%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

-10%

 

-10%

 

$1,000

 

$90.00

 

$1,090.00

-20%

 

-20%

 

$1,000

 

$90.00

 

$1,090.00

-30%

 

-30%

 

$1,000

 

$90.00

 

$1,090.00

-34.99%

 

-34.99%

 

$1,000

 

$90.00

 

$1,090.00

 

2



 

TABLE 2:  A Knock-In Event DOES occur during the Observation Period.

 

Percentage
Change from the
Initial Level to
the Final Level
for the Lowest
Performing
Underlying

 

Underlying
Return of the
Lowest
Performing
Underlying

 

Redemption Amount per
$1,000 Principal Amount
of Securities
(Knock-In Event occurs)

 

Total Interest
Payment per $1,000
Principal Amount
of Securities

 

Total
Payment per
$1,000 Principal
Amount of
Securities

50%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

40%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

30%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

20%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

10%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

0%

 

0%

 

$1,000

 

$90.00

 

$1,090.00

-10%

 

-10%

 

$900

 

$90.00

 

$990.00

-20%

 

-20%

 

$800

 

$90.00

 

$890.00

-30%

 

-30%

 

$700

 

$90.00

 

$790.00

-40%

 

-40%

 

$600

 

$90.00

 

$690.00

-50%

 

-50%

 

$500

 

$90.00

 

$590.00

 

 

 

 

 

Example 1: A Knock-In Event occurs because the closing level of one Underlying reaches its Knock-In Level during the Observation Period; and the Final Level of the Lowest Performing Underlying is less than its Initial Level.

 

Underlying

 

Initial Level

 

Lowest closing level of the Underlying
     during the Observation Period     

 

Final Level on the Valuation Date

FXI

 

$44

 

$44.00 (100% of Initial Level)

 

$48.40 (110% of Initial Level)

EWZ

 

$76

 

$68.40 (90% of Initial Level)

 

$83.60 (110% of Initial Level)

EWA

 

$25

 

$16.25 (65% of Initial Level)

 

$16.25 (65% of Initial Level)

 

Since the closing level of EWA reaches its Knock-In Level during the Observation Period, a Knock-In Event occurs. EWA is also the Lowest Performing Underlying. 

 

Therefore, the Underlying Return of the Lowest Performing Underlying will equal:

 

Final Level of EWA      —      Initial Level of EWA

 

; subject to a maximum of 0.00

Initial Level of EWA

 

 

= ($16.25 – $25)/$25 = -0.35

 

Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)

 

= $1,000 x (1 – 0.35) = $650

 

3



 

Example 2: A Knock-In Event occurs because the closing level of one Underlying reaches its Knock-In Level during the Observation Period; the Lowest Performing Underlying never reaches or falls below its Knock-In Level during the Observation Period; and the Final Level of the Lowest Performing Underlying is less than its Initial Level.

 

  Underlying  

 

Initial Level   

 

Lowest closing level of the Underlying
      during the Observation Period      

 

Final Level on the Valuation Date

 

 

 

 

 

 

 

FXI

 

$44

 

$28.60 (65% of Initial Level)

 

$48.40 (110% of Initial Level)

 

 

 

 

 

 

 

EWZ

 

$76

 

$68.40 (90% of Initial Level)

 

$83.60 (110% of Initial Level)

 

 

 

 

 

 

 

EWA

 

$25

 

$18.00 (72% of Initial Level)

 

$18.00 (72% of Initial Level)

 

Since the closing level of FXI reaches its Knock-In Level during the Observation Period, a Knock-In Event occurs. EWA is the Lowest Performing Underlying, even though its closing level never reaches or falls below its Knock-In Level during the Observation Period. 

 

Therefore, the Underlying Return of the Lowest Performing Underlying will equal:

 

Final Level of EWA      —      Initial Level of EWA

 

; subject to a maximum of 0.00

Initial Level of EWA

 

 

= ($18.00 – $25)/$25 = -0.28

 

Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)

 

= $1,000 x (1 – 0.28) = $720

 

Example 3: A Knock-In Event occurs because the closing level of one Underlying reaches its Knock-In Level during the Observation Period; and the Final Level of the Lowest Performing Underlying is greater than its Initial Level.

 

Underlying

 

Initial Level

 

Lowest closing level of the Underlying
during the Observation Period

 

Final Level on the Valuation Date

 

 

 

 

 

 

 

FXI

 

$44

 

$28.60 (65% of Initial Level)

 

$48.40 (110% of Initial Level)

 

 

 

 

 

 

 

EWZ

 

$76

 

$72.20 (95% of Initial Level)

 

$91.20 (120% of Initial Level)

 

 

 

 

 

 

 

EWA

 

$25

 

$22.50 (90% of Initial Level)

 

$30.00 (120% of Initial Level)

 

Since the closing level of FXI reaches its Knock-In Level, a Knock-In Event occurs. FXI is also the Lowest Performing Underlying. 

 

Therefore, the Underlying Return of the Lowest Performing Underlying will equal:

 

Final Level of FXI      —      Initial Level of FXI

 

; subject to a maximum of 0.00

Initial Level of FXI

 

 

= ($48.40 – $44)/$44 = 0.10

 

BUT 0.10 is greater than the maximum of 0.00, so the Underlying Return of the Lowest Performing Underlying is 0.00.

 

Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)

 

= $1,000 x (1 + 0.00) = $1,000

 

4



 

 

Example 4: A Knock-In Event does not occur.

 

Underlying

 

Initial Level

 

Lowest closing level of the Underlying
during the Observation Period

 

Final Level on the Valuation Date

 

 

 

 

 

 

 

FXI

 

$44

 

$31.68 (72% of Initial Level)

 

$48.40 (110% of Initial Level)

 

 

 

 

 

 

 

EWZ

 

$76

 

$55.48 (73% of Initial Level)

 

$83.60 (110% of Initial Level)

 

 

 

 

 

 

 

EWA

 

$25

 

$18.50 (74% of Initial Level)

 

$27.50 (110% of Initial Level)

 

Since the closing level of each Underlying did not reach or fall below its Knock-In Level during the Observation Period, a Knock-In Event does not occur. 

 

Therefore, the Redemption Amount equals $1,000.

 

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 THE 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 a Knock-In Event occurs during the Observation Period and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will be fully exposed to any depreciation in the Lowest Performing Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur, and in the event that there is a Knock-In Event, 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 ACCRUED AND UNPAID INTEREST, AT MATURITY OR UPON EARLY REDEMPTION — The securities will not pay more than the principal amount, plus accrued and unpaid interest, at maturity or upon early redemption. If the Final Level of each Underlying is greater than its respective Initial Level (regardless of whether a Knock-In Event has occurred), you will not receive the appreciation of any Underlying. Assuming the securities are held to maturity and the term of the securities is exactly 1 year, the maximum amount payable with respect to the securities will not exceed $1,090.00 for each $1,000 principal amount of the securities.

 

·                  THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Although the return on the securities will be based on the performance of the Underlyings, the payment of any amount due on the securities, including any applicable 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.

 

·                  THE REDEMPTION AMOUNT PAYABLE AT MATURITY WILL BE LESS THAN THE PRINCIPAL AMOUNT OF THE SECURITIES EVEN IF A KNOCK-IN EVENT OCCURS WITH RESPECT TO ONLY ONE UNDERLYING AND THE FINAL LEVEL OF ONLY ONE UNDERLYING FALLS BELOW ITS INITIAL LEVEL — Even if the closing level of only one Underlying reaches or falls below its Knock-In Level on any trading day during the Observation Period, a Knock-In Event will have occurred. In this case, the Redemption Amount payable at maturity will be less than the principal amount of the securities if, in addition to the occurrence of a Knock-In Event, the Final

 

5



 

Level of just one Underlying falls below its Initial Level. This will be true even if the closing level of the Lowest Performing Underlying never reached or fell below its Knock-In Level on any trading day during the Observation Period.

 

·                  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 scheduled to occur on or after February 28, 2011 upon at least three business days notice. 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 on such Interest Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid interest from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much interest as the securities.

 

·                  SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING — Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which case the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing of each of two Underlyings, the individual performance of each Underlying is not combined to calculate your return and the depreciation of either Underlying is not mitigated by the appreciation of the other Underlying. Instead, if a Knock-In Event occurs, the Redemption Amount payable at maturity will depend on the lowest performing of the two Underlyings to which the securities are linked.

 

·                  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 pricing supplement 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.

 

·                  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.

 

6



 

·      MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES —  In addition to the levels of the Underlyings on any trading day during the Observation Period, 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                 investors’ expectations with respect to the rate of inflation;

o                 geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings, or markets generally and which may affect the levels of the Underlyings;

o                 the exchange rates and the volatility of the exchange rates between the U.S. dollar and foreign currencies, to extent that any of the equity securities comprising the Underlyings are denominated in a currency other than the U.S. dollar; and

o                 our creditworthiness, including actual or anticipated downgrades in our credit ratings.

Some or all of these factors may influence the price that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.

 

·      NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYINGS — Your return on the securities will not reflect the return you would realize if you actually owned the Underlyings or 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 you would receive based on the purchase of the Underlyings 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 shares of the Underlyings or the equity securities that comprise the Underlyings.

 

·      ANTI-DILUTION PROTECTION IS LIMITED — The calculation agent will make anti-dilution adjustments for certain events affecting the shares of each Underlying. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of each Underlying. 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 Securities—Anti-dilution adjustments for funds” in the accompanying product supplement.

 

·      THERE ARE RISKS ASSOCIATED WITH EACH UNDERLYING — Although shares of each Underlying 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 Underlyings or that there will be liquidity in the trading market. Each Underlying is subject to management risk, which is the risk that its investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Pursuant to each Underlying’s investment strategy or otherwise, its investment advisor may add, delete or substitute the equity securities held by such Underlying. Any of these actions could adversely affect the price of the shares of each Underlying and consequently the value of the securities. For further information on each Underlying, please refer to the accompanying underlying supplement.

 

7



 

·      THE PERFORMANCE OF EACH UNDERLYING MAY NOT CORRELATE TO THE PERFORMANCE OF EACH UNDERLYING’S RESPECTIVE TRACKED INDEX — Each Underlying will generally invest in all of the equity securities included in the index tracked by such Underlying (for each Underlying, its “Tracked Index”). There may, however, be instances where each Underlying’s investment advisor may choose to overweight another stock in such Underlying’s Tracked Index, purchase securities not included in such Underlying’s Tracked Index that the investment advisor believes are appropriate to substitute for a security included in such Tracked Index or utilize various combinations of other available investment techniques in seeking to track accurately such Tracked Index. In addition, the performance of each Underlying will reflect additional transaction costs and fees that are not included in the calculation of such Underlying’s Tracked Index. Also, corporate actions with respect to the equity securities included in each Tracked Index (such as mergers and spin-offs) may impact the variance between each Underlying and their respective Tracked Index. Finally, because the shares of each Underlying are traded on a national securities exchange and are subject to market supply and investor demand, the market value of one share of each Underlying may differ from the net asset value per share of such Underlying. For all of the foregoing reasons, the performance of each Underlying may not correlate with the performance of its Tracked Index.

 

·      NON-U.S. SECURITIES MARKETS RISKS — The stocks comprising the Underlyings are issued by foreign companies in foreign securities markets. These stocks may be more volatile than domestic stocks and may be subject to different political, market, economic, exchange rate, regulatory and other risks which may have a negative impact on the performance of the securities.

 

·      CURRENCY EXCHANGE RISK — The securities, which are denominated in U.S. dollars, are subject to currency exchange risk through their exposure to the performance of the Underlyings, which measure the performance of certain foreign stocks. Currency markets may be highly volatile, particularly in relation to emerging or developing nations’ currencies and, in certain market conditions, also in relation to developed nations’ currencies. Significant changes, including changes in liquidity and prices, can occur in such markets within very short periods of time. Foreign currency rate risks include, but are not limited to, convertibility risk and market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or particular transactions in foreign currency. These factors may adversely affect the values of the equity securities comprising Underlyings, the levels of the Underlyings and the value of the securities.

 

8



 

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.

 

Historical Information

 

The following graphs set forth the historical performance of the iShares FTSE/Xinhua China 25 Index Fund based on the closing levels of one share of such Underlying from January 1, 2005 through November 22, 2010, the historical performance of the iShares MSCI Brazil Index Fund based on the closing levels of one share of such Underlying from January 1, 2005 through November 22, 2010 and the historical performance of the iShares MSCI Australia Index Fund based on the closing levels of one share of such Underlying from January 1, 2005 through November 22, 2010. The closing level of one share of the iShares FTSE/Xinhua China 25 Index Fund on November 22, 2010 was $44.48. The closing level of one share of the iShares MSCI Brazil Index Fund on November 22, 2010 was $76.35. The closing level of one share of the iShares MSCI Australia Index Fund on November 22, 2010 was $24.59. We obtained the closing levels 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 of the Underlyings as an indication of future performance of the Underlyings or the securities. The levels of any of the Underlyings 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 you will be entitled to receive 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 during the Observation Period. If the closing level of any Underlying reaches or falls below its Knock-In Level on any trading day during the Observation Period, and the closing level of the Lowest Performing Underlying on the Valuation Date is less than its Initial Level, then you will lose money on your investment.

 

For further information on the Underlyings, please refer to the accompanying underlying supplement.

 

 

Historical Performance of the

iShares FTSE/Xinhua China 25 Index Fund

GRAPHIC

 

9



 

Historical Performance of the

iShares MSCI Brazil Index Fund

GRAPHIC

 

Historical Performance of the

iShares MSCI Australia Index Fund

GRAPHIC

 

10



 

Supplemental Information Regarding Certain United States Federal Income Tax Considerations

 

The amount of the stated interest rate on the security that constitutes interest on the Deposit (as defined in the accompanying product supplement) equals 0.441%, and the remaining balance constitutes the Option Premium (as defined in the accompanying product supplement).  Please refer to “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement.

 

 

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 pricing supplement and will receive underwriting discounts and commissions of between $20.00 and $22.50 per $1,000 principal amount of securities, for total underwriting discounts and commissions of $13,537.50. 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.

In addition, Credit Suisse International, an affiliate of Credit Suisse will pay referral fees of up to $5.00 per $1,000 principal amount of 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.

The agent for this offering, 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.

We expect that delivery of the securities will be made against payment for the securities on or about November 29, 2010, which will be the fourth business day following the Trade Date for the securities (this settlement cycle being referred to as T+4). Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade the securities on the Trade Date will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisors.

 

11



 

Credit Suisse

 


 

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