The information in this preliminary
pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell these securities
and it is not soliciting an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated May 29, 2013.
Preliminary Pricing Supplement No. U852
To the Underlying Supplement dated November 19, 2012,
Product Supplement No. U-I dated March 23, 2012,
Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
May 29, 2013
|
|
$
High/Low Coupon Callable Yield Notes due December
29, 2014
Linked to the Performance of the Russell 2000
®
Index, the United States Oil Fund, LP and the Market Vectors Gold
Miners ETF
|
|
|
|
|
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 per annum that will depend on whether a Knock-In Event occurs. If a Knock-In
Event does not occur, interest will be paid at an Applicable Rate that is expected to be between 10.00% and 12.00% per annum (to
be determined on the Trade Date). If a Knock-In Event occurs during any Observation Period, interest for the corresponding interest
period and each subsequent interest period will be paid at an Applicable Rate that is expected to be 1.00% per annum (to be determined
on the Trade Date). 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
September 30, 2013. No interest will accrue or be payable following an Early Redemption.
|
|
|
•
|
Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing December 29, 2014.
†
|
|
|
•
|
Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
|
|
|
•
|
The securities are expected to price on or about June 25, 2013 (the “Trade Date”) and are expected to settle on
or about June 28, 2013 (the “Settlement Date”). 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
|
|
|
Russell 2000
®
Index ("RTY")
|
RTY <Index>
|
|
|
|
|
United States Oil Fund, LP ("USO")
|
USO UP <Equity>
|
|
|
|
|
Market Vectors Gold Miners ETF ("GDX")
|
GDX UP <Equity>
|
|
|
|
Applicable Rate:
|
•
|
If a Knock-In Event does not occur, the Applicable Rate is expected to be between 10.00% and 12.00% per annum (to be determined on the Trade Date).
|
|
|
•
|
If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding interest period and each subsequent interest period is expected to be 1.00% per annum (to be determined on the Trade Date).
|
|
|
Interest will be calculated on a 30/360 basis.
|
|
Interest Payment Dates:
|
Unless redeemed earlier, interest will be paid quarterly in arrears at the Applicable Rate per annum on September 30, 2013, December 30, 2013, March 28, 2014, June 30, 2014, September 29, 2014 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:
|
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. Subject to Early Redemption, the Redemption Amount will be determined as follows:
|
|
|
•
|
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. 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. You could lose your entire investment.
|
|
|
•
|
If a Knock-In Event does not occur, the Redemption Amount will equal the principal amount of the securities you hold.
|
|
|
Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
|
Early Redemption:
|
Prior to the Maturity Date, the Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after September 30, 2013, upon notice on or before the relevant Early Redemption Notice Date at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment Date.
|
|
Early Redemption Notice Dates:
|
Notice of Early Redemption will be provided prior to the relevant Interest Payment Date on or before September 25, 2013, December 24, 2013, March 25, 2014, June 25, 2014 or September 24, 2014, as applicable.
|
|
Knock-In Event:
|
A Knock-In Event will occur if, on any trading day during any Observation Period, the closing level of any Underlying is equal to or less than its Knock-In Level.
|
|
Knock-In Level:
|
The Knock-In Level for each Underlying will be approximately 58.0% of the Initial Level of such Underlying (to be determined on the Trade Date).
|
|
Lowest Performing Underlying:
|
The Underlying with the lowest Underlying Return.
|
|
|
|
|
|
|
|
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
|
$
|
$
|
|
Total
|
$
|
$
|
$
|
(1) We or one of our affiliates may pay varying discounts and commissions
of between $20.00 and $22.50 per $1,000 principal amount of securities. In addition, an affiliate of ours may pay referral fees
of up to $5.50 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.
Credit Suisse currently estimates the value of each $1,000 principal
amount of the securities on the Trade Date will be between $935.00 and $970.00 (as determined by reference to our pricing models
and the rate we are currently paying to borrow funds through issuance of the securities (our “internal funding rate”)).
This range of estimated values reflects terms that are not yet fixed. A single estimated value reflecting final terms will be determined
on the Trade Date. See “Selected Risk Considerations” in this pricing supplement.
The securities are not deposit liabilities and are not insured
or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or
any other jurisdiction.
Credit Suisse
|
June , 2013
|
(continued on next page)
|
(continued from previous page)
|
Underlying Return:
|
For each Underlying, the Underlying Return will be calculated as follows:
|
|
|
|
Final Level − Initial Level
Initial Level
|
, subject to a maximum of zero
|
|
Initial Level:*
|
For each Underlying, the closing level of such Underlying on the Trade Date.
|
|
Final Level:
|
For each Underlying, the closing level of such Underlying on the Valuation Date.
|
|
Observation Periods:
|
There are six quarterly Observation Periods. The first Observation Period will be from but excluding the Trade Date to and including the first Observation Date. Each subsequent Observation Period will be from but excluding an Observation Date to and including the next following Observation Date.
|
|
Observation Dates:
†
|
September 25, 2013, December 24, 2013, March 25, 2014, June 25, 2014, September 24, 2014 and the Valuation Date.
|
|
Valuation Date:
†
|
December 23, 2014
|
|
Maturity Date:
†
|
December 29, 2014
|
|
Listing:
|
The securities will not be listed on any securities exchange.
|
|
CUSIP:
|
22547Q3J3
|
* In the event that the closing level for any Underlying
is not available on the Trade Date, the Initial Level for such Underlying will be determined on the immediately following trading
day on which a closing level is available.
†
The determination of the closing level
for each Underlying on each Observation Date, other than the Valuation Date, is subject to postponement if such date is not a trading
day for such Underlying or as a result of a market disruption event in respect of such Underlying, as described herein under “Market
Disruption Events.” 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 Securities—Market disruption events.” The Interest
Payment Dates including the Maturity Date are subject to postponement, each as described herein, if such date is not a business
day or if the determination of the closing level for any Underlying on the corresponding Observation Date, including the Valuation
Date, is postponed because such date is not a trading day or an underlying business day for any Underlying, as applicable, or as
a result of a market disruption event in respect of any Underlying.
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 pricing supplement together with the
underlying supplement dated November 19, 2012, the product supplement dated March 23, 2012, the prospectus supplement dated March
23, 2012 and the prospectus dated March 23, 2012 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 November 19, 2012:
|
http://www.sec.gov/Archives/edgar/data/1053092/000095010312006212/dp34349_424b2-eus.htm
|
|
•
|
Product supplement No. U-I dated March 23, 2012:
|
http://www.sec.gov/Archives/edgar/data/1053092/000095010312001501/dp29492_424b2-ui.htm
|
|
•
|
Prospectus supplement and Prospectus dated March 23, 2012:
|
http://www.sec.gov/Archives/edgar/data/1053092/000104746912003186/a2208088z424b2.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.
Hypothetical Redemption Amounts and Total
Payments on the Securities
The tables and examples below illustrate, for a $1,000 investment
in the securities, hypothetical Redemption Amounts payable at maturity for a range of Underlying Returns for the Lowest Performing
Underlying 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), 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 assume that (i) the securities are not redeemed prior to maturity, (ii) the Applicable Rate
is 11.00% per annum if a Knock-In Event does not occur (the midpoint of the expected range set forth on the cover of this pricing
supplement) and 1.00% per annum for the corresponding interest period and each subsequent interest period if a Knock-In Event occurs,
(iii) the term of the securities is exactly 18 months and (iv) the Knock-In Level for each Underlying is 58.0% of the Initial Level
of such Underlying. 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 on any trading day during any Observation
Period the closing level of any Underlying is equal to or less than its Knock-In Level 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. You should consider carefully whether the securities are suitable to your investment goals. Any payment on
the securities is subject to our ability to pay our obligations as they become due. The numbers appearing in the tables and the
examples below have been rounded for ease of analysis.
TABLE 1:
A Knock-In Event DOES NOT occur.
|
Principal
Amount
of Securities
|
Percentage
Change from the Initial Level to the Final Level of the Lowest Performing Underlying
|
Underlying
Return of the Lowest Performing Underlying
|
Redemption
Amount
(Knock-In Event
does
not
occur)
|
Total
Interest
Payment on
the Securities
|
Total
Payment
on the Securities
|
|
$1,000.00
|
50.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
40.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
30.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
20.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
10.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
0.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
−10.00%
|
−10.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
−20.00%
|
−20.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
−30.00%
|
−30.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
−40.00%
|
−40.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
|
$1,000.00
|
−41.99%
|
−41.99%
|
$1,000.00
|
$165.00
|
$1,165.00
|
TABLE 2:
A Knock-In Event OCCURS.
|
Principal
Amount
of Securities
|
Percentage
Change from the Initial Level to the Final Level of the Lowest Performing Underlying
|
Underlying
Return of the Lowest Performing Underlying
|
Redemption
Amount (Knock-In Event occurs)
|
Total
Interest Payments on the Securities
|
|
$1,000.00
|
50.00%
|
0.00%
|
$1,000.00
|
(See table below)
|
|
$1,000.00
|
40.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
30.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
20.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
10.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
0.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
−10.00%
|
−10.00%
|
$900.00
|
|
$1,000.00
|
−20.00%
|
−20.00%
|
$800.00
|
|
$1,000.00
|
−30.00%
|
−30.00%
|
$700.00
|
|
$1,000.00
|
−40.00%
|
−40.00%
|
$600.00
|
|
$1,000.00
|
−50.00%
|
−50.00%
|
$500.00
|
|
$1,000.00
|
−60.00%
|
−60.00%
|
$400.00
|
|
|
$1,000.00
|
−70.00%
|
−70.00%
|
$300.00
|
|
|
$1,000.00
|
−80.00%
|
−80.00%
|
$200.00
|
|
|
$1,000.00
|
−90.00%
|
−90.00%
|
$100.00
|
|
|
$1,000.00
|
−100.00%
|
−100.00%
|
$0.00
|
|
Assuming the securities are not redeemed prior to the Maturity
Date, expected total interest payments will depend on whether and when a Knock-In Event occurs.
|
Time
of First Knock-In Event
|
Total
Interest Payment on the Securities
|
From Trade Date to first Observation Date
From first Observation Date to second Observation Date
From second Observation Date to third Observation Date
From third Observation Date to fourth Observation Date
From fourth Observation Date to fifth Observation Date
From fifth Observation Date to the Valuation Date
|
$15.00
$40.00
$65.00
$90.00
$115.00
$140.00
|
The total payment on the securities will be equal to the Redemption
Amount applicable to an investor plus the applicable total interest payments on the securities.
Examples of Calculation of Redemption Amounts at Maturity
Example 1: A Knock-In Event occurs because on a trading day
during an Observation Period the closing level of one Underlying is equal to or less than its Knock-In Level; and the Final Level
of the Lowest Performing Underlying is less than its Initial Level.
|
Underlying
|
Lowest
closing level of the Underlying
during any Observation Period
|
Final
Level
|
|
RTY
|
100% of Initial Level
|
110% of Initial Level
|
|
USO
|
90% of Initial Level
|
110% of Initial Level
|
|
GDX
|
58% of Initial Level
|
58% of Initial Level
|
Since the closing level of GDX on a trading day during an Observation
Period is equal to or less than its Knock-In Level, a
Knock-In Event occurs
. GDX is also the Lowest Performing Underlying.
Therefore, the Underlying Return of the Lowest Performing
Underlying will equal:
|
|
Final Level of GDX – Initial Level of GDX
Initial Level of GDX
|
; subject to a maximum of 0.00
|
= -0.42
The Redemption Amount = principal amount of the securities
× (1 + Underlying Return of the Lowest Performing Underlying)
= $1,000 x (1 – 0.42) =
$580
Example 2: A Knock-In Event occurs because on a trading day
during an Observation Period the closing level of one Underlying is equal to or less than its Knock-In Level; the closing level
of the Lowest Performing Underlying on any trading day during every Observation Period is never equal to or less than its Knock-In
Level; and the Final Level of the Lowest Performing Underlying is less than its Initial Level.
|
Underlying
|
Lowest
closing level of the Underlying
during any Observation Period
|
Final
Level
|
|
RTY
|
58% of Initial Level
|
110% of Initial Level
|
|
USO
|
90% of Initial Level
|
110% of Initial Level
|
|
GDX
|
64% of Initial Level
|
64% of Initial Level
|
Since the closing level of RTY on a trading day during an Observation
Period is equal to or less than its Knock-In Level, a
Knock-In Event occurs
. GDX is the Lowest Performing Underlying, even
though its closing level on any trading day during any Observation Period is never equal to or less than its Knock-In Level.
Therefore, the Underlying Return of the Lowest Performing
Underlying will equal:
|
|
Final Level of GDX – Initial Level of GDX
Initial Level of GDX
|
; subject to a maximum of 0.00
|
= -0.36
The Redemption Amount = principal amount of the securities
× (1 + Underlying Return of the Lowest Performing Underlying)
= $1,000 x (1 – 0.36)=
$640
Example 3: A Knock-In Event occurs because on a trading
day during an Observation Period, the closing level of one Underlying is equal to or less than its Knock-In Level; and the Final
Level of the Lowest Performing Underlying is greater than its Initial Level.
|
Underlying
|
Lowest
closing level of the Underlying
during any Observation Period
|
Final
Level
|
|
RTY
|
58% of Initial Level
|
110% of Initial Level
|
|
USO
|
95% of Initial Level
|
120% of Initial Level
|
|
GDX
|
90% of Initial Level
|
120% of Initial Level
|
Since the closing level of RTY on a trading day during an Observation
Period is equal to or less than its Knock-In Level, a
Knock-In Event occurs
. RTY is also the Lowest Performing Underlying.
Therefore, the Underlying Return of the Lowest Performing
Underlying will equal:
|
|
Final Level of RTY – Initial Level of RTY
Initial Level of RTY
|
; subject to a maximum of 0.00
|
= 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.
The Redemption Amount = principal amount of the securities
× (1 + Underlying Return of the Lowest Performing Underlying)
= $1,000 × (1 + 0.00) =
$1,000
Example 4: A Knock-In Event does not occur.
|
Underlying
|
Lowest
closing level of the Underlying
during any Observation Period
|
Final
Level
|
|
RTY
|
64% of Initial Level
|
110% of Initial Level
|
|
USO
|
65% of Initial Level
|
110% of Initial Level
|
|
GDX
|
66% of Initial Level
|
110% of Initial Level
|
Since the closing level of each Underlying on any trading
day during every Observation Period was never equal to or less than its Knock-In Level, 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 and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will not receive the maximum
amount of interest payable on the securities and 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 on the securities 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 THE APPLICABLE RATE, AT
MATURITY OR UPON EARLY REDEMPTION
— The securities will not pay more than the principal amount, plus accrued
and unpaid interest at the Applicable Rate, 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 participate in the appreciation
of any Underlying. Assuming the securities are held to maturity and the term of the securities is exactly 18 months, the maximum
amount payable with respect to the securities is expected to be between $1,150.00 and $1,180.00 (to be determined on the Trade
Date) 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
dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In
addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase
in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
|
|
|
•
|
IF A KNOCK-IN EVENT OCCURS DURING ANY OBSERVATION PERIOD, THE APPLICABLE RATE FOR THE CORRESPONDING INTEREST PERIOD AND
EACH SUBSEQUENT INTEREST PERIOD IS EXPECTED TO BE 1.00% PER ANNUM
— If a Knock-In Event occurs during any Observation
Period, the Applicable Rate for the corresponding interest period and each subsequent interest period is expected to be 1.00% per
annum (to be determined on the Trade Date). For example, if a Knock-In Event occurs during the period from the Trade Date to the
first Observation Date, the Applicable Rate for each interest period is expected to be 1.00% per annum and the maximum amount of
interest you will be entitled to receive, assuming the term of the securities is exactly 18 months, is expected to be $15.00 per
$1,000 principal amount of the securities.
|
|
|
•
|
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 IS LESS THAN ITS INITIAL LEVEL
— Even
if, on any trading day during an Observation Period, the closing level of only one Underlying is equal to or less than its Knock-In
Level, 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 Level of at least one Underlying is less
than its Initial Level. This will be true even if on any trading day during every Observation Period the closing level of the Lowest
Performing Underlying was never equal to or less than its Knock-In Level.
|
|
|
•
|
THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO ACCRUE INTEREST OVER THE FULL
TERM OF THE SECURITIES
—The securities are subject to a potential early redemption. Prior to maturity, the securities
may be redeemed on any Interest Payment Date scheduled to occur on or after September 30, 2013, upon notice on or before the relevant
|
Early Redemption Notice Date. 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 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 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
Underlying, 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 any other Underlying. Instead, the Redemption Amount payable at maturity
depends on the lowest performing of the Underlyings to which the securities are linked. Likewise, if on any trading day during
an Observation Period, the closing level of any Underlying is equal to or less than its Knock-In Level, a Knock-In Event will occur,
which will reduce the interest on the securities.
|
|
|
•
|
THE SECURITIES ARE LINKED TO THE RUSSELL 2000
®
INDEX AND ARE SUBJECT TO THE RISKS ASSOCIATED WITH SMALL-CAPITALIZATION
COMPANIES
— The Russell 2000
®
Index is composed of equity securities issued by companies with
relatively small market capitalization. These equity securities often have greater stock price volatility, lower trading volume
and less liquidity than the equity securities of large-capitalization companies, and are more vulnerable to adverse business and
economic developments than those of large-capitalization companies. In addition, small-capitalization companies are typically less
established and less stable financially than large-capitalization companies. These companies may depend on a small number of key
personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product
lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products. Therefore, the Russell 2000
®
Index may be more volatile than it would be if it were composed of equity securities issued by large-capitalization companies.
|
|
|
•
|
THERE ARE RISKS ASSOCIATED WITH THE UNITED STATES OIL FUND, LP AND MARKET VECTORS GOLD MINERS ETF
— Although
shares of the United States Oil Fund, LP and the Market Vectors Gold Miners ETF (each, a "Reference Fund") 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 each Reference
Fund or that there will be liquidity in the trading market. Each Reference 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 each Reference Fund's investment strategy or otherwise, its investment advisor may add, delete or substitute
the assets held by such Reference Fund. Any of these actions could adversely affect the price of the shares of each Reference Fund
and consequently the value of the securities. For additional information about the United States Oil Fund, LP and the Market Vectors
Gold Miners ETF, see information set forth under "The Reference Funds—The United States Oil Fund, LP" and "The
Reference Funds—The Market Vectors Gold Miners ETF" in the accompanying underlying supplement.
|
|
|
•
|
NON-U.S. SECURITIES RISKS
— Some or all of the equity securities held by the Market Vectors Gold Miners
ETF are issued by or linked to the value of foreign companies. Investments in the securities therefore involve risks associated
with the securities markets in those countries, including risks of volatility in those markets, government intervention in those
markets and cross shareholdings in companies in certain countries. Also, generally non-U.S. companies are subject to accounting,
auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S.
reporting companies. These equity securities may be more volatile than domestic equity securities and may be subject to different
political, market, economic, exchange rate, regulatory and other risks. These factors may
|
adversely affect the values of the equity securities
held by the Market Vectors Gold Miners ETF, and therefore the level of the Market Vectors Gold Miners ETF and the value of the
securities.
|
|
•
|
EMERGING MARKETS RISK
— Some or all of the equity securities held by the Market Vectors Gold Miners
ETF are issued by companies based in emerging market countries. Emerging markets have often undergone significant political, economic
and social upheaval. Such far-reaching changes have resulted in constitutional and social tensions and, in some cases, instability
and reaction against market reforms has occurred. With respect to any emerging market country, there is the possibility of nationalization,
expropriation or confiscation and government regulation. These factors may adversely affect the values of the equity securities
held by the Market Vectors Gold Miners ETF, and therefore the level of the Market Vectors Gold Miners ETF and the value 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 Market Vectors Gold Miners ETF, which holds equity securities issued
by or linked to the value of foreign companies. Currency markets may be highly volatile. Significant changes, including changes
in liquidity and prices, can occur within very short periods of time. Foreign currency rate risks include convertibility risk,
market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or
particular transactions in a foreign currency. These factors may adversely affect the values of the equity securities held by the
Market Vectors Gold Miners ETF, and therefore the level of the Market Vectors Gold Miners ETF and the value of the securities.
|
|
|
•
|
THE PERFORMANCE OF THE UNITED STATES OIL FUND, LP MAY NOT FULLY REPLICATE THE PERFORMANCE OF THE PRICE OF WTI LIGHT,
SWEET CRUDE OIL
— United States Commodity Funds, LLC, the general partner of the United States Oil Fund, LP,
is responsible for investing the assets of the United States Oil Fund, LP in accordance with the objectives and policies of
the United States Oil Fund, LP. The assets of the United States Oil Fund, LP consist primarily of investments in futures
contracts for light, sweet crude oil, other types of crude oil, heating oil, gasoline, natural gas, and other petroleum-based
fuels that are traded on the New York Mercantile Exchange, ICE Futures or other U.S. and foreign exchanges (collectively, “oil
futures contracts”) and other oil interests such as cash-settled options on oil futures contracts, forward contracts for
oil, and over-the-counter transactions that are based on the price of oil, other petroleum-based fuels, oil futures contracts
and indices based on the foregoing (collectively, “other oil interests” and together with oil futures contracts, “oil
interests”). The United States Oil Fund, LP seeks to achieve its investment objective by investing in a mix of oil futures
contracts and other oil interests such that changes in the net asset value of the United States Oil Fund, LP will closely
track the changes in the price of a specified oil futures contract (the “benchmark oil futures contract”). The United
States Oil Fund, LP’s general partner believes that the benchmark oil futures contract historically has exhibited a
close correlation with the spot price of light, sweet crude oil. There is no assurance that the general partner of the United States
Oil Fund, LP will successfully implement its investment strategy and there is a risk that changes in the price of United States
Oil Fund, LP units will not closely track changes in the spot price of WTI light, sweet crude oil. This could happen if the
price of the units does not correlate closely with the United States Oil Fund, LP’s net asset value; changes in the
United States Oil Fund, LP’s net asset value do not closely correlate with changes in the price of the benchmark oil
futures contract; or changes in the price of the benchmark oil futures contract do not closely correlate with changes in the cash
or spot price of light, sweet crude oil.
|
|
|
•
|
RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES WITH CONCENTRATION IN ENERGY COMMODITIES
— Market prices
of the commodities and commodity futures contracts comprising the United States Oil Fund, LP tend to be highly volatile. Commodity
market prices are not related to the value of a future income or earnings stream, as tends to be the case with fixed income and
equity investments, but are subject to rapid fluctuations based on numerous factors, including changes in supply and demand relationships,
governmental programs and policies, national and international monetary, trade, political and economic events, changes in interest
and exchange rates, speculation and trading activities in commodities and related contracts, drought, floods, weather, and agricultural,
trade, fiscal and exchange control policies, embargoes and tariffs. The markets for many commodities are also highly cyclical.
The United States Oil Fund, LP invests in exchange-traded futures contracts for light, sweet crude oil, other types of crude oil,
heating oil, gasoline, natural gas and other petroleum-based fuels. The shares of the United States Oil Fund, LP 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.
The prices of these exchange-traded futures contracts are subject to the risks and hazards inherent in this industry, which can
cause prices to widely fluctuate. The exploration for, and production of, crude oil is an uncertain process with many risks. The
cost of drilling, completing and operating wells for natural gas is uncertain, and a number of factors can delay or prevent drilling
operations or production, including fire, explosions, blow-outs, pipe failure, abnormally pressured formations, environmental hazards
and mechanical difficulties or shortages or delays in the delivery of drilling rigs and other equipment. Crude oil operations also
are subject to extensive federal, state and local environmental laws and regulations that materially affect production, handling,
storage, transportation and disposal of crude oil and natural gas, by-products of crude oil and natural gas and other substances
produced or used in connection with crude oil and natural gas operations. Sudden disruptions in the supplies of energy commodities,
such as those caused by war, natural events, accidents or acts of terrorism, may cause prices of energy commodities futures contracts
to become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example,
upon a cessation of hostilities that may exist in countries producing energy commodities, the introduction of new or previously
withheld supplies into the market or the introduction of substitute products or commodities. In particular, supplies of crude oil
may increase or decrease depending on, among other factors, production decisions by the Organization of Oil and Petroleum Exporting
Countries (“OPEC”) and other crude oil producers. Crude oil prices are determined with significant influence by OPEC,
which has the capacity to influence oil prices worldwide because its members possess a significant portion of the world’s
oil supply. Crude oil prices are generally more volatile and subject to dislocation than prices of other commodities.
Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing and transportation industries, affects
the price of energy commodities. Demand for energy commodities such as crude oil is generally linked to economic activity, and
will tend to reflect general economic conditions. Additionally, demand for energy commodities may be reduced as a result of increases
in energy efficiency, substitution and energy conservation.
These factors may have a larger impact on commodity prices and commodity linked instruments than on traditional fixed income and
equity securities. These variables may create additional investment risks that cause the value of the securities to be more volatile
than the values of traditional securities. These and other factors may affect the price of the shares of the United States Oil
Fund, LP, and thus the value of your securities, in unpredictable or unanticipated ways. The high volatility and cyclical nature
of commodity markets may render such an investment inappropriate as the focus of an investment portfolio.
|
|
•
|
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 Market
Vectors Gold Miners ETF (the “Tracked Index”). There may, however, be instances where the Market Vectors Gold Miners
ETF’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 Market Vectors Gold Miners ETF will reflect additional transaction 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 Market Vectors Gold Miners ETF and the Tracked Index. Finally, because the shares of the Market
Vectors Gold Miners ETF are traded on a national securities exchange and are subject to market supply and investor demand, the
market value of one share of the Market Vectors Gold Miners ETF may differ from the net asset value per share of the Market Vectors
Gold Miners ETF. For these reasons, the performance of the Market Vectors Gold Miners ETF may not correlate with the performance
of the Tracked Index.
|
|
|
•
|
RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES WITH CONCENTRATION IN THE GOLD AND SILVER MINING 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 equity securities 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 and silver mining companies are highly dependent on the prices of gold and silver,
respectively, and are subject to competition pressures that may have a significant effect on their financial condition. Gold
prices and silver 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 prices of gold and silver are generally quoted) and other currencies, interest rates and the
borrowing and lending rates of gold and silver, and global or regional economic, financial, political, tax, regulatory,
judicial or other events. Gold and silver prices may also be affected by industry factors such as, lending, sales and
purchases of gold and silver by the official sector, including central banks and other governmental agencies and multilateral
institutions which hold gold or silver, technical developments, substitution issues, forward sales by producers, levels of
gold and silver production and production costs, and short-term changes in supply and demand because of trading activities in
the gold and silver markets. Silver prices may also be affected by production costs and disruptions in major silver producing
countries such as Peru, Mexico and China. Additionally, gold and silver mining companies are subject to extensive federal,
state and local environmental laws and regulations regarding air emissions and the disposal of hazardous materials and may be
at risk for environmental damage claims.
Demand for gold and silver by the industrial and jewelry industries affects
the prices of gold and silver. Gold and silver are used in a wide range of industrial applications, and an economic downturn
could have a negative impact on their demand and, consequently, the prices of gold and silver. Additionally, should the
speculative community take a negative view of gold or silver, a decline in gold or silver prices could occur.
These
factors may have a larger impact on instruments linked to the gold and silver mining industry than on traditional
fixed-income and equity securities. These variables may create additional investment risks that cause the value of the
securities to be more volatile than the values of traditional securities. These and other factors may affect the price of the
Market Vectors Gold Miners ETF, and thus the value of your securities, in unpredictable or unanticipated ways. The high
volatility and cyclical nature of the gold and silver mining industry may render such an investment inappropriate as the
focus of an investment portfolio.
|
|
•
|
THE SECURITIES ARE NOT SUBJECT TO REGULATION BY THE COMMODITY FUTURES TRADING COMMISSION
— The proceeds
to be received by us from the sale of the securities will not be used to purchase or sell any commodities futures contracts or
options on futures contracts for your benefit. An investment in the securities thus does not constitute either an investment in
futures contracts, options on futures contracts or in a collective investment vehicle that trades in these futures contracts (i.e.,
the securities will not constitute a direct or indirect investment by you in the futures contracts), and you will not benefit from
the regulatory protections of the Commodity Futures Trading Commission, commonly referred to as the “CFTC.” The Issuer
is not registered with the CFTC as a futures commission merchant and you will not benefit from the CFTC’s or any other non-U.S.
regulatory authority’s regulatory protections afforded to persons who trade in futures contracts on a regulated futures exchange
through a registered futures commission merchant. Unlike an investment in the securities, an investment in a collective investment
vehicle that invests in futures contracts on behalf of its participants may be subject to regulation as a commodity pool and its
operator may be required to be registered with and regulated by the CFTC as a commodity pool operator, or qualify for an exemption
from the registration requirement. Because the securities will not be interests in a commodity pool, the securities will not be
regulated by the CFTC as a commodity pool, we will not be registered with the CFTC as a commodity pool operator, and you will not
benefit from the CFTC’s or any non-U.S. regulatory authority’s regulatory protections afforded to persons who invest
in regulated commodity pools.
|
|
|
•
|
ESTIMATED VALUE OF THE SECURITIES AFTER DEDUCTING CERTAIN COSTS
— The estimated value of your securities on the
Trade Date (as determined by reference to our pricing models and our internal funding rate) may be significantly less than the
original Price to Public. The Price to Public of the securities includes the agent’s discounts or commissions as well as
transaction costs such as expenses incurred to create, document and market the securities and the cost of hedging our risks as
issuer of the securities through one or more of our affiliates (which includes a projected profit). These costs will be effectively
borne by you as an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in connection
with our structuring and offering of the securities (except to the extent discounts or commissions are reallowed to other broker-dealers
or any costs are paid to third parties).
|
|
|
|
On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a fixed income
component valued using our internal funding rate, and individual option components valued using mid-market pricing. Our option
valuation models are proprietary. They take into account factors such as interest rates, volatility and time to maturity of the
securities, and they rely in part on certain assumptions about future events, which may prove to be incorrect.
|
|
|
•
|
EFFECT OF INTEREST RATE USED IN ESTIMATING VALUE
— The internal funding rate we use in structuring notes such
as these securities is typically lower than the interest rate that is reflected in the yield on our conventional debt securities
of similar maturity in the secondary market (our “secondary market credit spreads”), to account for costs related to
structuring and offering the securities. In circumstances where the internal funding rate is lower than the secondary market credit
spread, the value of the securities would be higher if we used our secondary market credit spread. Our use of our lower internal
funding rate is also reflected in the secondary market prices of the securities. Because Credit Suisse’s pricing models may
differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially
from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value may not be comparable
to estimated values of similar securities of other issuers.
|
|
|
•
|
SECONDARY MARKET PRICES
— If Credit Suisse (or an affiliate) offers to repurchase your securities in
secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements
or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade Date. The
secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated value determined
by reference to our pricing models and other factors. These other factors include customary bid and ask spreads and other transaction
costs, changes in market conditions and any deterioration or improvement in our creditworthiness. Furthermore, assuming no change
in market conditions or other relevant factors from the Trade Date, the secondary market price of your securities will be lower
than the Price to Public because it will not include the agent’s discounts or commissions and hedging and other transaction
costs. If you sell your securities to a dealer, the dealer may impose an additional discount or commission, and as a result the
price you receive on your securities may be lower than the price at which we repurchase the securities from such dealer.
|
|
|
|
We (or an affiliate) may initially offer to repurchase the securities from you at a price that will exceed the then-current
estimated value of the securities. That higher price reflects our projected profit and costs that were included in the Price to
Public, and that higher price may also be initially used for account statements or otherwise. We (or our affiliate) may offer to
pay this higher price, for your benefit, but the amount of any excess over the then-current estimated value will be temporary and
is expected to decline over a period of approximately 90 days.
|
|
|
|
The securities are not designed to be short-term trading instruments and any sale prior to maturity could result in a substantial
loss to you. You should be willing and able to hold your securities to maturity.
|
|
|
•
|
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, hedging our obligations under the securities and determining the estimated
value of 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.
|
|
|
•
|
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 any 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:
|
|
|
·
|
the expected volatility of the Underlyings;
|
|
|
·
|
the time to maturity of the securities;
|
|
|
·
|
the Early Redemption feature, which would limit the value of the securities;
|
|
|
·
|
interest and yield rates in the market generally;
|
|
|
·
|
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;
|
|
|
·
|
supply and demand trends for crude oil;
|
|
|
·
|
investors' expectations with respect to the rate of inflation;
|
|
|
·
|
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
|
|
|
·
|
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 shares of the Reference Funds or the assets 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 shares of the Reference Funds or the assets 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 Reference Funds and
the assets 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 Reference Fund. However, the calculation agent will not make an adjustment in response
to all events that could affect the shares of each Reference Fund. If an event occurs that does not require the calculation agent
to make an adjustment, or if an adjustment is made but such adjustment does not fully reflect the economics of such event, the
value of the securities may be materially and adversely affected. For additional information, see "Description of the Securities—Adjustments—For
a reference fund" in the accompanying product supplement.
|
Supplemental Use of Proceeds
and Hedging
We intend to use the proceeds of this offering
for our general corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the
proceeds we receive from the sale of the securities may be used in connection with hedging our obligations under the securities
through one or more of our affiliates. Such hedging or trading activities on or prior to the Trade Date and during the term of
the securities (including on the 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 additional information, see “Supplemental Use of Proceeds and
Hedging” in the accompanying product supplement.
Historical Information
The following graphs set forth the historical
performance of the Underlyings based on the closing level of each Underlying from January 1, 2008 through May 28, 2013. The closing
level of the Russell 2000
®
Index on May 28, 2013 was 997.35. The closing level of one share of the United States
Oil Fund, LP on May 28, 2013 was $33.79. The closing level of one share of the Market Vectors Gold Miners ETF on May 28, 2013 was
$27.22. We obtained the historical information below from Bloomberg, without independent verification. You should not take the historical
levels of the Underlyings as an indication of future performance of the Underlyings or the securities. Any historical trend in
the levels of the Underlyings during any period set forth below is not an indication that the levels of the Underlyings are more
or less likely to increase or decrease at any time over the term of the securities.
For additional information on the Russell 2000
®
Index, see "The Reference Indices — The Russell 2000
®
Index" in the accompanying underlying supplement,
for additional information on the United States Oil Fund, LP, see "The Reference Funds — The United States Oil Fund,
LP" in the accompanying underlying supplement, and for additional information on the Market Vectors Gold Miners ETF, see "The
Reference Funds — The Market Vectors Gold Miners ETF" in the accompanying underlying supplement.
Market Disruption Events
If the calculation agent determines that on any Observation
Date, other than the Valuation Date, a market disruption event (as defined in the accompanying product supplement under “Description
of the Securities—Market disruption events"—For an equity-based reference index" with respect to the Russell
2000
®
Index and as defined in the accompanying product supplement under “Description of the Securities—Market
disruption events—For a reference fund” with respect to a Reference Fund) exists in respect of any Underlying or if
such day is not a trading day (as defined in the accompanying product supplement under “Description of the Securities—Certain
definitions”) for any Underlying, then the determination of the closing level for such Underlying on such Observation Date
will be postponed to the first succeeding trading day for such Underlying on which the calculation agent determines that no market
disruption event exists in respect of such Underlying, unless the calculation agent determines that a market disruption event exists
in respect of such Underlying on each of the five trading days for such Underlying immediately following such Observation Date.
In that case, the closing level for such Underlying on such Observation Date will be determined as of the fifth succeeding trading
day for such Underlying following such Observation Date (such fifth trading day, the “calculation date”), notwithstanding
the market disruption event in respect of such Underlying, and:
|
|
•
|
if a market disruption event has occurred and is continuing with respect to the Russell 2000
®
Index (the “Reference
Index”), the calculation agent will determine the closing level for the Reference Index on that calculation date in accordance
with the formula for and method of calculating the Reference Index last in effect prior to the commencement of the market disruption
event in respect of the Reference Index using exchange traded prices on the relevant exchanges (as determined by the calculation
agent in its sole discretion) or, if trading in any component comprising the Reference Index has been materially suspended or materially
limited, its good faith estimate of the prices that would have prevailed on such exchanges (as determined by the calculation agent
in its sole discretion) but for the suspension or limitation, as of the valuation time on that calculation date, of each component
comprising the Reference Index (subject to the provisions described under “Description of the Securities—Changes to
the calculation of a reference index” in the accompanying product supplement); and
|
|
|
•
|
if a market disruption event has occurred and is continuing with respect to a Reference Fund, the calculation agent will determine
the closing level for such Reference Fund on that calculation date using its good faith estimate of the settlement prices that
would have prevailed on the relevant exchange for such Reference Fund but for the occurrence of a market disruption event as of
the relevant valuation time on that calculation date (subject to the provisions described under “Description of the Securities—Changes
to the calculation of a reference fund” in the accompanying product supplement).
|
The determination of the closing level for any Underlying
not affected by a market disruption event on an Observation Date (other than the Valuation Date) or by an Observation Date (other
than the Valuation Date) not being a trading day for such Underlying will occur on such Observation Date. The Valuation Date for
any Underlying not affected by a market disruption event will be the scheduled Valuation Date for such Underlying.
If the determination of the closing level for any Underlying
on an Observation Date (other than the Valuation Date) is postponed as a result of a market disruption event as described above,
or because such Observation Date is not a trading day for any Underlying, to a date on or after the corresponding Interest Payment
Date, then such corresponding Interest Payment Date will be postponed to the business day following the latest date to which such
determination is so postponed for any Underlying.
If the Valuation Date for any Underlying is postponed as a
result of a market disruption event as described in the accompanying product supplement or because the scheduled Valuation Date
is not an underlying business day for any Underlying, then the Maturity Date will be postponed to the fifth business day following
the latest Valuation Date for any Underlying.
Material U.S. Federal Income Tax Considerations
The following discussion
summarizes material U.S. federal income tax consequences of owning and disposing of the securities that may be relevant to holders
of the securities that acquire their securities from us as part of the original issuance of the securities. This discussion applies
only to holders that hold their securities as capital assets within the meaning of the Internal Revenue Code of 1986, as amended
(the “Code”). Further, this discussion does not address all of the U.S. federal income tax consequences that may be
relevant to you in light of your individual circumstances or if you are subject to special rules, such as if you are:
|
|
·
|
a financial institution,
|
|
|
·
|
a tax-exempt organization,
|
|
|
·
|
certain U.S. expatriates,
|
|
|
·
|
a dealer or trader in securities or foreign
currencies,
|
|
|
·
|
a person (including traders in securities)
using a mark-to-market method of accounting,
|
|
|
·
|
a person who holds the securities as a
hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction,
or
|
|
|
·
|
an entity that is treated as a partnership
for U.S. federal income tax purposes.
|
The discussion is
based upon the Code, law, regulations, rulings and decisions, in each case, as available and in effect as of the date hereof, all
of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and foreign laws are not
addressed herein. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been or will be sought as to the
U.S. federal income tax consequences of the ownership and disposition of the securities, and the following discussion is not binding
on the IRS.
You should consult
your tax advisor as to the specific tax consequences to you of owning and disposing of the securities, including the application
of federal, state, local and foreign income and other tax laws based on your particular facts and circumstances.
Characterization of the Securities
There are no statutory
provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes
of securities with terms that are substantially the same as those of your securities. Thus, the characterization of the securities
is not certain. Due to the terms of the securities and the uncertainty of the tax law with respect to characterization of the securities,
our special tax counsel, Orrick, Herrington & Sutcliffe LLP, is unable to opine on the characterization of the securities for
U.S. federal income tax purposes. The possible alternative characterizations and risks to investors of such characterizations are
discussed below. Based on the advice of our special tax counsel, we intend to treat the securities, for U.S. federal income tax
purposes, as (1) a put option (the “Put Option”) that requires the holder to cash settle against the value of the reference
underlying for an amount equal to the Deposit (as defined below) if the reference underlying declines to a defined floor level
and ends up equal to or less than the initial level and (2) a deposit with us of cash, in an amount equal to the amount paid for
a security (the “Deposit”) to secure the holder’s potential obligation to cash settle against the value of the
reference underlying. In the absence of an administrative or judicial ruling to the contrary, we and, by acceptance of the securities,
you agree to treat the securities as consisting of a Deposit and a Put Option with respect to the reference underlying for all
U.S. federal income tax purposes. The balance of this discussion assumes that the securities will be so treated.
Alternative Characterizations of the
Securities
You should be aware
that the characterization of the securities as described above is not certain, nor is it binding on the IRS or the courts. Thus,
it is possible that the IRS would seek to characterize your securities in a manner that results in tax consequences to you that
are different from those described below. For example, the IRS might assert that securities with a term of more than one year constitute
debt instruments that are “contingent payment debt instruments” that are subject to special tax rules under the applicable
Treasury regulations
governing the recognition of income over
the term of your securities. If the securities were to be treated as contingent payment debt instruments, you would be required
to include in income on an economic accrual basis over the term of the securities an amount of interest that is based upon the
yield at which we would issue a non-contingent fixed-rate debt instrument with other terms and conditions similar to your securities,
or the comparable yield. The characterization of securities as contingent payment debt instruments under these rules is likely
to be adverse. However, if the securities had a term of one year or less, the rules for short-term debt obligations would apply
rather than the rules for contingent payment debt instruments. Under Treasury regulations, a short-term debt obligation is treated
as issued at a discount equal to the difference between all payments on the obligation and the obligation’s issue price.
A cash method U.S. Holder that does not elect to accrue the discount in income currently should include the payments attributable
to interest on the security as income upon receipt. Under these rules, any contingent payment would be taxable upon receipt by
a cash basis taxpayer as ordinary interest income. You should consult your tax advisor regarding the possible tax consequences
of characterization of the securities as contingent payment debt instruments or short-term debt obligations.
It is also possible
that the IRS would seek to characterize a security as a notional principal contract (an “NPC”). In general, payments
on an NPC are accrued ratably (as ordinary income or deduction, as the case may be) over the period to which they relate income
regardless of an investor’s usual method of tax accounting. Payments made to terminate an NPC (other than perhaps a final
scheduled payment) are capital in nature. Deductions for NPC payments may be limited in certain cases. Certain payments under an
NPC may be treated as U.S. source income. The IRS could also seek to characterize your securities as Code section 1256 contracts
in the event that they are listed on a securities exchange. In such case, the securities would be marked-to-market at the end of
the year and 40% of any gain or loss would be treated as short-term capital gain or loss, and the remaining 60% of any gain or
loss would be treated as long-term capital gain or loss. Alternatively, in the event that the securities have a term of more than
one year and reference an equity interest in a “pass-thru entity” within the meaning of Code section 1260 (which includes
shares in, among others, an exchange-traded fund, a regulated investment company, a real estate investment trust, a partnership
or a trust), the IRS might assert that the securities constitute a “constructive ownership transaction.” If the securities
were treated as a constructive ownership transaction, under Code section 1260, all or a portion of your gain, if any, from the
securities would be recharacterized as ordinary income, and you would be required to pay additional tax calculated by reference
to interest on the tax on such recharacterized income. We are not responsible for any adverse consequences that you may experience
as a result of any alternative characterization of the securities for U.S. federal income tax or other tax purposes.
You should consult
your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of your securities
for U.S. federal income tax purposes.
U.S. Holders
For purposes of
this discussion, the term “U.S. Holder,” for U.S. federal income tax purposes, means a beneficial owner of securities
that is (1) a citizen or resident of the United States, (2) a corporation (or an entity treated as a corporation for U.S. federal
income tax purposes) created or organized in or under the laws of the United States or any state thereof or the District of Columbia,
(3) an estate, the income of which is subject to U.S. federal income taxation regardless of its source, or (4) a trust, if (a)
a court within the United States is able to exercise primary supervision over the administration of such trust and one or more
U.S. persons have the authority to control all substantial decisions of the trust or (b) such trust has in effect a valid election
to be treated as a domestic trust for U.S. federal income tax purposes. If a partnership (or an entity treated as a partnership
for U.S. federal income tax purposes) holds securities, the U.S. federal income tax treatment of such partnership and a partner
in such partnership will generally depend upon the status of the partner and the activities of the partnership. If you are a partnership,
or a partner of a partnership, holding securities, you should consult your tax advisor regarding the tax consequences to you from
the partnership's purchase, ownership, and disposition of the securities.
Payment of Coupons
In accordance with
the agreed-upon tax treatment described above, we will treat each coupon (a “Coupon”) as comprised of a component that
is stated interest on the security, which should be treated as interest on the Deposit of 0.3340%, and the balance of the Coupon
should be treated as a payment of put premium received by you in respect of the Put Option to us (the “Put Premium”).
The Put Premium component of each Coupon will be treated as an installment payment of the Put Premium for the Put Option. Any Put
Premium paid prior to
redemption or maturity of the securities
should be treated as short-term capital gain when received.
We will treat the
Deposit as a debt obligation issued by us. Consistent with this treatment, U.S. Holders should include the interest component of
each Coupon in income as received or accrued, based on their method of accounting.
Payment at Redemption
or Maturity of the Securities
If the redemption
amount is paid in cash, a U.S. Holder should be deemed to receive all or a portion of the Deposit and any accrued but unpaid Coupons.
Any Coupons deemed to be received will be taxed as described above. Ordinarily, there should be no gain or loss on the Deposit,
and the remainder of this discussion assumes that this will be the case.
If the amount received
at redemption or maturity (excluding any Coupon paid at such time) is paid in cash and is less than the amount of the Deposit,
the Put Option should be deemed exercised at the time of redemption or maturity, as the case may be. In such a case, the difference
between the Deposit and the amount received, less accrued but unpaid interest on the Deposit to which the U.S. Holder is entitled
(taxed as described above), is deemed to have been paid to settle the Put Option. Any loss on the Put Option, calculated as (a)
the Deposit, less (b) the amount received at redemption or maturity (excluding any Coupon paid at such time and less accrued but
unpaid interest on the Deposit to which the U.S. Holder is entitled) plus the Put Premium (excluding any Put Premium that has been
included in income), should be short-term capital loss.
If the amount received
at redemption or maturity is paid in cash and the amount of cash paid at redemption is equal to the Deposit (excluding any Coupon
paid at such time), the Put Option should be deemed to have expired unexercised and an amount equal to any accrued but unpaid Put
Premium should be treated as short-term capital gain. The interest portion of any Coupon should be taxed as described above.
If at redemption
or maturity the amount due is paid in physical shares or units of the underlying, the U.S. Holder should not recognize any gain
or loss with respect to the Put Option (other than with respect to cash received in lieu of fractional shares or units, as described
below). The U.S. Holder should have a tax basis in all physical shares or units received (including for this purpose any fractional
shares or units) equal to the Deposit less any Put Premium received that has not been included in income. The U.S. Holder’s
holding period for any physical shares or units received should start on the day after the delivery of the physical shares or units.
The U.S. Holder should generally recognize short-term capital gain or loss with respect to cash received in lieu of fractional
shares or units in an amount equal to the difference between the amount of such cash received and the U.S. Holder’s basis
in the fractional shares or units, which should be equal to the U.S. Holder’s basis in all of the physical shares or units
(including the fractional shares or units), multiplied by a fraction, the numerator of which is the fractional shares or units
and the denominator of which is all of the physical shares or units (including fractional shares or units).
Sale or Exchange of the Securities
Upon a sale or exchange
of a security, a U.S. Holder should allocate the sale proceeds received between the Deposit and the Put Option on the basis of
their respective fair market values on the date of sale. The U.S. Holder should generally recognize gain or loss with respect to
the Deposit in an amount equal to the difference between the amount of the sale proceeds allocable to the Deposit (less accrued
but unpaid interest on the Deposit which will be taxed as described above under “
Payment at Redemption or Maturity of
the Securities
”) and the U.S. Holder’s adjusted tax basis in the Deposit (which generally will equal the issue
price of the security). Generally, there should be no gain or loss with respect to the Deposit.
A U.S. Holder should
generally recognize gain or loss with respect to the Put Option in an amount equal to the difference between the amount of the
sale proceeds allocable to the Put Option and the U.S. Holder’s adjusted tax basis in the Put Option. If the value of the
total sale proceeds received (minus accrued but unpaid interest with respect to the Deposit) exceeds the Deposit, then the U.S.
Holder should recognize short-term capital gain equal to the amount of remaining sale proceeds allocable to the Put Option. If
the value of the Deposit exceeds the total sale proceeds received (minus accrued but unpaid interest with respect to the Deposit),
then the U.S. Holder should be treated as having paid the buyer an amount equal to the amount of such excess in exchange for the
buyer’s assumption of the U.S. Holder’s rights and obligations under the Put Option (such excess being referred to
as “Deemed Payment”). In such a case, the U.S. Holder should recognize short-term
capital loss in an amount equal to the
Deemed Payment made by the U.S. Holder to the buyer with respect to the assumption of the Put Option.
Medicare Tax
For taxable years
beginning after December 31, 2012, certain U.S. Holders that are individuals, estates, and trusts must pay a 3.8% tax (the “Medicare
Tax”) on the lesser of the U.S. person’s (1) “net investment income” or “undistributed net investment
income” in the case of an estate or trust and (2) the excess of modified adjusted gross income over a certain specified threshold
for the taxable year. “Net investment income” generally includes income from interest, dividends, and net gains from
the disposition of property (such as the securities) unless such income or net gains are derived in the ordinary course of a trade
or business (other than a trade or business that is a passive activity with respect to the taxpayer or a trade or business of trading
in financial instruments or commodities). Net investment income may be reduced by allowable deductions properly allocable to such
gross income or net gain. Any interest earned or deemed earned on the securities and any gain on sale or other taxable disposition
of the securities will be subject to the Medicare Tax. If you are an individual, estate, or trust, you are urged to consult with
your tax advisor regarding application of Medicare Tax to your income and gains in respect of your investment in the securities.
Securities Held Through Foreign Entities
Under the “Hiring
Incentives to Restore Employment Act” (“FATCA” or the “Act”) and recently finalized regulations,
a 30% withholding tax is imposed on “withholdable payments” and certain “passthru payments” made to “foreign
financial institutions” (as defined in the regulations or an applicable intergovernmental agreement) (and their more than
50% affiliates) unless the payee foreign financial institution agrees, among other things, to disclose the identity of any U.S.
individual with an account at the institution (or the institution’s affiliates) and to annually report certain information
about such account. The term “withholdable payments” generally includes (1) payments of fixed or determinable annual
or periodical gains, profits, and income (“FDAP”), in each case, from sources within the United States, and (2) gross
proceeds from the sale of any property of a type which can produce interest or dividends from sources within the United States.
“Passthru payments” means any withholdable payment and any foreign passthru payment. FATCA also requires withholding
agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer identification
number of any substantial U.S. owners (or certify that they do not have any substantial United States owners) to withhold tax at
a rate of 30%. We will treat payments on the securities as withholdable payments for these purposes.
Withholding under
FATCA will apply to all withholdable payments and certain passthru payments without regard to whether the beneficial owner of the
payment is a U.S. person, or would otherwise be entitled to an exemption from the imposition of withholding tax pursuant to an
applicable tax treaty with the United States or pursuant to U.S. domestic law. Unless a foreign financial institution is the beneficial
owner of a payment, it will be subject to refund or credit in accordance with the same procedures and limitations applicable to
other taxes withheld on FDAP payments provided that the beneficial owner of the payment furnishes such information as the IRS determines
is necessary to determine whether such beneficial owner is a United States owned foreign entity and the identity of any substantial
United States owners of such entity.
Pursuant to the
recently finalized regulations described above and subject to the exceptions described below, FATCA’s withholding regime
generally will apply to (i) withholdable payments (other than gross proceeds of the type described above) made after December 31,
2013 (other than certain payments made with respect to a “preexisting obligation,” as defined in the regulations);
(ii) payments of gross proceeds of the type described above with respect to a sale or disposition occurring after December 31,
2016; and (iii) foreign passthru payments made after the later of December 31, 2016, or six months after the date that final regulations
defining the term ”foreign passthru payment” are published. Notwithstanding the foregoing, the provisions of FATCA
discussed above generally will not apply to (a) any obligation (other than an instrument that is treated as equity for U.S. tax
purposes or that lacks a stated expiration or term) that is outstanding on January 1, 2014 (a “grandfathered obligation”);
(b) any obligation that produces withholdable payments solely because the obligation is treated as giving rise to a dividend equivalent
pursuant to Code section 871(m) and the regulations thereunder that is outstanding at any point prior to six months after the date
on which obligations of its type are first treated as giving rise to dividend equivalents; and (c) any agreement requiring a secured
party to make payments with respect to collateral securing one or more grandfathered obligations (even if the collateral is not
itself a grandfathered obligation). Thus, if you hold your securities through a foreign financial institution or foreign entity,
a portion of
any of your payments made after December
31, 2013, may be subject to 30% withholding.
Non-U.S. Holders Generally
The U.S. withholding
tax consequences of any Coupon payment in respect of the securities is uncertain. Given the uncertainty, we will withhold U.S.
income tax at a rate of 30% on any Coupon payment. It may be possible for a holder of the securities that is not a U.S. Holder
(a “Non-U.S. Holder”) to take the position that some or all of a Coupon payment is exempt from the 30% U.S. withholding
tax or subject to a reduced withholding tax rate under an applicable tax treaty. Any Non-U.S. Holder taking the position that a
Coupon payment is exempt from the 30% withholding tax or eligible for a reduced rate of U.S. withholding tax may seek a refund
or credit of any excess amounts withheld by us by filing an appropriate claim for refund with the IRS.
Payment of the redemption
amount by us in respect to the securities (except to the extent of the Coupons) to a Non-U.S. Holder that has no connection with
the United States other than holding its securities will not be subject to U.S. withholding tax, provided that such Non-U.S. Holder
complies with applicable certification requirements. Any gain realized upon the sale or other disposition of the securities by
a Non-U.S. Holder generally will not be subject to U.S. federal income tax unless (1) such gain is effectively connected with a
U.S. trade or business of such Non-U.S. Holder or (2) in the case of an individual, such individual is present in the United States
for 183 days or more in the taxable year of the sale or other disposition and certain other conditions are met. Any effectively
connected gains described in clause (1) above realized by a Non-U.S. Holder that is, or is taxable as, a corporation for U.S. federal
income tax purposes may also, under certain circumstances, be subject to an additional branch profits tax at a 30% rate or such
lower rate as may be specified by an applicable income tax treaty.
Non-U.S. Holders
that are subject to U.S. federal income taxation on a net income basis with respect to their investment in the securities should
refer to the discussion above relating to U.S. Holders.
Substitute Dividend and Dividend Equivalent
Payments
The Act and recently
proposed and temporary regulations treat a “dividend equivalent” payment as a dividend from sources within the United
States. Under the Act, unless reduced by an applicable tax treaty with the United States, such payments generally will be subject
to U.S. withholding tax. A “dividend equivalent” payment is (i) a substitute dividend payment made pursuant to a securities
lending or a sale-repurchase transaction that (directly or indirectly) is contingent upon, or determined by reference to, the payment
of a dividend from sources within the United States, (ii) a payment made pursuant to a “specified notional principal contract”
that (directly or indirectly) is contingent upon, or determined by reference to, the payment of a dividend from sources within
the United States, and (iii) any other payment determined by the IRS to be substantially similar to a payment described in the
preceding clauses (i) and (ii). Proposed regulations provide criteria for determining whether a notional principal contract will
be a specified notional principal contract, effective for payments made after December 31, 2013.
Proposed regulations
address whether a payment is a dividend equivalent. The proposed regulations provide that an equity-linked instrument that provides
for a payment that is a substantially similar payment is treated as a notional principal contract for these purposes. An equity-linked
instrument is a financial instrument or combination of financial instruments that references one or more underlying securities
to determine its value, including a futures contract, forward contract, option, or other contractual arrangement. The proposed
regulations consider any payment, including the payment of the purchase price or an adjustment to the purchase price, to be a substantially
similar payment (and, therefore, a dividend equivalent payment) if made pursuant to an equity-linked instrument that is contingent
upon or determined by reference to a dividend (including payments pursuant to a redemption of stock that gives rise to a dividend)
from sources within the United States. The rules for equity-linked instruments under the proposed regulations will be effective
for payments made after the rules are finalized. Where the securities reference an interest in a fixed basket of securities or
a “customized index,” each security or component of such basket or customized index is treated as an underlying security
in a separate notional principal contract for purposes of determining whether such notional principal contract is a specified notional
principal contract or an amount received is a substantially similar payment.
We will treat any
portion of a payment or deemed payment on the securities that is substantially similar to a dividend as a dividend equivalent payment,
which will be subject to U.S. withholding tax unless reduced by an applicable tax treaty and a properly executed IRS Form W-8 (or
other qualifying documentation) is provided.
Non-U.S. Holders should consult their
tax advisors regarding whether payments or deemed payments on the securities constitute dividend equivalent payments.
U.S. Federal Estate Tax Treatment
of Non-U.S. Holders
The securities may
be subject to U.S. federal estate tax if an individual Non-U.S. Holder holds the securities at the time of his or her death. The
gross estate of a Non-U.S. Holder domiciled outside the United States includes only property situated in the United States. Individual
Non-U.S. Holders should consult their tax advisors regarding the U.S. federal estate tax consequences of holding the securities
at death.
IRS Notice and Proposed Legislation
on Certain Financial Transactions
In Notice 2008-2,
the IRS and the Treasury Department stated they are considering issuing new regulations or other guidance on whether holders of
an instrument such as the securities should be required to accrue income during the term of the instrument. The IRS and Treasury
Department also requested taxpayer comments on (1) the appropriate method for accruing income or expense (e.g., a mark-to-market
methodology or a method resembling the noncontingent bond method), (2) whether income and gain on such an instrument should be
ordinary or capital, and (3) whether foreign holders should be subject to withholding tax on any deemed income accrual. Additionally,
unofficial statements made by IRS officials have indicated that they will soon be addressing the treatment of prepaid forward contracts
in proposed regulations.
Accordingly, it is
possible that regulations or other guidance may be issued that require holders of the securities to recognize income in respect
of the securities prior to receipt of any payments thereunder or sale thereof. Any regulations or other guidance that may
be issued could result in income and gain (either at maturity or upon sale) in respect of the securities being treated as ordinary
income. It is also possible that a Non-U.S. Holder of the securities could be subject to U.S. withholding tax in respect
of the securities under such regulations or other guidance. It is not possible to determine whether such regulations or other guidance
will apply to your securities (possibly on a retroactive basis). You are urged to consult your tax advisor regarding Notice
2008-2 and its possible impact on you.
More recently, on
January 24, 2013, the House Ways and Means Committee released in draft form certain proposed legislation relating to financial
instruments. If enacted as proposed, the effect of that legislation generally would be to require instruments such as the securities
acquired after December 31, 2013, to be marked to market on an annual basis with all gains and losses to be treated as ordinary,
subject to certain exceptions. You are urged to consult your tax advisor regarding the draft legislation and its possible impact
on you.
Information Reporting Regarding Specified
Foreign Financial Assets
The Act and temporary
and proposed regulations generally require individual U.S. Holders (“specified individuals”) and “specified domestic
entities” with an interest in any “specified foreign financial asset” to file an annual report on IRS Form 8938
with information relating to the asset, including the maximum value thereof, for any taxable year in which the aggregate value
of all such assets is greater than $50,000 on the last day of the taxable year or $75,000 at any time during the taxable year.
Certain individuals are permitted to have an interest in a higher aggregate value of such assets before being required to file
a report. The proposed regulations relating to specified domestic entities apply to taxable years beginning after December 31,
2011. Under the proposed regulations, “specified domestic entities” are domestic entities that are formed or used for
the purposes of holding, directly or indirectly, specified foreign financial assets. Generally, specified domestic entities are
certain closely held corporations and partnerships that meet passive income or passive asset tests and, with certain exceptions,
domestic trusts that have a specified individual as a current beneficiary and exceed the reporting threshold. Specified foreign
financial assets include any depository or custodial account held at a foreign financial institution; any debt or equity interest
in a foreign financial institution if such interest is not regularly traded on an established securities market; and, if not held
at a financial institution, (1) any stock or security issued by a non-U.S. person, (2) any financial instrument or contract held
for investment where the issuer or counterparty is a non-U.S. person, and (3) any interest in an entity which is a non-U.S. person.
Depending on the
aggregate value of your investment in specified foreign financial assets, you may be obligated to file an IRS Form 8938 under this
provision if you are an individual U.S. Holder. Pursuant to a recent IRS Notice, reporting by domestic entities of interests in
specified foreign financial assets will not be required before the date specified by final regulations, which will not be earlier
than taxable years beginning after
December 31, 2012. Penalties apply to
any failure to file IRS Form 8938. Additionally, in the event a U.S. Holder (either a specified individual or specified domestic
entity) does not file such form, the statute of limitations on the assessment and collection of U.S. federal income taxes of such
U.S. Holder for the related tax year may not close before the date which is three years after the date such information is filed.
You should consult your tax advisor as to the possible application to you of this information reporting requirement and related
statute of limitations tolling provision.
Backup Withholding and Information
Reporting
A holder of the securities
(whether a U.S. Holder or a Non-U.S. Holder) may be subject to backup withholding with respect to certain amounts paid to such
holder unless it provides a correct taxpayer identification number, complies with certain certification procedures establishing
that it is not a U.S. Holder or establishes proof of another applicable exemption, and otherwise complies with applicable requirements
of the backup withholding rules. Backup withholding is not an additional tax. You can claim a credit against your U.S. federal
income tax liability for amounts withheld under the backup withholding rules, and amounts in excess of your liability are refundable
if you provide the required information to the IRS in a timely fashion. A holder of the securities may also be subject to information
reporting to the IRS with respect to certain amounts paid to such holder unless it (1) is a Non-U.S. Holder and provides a properly
executed IRS Form W-8 (or other qualifying documentation) or (2) otherwise establishes a basis for exemption.
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 may receive varying underwriting discounts and commissions of between
$20.00 and $22.50 per $1,000 principal amount of securities. 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, may pay referral fees of up to $5.50 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.
We expect to deliver the securities against payment for the
securities on the Settlement Date indicated herein, which may be a date that is greater than three business days following the
Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are
required to settle in three business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement
Date is more than three business days after the Trade Date, purchasers who wish to transact in the securities more than three business
days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The agent for this offering, CSSU, is our affiliate. In accordance
with FINRA Rule 5121, CSSU may not make sales in this offering to any of its discretionary accounts without the prior written approval
of the customer. A portion of the net proceeds from the sale of the securities will be used by CSSU or one of its affiliates in
connection with hedging our obligations under the securities.
For further information, please refer to “Underwriting
(Conflicts of Interest)” in the accompanying product supplement.
Credit Suisse