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SUMMARY TERMS
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
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Underlying stock:
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Class A Common Stock of LinkedIn Corporation (Bloomberg ticker: LNKD <Equity>)
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Aggregate principal amount:
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$
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Stated principal amount:
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$10 per security
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Issue price:
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$10 per security (see “Commissions and issue price” below)
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Pricing date:
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April 19, 2013
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Original issue date:
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April 24, 2013 (3 business days after the pricing date)
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Maturity date:
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April 22, 2016
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Early redemption:
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If, on any of the first eleven determination dates, the determination closing price of the underlying stock is greater than or equal to the initial share price, the securities will be automatically redeemed for an early redemption payment on the third business day following the related determination date.
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Early redemption payment:
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The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) the contingent quarterly payment with respect to the related determination date.
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Determination closing price:
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The closing price of the underlying stock on any determination date other than the final determination date
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Agent:
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Citigroup Global Markets, Inc. See “Supplemental information regarding plan of distribution.”
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Commissions and issue price:
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Price to public
(1)
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Fees
(2)
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Proceeds to issuer
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Per security
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$10.000
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$0.225
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$9.775
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Total
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$
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$
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$
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(1)
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Certain fiduciary accounts will pay a purchase price of at least $9.775 per security, and the placements agents with respect to sales made to such accounts will forgo any fees.
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(2)
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Citigroup Global Markets Inc., which we refer to as CGMI, will act as placement agent for the securities. The placement agent will forego fees for sales to fiduciary accounts. The total fees represent the amount that the placement agent receives from sales to accounts other than such fiduciary accounts. The placement agent will receive a fee from Credit Suisse or one of our affiliates that will not exceed $0.225 per $10 principal amount of securities and will use all of that fee to allow selling concessions to Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”) that will depend on market conditions on the pricing date.
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* These amended and restated preliminary terms amend, restate and supersede Preliminary Terms No. ACS-1 dated March 28, 2013 in their entirety.You should rely only on the information contained in these Preliminary Terms No. ACS-1/A and in the documents listed below in making your decision to invest in the securities.
The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 9 and page S-31 of the accompanying product supplement.
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.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement, prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other governmental agency of the United States, Switzerland or any other jurisdiction.
You should read this document together with the related product supplement, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information About the Securities” at the end of this document.
Citigroup Global Markets Inc.
Placement Agent
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
continued from the previous page
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Initial share price:
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$ , which is the closing price of the underlying stock on the pricing date
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Final share price:
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The closing price of the underlying stock on the final determination date
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Contingent quarterly payment:
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·
If, on any determination date, the determination closing price or the final share price, as applicable, is greater than or equal to the downside threshold level, we will pay a contingent quarterly payment expected to be between $0.3125 and $0.3625 (3.125% to 3.625% of the stated principal amount) per security on the related contingent payment date. The actual contingent quarterly payment will be determined on the pricing date.
·
If, on any determination date, the determination closing price or the final share price, as applicable, is less than the downside threshold level, no contingent quarterly payment will be made with respect to that determination date. It is possible that the underlying stock will remain below the downside threshold level for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent quarterly payments.
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Downside threshold level:
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$ , which is equal to 70% of the initial share price
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Contingent payment dates:
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With respect to each determination date other than the final determination date, the third business day after the related determination date. The payment of the contingent quarterly payment, if any, with respect to the final determination date will be made on the maturity date.
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Determination dates:
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July 19, 2013, October 21, 2013, January 21, 2014, April 21, 2014, July 21, 2014, October 20, 2014, January 20, 2015, April 15, 2015, July 20, 2015, October 19, 2015, January 19, 2016 and April 19, 2016, subject to postponement for days that are not underlying business days and certain market disruption events. We also refer to April 19, 2016 as the final determination date.
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Payment at maturity:
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·
If the final share price is
greater than or equal to
the downside threshold level:
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(i) the stated principal amount
plus
(ii) the contingent quarterly payment with respect to the final determination date
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·
If the final share price is
less than
the downside threshold level:
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(i) a number of shares of the underlying stock equal to the product of the exchange ratio and the adjustment factor, each as of the final determination date, or (ii) at our option, the cash value of such shares as of the final determination date
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Exchange ratio:
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, which is the stated principal amount
divided by
the initial share price
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Adjustment factor:
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1.0, subject to adjustment in the event of certain corporate events affecting the underlying stock
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CUSIP:
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22539T761
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ISIN:
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US22539T7616
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Listing:
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The securities will not be listed on any securities exchange.
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Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
Investment Summary
Contingent Income Auto-Callable Securities
The Contingent Income Auto-Callable Securities due April 22, 2016 With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation (the “securities”) do not provide for the regular payment of interest. Instead, the securities provide an opportunity for investors to earn a contingent quarterly payment, which is an amount expected to be between $0.3125 and $0.3625 (3.125% to 3.625% of the stated principal amount) per security
but only if
the determination closing price or the final share price, as applicable, is
at or above
70% of the initial share price, which we refer to as the downside threshold level, on the related determination date. The actual contingent quarterly payment will be determined on the pricing date. If the determination closing price or final share price, as applicable, is less than the downside threshold level on any determination date, we will pay no contingent quarterly payment for the related quarterly period. It is possible that the determination closing price could remain below the downside threshold level for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent quarterly payments during the entire term of the securities. We refer to these contingent quarterly payments as contingent, because there is no guarantee that you will receive a contingent quarterly payment on any contingent payment date. Even if the underlying stock were to be at or above the downside threshold level on some determination dates, it may fluctuate below the downside threshold level on others. The contingent quarterly payment, if any, will be payable quarterly on the contingent payment date, which is the third business day after the related determination date.
If the determination closing price is greater than or equal to the initial share price on any of the first eleven determination dates, the securities will be automatically redeemed for an
early redemption payment equal to the
stated principal amount
plus
the
contingent quarterly payment with respect to the related determination date. If the securities have not previously been
redeemed and the final share price is greater than or equal to the downside threshold level, the payment at maturity will
also be the sum of the stated principal amount and the contingent quarterly payment with respect to the related determination date. However, if the securities have not previously been redeemed and
the final share price is less than the downside threshold level, investors will be exposed to the decline in the
closing price of the underlying stock, as compared to the initial share price, on a 1 to 1 basis and receive (i) a number of shares of the underlying stock equal to the product of the exchange ratio and the adjustment factor or (ii) at our option, the cash value of such shares. The value of such shares (or that cash) will be less than 70% of the stated principal amount of the securities and could be zero.
Investors in the securities must be willing to accept the risk of losing their entire principal and also the risk of not receiving any contingent quarterly payment. In addition, investors will not participate in any appreciation of the underlying stock.
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
Key Investment Rationale
The securities do not provide for the regular payment of interest. Instead, the securities offer investors an opportunity to earn a contingent quarterly payment
but only if
the closing price or the final share price, as applicable, is
at or above
70% of the initial share price, which we refer to as the downside threshold level, on the related determination date. The securities have been designed for investors who are willing to forgo market floating interest rates and accept the risk of receiving no contingent quarterly payments for the entire 3-year term of the securities in exchange for an opportunity to earn interest at a potentially above market rate if the underlying stock closes at or above the downside threshold level on each determination date unless the securities are redeemed early. The following scenarios are for illustrative purposes only to demonstrate how the contingent quarterly payment and the payment at maturity (if the securities have not previously been redeemed) are calculated, and do not attempt to demonstrate every situation that may occur and, accordingly, the securities may or may not be redeemed, the contingent payment may be payable in none of, or some but not all, of the quarterly periods during the term of the securities and the payment at maturity may be less than 70% of the stated principal amount of the securities and may be zero. The actual contingent quarterly payment will be determined on the pricing date. The securities may be redeemed prior to maturity for the stated principal amount per security
plus
the applicable contingent quarterly payment, and the payment at maturity will vary depending on the final share price, as follows:
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Scenario 1
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On any of the first eleven determination dates, the determination closing price is greater than or equal to the initial share price.
▪
The securities will be automatically redeemed for (i) the stated principal amount plus (ii) the contingent quarterly payment with respect to the related determination date.
▪
Investors will not participate in any appreciation of the underlying stock from the initial share price.
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Scenario 2
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The securities are not automatically redee
m
ed prior to maturity and the final share price is
greater than or equal to
the downside threshold level.
▪
The payment due at maturity will be (i) the stated principal amount
plus
(ii) the contingent quarterly payment with respect to the final determination date.
▪
Investors will not participate in any appreciation of the underlying stock from the initial share price.
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Scenario 3
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The securities are not automatically redeemed prior to maturity and the final share price is
less than
the downside threshold level.
▪
The payment due at maturity will be (i) a number of shares of the underlying stock equal to the product of the exchange ratio and the adjustment factor, each as of the final determination date, or (ii) at our option, the cash value of those shares as of the final determination date.
▪
Investors will lose a significant portion, and may lose all, of their principal in this scenario.
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Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
How the Securities Work
The following diagrams illustrate the potential outcomes for the securities depending on (1) the determination closing price and (2) the final share price.
Diagram #1: First Eleven Determination Dates
Diagram #2: Payment at Maturity if No Automatic Early Redemption Occurs
For more information about the payout upon an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 7.
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
Hypothetical Examples
The following hypothetical examples are for illustrative purposes only. Whether you receive a contingent quarterly payment and whether the securities are redeemed prior to maturity will be determined on each determination date and the payment at maturity will be determined by reference to the closing price of the underlying stock on the final determination date. The actual initial share price, downside threshold level and contingent quarterly payment will be determined on the pricing date. Some numbers appearing in the examples below have been rounded for ease of analysis. All payments on the securities are subject to the credit risk of Credit Suisse. The below examples are based on the following terms:
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Hypothetical Initial Share Price:
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$180
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Hypothetical Downside Threshold Level:
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$126, which is 70% of the hypothetical initial share price
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Hypothetical Exchange Ratio:
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0.05556, which is the stated principal amount divided by the hypothetical initial share price
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Hypothetical Adjustment Factor:
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1.0
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Hypothetical Contingent Quarterly Payment:
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$0.3375 (3.375% of the stated principal amount, which is the midpoint of the expected range set forth on the cover of this document)
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Stated Principal Amount:
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$10 per security
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In Examples 1 and 2, the closing price of the underlying stock fluctuates over the term of the securities and the determination closing price of the underlying stock is greater than or equal to the hypothetical initial share price of $126 on one of the first eleven determination dates. Because the determination closing price is greater than or equal to the initial share price on one of the first eleven determination dates, the securities are automatically redeemed following the relevant determination date. In Examples 3 and 4, the determination closing price on the first eleven determination dates is less than the initial share price, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.
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Example 1
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Example 2
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Determination Dates
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Hypothetical Determination Closing Price
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Contingent Quarterly Payment
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Early Redemption Amount*
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Hypothetical Determination Closing Price
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Contingent Quarterly Payment
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Early Redemption Amount
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#1
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$115.00
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$0
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N/A
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$130.00
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$0.3375
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N/A
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#2
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$180.00
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—*
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$10.3375
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$110.00
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$0
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N/A
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#3
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N/A
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N/A
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N/A
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$105.00
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$0
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N/A
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#4
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N/A
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N/A
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N/A
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$105.00
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$0
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N/A
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#5
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N/A
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N/A
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N/A
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$130.00
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$0.3375
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N/A
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#6
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N/A
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N/A
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N/A
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$135.00
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$0.3375
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N/A
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#7
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N/A
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N/A
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N/A
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$105.00
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$0
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N/A
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#8
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N/A
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N/A
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N/A
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$135.00
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$0.3375
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N/A
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#9
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N/A
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N/A
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N/A
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$130.00
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$0.3375
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N/A
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#10
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N/A
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N/A
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N/A
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$225.00
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—*
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$10.3375
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#11
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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Final Determination Date
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N/A
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N/A
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N/A
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N/A
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N/A
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N/A
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* The Early Redemption Amount includes the unpaid contingent quarterly payment with respect to the determination date on which the determination closing price is greater than or equal to the initial share price and the securities are redeemed as a result.
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
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§
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In
Example 1
, the securities are automatically redeemed following the second determination date as the determination closing price on the second determination date is equal to the initial share price. You receive the early redemption payment, calculated as follows:
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stated principal amount + contingent quarterly payment = $10 + $0.3375 = $10.3375
In this example, the early redemption feature limits the term of your investment to approximately 6 months and you may not be able to reinvest at comparable terms or returns. If the securities are redeemed early, you will stop receiving contingent payments.
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§
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In
Example 2
, the securities are automatically redeemed following the tenth determination date as the determination closing price on the tenth determination date is greater than the initial share price. As the determination closing prices on the first, fifth, sixth, eighth, ninth and tenth determination dates are greater than the downside threshold level, you receive the contingent payment of $0.3375 with respect to each such determination date. Following the tenth determination date, you receive an early redemption amount of $10.3375, which includes the contingent quarterly payment with respect to the tenth determination date.
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In this example, the early redemption feature limits the term of your investment to approximately 30 months and you may not be able to reinvest at comparable terms or returns. If the securities are redeemed early, you will stop receiving contingent payments. Further, although the underlying stock has appreciated by 25% from its initial share price on the tenth determination date, you receive only $10.3375 per security and do not benefit from such appreciation.
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Example 3
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Example 4
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Determination Dates
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Hypothetical Determination Closing Price
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Contingent Quarterly Payment
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Early Redemption Amount
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Hypothetical Determination Closing Price
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Contingent Quarterly Payment
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Early Redemption Amount
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#1
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$120.00
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$0
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N/A
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$120.00
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$0
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N/A
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#2
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$100.00
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$0
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N/A
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$95.00
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$0
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N/A
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#3
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$105.00
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$0
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N/A
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$98.00
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$0
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N/A
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#4
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$110.00
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$0
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N/A
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$110.00
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$0
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N/A
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#5
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$103.00
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$0
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N/A
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$105.00
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$0
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N/A
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#6
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$95.00
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$0
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N/A
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$102.00
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$0
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N/A
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#7
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$98.00
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$0
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N/A
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$102.00
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$0
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N/A
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#8
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$98.00
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$0
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N/A
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$109.00
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$0
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N/A
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#9
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$105.00
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$0
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N/A
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$115.00
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$0
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N/A
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#10
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$109.00
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$0
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N/A
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$115.00
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$0
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N/A
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#11
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$115.00
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$0
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N/A
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$120.00
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$0
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N/A
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Final Determination Date
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$108.00
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$0
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N/A
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$135.00
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—*
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N/A
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Payment at Maturity
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$6.00
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$10.3375
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* The final contingent quarterly payment, if any, will be paid at maturity.
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
Examples 3 and 4 illustrate the payment at maturity per security based on the final share price.
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§
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In
Example 3
, the closing price of the underlying stock remains below the downside threshold level on every determination date. As a result, you do not receive any contingent payments during the term of the securities and, at maturity, you are fully exposed to the decline in the closing price of the underlying stock. As the final share price is less than the downside threshold level, investors will receive a number of shares of the underlying stock equal to the product of the exchange ratio and the adjustment factor or the cash value thereof, calculated as follows:
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the cash value of 0.05556 shares of the underlying stock = $108.00 x 0.05556 = $6.00
In this example, the value of shares you receive at maturity is significantly less than the stated principal amount.
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§
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In
Example 4
, the closing price of the underlying stock decreases to a final share price of $135.00. Although the final share price is less than the initial share price, because the final share price is still not less than the downside threshold level, you receive the stated principal amount plus a contingent quarterly payment with respect to the final determination date. Your payment at maturity is calculated as follows:
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$10 + $0.3375 = $10.3375
In this example, although the final share price represents a 25% decline from the initial share price, you receive the stated principal amount per security plus the final contingent quarterly payment, equal to a total payment of $10.3375 per security at maturity, because the final share price is not less than the downside threshold level.
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
Risk Factors
The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product supplement, prospectus supplement and prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.
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§
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The securities do not guarantee the return of any principal.
The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any of the principal amount at maturity. If the securities have not been automatically redeemed prior to maturity and if the final share price is less than the downside threshold level, you will be exposed to the decline in the closing price of the underlying stock, as compared to the initial share price, on a 1 to 1 basis and you will receive for each security that you hold at maturity a number of shares of the underlying stock equal to the exchange ratio
times
the adjustment factor (or, at our option, the cash value of such shares). The value of those shares (or that cash) will be less than 70% of the stated principal amount and could be zero. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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§
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The securities do not provide for the regular payment of interest.
The terms of the securities differ from those of ordinary debt securities in that they do not provide for the regular payment of interest. Instead, the securities will pay a contingent quarterly payment
but only if
the closing price of the underlying stock is
at or above
70% of the initial share price, which we refer to as the downside threshold level, on the related determination date. If, on the other hand, the closing price is lower than the downside threshold level on the relevant determination date for any interest period, we will pay no contingent quarterly payment on the applicable contingent payment date. It is possible that the closing price could remain below the downside threshold level for extended periods of time or even throughout the entire 3-year term of the securities so that you will receive few or no contingent quarterly payments. If you do not earn sufficient contingent quarterly payments over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security of the issuer of comparable maturity.
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§
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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 underlying stock, the payment of any amount due on the securities 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.
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§
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The contingent quarterly payment, if any, is based solely on the determination closing price or the final share price, as applicable on the related determination date
.
Whether the contingent quarterly payment will be paid on any contingent payment date will be determined at the end of the relevant interest period based on the determination closing price of the underlying stock on the relevant determination date. As a result, you will not know whether you will receive the contingent quarterly payment until the related determination date. Moreover, because the contingent quarterly payment is based solely on the determination closing price on a specific determination date or the final share price, as applicable, if such determination closing price or final share price is below the downside threshold level, you will not receive any contingent quarterly payment with respect to such determination date, even if the closing price of the underlying stock was higher on other days during that period.
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§
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Investors will not participate in any appreciation in the price of the underlying stock.
Investors will not participate in any appreciation in the price of the underlying stock from the initial share price, and the return on the securities will be limited to the contingent quarterly payment that is paid with respect to each determination date on which the determination closing price or the final share price, as applicable, is greater than or equal to the downside threshold level.
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§
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Early redemption risk.
The term of your investment in the securities may be limited to as short as approximately three months by the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will receive no more contingent quarterly payments and may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.
|
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
|
§
|
If the payment at maturity consists of a number of shares of the underlying stock, or at our option, the cash value of such shares, the value of such shares could be less on the maturity date than on the final determination date.
If the final share price is less than the downside threshold level, you will be entitled to receive on the maturity date (i) a number of shares of the underlying stock equal to the product of the exchange ratio and the adjustment factor, each as of the final determination date plus an amount in cash corresponding to any fractional share, or (ii) at our option, the cash value of such shares as of the final determination date. The value of such shares on the final determination date will be less than $10 per $10 principal amount of securities and could fluctuate, possibly decreasing, in the period between the final determination date and the maturity date. We will make no adjustments to such shares or its cash value to account for any such fluctuation and you will bear the risk of any decrease in the value of such shares between the final determination date and the maturity date.
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§
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The market price will be influenced by many unpredictable factors
. Several factors will influence the value of the securities in the secondary market and the price at which CGMI may be willing to purchase or sell the securities in the secondary market. Although we expect that generally the closing price of the underlying stock on any day will affect the value of the securities more than any other single factor, other factors that may influence the value of the securities include:
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o
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the trading price and volatility (frequency and magnitude of changes in value) of the underlying stock,
|
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|
o
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whether the determination closing price has been below the downside threshold level on any determination date,
|
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|
o
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dividend rates on the underlying stock,
|
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|
o
|
interest and yield rates in the market,
|
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|
o
|
investors’ expectations with respect to the rate of inflation,
|
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|
o
|
time remaining until the securities mature,
|
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|
o
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stock or markets generally and which may affect the final share price of the underlying stock,
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the availability of comparable instruments,
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o
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the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the adjustment factor, and
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any actual or anticipated changes in our credit ratings or credit spreads.
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Some or all of these factors will 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. The price of the underlying stock may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. See “LinkedIn Corporation Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell your securities prior to maturity.
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Investing in the securities is not equivalent to investing in the common stock of LinkedIn Corporation.
Investors in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying stock.
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No affiliation with LinkedIn Corporation.
LinkedIn Corporation is not an affiliate of ours, is not involved with this offering in any way, and has no obligation to consider your interests in taking any corporate actions that might affect the value of the securities. We have not made any due diligence inquiry with respect to LinkedIn Corporation in connection with this offering.
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We may engage in business with or involving LinkedIn Corporation without regard to your interests.
We or our affiliates may presently or from time to time engage in business with LinkedIn Corporation without regard to your interests and thus may acquire non-public information about LinkedIn Corporation. Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to time have published
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Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
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and in the future may publish research reports with respect to LinkedIn Corporation, which may or may not recommend that investors buy or hold the underlying stock.
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The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect the underlying stock.
Credit Suisse International, as calculation agent, will adjust the amount payable at maturity for certain corporate events affecting the underlying stock, such as stock splits and stock dividends, and certain other corporate actions involving the issuer of the underlying stock, such as mergers. However, the calculation agent will not make an adjustment for every corporate event that can affect the underlying stock. For example, the calculation agent is not required to make any adjustments if the issuer of the underlying stock or anyone else makes a partial tender or partial exchange offer for the underlying stock, nor will adjustments be made following the final determination date. If an event occurs that does not require the calculation agent to adjust the amount payable at maturity , or if an adjustment is made but such adjustment does not fully reflect the economics of such event, the market price of the securities may be materially and adversely affected.
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The securities will not be listed on any securities exchange and secondary trading may be limited
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The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. CGMI may, but is not obligated to, make a market in the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Because we do not expect that other broker-dealers will participate significantly in the 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 CGMI is willing to transact. If, at any time, CGMI were not to make a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be able and willing to hold your securities to maturity.
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Certain built-in costs are likely to adversely affect the value of the securities prior to maturity.
While the payment at maturity described in this document is based on the full principal amount of your securities, the original issue price of the securities includes the agent’s commission and the cost of hedging our obligations under the securities through one or more of our affiliates. As a result, the price, if any, at which Credit Suisse (or its affiliates), will be willing to purchase the securities from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the maturity date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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Our hedging and trading activity could potentially adversely affect the value of the securities
. We expect to carry out hedging activities related to the securities (and possibly to other instruments linked to the underlying stock), including trading in the underlying stock. We may also trade the underlying stock and other financial instruments related to the underlying stock on a regular basis as part of our general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could potentially increase the initial share price and, as a result, could increase (i) the closing price at which the underlying stock must close on the determination dates so that the securities are redeemed prior to maturity for the early redemption payment and (ii) the downside threshold level, which is the price at or above which the underlying stock must close on each determination date in order for you to be entitled to receive a contingent quarterly payment and, with respect to the final determination date, so that you are not exposed to the negative performance of the underlying stock at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect the price of the underlying stock on the determination dates and, accordingly, whether the securities are automatically called prior to maturity and, if the securities are not called prior to maturity, the payout to you at maturity.
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Potential conflicts.
We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
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The U.S. federal income tax consequences of an investment in the securities are uncertain.
The U.S. federal income tax consequences of an investment in the securities
are uncertain, and may be adverse to a holder of the securities. No statutory, judicial, or administrative authority directly addresses the characterization of the securities
or instruments similar to the securities
for U.S. federal income tax purposes. As a result, significant aspects of the U.S. federal income tax consequences of an investment in the securities
are not certain. Under the terms of the
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Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
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securities, you will have agreed with us to treat the securities
as prepaid financial contracts, with respect to the underlying, as described under “Material U.S. Federal Income Tax Considerations—Characterization of the Securities.” If the U.S. Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the securities, the timing and character of income, gain or loss with respect to the securities
may differ. No assurance can be given that the IRS will agree with the statements made in the section entitled “Material U.S. Federal Income Tax Considerations.” Additionally, 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. 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 or exchange thereof. Any regulations or other guidance that may be issued could result in income and gain (either at maturity or upon sale or exchange) 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). 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
to be marked to market on an annual basis with all gains and losses to be treated as ordinary, subject to certain exceptions.
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YOU ARE URGED TO CONSULT WITH YOUR OWN TAX ADVISOR REGARDING ALL ASPECTS OF THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF INVESTING IN THE SECURITIES
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Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
LinkedIn Corporation Overview
LinkedIn Corporation is an Internet-based professional network platform.
The Class A Common Stock of the LinkedIn Corporation, par value $0.0001 per share, is listed on the New York Stock Exchange. The underlying stock is registered under the Securities Exchange Act of 1934, as amended. Information provided to or filed with the Securities and Exchange Commission by the issuer of the underlying stock pursuant to the Securities Exchange Act of 1934, as amended, can be located by reference to the Securities and Exchange Commission file number 001-35168 through the Securities and Exchange Commission’s website at
.
www.sec.gov. In addition, information regarding the issuer of the underlying stock may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
Neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the issuer of the underlying stock.
Information as of market close on April 2, 2013:
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Bloom
berg Ticker Symbol:
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LNKD <Equity>
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52 Week High (on 3/22/2013):
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$181.48
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Current
Stock Price:
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$172.68
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52 Week Low (on 6/4/2012):
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$91.09
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52 Weeks Ago:
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$102.64
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The following table sets forth the published high and low closing prices of, as well as dividends on, the underlying stock for each quarter from May 19, 2011 through April 2, 2013. The closing price of the underlying stock on April 2, 2013 was $172.68. The associated graph shows the closing prices of the underlying stock for each day in the same period. The underlying stock began trading on The New York Stock Exchange on May 19, 2011 and therefore has a limited historical performance. Past performance should not be considered indicative of future performance. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the underlying stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the underlying stock at any time, including the determination dates.
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LinkedIn Corporation Class A Common Stock (CUSIP 53578A108)
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High ($)
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Low ($)
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Dividends ($)
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2011
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Second Quarter
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95.45
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63.71
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0.00
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Third Quarter
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109.97
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71.27
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0.00
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Fourth Quarter
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93.93
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59.07
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0.00
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2012
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First Quarter
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103.31
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61.79
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0.00
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Second Quarter
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117.30
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91.09
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0.00
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Third Quarter
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123.23
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93.51
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0.00
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Fourth Quarter
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121.98
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95.62
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0.00
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2013
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First Quarter
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181.48
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111.17
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0.00
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Second Quarter (through April 2, 2013)
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173.61
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172.68
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0.00
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We make no representation as to the amount of dividends, if any, that LinkedIn Corporation may pay in the future. In any event, as an investor in the Contingent Income Auto-callable Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of LinkedIn Corporation
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation
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LinkedIn Corporation common stock – Daily Closing Prices
May 19, 2011 to April 2, 2013
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* The red solid line indicates the hypothetical downside threshold level, assuming the closing price on April 2, 2013 were the initial index value.
This document relates only to the securities offered hereby and does not relate to the underlying stock or other securities of LinkedIn Corporation. We have derived all disclosures contained in this document regarding LinkedIn Corporation stock from the publicly available documents described in the preceding paragraph. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to LinkedIn Corporation. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading price of the underlying stock (and therefore the price of the underlying stock at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning LinkedIn Corporation could affect the value received at maturity with respect to the securities and therefore the trading prices of the securities.
Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the underlying stock.
Contingent Income Auto-Callable Securities due April 22, 2016
With the Contingent Quarterly Payment and the Payment at Maturity Subject to the Performance of the Common Stock of LinkedIn Corporation