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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Preferred Plus Trust Ser Qws 2 TR Ctf Preferred Plus Trust Ser Qws 2 TR Ctf Pfd | NYSE:PJA | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 24.90 | 0.00 | 01:00:00 |
Pricing Supplement No. T302
To the Underlying Supplement dated July 29, 2013,
Product Supplement No. T-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
February 25, 2014
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Financial
Products
|
||
$75,000
|
||
Callable Cert Plus Securities due February 29, 2016
Linked to the Performance of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE
®
ETF
|
•
|
The securities are designed for investors who seek a leveraged return linked to the performance of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE
®
ETF as described below. Investors should be willing to forgo interest and dividend payments and, if a Knock-In Event occurs, be willing to lose up to 100% of their investment. 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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Subject to Early Redemption, if the Final Level of the Lowest Performing Underlying is greater than its Initial Level, investors will benefit from an Upside Participation Rate of 125%.
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•
|
The securities are subject to Early Redemption at the option of the Issuer on March 6, 2015 at a redemption price equal to the principal amount of securities you hold plus a return of 10%.
|
•
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Senior unsecured obligations of Credit Suisse AG, acting through its London Branch, maturing February 29, 2016.
†
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•
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Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
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•
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The securities priced on February 25, 2014 (the “Trade Date”) and are expected to settle on February 28, 2014 (the “Settlement Date”). Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
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Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its London Branch
|
||||||||
Underlyings:
|
The securities are linked to the performance of the EURO STOXX 50
®
Index and the iShares
®
MSCI EAFE
®
ETF. For more information on the Underlyings, see “The Reference Indices—The EURO STOXX 50
®
Index” and “The Reference Funds—The iShares
®
Funds—The iShares
®
MSCI EAFE
®
ETF” in the accompanying underlying supplement. Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Knock-In Level:
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||||||||
Underlying
|
Ticker
|
Initial Level
|
Knock-In Level
|
||||||
EURO STOXX 50
®
Index (“SX5E”)
|
SX5E <Index>
|
3157.48
|
2210.236
|
||||||
iShares
®
MSCI EAFE
®
ETF (“EFA”)
|
EFA <Index>
|
$67.39
|
$47.173
|
||||||
Early Redemption:
|
Prior to the Maturity Date, the Issuer may redeem the securities, in whole but not in part, on
March 6, 2015
upon notice to the trustee on or before March 3, 2015. The redemption price per security upon Early Redemption will equal the principal amount of the securities multiplied by the sum of 1 plus the Call Return.
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||||||||
Call Return:
|
10%
|
||||||||
Upside Participation Rate:
|
125%
|
||||||||
Redemption Amount:
|
Subject to Early Redemption, you will be entitled to receive a Redemption Amount in cash at maturity that will equal the principal amount of the securities you hold multiplied by the sum of 1 plus the Underlying Return of the Lowest Performing Underlying, calculated as set forth below. Any payment on the securities is subject to our ability to pay our obligations as they become due.
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||||||||
Underlying Return:
|
For each Underlying, the Underlying Return is expressed as a percentage and is calculated as follows:
|
||||||||
•
|
If the Final Level of such Underlying is equal to or greater than its Initial Level, the Underlying Return for such Underlying will equal:
|
||||||||
Upside Participation Rate ×
|
Final Level – Initial Level
Initial Level
|
||||||||
•
|
If the Final Level of such Underlying is less than its Initial Level and:
|
||||||||
• if a Knock-In Event occurs, the Underlying Return for such Underlying will equal:
|
|||||||||
Final Level – Initial Level
Initial Level
|
|||||||||
• if a Knock-In Event has not occurred, the Underlying Return for such Underlying will equal zero.
|
|||||||||
If the Final Level of the Lowest Performing Underlying is less than the Initial Level and a Knock-In Event occurs, the Underlying Return of the Lowest Performing Underlying will be negative, and you will receive less than the principal amount of your securities at maturity. You could lose your entire investment.
|
Price to Public(1)
|
Underwriting Discounts and Commissions(2)
|
Proceeds to Issuer
|
|
Per security
|
$1,000.00
|
$28.00
|
$972.00
|
Total
|
$75,000.00
|
$2,100.00
|
$72,900.00
|
Title of Each Class of Securities Offered
|
Maximum Aggregate Offering Price
|
Amount of Registration Fee
|
Notes
|
$75,000.00
|
$9.66
|
February 25, 2014
|
(continued on next page)
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Lowest Performing Underlying:
|
The Underlying with the lowest Underlying Return.
|
Knock-In Event:
|
A Knock-In Event occurs if the Final Level of any Underlying is equal to or less than its Knock-In Level.
|
Knock-In Level:
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For each Underlying, as set forth in the table above.
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Initial Level:
|
For each Underlying, as set forth in the table above.
|
Final Level:
|
For each Underlying, the closing level of such Underlying on the Valuation Date.
|
Valuation Date:
†
|
February 24, 2016
|
Maturity Date:
†
|
February 29, 2016
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP:
|
22547QHC3
|
|
•
|
Underlying supplement dated July 29, 2013:
|
|
•
|
Product supplement No. T-I dated March 23, 2012:
|
|
•
|
Prospectus supplement and Prospectus dated March 23, 2012:
|
Percentage Change from the Initial Level
to the Final Level of the Lowest Performing Underlying
|
Underlying Return
of the Lowest
Performing Underlying
|
Redemption
Amount per $1,000 Principal Amount of Securities
|
100.00%
|
125.00%
|
$2,250.00
|
90.00%
|
112.50%
|
$2,125.00
|
80.00%
|
100.00%
|
$2,000.00
|
70.00%
|
87.50%
|
$1,875.00
|
60.00%
|
75.00%
|
$1,750.00
|
50.00%
|
62.50%
|
$1,625.00
|
40.00%
|
50.00%
|
$1,500.00
|
30.00%
|
37.50%
|
$1,375.00
|
20.00%
|
25.00%
|
$1,250.00
|
10.00%
|
12.50%
|
$1,125.00
|
0.00%
|
0.00%
|
$1,000.00
|
−10.00%
|
0.00%
|
$1,000.00
|
−20.00%
|
0.00%
|
$1,000.00
|
−29.99%
|
0.00%
|
$1,000.00
|
−30.00%
|
−30.00%
|
$700.00
|
−40.00%
|
−40.00%
|
$600.00
|
−50.00%
|
−50.00%
|
$500.00
|
−60.00%
|
−60.00%
|
$400.00
|
−70.00%
|
−70.00%
|
$300.00
|
−80.00%
|
−80.00%
|
$200.00
|
−90.00%
|
−90.00%
|
$100.00
|
−100.00%
|
−100.00%
|
$0.00
|
Underlying
|
Final Level
|
SX5E
|
120% of Initial Level
|
EFA
|
110% of Initial Level
|
Underlying Return of the Lowest Performing Underlying
|
=
|
Upside Participation Rate × [(Final Level − Initial Level) / Initial Level]
|
=
|
125% × 10%
|
|
=
|
12.50%
|
|
Redemption Amount
|
=
|
$1,000 × (1 + Underlying Return of the Lowest Performing Underlying)
|
=
|
$1,000 × 1.1250
|
|
=
|
$1,125
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Underlying
|
Final Level
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SX5E
|
100% of Initial Level
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EFA
|
90% of Initial Level
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Underlying
|
Final Level
|
SX5E
|
110% of Initial Level
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EFA
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70% of Initial Level
|
Underlying Return of the Lowest Performing Underlying
|
=
|
(Final Level – Initial Level) / Initial Level
|
|
=
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−30%
|
||
Redemption Amount
|
=
|
$1,000 × (1 + Underlying Return of the Lowest Performing Underlying)
|
|
=
|
$1,000 × 0.70
|
||
=
|
$700
|
|
•
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YOUR INVESTMENT IN THE SECURITIES MAY RESULT IN A LOSS
— You may receive less at maturity than you originally invested in the securities, or you may receive nothing. If we do not exercise our right to redeem the securities and the Final Level of any Underlying is equal to or less than its Knock-In Level, you will be fully exposed to any depreciation in the Lowest Performing Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities, and you will lose your entire investment if the Final Level of the Lowest Performing Underlying falls to zero. It is not possible to predict whether a Knock-In Event will occur, and in the event that there is a Knock-In Event, 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.
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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 Underlyings, 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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|
•
|
THE SECURITIES DO NOT PAY INTEREST
— We will not pay interest on the securities. You may receive less at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since the Redemption Amount at maturity is based on the appreciation or depreciation of the Underlyings. Because the Redemption Amount due at maturity may be less than the amount originally invested in the securities, the return on the securities (the effective yield to maturity) may be negative. Even if it is positive, the return payable on each security may not be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time.
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•
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YOUR RETURN AT MATURITY WILL BE BASED ON THE UNDERLYING RETURN OF THE LOWEST PERFORMING UNDERLYING
— Because the Redemption Amount will be determined based on the Underlying Return of the Lowest Performing Underlying, you will not benefit from the performance of any other Underlying. For example, if one Underlying appreciates from its Initial Level and the other Underlying does not appreciate as much, or even decreases from its Initial Level, you will not benefit from the appreciation of the first Underlying. Additionally, if a Knock-In Event occurs, even with respect to only one Underlying, the Underlying Return of the Lowest Performing Underlying will be negative and you will receive less than the principal amount of your securities at maturity.
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|
•
|
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
— Even if the Final 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.
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|
•
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THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO PARTICIPATE IN ANY APPRECIATION OF THE UNDERLYINGS DURING THE TERM OF THE SECURITIES
— The securities are subject to a potential early redemption. The Issuer may redeem the securities, in whole but not in part, on March 6, 2015 upon notice to the trustee on or before March 3, 2015. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive only the principal amount of the securities you hold multiplied by the sum of 1 plus the Call Return of 10%. In this case, you will lose the opportunity to benefit from the appreciation of the Underlyings, if any, and you may receive less than if the securities had been held to maturity. If the
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•
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SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING
— Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the
individual performance
of each Underlying. Because the securities are not linked to a basket, in which case the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing 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.
|
|
•
|
THERE ARE RISKS ASSOCIATED WITH THE ISHARES
®
MSCI EAFE
®
ETF
— Although shares of the iShares
®
MSCI EAFE
®
ETF (the “Reference Fund”) are listed for trading on the NYSE Arca, Inc. (“NYSE Arca”) and a number of similar products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Reference Fund or that there will be liquidity in the trading market. The Reference Fund is subject to management risk, which is the risk that the Reference Fund’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Pursuant to the Reference Fund’s investment strategy or otherwise, the investment advisor for the Reference Fund may add, delete or substitute the components held by the Reference Fund. Any of these actions could affect the price of the shares of the Reference Fund and consequently the value of the securities.
|
|
•
|
THE PERFORMANCE OF THE REFERENCE FUND MAY NOT CORRELATE TO THE PERFORMANCE OF THE TRACKED INDEX
— The Reference Fund will generally invest in all of the equity securities included in the MSCI EAFE
®
Index, the “Tracked Index” for the Reference Fund. There may, however, be instances where BlackRock Fund Advisors (“BFA”), the Reference Fund’s investment advisor, may choose to overweight another stock in the Tracked Index, purchase securities not included in the Tracked Index that BFA believes are appropriate to substitute for a security included in the Tracked Index or utilize various combinations of other available investment techniques. In addition, the performance of the Reference Fund will reflect additional transaction costs and fees that are not included in the calculation of the Tracked Index. Finally, because the shares of the Reference Fund are traded on the NYSE Arca and are subject to market supply and investor demand, the market value of one share of the Reference Fund may differ from the net asset value per share of the Reference Fund. For these reasons, the performance of the Reference Fund may not correlate with the performance of the Tracked Index. For additional information about the variation between the performance of the Reference Fund and the performance of the Tracked Index, see the information set forth under “The Reference Funds
—
The iShares
®
Funds
—
The iShares
®
MSCI EAFE
®
ETF” in the accompanying underlying supplement.
|
|
•
|
CURRENCY EXCHANGE RISK
— Because the prices of the equity securities included in the Reference Fund are converted into U.S. dollars for purposes of calculating the level of the Reference Fund, investors will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities included in the Reference Fund trade. Currency exchange rates may be highly volatile, particularly in relation to emerging or developing nations’ currencies and, in certain market conditions, also in relation to developed nations’ currencies. Significant changes in currency exchange rates, including changes in liquidity and prices, can occur within very short periods of time. Currency exchange rate risks include, but are not limited to, convertibility risk, market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or particular transactions in foreign currency. These factors may adversely affect the values of the
|
|
•
|
RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES LINKED TO THE PERFORMANCE OF FOREIGN EQUITY SECURITIES
—
The equity securities included in the Underlyings are issued by foreign companies and trade in foreign securities markets.
Investments in securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including the risk of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies.
|
|
•
|
THE ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE MAY BE LESS THAN THE PRICE TO PUBLIC
— The initial estimated value of your securities on the Trade Date (as determined by reference to our pricing models and our internal funding rate) 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.
|
|
Because Credit Suisse’s pricing models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value at any time may not be comparable to estimated values of similar securities of other issuers.
|
|
•
|
EFFECT OF INTEREST RATE USED IN STRUCTURING THE SECURITIES
— The internal funding rate we use in structuring notes such as these securities is typically lower than the interest rate that is reflected in the yield on our conventional debt securities of similar maturity in the secondary market (our “secondary market credit spreads”). If on the Trade Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms of the securities will generally be less favorable to you than they would have been if our secondary market credit spread had been used in structuring the securities. We will also use our internal funding rate to determine the price of the securities if we post a bid to repurchase your securities in secondary market transactions. See “—Secondary Market Prices” below.
|
|
•
|
SECONDARY MARKET PRICES
— If Credit Suisse (or an affiliate) bids for your securities in secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade Date. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the securities in the secondary market (if any exists) at any time. The secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated value determined by reference to our pricing models and other factors. These other factors include our internal funding rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or improvement in our creditworthiness. In circumstances where our internal funding rate is lower than our secondary market credit spreads, our secondary market bid for your securities could be more favorable than what other dealers might bid because, assuming all else equal, we use the lower internal funding rate to price the securities and other dealers might use the higher secondary market credit spread to price them.
Furthermore, assuming no change in market
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|
•
|
LACK OF LIQUIDITY
— The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
|
•
|
POTENTIAL CONFLICTS
— We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and as agent of the issuer for the offering of the securities, hedging our obligations under the securities and determining their estimated value. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the securities.
Further, hedging activities
may
adversely affect any payment on or the value of the securities. Any profit in connection with such hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of the securities, which creates an additional incentive to sell the securities to you.
|
|
•
|
MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES
— In addition to the levels of the Underlyings on any day, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
|
|
o
|
the expected volatility of the Underlyings;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
the dividend rate on the equity securities comprising the Underlyings;
|
|
o
|
interest and yield rates in the market generally;
|
|
o
|
investors’ expectations with respect to the rate of inflation;
|
|
o
|
geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings or markets generally and which may affect the levels of the Underlyings;
|
|
o
|
the exchange rate and the volatility of the exchange rate between the U.S. dollar and the currencies of the equity securities held by the Reference Fund and any other currency relevant to the value of the Reference Fund; and
|
|
o
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
|
•
|
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 equity securities that comprise the Underlyings. The return on your investment is not the same as the total return based on the purchase of shares of the equity securities that comprise the Underlyings.
|
|
•
|
NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the equity securities that comprise the Underlyings.
|
|
•
|
ANTI-DILUTION PROTECTION IS LIMITED
— The Calculation Agent will make anti-dilution adjustments for certain events affecting the Reference Fund. However, an adjustment will not be required in response to all events that could affect the 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. See “Description of the Securities—Adjustments for a reference fund” in the accompanying product supplement.
|
|
·
|
a financial institution,
|
|
·
|
a mutual fund,
|
|
·
|
a tax-exempt organization,
|
|
·
|
a grantor trust,
|
|
·
|
certain U.S. expatriates,
|
|
·
|
an insurance company,
|
|
·
|
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.
|
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