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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Merrill Lynch Depositor Ser Gsc-3 TR Ctf CL A | NYSE:PYC | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 24.689 | 0.00 | 01:00:00 |
Pricing Supplement No. U986
To the Underlying Supplement dated July 29, 2013,
Product Supplement No. U-I dated March 23, 2012,
Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
March 25, 2014
|
Financial
Products
|
||
$2,942,000
|
||
8.00% per annum Contingent Coupon Callable Yield Notes due March 28, 2024
Linked to the Performance of the Russell 2000
®
Index
|
•
|
The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlying. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs. 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 a Coupon Barrier Event does not occur, contingent coupons will be paid quarterly in arrears at a Contingent Coupon Rate of 8.00% per annum for the corresponding contingent coupon period. If a Coupon Barrier Event occurs on any Observation Date, no contingent coupon will be paid for the corresponding contingent coupon period. Contingent coupons will be calculated on a 30/360 basis from and including the Settlement Date to and excluding the earlier of the Early Redemption Date and the Maturity Date, as applicable.
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•
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The Issuer may redeem the securities, in whole but not in part, on any Contingent Coupon Payment Date scheduled to occur on or after March 30, 2015. No contingent coupons will accrue or be payable following an Early Redemption.
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•
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Senior unsecured obligations of Credit Suisse AG, acting through its London Branch, maturing March 28, 2024.
†
|
•
|
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 March 25, 2014 (the “Trade Date”) and are expected to settle on March 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
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Underlying:
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The Russell 2000
®
Index. For more information on the Underlying, see “The Reference Indices—The Russell 2000
®
Index” in the accompanying underlying supplement. The Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level, Coupon Barrier Level and Knock-In Level:
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|||||
Underlying
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Ticker
|
Initial Level
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Coupon Barrier Level
|
Knock-In Level
|
||
Russell 2000
®
Index (“RTY”)
|
RTY <Index>
|
1178.05
|
907.0985
|
589.0250
|
||
Contingent Coupon Rate:
|
Subject to Early Redemption, if a Coupon Barrier Event does not occur, the Contingent Coupon Rate will be 8.00% per annum for the corresponding contingent coupon period. If a Coupon Barrier Event occurs, no contingent coupon will be paid for the corresponding contingent coupon period. Contingent coupons will be calculated on a 30/360 basis from and including the Settlement Date to and excluding the earlier of the Early Redemption Date and the Maturity Date, as applicable.
|
|||||
Coupon Barrier Event:
|
A Coupon Barrier Event will occur if on an Observation Date the closing level of the Underlying is less than the Coupon Barrier Level.
|
|||||
Coupon Barrier Level:
|
As set forth in the table above.
|
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Contingent Coupon Payment Dates:
†
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Subject to Early Redemption, unless a Coupon Barrier Event occurs, contingent coupons will be paid quarterly in arrears on June 30, 2014, September 29, 2014, December 29, 2014, March 30, 2015, June 29, 2015, September 28, 2015, December 28, 2015, March 28, 2016, June 28, 2016, September 28, 2016, December 28, 2016, March 28, 2017, June 28, 2017, September 28, 2017, December 28, 2017, March 28, 2018, June 28, 2018, September 28, 2018, December 28, 2018, March 28, 2019, June 28, 2019, September 30, 2019, December 30, 2019, March 30, 2020, June 29, 2020, September 28, 2020, December 28, 2020, March 29, 2021, June 28, 2021, September 28, 2021, December 28, 2021, March 28, 2022, June 28, 2022, September 28, 2022, December 28, 2022, March 28, 2023, June 28, 2023, September 28, 2023, December 28, 2023 and the Maturity Date, subject to the modified following business day convention. No contingent coupons will accrue or be payable following an Early Redemption.
Contingent coupons will be payable to the holders of record at the close of business on the business day immediately preceding the applicable Contingent Coupon Payment Date, provided that the contingent coupon payable on the Early Redemption Date or Maturity Date, as applicable, will be payable to the person to whom the Early Redemption Amount or the Redemption Amount, as applicable, is payable.
|
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Redemption Amount:
|
At maturity, the Redemption Amount you will be entitled to receive will depend on the performance of the Underlying and whether a Knock-In Event occurs. Subject to Early Redemption, the Redemption Amount will be determined as follows:
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|||||
•
|
If a Knock-In Event occurs, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return.
In this case, the Redemption Amount will be equal to or less than $500 per $1,000 principal amount of securities. You could lose your entire investment.
|
|||||
•
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If a Knock-In Event does not occur, the Redemption Amount will equal the principal amount of the securities you hold.
|
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Any payment on the securities is subject to our ability to pay our obligations as they become due.
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Price to Public(1)
|
Underwriting Discounts and Commissions(2)
|
Proceeds to Issuer
|
|
Per security
|
$1,000.00
|
$43.00
|
$957.00
|
Total
|
$2,942,000.00
|
$126,506.00
|
$2,815,494.00
|
Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
|
Amount of Registration Fee
|
Notes
|
$2,942,000.00
|
$378.93
|
March 25, 2014
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(continued on next page)
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|
•
|
Underlying supplement dated July 29, 2013:
|
|
•
|
Product supplement No. U-I dated March 23, 2012:
|
|
•
|
Prospectus supplement and Prospectus dated March 23, 2012:
|
Percentage Change
from the Initial Level
to the Final Level
|
Underlying Return
|
Redemption Amount (excluding contingent coupon payments, if any)
|
Total Contingent Coupon Payments
|
100.00%
|
0.00%
|
$1,000.00
|
(See table below)
|
90.00%
|
0.00%
|
$1,000.00
|
|
80.00%
|
0.00%
|
$1,000.00
|
|
70.00%
|
0.00%
|
$1,000.00
|
|
60.00%
|
0.00%
|
$1,000.00
|
|
50.00%
|
0.00%
|
$1,000.00
|
|
40.00%
|
0.00%
|
$1,000.00
|
|
30.00%
|
0.00%
|
$1,000.00
|
|
20.00%
|
0.00%
|
$1,000.00
|
|
10.00%
|
0.00%
|
$1,000.00
|
|
0.00%
|
0.00%
|
$1,000.00
|
|
−10.00%
|
−10.00%
|
$1,000.00
|
|
−20.00%
|
−20.00%
|
$1,000.00
|
|
−30.00%
|
−30.00%
|
$1,000.00
|
|
−40.00%
|
−40.00%
|
$1,000.00
|
|
−49.99%
|
−49.99%
|
$1,000.00
|
|
−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
|
Number of Coupon Barrier Events
|
Total Contingent Coupon Payments
|
A Coupon Barrier Event does not occur
|
$800.00
|
A Coupon Barrier Event occurs on 1 Observation Date
|
$780.00
|
A Coupon Barrier Event occurs on 2 Observation Dates
|
$760.00
|
A Coupon Barrier Event occurs on 3 Observation Dates
|
$740.00
|
A Coupon Barrier Event occurs on 4 Observation Dates
|
$720.00
|
A Coupon Barrier Event occurs on 5 Observation Dates
|
$700.00
|
A Coupon Barrier Event occurs on 6 Observation Dates
|
$680.00
|
A Coupon Barrier Event occurs on 7 Observation Dates
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$660.00
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A Coupon Barrier Event occurs on 8 Observation Dates
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$640.00
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A Coupon Barrier Event occurs on 9 Observation Dates
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$620.00
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A Coupon Barrier Event occurs on 10 Observation Dates
|
$600.00
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A Coupon Barrier Event occurs on 11 Observation Dates
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$580.00
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A Coupon Barrier Event occurs on 12 Observation Dates
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$560.00
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A Coupon Barrier Event occurs on 13 Observation Dates
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$540.00
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A Coupon Barrier Event occurs on 14 Observation Dates
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$520.00
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A Coupon Barrier Event occurs on 15 Observation Dates
|
$500.00
|
A Coupon Barrier Event occurs on 16 Observation Dates
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$480.00
|
A Coupon Barrier Event occurs on 17 Observation Dates
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$460.00
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A Coupon Barrier Event occurs on 18 Observation Dates
|
$440.00
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A Coupon Barrier Event occurs on 19 Observation Dates
|
$420.00
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A Coupon Barrier Event occurs on 20 Observation Dates
|
$400.00
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A Coupon Barrier Event occurs on 21 Observation Dates
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$380.00
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A Coupon Barrier Event occurs on 22 Observation Dates
|
$360.00
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A Coupon Barrier Event occurs on 23 Observation Dates
|
$340.00
|
A Coupon Barrier Event occurs on 24 Observation Dates
|
$320.00
|
A Coupon Barrier Event occurs on 25 Observation Dates
|
$300.00
|
A Coupon Barrier Event occurs on 26 Observation Dates
|
$280.00
|
A Coupon Barrier Event occurs on 27 Observation Dates
|
$260.00
|
A Coupon Barrier Event occurs on 28 Observation Dates
|
$240.00
|
A Coupon Barrier Event occurs on 29 Observation Dates
|
$220.00
|
A Coupon Barrier Event occurs on 30 Observation Dates
|
$200.00
|
A Coupon Barrier Event occurs on 31 Observation Dates
|
$180.00
|
A Coupon Barrier Event occurs on 32 Observation Dates
|
$160.00
|
A Coupon Barrier Event occurs on 33 Observation Dates
|
$140.00
|
A Coupon Barrier Event occurs on 34 Observation Dates
|
$120.00
|
A Coupon Barrier Event occurs on 35 Observation Dates
|
$100.00
|
A Coupon Barrier Event occurs on 36 Observation Dates
|
$80.00
|
A Coupon Barrier Event occurs on 37 Observation Dates
|
$60.00
|
A Coupon Barrier Event occurs on 38 Observation Dates
|
$40.00
|
A Coupon Barrier Event occurs on 39 Observation Dates
|
$20.00
|
A Coupon Barrier Event occurs on 40 Observation Dates
|
$0.00
|
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•
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YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY
— You may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any accrued and unpaid contingent coupons, if any. If the Final Level is equal to or less than the Knock-In Level, you will be fully exposed to any depreciation in the Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities, and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur, and in the event that there is a Knock-In Event, by how much the Final Level will decrease in comparison to the Initial Level. 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 WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS ACCRUED AND UNPAID CONTINGENT COUPON, IF ANY, AT MATURITY OR UPON EARLY REDEMPTION
— The securities will not pay more than the principal amount, plus accrued and unpaid contingent coupon, if any, at maturity or upon early redemption. Even if the Final Level is greater than the Initial Level, you will not participate in the appreciation of the Underlying. Assuming the securities are held to maturity and the term of the securities is exactly 10 years, the maximum amount payable with respect to the securities will not exceed $1,800 for each $1,000 principal amount of the securities.
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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, the payment of any amount due on the securities, including any applicable contingent coupon payments, if any, early redemption payment and payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
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•
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IF A COUPON BARRIER EVENT OCCURS ON ANY OBSERVATION DATE, YOU WILL NOT RECEIVE ANY CONTINGENT COUPON PAYMENT FOR THE CORRESPONDING CONTINGENT COUPON PERIOD
— If a Coupon Barrier Event occurs on an Observation Date, you will not receive any contingent coupon payment for the corresponding contingent coupon period. For example, if a Coupon Barrier Event occurs on every Observation Date, you will not receive any contingent coupon payments during the term of the securities.
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•
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THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR OPPORTUNITY TO ACCRUE CONTINGENT COUPONS OVER THE FULL TERM OF THE SECURITIES
—The securities are subject to a potential early redemption. Prior to maturity, the securities may be redeemed on any Contingent Coupon Payment Date scheduled to occur on or after March 30, 2015, upon notice to the trustee on or before the immediately preceding Early Redemption Notice Date. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal amount of your securities and any accrued and unpaid contingent coupon payable, if any, on that Contingent Coupon Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid contingent coupons from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much contingent coupon as the securities.
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•
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THE SECURITIES ARE LINKED TO THE RUSSELL 2000
®
INDEX AND ARE SUBJECT TO THE RISKS ASSOCIATED WITH SMALL-CAPITALIZATION COMPANIES
— The Russell 2000
®
Index is composed of equity securities issued by companies with relatively small market capitalization. These equity securities often have greater stock price volatility, lower trading volume and less liquidity than the equity securities of large-capitalization companies, and are more vulnerable to adverse business and economic developments than those of large-capitalization companies. In addition, small-
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•
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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).
|
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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.
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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.
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•
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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.
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•
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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 conditions from the Trade Date, the secondary market price of your securities will be lower than the Price to Public because it will not include the agent’s discounts or commissions and hedging and other transaction costs. If you sell your securities to a dealer in a secondary market transaction, the dealer may impose an additional discount or commission, and as a result the price you receive on
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•
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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.
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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 as agent of the issuer for the offering of the securities and 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 level of the Underlying, 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 Underlying;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
the Early Redemption feature, which would limit the value of the securities;
|
|
o
|
the dividend rate on the equity securities comprising the Underlying;
|
|
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 Underlying or markets generally and which may affect the level of the Underlying; and
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|
o
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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•
|
NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYING
— Your return on the securities will not reflect the return you would realize if you actually owned the assets that comprise the Underlying. The return on your investment, which is based on the percentage change in the Underlying, is not the same as the total return you would receive based on the purchase of the equity securities that comprise the Underlying.
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•
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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 Underlying.
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·
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a financial institution,
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·
|
a mutual fund,
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·
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a tax-exempt organization,
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|
·
|
a grantor trust,
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|
·
|
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
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|
·
|
an entity that is treated as a partnership for U.S. federal income tax purposes.
|
1 Year Pplus TR Ser Gsc-3 Chart |
1 Month Pplus TR Ser Gsc-3 Chart |
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