0000950103-11-004948.txt : 20111123 0000950103-11-004948.hdr.sgml : 20111123 20111123163859 ACCESSION NUMBER: 0000950103-11-004948 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 4 FILED AS OF DATE: 20111123 DATE AS OF CHANGE: 20111123 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CREDIT SUISSE AG CENTRAL INDEX KEY: 0001053092 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 000000000 STATE OF INCORPORATION: V8 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-158199-10 FILM NUMBER: 111225672 BUSINESS ADDRESS: STREET 1: PARADEPLATZ 8 CITY: ZURICH STATE: V8 ZIP: CH-8070 BUSINESS PHONE: 41 44 333 1111 MAIL ADDRESS: STREET 1: PARADEPLATZ 8 CITY: ZURICH STATE: V8 ZIP: CH-8070 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE / /FI DATE OF NAME CHANGE: 20050607 FORMER COMPANY: FORMER CONFORMED NAME: CREDIT SUISSE FIRST BOSTON / /FI DATE OF NAME CHANGE: 19980115 424B2 1 dp27422_424b2-u536.htm FORM 424B2
1
Pricing Supplement No. U536
To the Underlying Supplement dated June 24, 2010,
Product Supplement No. U-I dated October 18, 2010,
Prospectus Supplement dated March 25, 2009 and
Prospectus dated March 25, 2009
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158199-10
November 22, 2011
Financial
Products
$3,217,000
High/Low Coupon Callable Yield Notes due November 28, 2012
Linked to the Performance of the S&P 500® Index and the Russell 2000® Index
General
•
The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlyings. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs with respect to either Underlying. Any payment on the securities is subject to our ability to pay our obligations as they become due.
•
Interest will be paid quarterly in arrears at a rate per annum that will depend on whether a Coupon Knock-In Event occurs. If a Coupon Knock-In Event does not occur, interest will be paid at an Applicable Rate per annum of 13.40%. If a Coupon Knock-In Event occurs on any quarterly Observation Date, interest for that quarterly period and each subsequent quarterly interest period will be paid at an Applicable Rate per annum of 1.0%. Interest will be calculated on a 30/360 basis, subject to Early Redemption.
•
The Issuer may redeem the securities, in whole but not in part, on any Interest Payment Date scheduled to occur on or after February 28, 2012. No interest will accrue or be payable following an Early Redemption.
•
Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing November 28, 2012.†
•
Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
•
The securities priced on November 22, 2011 (the “Trade Date”) and are expected to settle on November 28, 2011. Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
Key Terms
Issuer:
Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
Underlyings:
Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Knock-In Level:
 
 
Underlying
 
Ticker
 
Initial Level
 
Knock-In Level
 
S&P 500® Index (“SPX”)
SPX
1188.04
594.02
 
Russell 2000® Index (“RTY”)
RTY
696.26
348.13
Applicable Rate:
•
If a Coupon Knock-In Event does not occur, the Applicable Rate will be 13.40% per annum.
 
•
If a Coupon Knock-In Event occurs, the Applicable Rate for the corresponding interest period and each subsequent interest period will be 1.0% per annum.
 
Interest will be calculated on a 30/360 basis.
Interest Payment Dates:
Unless redeemed earlier, interest will be paid quarterly in arrears at the Applicable Rate per annum on February 28, 2012, May 29, 2012, August 28, 2012 and the Maturity Date, subject to the modified following business day convention. No interest will accrue or be payable following an Early Redemption.
Redemption Amount:
The Redemption Amount you will be entitled to receive will depend on the individual performance of each Underlying and whether a Knock-In Event occurs. If the securities are not subject to Early Redemption, the Redemption Amount will be determined as follows:
 
•
If a Knock-In Event occurs during the Observation Period, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying. In this case, the maximum Redemption Amount will equal the principal amount of the securities. Therefore, unless the Final Level of each of the Underlyings is greater than or equal to its Initial Level, the Redemption Amount will be less than the principal amount of the securities and you could lose your entire investment.
 
•
If a Knock-In Event does not occur during the Observation Period, the Redemption Amount will equal the principal amount of the securities you hold.
 
Any payment on the securities is subject to our ability to pay our obligations as they become due.
Early Redemption:
Prior to the Maturity Date, the Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after February 28, 2012, upon notice on or before the relevant Early Redemption Notice Date at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment Date.
Early Redemption Notice Dates:
Notice of Early Redemption will be provided prior to the relevant Interest Payment Date on or before February 23, 2012, May 23, 2012 or August 23, 2012, as applicable.
Coupon Knock-In Event:
A Coupon Knock-In Event occurs if the closing level of either Underlying is less than or equal to its Knock-In Level on any Observation Date.
Knock-In Event:
A Knock-In Event occurs if the closing level of either Underlying is less than or equal to its Knock-In Level on any trading day for that Underlying during the Observation Period.
Knock-In Level:
For each Underlying, as set forth in the table above.
Lowest Performing Underlying:
The Underlying with the lowest Underlying Return.
Underlying Return:
For each Underlying, the Underlying Return will be calculated as follows:
   
Final Level − Initial Level
Initial Level
, subject to a maximum of zero
†  The determination of the closing level for each Underlying on each Observation Date, other than the Valuation Date, is subject to postponement if such date is not a trading day for such Underlying or as a result of a market disruption event in respect of such Underlying, as described herein under “Market Disruption Events.” The Valuation Date is subject to postponement in respect of each Underlying if such date is not an underlying business day for such Underlying or as a result of a market disruption event in respect of such Underlying, as described in the accompanying product supplement under “Description of the Securities—Market disruption events”. The Interest Payment Dates including the Maturity Date are subject to postponement, each as described herein, if such date is not a business day or if the determination of the closing level for any Underlying on the corresponding Observation Date or the Valuation Date, as applicable, is postponed because such date is not a trading day or an underlying business day for any Underlying, as applicable, or as a result of a market disruption event in respect of any Underlying.
 
Investing in the securities involves a number of risks. See “Selected Risk Considerations” in this pricing supplement and “Risk Factors” beginning on page PS-3 of the accompanying product supplement.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, the product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.
 
Price to Public
Underwriting Discounts and Commissions(1)
Proceeds to Issuer
Per security
$1,000.00
$0.00
$1,000.00
Total
$3,217,000.00
$0.00
$3,217,000.00
(1) An affiliate of ours may pay fees to some broker-dealers of up to $6.00 per $1,000 principal amount of securities and may pay referral fees of up to $5.50 per $1,000 principal amount of securities. For more detailed information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” on the last page of this pricing supplement.
 
The agent for this offering, Credit Suisse Securities (USA) LLC (“CSSU”), is our affiliate. For more information, see “Supplemental Plan of Distribution (Conflicts of Interest)” on the last page of this pricing supplement.
 
The securities are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.
 
CALCULATION OF REGISTRATION FEE
 
Title of Each Class of Securities Offered
Maximum Aggregate Offering Price
Amount of Registration Fee
Notes
$3,217,000.00
$368.67
 
Credit Suisse

November 22 , 2011
 
 
 

 
Initial Level:
For each Underlying, as set forth in the table above.
Final Level:
For each Underlying, the closing level of such Underlying on the Valuation Date.
Observation Period:
The period from but excluding the Trade Date to and including the Valuation Date.
Observation Dates:†
February 23, 2012, May 23, 2012, August 23, 2012 and the Valuation Date.
Valuation Date:†
November 23, 2012
Maturity Date:†
November 28, 2012
Listing:
The securities will not be listed on any securities exchange.
CUSIP:
22546THF1
 
 
 
 
 
Additional Terms Specific to the Securities
 
You should read this pricing supplement together with the underlying supplement dated June 24, 2010, the product supplement dated October 18, 2010, the prospectus supplement dated March 25, 2009 and the prospectus dated March 25, 2009, relating to our Medium-Term Notes of which these securities are a part. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
 
 
 
•
Product supplement No. U-I dated October 18, 2010:
 
 
 
Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, the “Company,” “we,” “us,” or “our” refers to Credit Suisse.
 
This pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, fact sheets, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the product supplement and “Selected Risk Considerations” in this pricing supplement, as the securities involve risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other advisors before deciding to invest in the securities.
 
 
1
 

Hypothetical Interest Payments and Redemption Amounts on the Securities
 
The table below illustrates hypothetical total interest payments payable on a $1,000 investment in the securities and the examples below illustrate hypothetical Redemption Amounts on a $1,000 investment in the securities for a range of Underlying Returns of the Lowest Performing Underlying, both in the event a Knock-In Event does not occur and in the event a Knock-In Event does occur. The table and examples assume that (i) the securities are not redeemed prior to maturity, (ii) the term of the securities is exactly one year and (iii) the Knock-In Level for each Underlying is 50% of the Initial Level of such Underlying. In addition, the table reflects that the Applicable Rate is 13.40% per annum if a Coupon Knock-In Event does not occur and 1.0% per annum for the corresponding quarterly interest period and each subsequent quarterly interest period if a Coupon Knock-In Event occurs, and the examples assume that the Initial Level is 1190 for SPX and 700 for RTY.
 
The table is intended to illustrate hypothetical calculations of only the interest payments and does not illustrate the calculation or payment of the Redemption Amount. The examples are intended to illustrate hypothetical calculations of only the Redemption Amount and do not illustrate the calculation or payment of any individual interest payment. The interest payments and Redemption Amounts set forth below are provided for illustration purposes only. The actual interest payments and Redemption Amounts applicable to a purchaser of the securities will depend on several variables, including, but not limited to (a) whether a Coupon Knock-In Event occurs, (b) whether a Knock-In Event occurs and (c) the Final Level of the Lowest Performing Underlying determined on the Valuation Date. It is not possible to predict whether a Coupon Knock-In Event or a Knock-In Event will occur, and in the event that there is a Knock-In Event, whether and by how much the Final Level of the Lowest Performing Underlying will decrease in comparison to its Initial Level. Any payment on the securities is subject to our ability to pay our obligations as they become due. The numbers appearing in the following table and examples have been rounded for ease of analysis.
 
TABLE: A Coupon Knock-In Event OCCURS on an Observation Date.
 
Time of First Knock-In Event
  
Total Interest Payment on the Securities
A Coupon Knock-In Event occurs on the first Observation Date
  
$10.00
A Coupon Knock-In Event occurs on the second Observation Date
  
$41.00
A Coupon Knock-In Event occurs on the third Observation Date
  
$72.00
A Coupon Knock-In Event occurs on the Valuation Date
  
$103.00
A Coupon Knock-In Event does not occur
  
$134.00
 
Assuming the securities are not redeemed prior to the Maturity Date, expected total interest payments will depend on whether and when a Coupon Knock-In Event occurs.
 
 
2
 
 
Examples of Calculation of Redemption Amounts at Maturity
 
Example 1: A Knock-In Event occurs because the closing level of one Underlying reaches its Knock-In Level during the Observation Period; and the Final Level of the Lowest Performing Underlying is less than its Initial Level.
 
Underlying
Initial Level
Lowest closing level of the Underlying
during the Observation Period
Final Level on the
Valuation Date
SPX
1190
1190.00 (100% of Initial Level)
1309.00 (110% of Initial Level)
RTY
700
350.00 (50% of Initial Level)
350.00 (50% of Initial Level)
 
Since the closing level of RTY reaches its Knock-In Level during the Observation Period, a Knock-In Event occurs. RTY is also the Lowest Performing Underlying.
 
Therefore, the Underlying Return of the Lowest Performing Underlying will equal:
 
 
Final Level of RTY – Initial Level of RTY
Initial Level of RTY
; subject to a maximum of 0.00
 
= (350.00 – 700) / 700 = −0.50
 
The Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)
 
= $1,000 × (1 – 0.50) = $500
 
Example 2: A Knock-In Event occurs because the closing level of one Underlying reaches its Knock-In Level during the Observation Period; the Lowest Performing Underlying never reaches or falls below its Knock-In Level during the Observation Period; and the Final Level of the Lowest Performing Underlying is less than its Initial Level.
 
Underlying
Initial Level
Lowest closing level of the Underlying
during the Observation Period
Final Level on the
Valuation Date
SPX
1190
595.00 (50% of Initial Level)
1309.00 (110% of Initial Level)
RTY
700
609.00 (87% of Initial Level)
609.00 (87% of Initial Level)
 
Since the closing level of SPX reaches its Knock-In Level during the Observation Period, a Knock-In Event occurs. RTY is the Lowest Performing Underlying, even though its closing level never reaches or falls below its Knock-In Level during the Observation Period.
 
Therefore, the Underlying Return of the Lowest Performing Underlying will equal:
 
 
Final Level of RTY – Initial Level of RTY
Initial Level of RTY
; subject to a maximum of 0.00
 
= (609.00 – 700) / 700 = −0.13
 
The Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)
 
= $1,000 × (1 – 0.13) = $870
 
 
3
 
 
Example 3: A Knock-In Event occurs because the closing level of one Underlying reaches its Knock-In Level during the Observation Period; and the Final Level of the Lowest Performing Underlying is greater than its Initial Level.
 
Underlying
 
Initial Level
 
Lowest closing level of the Underlying
during the Observation Period
 
Final Level on the
Valuation Date
 
SPX
1190
595.00 (50% of Initial Level)
1309.00 (110% of Initial Level)
RTY
700
630.00 (90% of Initial Level)
840.00 (120% of Initial Level)
 
Since the closing level of SPX reaches its Knock-In Level during the Observation Period, a Knock-In Event occurs. SPX is also the Lowest Performing Underlying.
 
Therefore, the Underlying Return of the Lowest Performing Underlying will equal:
 
 
Final Level of SPX – Initial Level of SPX
Initial Level of SPX
; subject to a maximum of 0.00
 
= (1309.00 – 1190) / 1190 = 0.10
 
BUT 0.10 is greater than the maximum of 0.00, so the Underlying Return of the Lowest Performing Underlying is 0.00.
 
The Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)
 
= $1,000 × (1 + 0.00) = $1,000
 
Example 4: A Knock-In Event does not occur during the Observation Period.
 
Underlying
Initial Level
Lowest closing level of the Underlying
during the Observation Period
Final Level on the
Valuation Date
SPX
1190
1035.30 (87% of Initial Level)
1309.00 (110% of Initial Level)
RTY
700
616.00 (88% of Initial Level)
770.00 (110% of Initial Level)
 
Since the closing level of each Underlying did not reach or fall below its Knock-In Level during the Observation Period, a Knock-In Event does not occur.
 
Therefore, the Redemption Amount equals $1,000.
 
 
4
 
 
Selected Risk Considerations
 
An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the Underlyings. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
 
 
•
YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY — You may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any accrued or unpaid interest. If a Knock-In Event occurs during the Observation Period and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will be fully exposed to the depreciation in the Lowest Performing Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur and, in the event that there is a Knock-In Event, whether and by how much the Final Level of the Lowest Performing Underlying will decrease in comparison to its Initial Level. Any payment on the securities is subject to our ability to pay our obligations as they become due.
 
 
•
THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS ACCRUED AND UNPAID INTEREST AT THE APPLICABLE RATE, AT MATURITY OR UPON EARLY REDEMPTION — The securities will not pay more than the principal amount, plus accrued and unpaid interest at the Applicable Rate, at maturity or upon early redemption. If the Final Level of each Underlying is greater than its respective Initial Level (regardless of whether a Coupon Knock-In Event or a Knock-In Event has occurred), you will not receive the appreciation of either Underlying. Assuming the securities are held to maturity and the term of the securities is exactly one year, the maximum amount payable with respect to the securities will not exceed $1,134.00 for each $1,000 principal amount of the securities.
 
 
•
IF A KNOCK-IN EVENT OCCURS, YOUR RETURN WILL BE BASED ON THE INDIVIDUAL PERFORMANCE OF THE LOWEST PERFORMING UNDERLYING — If a Knock-In Event occurs, your return will be based on the individual performance of the Lowest Performing Underlying. This will be true even if the closing level of the Lowest Performing Underlying never reached or fell below its Knock-In Level on any trading day during the Observation Period.
 
 
•
THE REDEMPTION AMOUNT PAYABLE AT MATURITY WILL BE LESS THAN THE PRINCIPAL AMOUNT OF THE SECURITIES EVEN IF A KNOCK-IN EVENT OCCURS WITH RESPECT TO ONLY ONE UNDERLYING AND THE FINAL LEVEL OF ONLY ONE UNDERLYING FALLS BELOW ITS INITIAL LEVEL — Even if the closing level of only one Underlying is less than or equal to its Knock-In Level on any trading day for that Underlying during the Observation Period, a Knock-In Event will have occurred. In this case, the Redemption Amount payable at maturity will be less than the principal amount of the securities if, in addition to the occurrence of a Knock-In Event, the Final Level of just one Underlying is less than its Initial Level. This will be true even if the closing level of the Lowest Performing Underlying was never less than or equal to its Knock-In Level on any trading day for that Underlying during the Observation Period.
 
 
•
A KNOCK-IN EVENT CAN OCCUR ON ANY TRADING DAY DURING THE OBSERVATION PERIOD AND A COUPON KNOCK-IN EVENT CAN OCCUR ON ANY OBSERVATION DATE — A Knock-In Event is distinct from a Coupon Knock-In Event. A Knock-In Event can occur on any trading day during the Observation Period, whereas a Coupon Knock-In Event can occur only on an Observation Date.  In addition, because each Observation Date falls within the Observation Period, if a Coupon Knock-In Event occurs, this will mean that the closing level of at least one Underlying reached or fell below its Knock-In Level during the Observation Period; accordingly a Knock-In Event will also have occurred. Therefore, if a Coupon Knock-In Event occurs on any Observation Date, the Applicable Rate for the corresponding quarterly interest period and each subsequent interest period will be 1.0% per annum and your return will be based on the individual performance of the Lowest Performing Underlying.
 
 
 
5
 
 
 
•
THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Although the return on the securities will be based on the performance of the Underlyings, the payment of any amount due on the securities, including any applicable interest payments, early redemption payment or payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
 
 
•
IF A COUPON KNOCK-IN EVENT OCCURS ON ANY QUARTERLY OBSERVATION DATE, THE APPLICABLE RATE FOR THE CORRESPONDING QUARTERLY INTEREST PERIOD AND EACH SUBSEQUENT INTEREST PERIOD WILL BE 1.0% PER ANNUM — If a Coupon Knock-In Event occurs on any quarterly Observation Date, the Applicable Rate for the corresponding quarterly interest period and each subsequent interest period will be 1.0% per annum. For example, if a Coupon Knock-In Event occurs on the first Observation Date, the Applicable Rate per annum for each interest period will be 1.0% and the maximum amount of interest you will be entitled to receive, assuming the term of the securities is exactly one year, will not exceed $10.00 per $1,000 principal amount of the securities.
 
 
•
THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO ACCRUE INTEREST OVER THE FULL TERM OF THE SECURITIES —The securities are subject to a potential early redemption. Prior to maturity, the securities may be redeemed on any Interest Payment Date scheduled to occur on or after February 28, 2012, upon notice on or before the relevant Early Redemption Notice Date. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal amount of your securities and any accrued but unpaid interest payable at the Applicable Rate on that Interest Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid interest from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much interest as the securities.
 
 
•
SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING — Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing of each of two Underlyings, the individual performance of each Underlying is not combined to calculate your return and the depreciation of either Underlying is not mitigated by the appreciation of the other Underlying. Instead, the Redemption Amount payable at maturity depends on the lowest performing of the two Underlyings to which the securities are linked.
 
 
•
CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE SECURITIES PRIOR TO MATURITY — While the payment at maturity described in this pricing supplement is based on the full principal amount of your securities, the original issue price of the securities includes the agent’s commission and the cost of hedging our obligations under the securities through one or more of our affiliates. As a result, the price, if any, at which Credit Suisse (or its affiliates), will be willing to purchase securities from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
 
 
•
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 comprising
 
 
6
 
 
 
Underlyings. The return on your investment, which is based on the percentage change in the Underlyings, is not the same as the total return you would receive based on the purchase of the 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.
 
 
•
LACK OF LIQUIDITY — The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
 
 
•
POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
 
 
•
MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — In addition to the levels of the Underlyings on any trading day during the Observation Period, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
 
 
o
the expected volatility of the Underlyings;
 
 
o
the time to maturity of the securities;
 
 
o
the Early Redemption feature, which would limit the value of the securities;
 
 
o
interest and yield rates in the market generally;
 
 
o
investors’ expectations with respect to the rate of inflation;
 
 
o
geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings, or markets generally and which may affect the levels of the Underlyings; and
 
 
o
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
 
Some or all of these factors may influence the price that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.
 
Supplemental Use of Proceeds and Hedging
 
We intend to use the proceeds of this offering for our general corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive from the sale of the securities may be used in connection with hedging our obligations under the securities through one or more of our affiliates. Such hedging or trading activities on or prior to the Trade Date and during the term of the securities (including on the Valuation Date) could adversely affect the value of the Underlyings and, as a result, could decrease the amount you may receive on the securities at maturity. For additional information, see “Use of Proceeds and Hedging” in the accompanying product supplement.
 
 
7
 
 
Historical Information
 
The following graphs set forth the historical performance of the S&P 500® Index and the Russell 2000® Index based on the closing level of the S&P 500® Index and the closing level of the Russell 2000® Index from January 1, 2006 through November 22, 2011. The closing level of the S&P 500® Index on November 22, 2011 was 1188.04. The closing level of the Russell 2000® Index on November 22, 2011 was 696.26. We obtained the closing levels below from Bloomberg, without independent verification. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg. You should not take the historical levels of the Underlyings as an indication of future performance of the Underlyings or the securities. If a Coupon Knock-In Event occurs on any quarterly Observation Date, the Applicable Rate for the corresponding quarterly interest period and each subsequent interest period will be 1.0% per annum.  If a Knock-In Event occurs and the Final Level of the Lowest Performing Underlying is less than its Initial Level, at maturity you will receive a Redemption Amount equal to less than the principal amount of your securities and you could lose your entire investment. Any payment on the securities is subject to our ability to pay our obligations as they become due. We cannot give you any assurance that the closing levels of the Underlyings will remain above their respective Knock-In Levels at all times during the Observation Period.
 
For additional information on the S&P 500® Index, see “The Reference Indices—The S&P® Indices—The S&P 500® Index” in the accompanying underlying supplement, and for additional information on the Russell 2000® Index, see  “The Reference Indices—The Russell 2000® Index” in the accompanying underlying supplement.

 
 
 
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9
 
 
 
Market Disruption Events
 
If the calculation agent determines that on any Observation Date, other than the Valuation Date, a market disruption event (as defined in the accompanying product supplement under “Description of the Securities—Market disruption events”) exists in respect of any Underlying or if such day is not a trading day (as defined in the accompanying product supplement under “Description of the Securities—Definitions”) for any Underlying, then the determination of the closing level for such Underlying on such Observation Date will be postponed to the first succeeding trading day for such Underlying on which the calculation agent determines that no market disruption event exists in respect of such Underlying, unless the calculation agent determines that a market disruption event exists in respect of such Underlying on each of the five trading days for such Underlying immediately following such Observation Date. In that case, the closing level for such Underlying on such Observation Date will be determined as of the fifth succeeding trading day for such Underlying following such Observation Date (such fifth trading day, the “calculation date”), notwithstanding the market disruption event in respect of such Underlying, and the calculation agent will then determine the closing level for such Underlying on that calculation date in accordance with the formula for and method of calculating such Underlying last in effect prior to the commencement of the market disruption event in respect of such Underlying using exchange traded prices on the relevant exchanges (as determined by the calculation agent in its sole discretion) or, if trading in any component comprising such Underlying has been materially suspended or materially limited, its good faith estimate of the prices that would have prevailed on such exchanges (as determined by the calculation agent in its sole discretion) but for the suspension or limitation, as of the valuation time on that calculation date, of each component comprising the Underlying (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference index” in the accompanying product supplement).
 
The determination of the closing level for each Underlying not affected by a market disruption event on an Observation Date (other than the Valuation Date) or by an Observation Date (other than the Valuation Date) not being a trading day for such Underlying will occur on such Observation Date. The Valuation Date for any Underlying not affected by a market disruption event will be the scheduled Valuation Date for such Underlying.
 
If the determination of the closing level for any Underlying on an Observation Date other than the Valuation Date is postponed as a result of a market disruption event as described above to a date on or after the corresponding Interest Payment Date, then such corresponding Interest Payment Date will be postponed to the business day following the latest date to which such determination is so postponed for any Underlying.
 
If the Valuation Date for any Underlying is postponed as a result of a market disruption event as described in the accompanying product supplement or because the scheduled Valuation Date is not an underlying business day for any Underlying, then the Maturity Date will be postponed to the fifth business day following the latest Valuation Date for any Underlying.
 
 
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Supplemental Information Regarding Certain United States Federal Income Tax Considerations
 
The amount of the stated interest rate on the security that constitutes interest on the Deposit (as defined in the accompanying product supplement) equals 0.6880%, and the remaining balance constitutes the Option Premium (as defined in the accompanying product supplement). Please refer to “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement.
 
Supplemental Plan of Distribution (Conflicts of Interest)
 
Under the terms and subject to the conditions contained in a distribution agreement dated May 7, 2007, as amended, which we refer to as the distribution agreement, we have agreed to sell the securities to CSSU. The distribution agreement provides that CSSU is obligated to purchase all of the securities if any are purchased.
 
CSSU proposes to offer the securities at the offering price set forth on the cover page of this pricing supplement and will not receive a commission in connection with the distribution of the securities. If all of the securities are not sold at the initial offering price, CSSU may change the public offering price and other selling terms.
 
In addition, Credit Suisse International, an affiliate of Credit Suisse, may pay fees to some broker dealers of up to $6.00 per $1,000 principal amount of securities and may pay referral fees to other broker dealers of up to $5.50 per $1,000 principal amount of securities in connection with the distribution of the securities. An affiliate of Credit Suisse has paid or may pay in the future a fixed amount to broker-dealers in connection with the costs of implementing systems to support these securities.
 
The agent for this offering, CSSU, is our affiliate. In accordance with FINRA Rule 5121, CSSU may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer. A portion of the net proceeds from the sale of the securities will be used by CSSU or one of its affiliates in connection with hedging our obligations under the securities.
 
For further information, please refer to “Underwriting (Conflicts of Interest)” in the accompanying product supplement.
 
 
11
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit Suisse
 
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