The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell these securities and it is not
soliciting an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to completion dated December 31, 2012.
|
Preliminary Pricing Supplement No. U765
To the Underlying Supplement dated November 19, 2012,
Product Supplement No. U-I dated March 23, 2012,
Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
|
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
December 31, 2012
|
Financial
Products
|
||
$
|
||
High/Low Coupon Callable Yield Notes due July 31, 2014 Linked to the Performance of
the Russell 2000® Index and the United States Oil Fund, LP
|
•
|
The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlyings. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs with respect to any Underlying. Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
•
|
Interest will be paid quarterly in arrears at a rate per annum that will depend on whether a Knock-In Event occurs. If a Knock-In Event does not occur, interest will be paid at an Applicable Rate per annum that is expected to be between 10.0% and 12.0% (to be determined on the Trade Date). If a Knock-In Event occurs during any Observation Period, interest for that quarterly period and each subsequent quarterly interest period will be paid at an Applicable Rate per annum that is expected to be 1.0% (to be determined on the Trade Date). Interest will be calculated on a 30/360 basis, subject to Early Redemption.
|
•
|
The Issuer may redeem the securities, in whole but not in part, on any Interest Payment Date scheduled to occur on or after April 30, 2013. No interest will accrue or be payable following an Early Redemption.
|
•
|
Senior unsecured obligations of Credit Suisse AG, acting through its Nassau Branch, maturing July 31, 2014.†
|
•
|
Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
|
•
|
The securities are expected to price on or about January 28, 2013 (the “Trade Date”) and are expected to settle on or about January 31, 2013 (the “Settlement Date”). Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
|
Issuer:
|
Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch
|
Underlyings:
|
Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Knock-In Level:
|
Underlying
|
Ticker
|
Initial Level*
|
Knock-In Level
|
Russell 2000® Index (“RTY”)
|
RTY
|
||
United States Oil Fund, LP (“USO”)
|
USO UP
|
Applicable Rate:
|
•
|
If a Knock-In Event does not occur, the Applicable Rate is expected to be between 10.0% and 12.0% per annum (to be determined on the Trade Date).
|
•
|
If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding interest period and each subsequent interest period is expected to be 1.0% per annum (to be determined on the Trade Date).
|
|
Interest will be calculated on a 30/360 basis.
|
||
Interest Payment Dates:
|
Unless redeemed earlier, interest will be paid quarterly in arrears at the Applicable Rate per annum on April 30, 2013, July 31, 2013, October 31, 2013, January 31, 2014, April 30, 2014 and the Maturity Date, subject to the modified following business day convention. No interest will accrue or be payable following an Early Redemption.
|
|
Redemption Amount:
|
The Redemption Amount you will be entitled to receive will depend on the individual performance of each Underlying and whether a Knock-In Event occurs. If the securities are not subject to Early Redemption, the Redemption Amount will be determined as follows:
|
|
•
|
If a Knock-In Event occurs, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying. In this case, the maximum Redemption Amount will equal the principal amount of the securities. Therefore, unless the Final Level of each of the Underlyings is greater than or equal to its Initial Level, the Redemption Amount will be less than the principal amount of the securities and you could lose your entire investment.
|
|
•
|
If a Knock-In Event does not occur, the Redemption Amount will equal the principal amount of the securities you hold.
|
|
Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
||
Early Redemption:
|
Prior to the Maturity Date, the Issuer may redeem the securities in whole, but not in part, on any Interest Payment Date scheduled to occur on or after April 30, 2013, upon notice on or before the relevant Early Redemption Notice Date at 100% of the principal amount of the securities, together with the interest payable on that Interest Payment Date.
|
|
Early Redemption Notice Dates:
|
Notice of Early Redemption will be provided prior to the relevant Interest Payment Date on or before April 25, 2013, July 26, 2013, October 28, 2013, January 28, 2014 or April 25, 2014, as applicable.
|
|
Knock-In Event:
|
A Knock-In Event will occur if, on any trading day during any Observation Period, the closing level of any Underlying is equal to or less than its Knock-In Level.
|
|
Knock-In Level:
|
The Knock-In Level for each Underlying will be approximately 65% of the Initial Level of such Underlying (to be determined on the Trade Date).
|
|
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
|
Initial Level:*
|
For each Underlying, the closing level of such Underlying on the Trade Date.
|
Final Level:
|
For each Underlying, the closing level of such Underlying on the Valuation Date.
|
Observation Periods:
|
There are six quarterly Observation Periods. The first Observation Period will be from but excluding the Trade Date to and including the first Observation Date. Each subsequent Observation Period will be from but excluding an Observation Date to and including the next following Observation Date.
|
Observation Dates:†
|
April 25, 2013, July 26, 2013, October 28, 2013, January 28, 2014, April 25, 2014 and the Valuation Date.
|
Valuation Date:†
|
July 28, 2014
|
Maturity Date:†
|
July 31, 2014
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP:
|
22546TS28
|
Price to Public
|
Underwriting Discounts and Commissions(1)
|
Proceeds to Issuer
|
|
Per security
|
$1,000.00
|
$
|
$
|
Total
|
$
|
$
|
$
|
|
•
|
Underlying supplement dated November 19, 2012:
|
|
•
|
Product supplement No. U-I dated March 23, 2012:
|
|
•
|
Prospectus supplement and Prospectus dated March 23, 2012:
|
Principal
Amount
of Securities
|
Percentage Change
from the Initial Level
to the Final Level of
the Lowest
Performing
Underlying
|
Underlying Return
of the Lowest
Performing
Underlying
|
Redemption
Amount
(Knock-In Event does not occur)
|
Total Interest
Payment on
the Securities
|
Total Payment
on the Securities
|
$1,000.00
|
50.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
40.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
30.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
20.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
10.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
0.00%
|
0.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
−10.00%
|
−10.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
−20.00%
|
−20.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
−30.00%
|
−30.00%
|
$1,000.00
|
$165.00
|
$1,165.00
|
$1,000.00
|
−34.99%
|
−34.99%
|
$1,000.00
|
$165.00
|
$1,165.00
|
Principal
Amount
of Securities
|
Percentage Change
from the Initial Level
to the Final Level of
the Lowest
Performing
Underlying
|
Underlying Return
of the Lowest
Performing
Underlying
|
Redemption
Amount
(Knock-In Event
occurs)
|
Total Interest
Payments on
the Securities
|
$1,000.00
|
50.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
40.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
30.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
20.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
10.00%
|
0.00%
|
$1,000.00
|
|
$1,000.00
|
0.00%
|
0.00%
|
$1,000.00
|
(See table below)
|
$1,000.00
|
−10.00%
|
−10.00%
|
$900.00
|
|
$1,000.00
|
−20.00%
|
−20.00%
|
$800.00
|
|
$1,000.00
|
−30.00%
|
−30.00%
|
$700.00
|
|
$1,000.00
|
−40.00%
|
−40.00%
|
$600.00
|
|
$1,000.00
|
−50.00%
|
−50.00%
|
$500.00
|
|
$1,000.00
|
−60.00%
|
−60.00%
|
$400.00
|
|
$1,000.00
|
−70.00%
|
−70.00%
|
$300.00
|
|
$1,000.00
|
−80.00%
|
−80.00%
|
$200.00
|
|
$1,000.00
|
−90.00%
|
−90.00%
|
$100.00
|
|
$1,000.00
|
−100.00%
|
−100.00%
|
$0.00
|
Time of First Knock-In Event
|
Total Interest Payment on the Securities
|
From Trade Date to first Observation Date
|
$15.00
|
From first Observation Date to second Observation Date
|
$40.00
|
From second Observation Date to third Observation Date
|
$65.00
|
From third Observation Date to fourth Observation Date
|
$90.00
|
From fourth Observation Date to fifth Observation Date
|
$115.00
|
From fifth Observation Date to Valuation Date
|
$140.00
|
Underlying
|
Initial Level
|
Lowest closing level of the Underlying
during any Observation Period
|
Final Level
|
RTY
|
840
|
840.00
(100% of Initial Level)
|
924.00
(110% of Initial Level)
|
USO
|
$32
|
$20.80
(65% of Initial Level)
|
$20.80
(65% of Initial Level)
|
Final Level of USO – Initial Level of USO
Initial Level of USO
|
; subject to a maximum of 0.00
|
Underlying
|
Initial Level
|
Lowest closing level of the Underlying
during any Observation Period
|
Final Level
|
RTY
|
840
|
546.00
(65% of Initial Level)
|
924.00
(110% of Initial Level)
|
USO
|
$32
|
$25.60
(80% of Initial Level)
|
$27.84
(87% of Initial Level)
|
Final Level of USO – Initial Level of USO
Initial Level of USO
|
; subject to a maximum of 0.00
|
Underlying
|
Initial Level
|
Lowest closing level of the Underlying
durng any Observation Period
|
Final Level
|
RTY
|
840
|
546.00
(65% of Initial Level)
|
924.00
(110% of Initial Level)
|
USO
|
$32
|
$25.60
(80% of Initial Level)
|
$38.40
(120% of Initial Level)
|
Final Level of RTY – Initial Level of RTY
Initial Level of RTY
|
; subject to a maximum of 0.00
|
Underlying
|
Initial Level
|
Lowest closing level of the Underlying
during any Observation Period
|
Final Level
|
RTY
|
840
|
730.80
(87% of Initial Level)
|
924.00
(110% of Initial Level)
|
USO
|
$32
|
$28.80
(90% of Initial Level)
|
$32.00
(100% of Initial Level)
|
|
•
|
YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY — You may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any accrued or unpaid interest. If a Knock-In Event occurs and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will not receive the maximum amount of interest payable on the securities and you will be fully exposed to any depreciation in the Lowest Performing Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur and, in the event that there is a Knock-In Event, whether and by how much the Final Level of the Lowest Performing Underlying will decrease in comparison to its Initial Level. Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
|
•
|
THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS ACCRUED AND UNPAID INTEREST AT THE APPLICABLE RATE, AT MATURITY OR UPON EARLY REDEMPTION — The securities will not pay more than the principal amount, plus accrued and unpaid interest at the Applicable Rate, at maturity or upon early redemption. If the Final Level of each Underlying is greater than its respective Initial Level (regardless of whether a Knock-In Event has occurred), you will not receive the appreciation of any Underlying. Assuming the securities are held to maturity and the term of the securities is exactly 18 months, the maximum amount payable with respect to the securities is expected to be between $1,150.00 and $1,180.00 (to be determined on the Trade Date) for each $1,000 principal amount of the securities.
|
|
•
|
THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Although the return on the securities will be based on the performance of the Underlyings, the payment of any amount due on the securities, including any applicable interest payments, early redemption payment or payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
|
|
•
|
IF A KNOCK-IN EVENT OCCURS DURING ANY OBSERVATION PERIOD, THE APPLICABLE RATE FOR THE CORRESPONDING QUARTERLY INTEREST PERIOD AND EACH SUBSEQUENT INTEREST PERIOD IS EXPECTED TO BE 1.0% PER ANNUM — If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding quarterly interest period and each subsequent interest period is expected to be 1.0% per annum (to be determined on the Trade Date). For example, if a Knock-In Event occurs during the period from the Trade Date to the first Observation Date, the Applicable Rate per annum for each interest period is expected to be 1.0% and the maximum amount of interest you will be entitled to receive, assuming the term of the securities is exactly 18 months, is expected to be $15.00 per $1,000 principal amount of the securities.
|
|
•
|
THE REDEMPTION AMOUNT PAYABLE AT MATURITY WILL BE LESS THAN THE PRINCIPAL AMOUNT OF THE SECURITIES EVEN IF A KNOCK-IN EVENT OCCURS WITH RESPECT TO ONLY ONE UNDERLYING AND THE FINAL LEVEL OF ONLY ONE UNDERLYING IS LESS THAN ITS INITIAL LEVEL — Even if the closing level of only one Underlying is equal to or less than its Knock-In Level, a Knock-In Event will have occurred. In this case, the Redemption Amount payable at maturity will be less than the principal amount of the securities if, in addition to the occurrence of a Knock-In Event, the Final Level of at least one Underlying is less than its Initial Level. This will be true even if on any trading day during every Observation Period the closing level of the Lowest Performing Underlying was never equal to or less than its Knock-In Level.
|
|
•
|
THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR ABILITY TO ACCRUE INTEREST OVER THE FULL TERM OF THE SECURITIES —The securities are subject to a potential early redemption. Prior to maturity, the securities may be redeemed on any Interest Payment Date scheduled to occur on or after April 30, 2013, upon notice on or before the relevant Early Redemption Notice Date. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal amount of your securities and any accrued but unpaid interest payable at the Applicable Rate on such Interest Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid interest from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much interest as the securities.
|
|
•
|
SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING — Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing Underlying, the individual performance of each Underlying is not combined to calculate your return and the depreciation of any Underlying is not mitigated by the appreciation of any other Underlying. Instead, the Redemption Amount payable at maturity depends on the lowest performing of the Underlyings to which the securities are linked.
|
|
•
|
THE SECURITIES ARE LINKED TO THE RUSSELL 2000® INDEX AND ARE SUBJECT TO THE RISKS ASSOCIATED WITH SMALL-CAPITALIZATION COMPANIES — The Russell 2000® Index is composed of equity securities issued by companies with relatively small market capitalization. These equity securities often have greater stock price volatility, lower trading volume and less liquidity than the equity securities of large-capitalization companies, and are more vulnerable to adverse business and economic developments than those of large-capitalization companies. In addition, small-capitalization companies are typically less established and less stable financially than large-capitalization companies. These companies may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products. Therefore, the Russell 2000® Index may be more volatile than it would be if it were composed of equity securities issued by large-capitalization companies.
|
|
•
|
THERE ARE RISKS ASSOCIATED WITH THE UNITED STATES OIL FUND, LP — Although shares of the United States Oil Fund, LP (the “Reference Fund”) are listed for trading on a national securities exchange and a number of similar products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of 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 a 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, its investment advisor may add, delete or substitute the assets held by the Reference Fund. Any of these actions could adversely affect the price of the shares of the Reference Fund and consequently the value of the securities. For additional information about the United States Oil Fund, LP, see “The United States Oil Fund, LP” herein.
|
|
•
|
THE PERFORMANCE OF THE UNITED STATES OIL FUND, LP MAY NOT FULLY REPLICATE THE PERFORMANCE OF THE PRICE OF WTI LIGHT, SWEET CRUDE OIL — United States Commodity Funds, LLC, the general partner of the United States Oil Fund, LP, is responsible for investing the assets of the United States Oil Fund, LP in accordance with the objectives and policies of the United States Oil Fund, LP. The assets of the United States Oil Fund, LP consist primarily of investments in futures contracts for light, sweet crude oil, other types of crude oil, heating oil, gasoline, natural gas, and other petroleum-based fuels that are traded on the New York Mercantile Exchange, ICE Futures or other U.S. and foreign exchanges (collectively, “oil futures contracts”) and other oil interests such as cash-settled options on oil futures contracts, forward contracts for oil, and over-the-counter transactions that are based on the price of oil, other petroleum-based fuels, oil futures contracts and indices based on the foregoing (collectively, “other oil interests” and together with oil futures contracts, “oil interests”). The United States Oil Fund, LP seeks to achieve its investment objective by investing in a mix of oil futures contracts and other oil interests such that changes in the net asset value of the United States Oil Fund, LP will closely track the changes in the price of a specified oil futures contract (the “benchmark oil futures contract”). The United States Oil Fund, LP’s general partner believes that the benchmark oil futures contract historically has exhibited a close correlation with the spot price of light, sweet crude oil. There is no assurance that the general partner of the United States Oil Fund, LP will successfully implement its investment strategy and there is a risk that changes in the price of United States Oil Fund, LP units will not closely track changes in the spot price of WTI light, sweet crude oil. This could happen if the price of the units does not correlate closely with the United States Oil Fund, LP’s net asset value; changes in the United States Oil Fund, LP’s net asset value do not closely correlate with changes in the price of the benchmark oil futures contract; or changes in the price of the benchmark oil futures contract do not closely correlate with changes in the cash or spot price of light, sweet crude oil.
|
|
•
|
RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES WITH CONCENTRATION IN ENERGY COMMODITIES — Market prices of the commodities and commodity futures contracts comprising the United States Oil Fund, LP tend to be highly volatile. Commodity market prices are not related to the value of a future income or earnings stream, as tends to be the case with fixed income and equity investments, but are subject to rapid fluctuations based on numerous factors, including changes in supply and demand relationships, governmental programs and policies, national and international monetary, trade, political and economic events, changes in interest and exchange rates, speculation and trading activities in commodities and related contracts, drought, floods, weather, and agricultural, trade, fiscal and exchange control policies, embargoes and tariffs. The markets for many commodities are also highly cyclical.
|
|
•
|
THE SECURITIES ARE NOT SUBJECT TO REGULATION BY THE COMMODITY FUTURES TRADING COMMISSION — The proceeds to be received by us from the sale of the securities will not be used to purchase or sell any commodities futures contracts or options on futures contracts for your benefit. An investment in the securities thus does not constitute either an investment in futures contracts, options on futures contracts or in a collective investment vehicle that trades in these futures contracts (i.e., the securities will not constitute a direct or indirect investment by you in the futures contracts), and you will not benefit from the regulatory protections of the Commodity Futures Trading Commission, commonly referred to as the “CFTC.” The Issuer is not registered with the CFTC as a futures commission merchant and you will not benefit from the CFTC’s or any other non-U.S. regulatory authority’s regulatory protections afforded to persons who trade in futures contracts on a regulated futures exchange through a registered futures commission merchant. Unlike an investment in the securities, an investment in a collective investment vehicle that invests in futures contracts on behalf of its participants may be subject to regulation as a commodity pool and its operator may be required to be registered with and regulated by the CFTC as a commodity pool operator, or qualify for an exemption from the registration requirement. Because the securities will not be interests in a commodity pool, the securities will not be regulated by the CFTC as a commodity pool, we will not be registered with the CFTC as a commodity pool operator, and you will not benefit from the CFTC’s or any non-U.S. regulatory authority’s regulatory protections afforded to persons who invest in regulated commodity pools.
|
|
•
|
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.
|
|
•
|
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
|
|
•
|
MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — In addition to the levels of the Underlyings on any trading day during any Observation Period, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
|
|
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
|
supply and demand trends for crude oil;
|
|
o
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investors’ expectations with respect to the rate of inflation;
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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
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o
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYINGS — Your return on the securities will not reflect the return you would realize if you actually owned the shares of the Reference Fund or the assets that comprise the Underlyings. The return on your investment, which is based on the percentage change in the Underlyings, is not the same as the total return you would receive based on the purchase of the shares of the Reference Fund or the assets that comprise the Underlyings.
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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 Reference Fund and the assets that comprise the Underlyings.
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ANTI-DILUTION PROTECTION IS LIMITED — The calculation agent will make anti-dilution adjustments for certain events affecting the shares of the Reference Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of 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. For additional information, see “Description of the Securities—Adjustments-For a reference fund” in the accompanying product supplement.
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if a market disruption event has occurred and is continuing with respect to the Russell 2000® Index (the “Reference Index”), the calculation agent will determine the closing level for the Reference Index on that calculation date in accordance with the formula for and method of calculating the Reference Index last in effect prior to the commencement of the market disruption event in respect of the Reference Index using exchange traded prices on the relevant exchanges (as determined by the calculation agent in its sole discretion) or, if trading in any component comprising the Reference Index has been materially suspended or materially limited, its good faith estimate of the prices that would have prevailed on such exchanges (as determined by the calculation agent in its sole discretion) but for the suspension or limitation, as of the valuation time on that calculation date, of each component comprising the Reference Index (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference index” in the accompanying product supplement); and
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if a market disruption event has occurred and is continuing with respect to the Reference Fund, the calculation agent will determine the closing level for the Reference Fund on that calculation date using its good faith estimate of the settlement prices that would have prevailed on the relevant exchange for the Reference Fund but for the occurrence of a market disruption event as of the relevant valuation time on that calculation date (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference fund” in the accompanying product supplement).
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