Form 20-F CREDIT SUISSE GROUP AG For: Dec 31
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E-mailCredit Suisse Group AG
Articles of Association of Credit Suisse Group AG
Version of April 30, 2020
A stock corporation under the name Credit Suisse Group AG (Credit Suisse Group SA) (Credit Suisse Group Ltd.) (the “Company”) is established with its registered office in Zurich, Switzerland.
Its duration is unlimited.
1 The purpose of the Company is to hold direct or indirect interests in all types of businesses in Switzerland and abroad,
in particular in the areas of banking, finance, asset management and insurance. The Company has the power to establish new businesses, acquire a majority or minority interest in existing businesses
and provide related financing.
2 The Company has the power to acquire, mortgage and sell real estate properties, both in Switzerland and abroad.
1 The fully paid-in share capital amounts to CHF 97,909,908.80 and is divided into 2,447,747,720 registered shares with a par value of CHF 0.04 each.
2 Upon a resolution being passed by the General Meeting of Shareholders, registered shares may be converted into bearer shares.
3 The Company may issue its shares in the form of single certificates, global certificates or uncertificated
securities. The Company may convert the shares it issued in one form into another form at any time and without the approval of shareholders. Shareholders have no right to demand that issued shares be converted into another form. Shareholders may, however, at any time request that the Company issue
a certificate for the registered shares that they hold according to the Share Register.
4 The Company recognizes only one representative for each share.
1 The Company recognizes as a shareholder the person whose name is entered in the Share Register.
2 A person who has acquired registered shares will, upon application, be entered without
limitation in the Share Register as having voting rights provided that he or she expressly states that he or she has
acquired the shares concerned in his or her own name for his or her own account.
3 Any person not expressly stating in his or her application for registration that the
shares concerned have been acquired for his or her own account (hereinafter “nominees”)
may be entered for a maximum of 2% of the total outstanding share capital with voting
rights in the Share Register. In excess of this limit, registered shares held by a nominee will only be granted
voting rights if such nominee declares in writing that he or she is prepared to disclose the name, address and shareholding of any person for whose account he or she
is holding 0.5% or more of the outstanding share capital. Art.10, Section 2 shall apply correspondingly to nominees who are related to one another through capital ownership or voting rights or have a common management
or are otherwise interrelated.
4 The transfer restrictions apply regardless of the way and the form in which the registered
shares are kept in the accounts, and regardless of the provisions applicable to transfers.
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5 The transfer of intermediated securities based on the Company’s shares, and the pledging
of these intermediated securities as collateral, shall be based on the provisions
of the Swiss Federal Intermediated Securities Act. Transfer or pledging as collateral by means of written assignment are not permitted.
6 The Board of Directors will issue the necessary directives to ensure that the aforementioned provisions are complied with.
The Company may issue bonds, with or without security, including warrants and convertible issues,
and may guarantee such issues by its subsidiaries.
1. The General Meeting of Shareholders;
2. The Board of Directors;
3. The Executive Board;
4. The Independent Auditors.
1 The General Meeting of Shareholders shall ordinarily be called by the Board of Directors.
2 The ordinary General Meeting of Shareholders shall take place annually within six months after the close of the
business year.
3 Extraordinary General Meetings of Shareholders shall take place as necessary. One or more shareholders
whose combined holdings represent at least 10 percent of the share capital can also
request that a meeting be called.
4 Shareholders representing shares with a par value of CHF 40,000 may require that a
particular item appear on the agenda of the meeting.
5 The request to call a General Meeting of Shareholders must be submitted in writing and at the same time shares of the Company
representing at least 10 percent of the share capital are to be deposited. The request to include a particular item on the agenda of the meeting, together with the relevant proposals, must be submitted in writing and at the same time shares
of the Company with a par value of at least CHF 40,000 are to be deposited for safekeeping. The shares are to remain in safekeeping until the day after the General Meeting of Shareholders.
6 The request to include a particular item on the agenda, together with the relevant proposals, must
be submitted to the Board of Directors not later than 45 days before the date of the meeting.
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The General Meeting of Shareholders has the following powers which may not be delegated:
1. amending the Articles of Association;
2. electing the Members of the Board of Directors, the Chairman or Chairwoman, and the
Members of the Compensation Committee. Art. 15, Section 3 and Art. 20a, Section 3 shall be reserved;
3. electing the independent proxy. Art. 14a, Section 2 shall be reserved;
4. electing the Independent Auditors and Special Auditors;
5. approving the management report, the consolidated financial statements and the annual
statutory financial statements;
6. determining the allocation of the disposable profit;
7. formally discharging the actions of the Members of the Board of Directors and the
Executive Board;
8. approving the compensation of the Board of Directors and the Executive Board; and
9. passing resolutions on all matters which have been reserved to its authority by law or by these Articles of Association or which have been submitted
to the meeting by the Board of Directors.
1 The General Meeting of Shareholders approves on an annual basis the compensation of the Board
of Directors in advance for the period up until the next ordinary General Meeting of Shareholders.
2 The compensation may be paid partly in the form of participation rights in the Company.
If so, the Board of Directors shall determine the conditions, including any disposal
restrictions.
3 Members of the Board of Directors may also be paid compensation from other Group companies
as long as this is included in the approved compensation as per Section 1.
4 If the General Meeting of Shareholders refuses to approve the proposal of the Board of Directors pursuant to Section 1, the Board of Directors may submit a new proposal to a subsequent extraordinary General Meeting of Shareholders or to the next ordinary General Meeting of Shareholders.
1 The General Meeting of Shareholders approves on an annual basis the compensation of the Executive Board as a maximum amount or as maximum partial amounts in advance or retroactively for
the period described in the proposal of the Board of Directors.
2 Insofar as the compensation is approved in advance, the General Meeting of Shareholders shall in addition hold an advisory vote on the compensation report
for this period.
3 The compensation consists of a fixed component and a variable component. The variable component comprises both short-term incentive compensation elements (which may contain deferred compensation elements with a qualifying period of up to three years from the date of grant) and long-term incentive compensation elements (which may contain deferred compensation
elements with a longer qualifying period of at least three years from the date of
grant). The variable component is dependent upon the attainment of individual and collective, short-term and long-term performance targets, which the Board of Directors sets on a regular basis.
4 The compensation may be paid partly in the form of participation rights in the Company
or in the form of derivatives based on such participation rights or other financial
instruments.
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5 Conditional and deferred compensation components should be factored into the compensation at their fair value at date of grant. The Board of Directors determines grant, vesting, blocking, exercise and forfeiture conditions;
they may provide for continuation, acceleration or removal of vesting and exercise
conditions, for payment or grant of compensation assuming target achievement or for
forfeiture in the event of pre-determined events such as a termination of an employment
or mandate agreement.
6 Members of the Executive Board may also receive compensation from other Group companies as long as this is included
in the approved compensation as per Section 1.
7 If the General Meeting of Shareholders refuses to approve the proposal of the Board of Directors pursuant to Section 1, the Board of Directors may submit a new proposal for approval to a subsequent extraordinary General Meeting of Shareholders or to the next ordinary General Meeting of Shareholders.
1 If the General Meeting of Shareholders has approved in advance a maximum amount for the full or partial
compensation of the Executive Board, the Company may use an additional maximum 30% of this amount per compensation period
during the relevant compensation periods for the full or partial compensation of persons
who have been newly appointed to the Executive Board or promoted within the Executive Board.
2 The additional amount may only be used if the compensation of the Executive Board approved by the General Meeting of Shareholders in advance proves insufficient for the compensation of the new or
promoted Members in the period until the next vote of the General Meeting of Shareholders.
3 Where the payment of compensation is concerned, the other provisions of the Articles
of Association apply mutatis mutandis.
1 Notice of the General Meeting of Shareholders must be given at least 20 days before the meeting takes place. Notice
of the meeting is to be published in the Swiss Gazette of Commerce (Schweizerisches Handelsamtsblatt).
2 The notice of the meeting must include the items on the agenda, the proposals submitted
by the Board of Directors and by shareholders who have required that a meeting be
held or that a particular item be included on the agenda.
3 No resolutions can be passed on proposals of which due notice has not been given,
with the exception of those concerning the calling of an extraordinary General Meeting of Shareholders or the carrying out of a special audit.
1 Subject to the provisions of Art. 4, Section 3 every share carries one vote at the General Meeting of Shareholders. However, except as set out in Sections 3-5 below, the shares for
which a single shareholder can directly or indirectly exercise voting rights for his
or her own shares or as a proxy may not exceed 2 percent of the total outstanding
share capital.
2 For the purposes of the restrictions on voting rights as laid down in Section 1 above,
legal entities, partnerships or groups of joint owners or other groups in which individuals
or legal entities are related to one another through capital ownership or voting rights or have a common management or are otherwise interrelated shall be regarded as being a single
shareholder. The same shall apply to individuals, legal entities or partnerships that act in concert (especially as a syndicate)
with intent to evade the limitation on voting rights.
3 The restrictions on voting rights do not apply to the exercise of voting rights by the independent proxy; for the instructing shareholders
Section 1 and Section 2 remain reserved.
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4 Nor do the restrictions on voting rights apply to shares in respect of which the shareholder confirms to the Company in the application for registration that he or she has acquired the shares
in his or her name for his or her own account and in respect of which the disclosure
requirement set out in Section 6 below has been satisfied.
5 In addition, the restrictions on voting rights do not apply to shares which are registered in the name of a nominee, provided that this nominee furnishes
the Company with the name, address and shareholding of the person(s) (as per definition
in Section 2 above) for whose account he or she holds 0.5 percent or more of the total share capital outstanding at the time and for which
he or she (or the beneficial owner, as appropriate) has satisfied the disclosure requirement
set out in section 6 below. The Board of Directors has the right to conclude agreements with nominees concerning both their disclosure requirement and
the exercise of voting rights.
6 The disclosure obligation must be discharged in accordance with Art. 120 of the Federal Act on Financial Market Infrastructures and Market Conduct in Securities and Derivatives Trading of 19 June 2015 and the relevant ordinances and regulations.
7 The Board of Directors shall issue regulations regarding the proof of share ownership which
is necessary in order to obtain voting cards.
1 The Chairman or Chairwoman of the Board of Directors shall chair the General Meeting of Shareholders; in his or her absence, a Vice-Chairman/Vice-Chairwoman or another
Member designated by the Board shall take the chair.
2 The General Meeting of Shareholders shall elect by a show of hands the tellers to count the votes at the meeting. Members of the Board of Directors, the Independent Auditors and employees of the Company shall not be eligible to act as tellers.
3 The Board of Directors shall nominate a secretary to take the minutes.
1 The General Meeting of Shareholders may in principle pass resolutions without regard to the number of shareholders present at the meeting or represented by proxy.
2 Representation of at least half of the share capital is required for:
p conversion of registered shares into bearer shares;
p amendments to Art. 4, Section 3
p amendments to Art. 10, Sections 1-6
p dissolution of the Company.
3 This Article is subject to the mandatory provisions of the law and other provisions of these articles of association.
1 Resolutions and elections by the General Meeting of Shareholders require the approval of an absolute majority of the votes represented
at the meeting, except as otherwise prescribed by mandatory provisions of law or by
other provisions of these articles of association. In the case of an equality of votes,
elections and resolutions shall be decided by the casting vote of the person chairing
the meeting.
2 The conversion of registered shares into bearer shares, the dissolution of the Company and amendments to Art. 4, Section 3 of these articles of association require the approval of at least
three-quarters of the votes cast. Amendments to Art. 10, Sections 1-6 require the approval of at least seven-eighths of the votes cast.
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3 The Chairperson may allow elections and ballots to be conducted by a show of hands, by written ballot or by electronic means. He or she
has all the powers required to conduct the General Meeting of Shareholders in an orderly fashion.
The person chairing the meeting and the secretary of the meeting are to sign the minutes of the meeting.
1 The independent proxy is elected by the General Meeting of Shareholders for a term of office lasting until the close of the next ordinary
General Meeting of Shareholders.
2 Should the office of the independent proxy become vacant, the Board of Directors shall
appoint a replacement for the next General Meeting of Shareholders.
3 Individual persons as well as legal entities or partnerships may stand for election;
they shall also be eligible for re-election.
4 The Board of Directors shall regulate the electronic submission of power of attorney and instructions
to the independent proxy.
1 The Board of Directors shall consist of a minimum of seven Members.
2 The Chairman or Chairwoman and the other Members of the Board of Directors are elected individually
by the General Meeting of Shareholders for a term lasting until the close of the next ordinary General Meeting of Shareholders; they shall also be eligible for re-election.
3 Should the office of the Chairman or Chairwoman become vacant, the Board of Directors
shall from among its Members appoint a replacement for the remaining term of office.
1 The Board of Directors shall decide on all matters which have not been reserved for or conferred
on another governing body of the Company by law by these articles of association or by
other regulations.
2 The Board of Directors determines those who have signatory power and the nature of the signatory
power required. A document signed on behalf of the Company is binding on the Company only when it carries
the signatures of two authorized signatories.
The Board of Directors may delegate the management of the Company wholly or partly to committees of the Board, individual Members of the Board or to other natural persons, in accordance with the regulations governing the conduct of
business of the Company, as long as this delegation of powers does not conflict with
any mandatory statutory provisions.
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1 A majority of the Members of the Board of Directors must be present in person in order
to pass resolutions; there is no presence quorum requirement for resolutions on authorized
capital increases, for resolutions on amendments and acknowledgements by the Board
in connection with capital increases, or for the acknowledgement of an event triggering
conversion of the conversion capital. For resolutions carried out by circular letter, a majority of the Members of the Board
of Directors must cast their votes.
2 Resolutions of the Board of Directors require the approval of an absolute majority
of the votes cast. In the case of an equality of votes, decisions shall be determined
by the casting vote of the person chairing the meeting.
Minutes shall be kept of the proceedings and resolutions of the Board of Directors.
The minutes shall be signed by the person chairing the meeting and the secretary.
1 The Board of Directors shall submit the compensation of the Board of Directors and the compensation
of the Executive Board as per Art. 8a and Art. 8b to the General Meeting of Shareholders each year for approval. In its proposal for the compensation of the Executive Board as per Art. 8b, Section 1, the Board of Directors designates the period to which the approval is to relate.
2 The Board of Directors shall determine the compensation of the individual Members of the Board
of Directors and the Executive Board within the framework of the overall amounts as per Art. 8a-8c.
3 The Board of Directors shall approve the compensation report.
4 The Board of Directors shall issue an internal regulation governing the organization of the
Compensation Committee.
1 The Compensation Committee shall consist of at least three Members of the Board of Directors.
2 The Members of the Compensation Committee are elected by the General Meeting of Shareholders for a term of office lasting until the close of the next ordinary
General Meeting of Shareholders. They shall also be eligible for re-election.
3 If the office of a Member of the Compensation Committee should become vacant, the Board of Directors shall appoint a replacement from among
its Members for the remaining term of office.
4 The Compensation Committee shall support the Board of Directors in the following tasks:
a. determination and regular revision of the compensation strategy and compensation guidelines
of the Company, as well as the corresponding performance criteria;
b. preparation of proposals to the General Meeting of Shareholders on the compensation of the Board of Directors and the Executive Board; and
c. preparation of the Compensation Report.
The Compensation Committee may also submit proposals and recommendations relating to other compensation matters to the Board of Directors.
5 The Board of Directors may assign other tasks and competencies to the Compensation Committee.
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1 Each Member of the Board of Directors may assume no more than four other mandates in listed companies
and no more than five other mandates in other legal entities.
2 The following mandates are exempt from this restriction:
a. mandates in legal entities that are controlled by the Company or that control the Company;
b. mandates in legal entities not belonging to the Group that are exercised at the request or order of the Company or one of its controlled
legal entities; each Member of the Board of Directors may exercise a maximum of ten
such mandates; and
c. honorary mandates in charitable legal entities; each Member of the Board of Directors
may exercise a maximum of ten such mandates.
3 Mandates in the sense of Art. 20b are deemed to comprise activities in the most senior executive and management bodies of legal entities
that are obliged to obtain an entry in the Commercial Register or a corresponding foreign register. The assumption of up to five mandates in different legal entities under common control is deemed to constitute one mandate.
1 The Company or its Group companies may conclude agreements with Members of the Board of Directors
with respect to their mandate and compensation.
2 The duration of such agreements and their termination shall comply with the term of office
as well as the prevailing legislation. Such contracts may not exceed the term of office
as per Art. 15, Section 2.
The Company may grant individual credit facilities and loans to each Member of the Board of Directors up to a maximum of CHF 20,000,000 at market conditions.
The Board of Directors appoints an Executive Board that assumes responsibility for managing and representing the Company in accordance
with the regulations governing the conduct of business issued by the Board of Directors.
1 Each Member of the Executive Board may assume no more than one other mandate in a listed company and no more than two
other mandates in other legal entities.
2 The provisions of Art. 20b, Sections 2-3 shall apply analogously.
1 The agreements that form the basis for the compensation of Members of the Executive Board are open-ended, with a maximum notice period of 12 months.
2 The agreement of a post-contractual prohibition of competition is permissible as long as
it is agreed for a maximum of one year and the corresponding compensation does not
exceed the amount that the Member of the Executive Board has received as compensation in the twelve months prior to the termination of the employment contract with the Company.
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The Company may grant individual credit facilities and loans to each Member of the Executive Board up to a maximum of CHF 20,000,000 at standard terms that apply in the financial sector.
1 The Independent Auditors shall be elected by the General Meeting of Shareholders for one year and shall be responsible for carrying out all functions
and duties incumbent upon them by law.
2 The Special Auditors shall be elected by the General Meeting of Shareholders for the term of one year and shall be responsible for the special
audit reports in connection with qualified capital increases (Art. 652f CO).
The Company’s financial year shall be determined by the Board of Directors.
The allocation of the disposable profit shall be made by the General Meeting of Shareholders. The distributions of a dividend and the establishment and utilization of special reserves,
if any, shall be decided by the General Meeting of Shareholders in accordance with Art. 671 ff of the Swiss Code of Obligations.
Art. 24 Should the Company be dissolved, the Board of Directors shall carry out the liquidation
unless the General Meeting of Shareholders decides otherwise.
1 The Swiss Commercial Gazette (Schweizerisches Handelsamtsblatt) shall be the official medium for publication of the Company’s notices and announcements.
2 Notices and announcements to the shareholders shall be made in the Swiss Commercial Gazette (Schweizerisches Handelsamtsblatt), insofar as the law does not prescribe some other manner of publication.
1 The Company’s share capital pursuant to Art. 3 of the Articles of Association shall be increased by an amount not exceeding
CHF 16 000 000 through the issue of a maximum of 400 000 000
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registered shares, to be fully paid in, each with a par value of CHF 0.04 through the voluntary or compulsory exercise of conversion rights and/or warrants
granted in connection with bonds or other financial market instruments of Credit Suisse Group AG, or any of its Group companies, or through compulsory conversion of contingent convertible
bonds (CoCos) or other financial market instruments of Credit Suisse Group AG, or any of its Group companies, that allow for contingent compulsory conversion into shares of the Company.
Shareholders’ subscription rights are excluded. Holders of financial market instruments
with conversion features and/or of warrants are entitled to subscribe to the new shares. The Board of Directors fixes the conversion/warrant conditions.
The acquisition of shares through the exercise of conversion rights and/or warrants, or
through the conversion of financial market instruments with conversion features, and
any subsequent transfer of the shares are subject to the restrictions set out under Art. 4 of these Articles of Association.
2 Contingent capital pursuant to Art. 26 of the Articles of Association is made available, subject to para. 3, exclusively for the purpose of increasing share capital through the conversion
of bonds or other financial market instruments of Credit Suisse Group AG, or any of its Group companies, that allow for contingent compulsory conversion into the Company’s shares and that are issued in order to fulfil or maintain compliance with regulatory requirements of the Company and/or any
of its Group companies (contingent convertible bonds).
The Board of Directors is authorized when issuing such contingent convertible bonds to exclude shareholders’ preferential subscription rights if these bonds are issued on the national
or international capital markets (including private placements with selected strategic
investors).
If preferential subscription rights are restricted or excluded by resolution of the
Board of Directors when contingent convertible bonds are issued:
(i) the contingent convertible bonds must be issued at prevailing market conditions,
(ii) the setting of the issue price of the new shares must take due account of the stock
market price of the shares and/or comparable instruments priced by the market at the time
of issue or time of conversion, and
(iii) conditional conversion features may remain in place indefinitely.
3 Up to CHF 4,000,000 of the conditional capital pursuant to Art. 26 of the Articles of Association shall also be available for share capital increases executed through the voluntary
or compulsory exercise of conversion rights and/or warrants granted in connection with bonds or
other financial market instruments of Credit Suisse Group AG or any of its Group companies (equity-related financial market instruments).
The Board of Directors is authorized to exclude shareholders’ preferential subscription rights when such equity-related financial
market instruments are issued provided these instruments are being issued to finance or refinance the acquisition of companies, parts of companies, participations
or new investment projects, and/or if the instruments are issued on the national or
international capital markets.
If shareholders’ preferential subscription rights are restricted or excluded for such
equity-related financial market instruments:
(i) these equity-related financial market instruments must be issued at prevailing market
conditions,
(ii) the issue price of the new shares must be set at market conditions taking due account
of the stock market price of the shares and/or comparable instruments priced by the
market, and
(iii) it should be possible to exercise the conversion rights for a maximum of 15 years and to exercise warrants for a maximum of 7 years from the relevant issue date.
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1 The Company’s share capital pursuant to Art. 3 of the Articles of Association shall be increased by an amount not exceeding
CHF 6,000,000 through the issue of a maximum of 150,000,000 registered shares, to be fully paid in, each with a par value of CHF 0.04, through the compulsory conversion upon occurrence of the trigger event of claims arising out of contingent
convertible bonds (CoCos) of Credit Suisse Group AG or any of its Group companies, or of other financial market instruments of Credit Suisse Group AG or any of its Group companies, that provide for a contingent or unconditional compulsory conversion into shares of the Company.
2 Shareholders’ preemptive rights are excluded. Holders of financial market instruments
with conversion features are entitled to subscribe to the new shares.
3 Shareholders’ preferential subscription rights with regard to financial market instruments with conversion features will be granted. If a quick placement of contingent convertible
bonds (CoCos) in large tranches is required, the Board of Directors is authorized to exclude shareholders’ preferential subscription rights. In such circumstances, these
contingent convertible bonds (CoCos) must be issued at prevailing market conditions.
4 The Board of Directors determines the issue price of the new shares taking due account of the
stock market price of the shares and/or comparable instruments.
5 The acquisition of shares through the conversion of financial market instruments with conversion
features, and any subsequent transfer of the shares are subject to the restrictions set out under Art. 4 of these Articles of Association.
1 The Board of Directors is authorized, at any time until April 26, 2021, to increase the share capital, as per Art. 3 of the Articles of Association to a maximum of CHF 4,120,000 through the issuance of a maximum of 103,000,000 registered
shares, to be fully paid up, each with a par value of CHF 0.04. Increases by underwriting as well as partial increases are permissible. The issue price, the time of dividend entitlement, and the type of contribution will be
determined by the Board of Directors. Upon acquisition, the new shares will be subject to the transfer restrictions pursuant to Art. 4 of the Articles of Association.
2 The Board of Directors is authorized to exclude shareholders’ subscription rights in favor of third parties if the new registered
shares are used for (a) the acquisition of companies, segments of companies or participations in the banking, finance, asset management or insurance
industries through an exchange of shares or (b) the financing/refinancing of the acquisition
of companies, segments of companies or participations in these industries, or new investment plans.
If commitments to service convertible bonds or bonds with warrants are assumed in connection with company
takeovers or investment plans, the Board of Directors is authorized, for the purpose
of fulfilling delivery commitments under such bonds, to issue new shares excluding the subscription rights of shareholders.
3 The Board of Directors may allow subscription rights that are not exercised to expire without compensation, or it may sell the subscription rights or the registered
shares for which they were granted at market conditions on the market or otherwise
use them in the interest of the Company.
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The above text is a translation of the original German articles of association (Statuten)
which constitute the definitive text and are binding in law.
Zurich, April 30, 2020
14
CREDIT SUISSE GROUP AG
Paradeplatz 8
CH-8070 Zurich
Switzerland
www.credit-suisse.com
Valid as of February 11, 2021.
This OGR was approved by the Board of Directors of Credit Suisse Group AG and Credit Suisse AG as well as by FINMA on February 11, 2021.
Abbreviations and definitions
Preamble
Corporate governance
Group
CSG
Governance principles
Business
Divisions
Swiss Universal Bank
APAC
International Wealth Management
Investment Banking
I. Introduction
1. Scope and content
2. Approval procedures for urgent business matters
II. Board of Directors
3. Organization
4. Chairman
5. Responsibilities and authorities
6. Monitoring, access to information, reports
7. Committees
8. Governance and Nominations Committee
9. Audit Committee
10. Compensation Committee
11. Risk Committee
11a. Credit Risk Review
12. Conduct and Financial Crime Control Committee
III. Management organization
13. General provisions
14. Chief Executive Officer
15. Executive Board
15a. ExB Risk Forum
16. ExB committees
IV. Corporate Functions
17. General provisions
18. Chief Operating Officer
19. Chief Financial Officer
20. General Counsel
21. Chief Risk and Compliance Officer
22. Sustainability, Research and Investment Solutions
23. Human Resources
V. Divisions
24. General provisions
25. Divisional CEOs
26. Divisional Management Committee
27. Divisional Risk Management Committee
VI. Subsidiary and branch governance
28. Subsidiary governance
29. Branch governance
VII. Internal Audit
30. Internal Audit
VIII. Special provisions
31. Conflicts of interest
32. Titles, signing authorities and powers of attorney
33. Meetings and minutes
34. Financial year
Annex A – Approval authorities
I. Authority for credit transactions and credit limits
1. General provisions
2. Approval authorities
II. Authority for country limits
3. Approval authorities
III. Trading activities
4. Trading activities
IV. Illiquid investments
5. General provisions
6. Approval authorities
V. Formations, liquidations, mergers, acquisitions, divestitures, long-term participations and other actions and transactions, legal cases
7. General provisions
8. Formation and liquidation of subsidiaries
9. Merger, consolidation or similar transaction; acquisition or divestiture of a subsidiary, interest in a subsidiary or assets constituting a business
10. Acquisition or divestiture of a long-term participation
11. Establishment or closure of branches and representative offices
11b. Legal cases
12. Approval authorities
VI. Reputational risks
13. Reputational risk management
VII. Financing matters and capital expenditures
14. Financing of CSG, CS and its subsidiaries
15. Capital expenditures
Annex B – Approval authorities for Credit Suisse Group AG specific matters
I. Capital structure of CSG
1. Ordinary, authorized, conditional and conversion capital
II. Share register
ANNEX C – CORPORATE BODIES
3 / 4
AC Audit Committee
AGM Annual General Meeting
ALM Asset and Liability Management
ANL Analyst
AoA Articles of Association
APAC Division Asia Pacific
ASO Associate
AVP Assistant Vice President
BCM Business Continuity Management
BoD Board of Directors
CARMC Capital Allocation and Risk Management Committee
CC Compensation Committee
CEB Group Conduct and Ethics Board
CEO Chief Executive Officer
CFCCC Conduct and Financial Crime Control Committee
CFO Chief Financial Officer
Chairman Chairman of the BoD
COO Chief Operating Officer
Corporate The areas of responsibility allocated to the COO, CFO, GC,
Functions CRCO, CEO of SRI and Global Head of HR
CRM Credit Risk Management
CRCO Chief Risk and Compliance Officer
CS Credit Suisse AG
CS AG Parent Credit Suisse AG incl. its branches and representative offices, but not its directly and indirectly held subsidiaries
CSG Credit Suisse Group AG
DCCO Deputy Chief Compliance Officer
DIR Director
Divisional Divisional Chief Compliance Officers
CCOs
EMEA Europe, Middle East, Africa
ExB Executive Board
FINMA Swiss Financial Market Supervisory Authority FINMA
GC General Counsel
GNC Governance and Nominations Committee
Group CSG and all its direct and indirect subsidiaries
HR Human Resources
IB Investment Banking
ICS Internal Control System
IT Information Technology
MC Management Committee
MDA Managing Director Senior Advisor
MDR Managing Director
OGR Organizational Guidelines and Regulations
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PCR Position and Client Risk
RC Risk Committee
RMC Divisional Risk Management Committee
RPSC Risk Processes and Standards Committee
RWA Risk Weighted Assets
SOX United States Sarbanes-Oxley Act of 2002
SRI Sustainability, Research and Investment Solutions
Swiss UB Swiss Universal Bank
VaR Value-at-Risk
VARMC Valuation Risk Management Committee
VP Vice President
Notes:
■ The titles and functions used in this document apply to both genders.
■ The German version of these Regulations shall prevail in an event of any conflict
of interpretation.
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Together with the Articles of Association, the Code of Conduct, the BoD and Committee
Charters, and the Compensation Policy, the OGR defines the corporate governance guidelines of the Group. These form the basis for effective and efficient corporate
governance of the Group.
The Group consists of CSG and all its direct and indirect subsidiaries, which together
form one economic unit.
CSG is a holding company domiciled in Zurich, Switzerland. Its statutory purpose is
to hold direct or indirect interest in all types of businesses in Switzerland and
abroad, in particular in the areas of banking, finance, asset management and insurance.
CSG sets standards for the Group to allow for an efficient and harmonized steering
of the Group.
The governance of the Group is based on the principles of an integrated oversight
and management structure with global scope. Corporate bodies and officers are, subject
to applicable local laws, regulations and best practice standards, bound to ensure
transparency and collaboration throughout the Group, in particular through the appropriate
flow of information and cooperation within and across all businesses and organizational
structures. In addition, it is an important principle that conflicting interests shall,
to the extent possible, be avoided, disclosed and aligned.
The Group is engaged in the banking business, which is primarily performed through
CS and its major subsidiaries (Credit Suisse (Schweiz) AG, Credit Suisse International/Credit
Suisse Securities (Europe) Limited, Credit Suisse Holdings (USA), Inc.). CS is domiciled
in Zurich, Switzerland. The statutory purpose is the operation of a bank, and its
scope of operations extends to all types of banking, financial, advisory, service,
and trading activities in Switzerland and abroad. CS and its subsidiaries are provided
with infrastructure and other services through the service company Credit Suisse Services
AG, Switzerland.
7
The Group is structured into four Divisions – Swiss Universal Bank; APAC; International Wealth Management; and Investment Banking
– and Corporate Functions, which provide products, infrastructure and services to the
Divisions, as well as perform control activities independent from the Divisions. The
Divisions coordinate their business activities in collaboration with the Corporate
Functions where appropriate.
The Swiss Universal Bank provides a full banking platform primarily to Swiss-domiciled
high net worth, ultra high net worth, retail, corporate and institutional clients.
APAC provides private and investment banking capabilities to clients in Asia Pacific
to serve wealth management, corporate and institutional clients.
International Wealth Management provides (1) private and wealth management capabilities
to clients in Western and Eastern Europe, Latin America, the Middle East and Africa
and (2) global asset management products and services to clients globally.
IB is responsible for (1) the fixed income and equities sales and trading business
globally; (2) coverage of corporations, financial institutions, sovereigns and financial
sponsors for M&A advice, debt and equity underwriting and related solutions globally,
excluding Switzerland and APAC; (3) the investment banking business contained in Banco
de Investimentos Credit Suisse (Brasil) S.A.; and (4) the provision of investment
banking products and solutions for ultra high net worth clients in the United States.
8
1.1 The OGR establishes the duties and responsibilities of the BoD and its committees,
the Chairman, the CEO, the ExB, and the ExB committees, as well as certain executive
functions of the Group. It further establishes the duties and responsibilities of
the Corporate Functions, the Divisional CEOs, the Divisional MCs, and Internal Audit.
1.2 The OGR and its regulations shall be applicable to CSG and CS. As long as the BoD
and ExB of CSG and CS are mainly composed of the same persons, the meetings of the
BoD respectively ExB shall be held for both companies simultaneously and with the
same agenda, and the minutes of these meetings shall reflect the decisions taken for
both companies, except for specific items which are different for each company (e.g.
statutory financial statements, preparation of shareholder meetings). The same principle
applies to the activities and meetings of the BoD committees.
1.3 To the extent permitted by local law and regulatory guidelines, the organizational
regulations of the other direct and indirect subsidiaries and other enterprises owned
or controlled by CSG shall reflect the same principles and rules as stated in this
OGR.
1.4 CSG controls directly or indirectly all of its subsidiaries and sets standards for
the Group to allow for an efficient and harmonized steering of the Group. Notwithstanding
this, the legal independence of all subsidiaries and the provisions of applicable
local laws, rules and regulations relating to them must be observed to the extent
legally required. Each subsidiary may establish additional separate regulations to
regulate business specific to such entity.
1.5 Governance bodies and officers are, subject to applicable local laws, rules and regulations,
bound to ensure transparency and collaboration within the Group. Governance bodies
and officers may have multiple responsibilities and reporting lines within the Group.
1.6 The responsibilities and authorities set out in these regulations including the annexes
may only be delegated if expressly permitted herein or with the explicit approval
or ratification by the BoD for a specific transaction or activity.
1.7 Notwithstanding any delegation of authority or approval process provided for in these
regulations, no person shall participate in the approval, execution or implementation
of any transaction (including the opening, closing or managing of a client’s account) or otherwise
have any responsibility for or role in the execution or implementation of any such
transaction, if such participation, responsibility or role would cause such person
or any entity within the Group to violate any law or regulation to which such person
or entity is subject.
1.8 CSG may allocate full management responsibility over its directly held subsidiaries to CS. The ExB shall decide to which extent they shall be integrated in CS’s management processes.
9
2.1 Should immediate action be required to ensure the conclusion of an urgent business
matter, which lies in the authority of the BoD, provided that the BoD is not in a
position to act in time (e.g. lack of a quorum) and there is no clear indication that
the BoD would not approve the respective proposal, the matter may as an exception
be approved by the Chairman. To the extent possible, available BoD members shall be
consulted.
2.2 Should immediate action be required to ensure the conclusion of an urgent business matter which lies in the authority of a particular body or executive function,
provided that the authorized body or executive function is not in a position to act
in time and there is no clear indication that the business matter contains excessive
risks or the authorized body or executive function would not approve the respective
business matter, and there are no other instructions from the CEO or the responsible
ExB member, the respective business matter may as an exception be approved by the
body or executive function one level below the authorized body or executive function.
In any event, the CEO or the responsible ExB member, to the extent possible, must
be consulted.
2.3 If the procedure outlined in section 2.1 and 2.2 is applied, the BoD or the authorized body or executive function (as applicable) must be advised of such transaction
or project at the earliest opportunity.
10
3.1 The BoD shall consist of at least seven members. The BoD should be of an appropriate size bearing in mind the need for qualified composition of committees
on the one hand and an efficient decision-making process on the other.
The BoD shall consist of at least a majority of independent directors as determined
by the BoD taking into account the factors set forth below, the charters of the committees
of the BoD and any applicable laws and regulations, in particular the SIX Exchange
Directive on Information relating to Corporate Governance, the Swiss Code of Best
Practice, the New York Stock Exchange Corporate Governance Listing Standards and the
SOX rules.
3.2 In general, a director is considered independent, if he
■ is not, and has not been for the past three years, employed as an ExB member at CSG
or any of its subsidiaries or in another significant function at the Group;
■ is not, and has not been for the past three years, an employee or affiliate of CSG’s
external auditor;
■ does not, according to the BoD’s assessment, maintain a material direct or indirect
business relationship with CSG or any of its subsidiaries which causes a conflict
of interest due to its nature or extent;
■ is not, or has not been for the past three years, part of an interlocking directorate
in which an ExB member serves on the compensation committee of another company that
employs the BoD member.
BoD members with immediate family members who would not qualify as independent according to the above listed criteria shall be subject to a three-year cooling-off period
for purposes of determining their independence after fulfilment of the independence
criteria by the immediate family member.
3.3 The BoD shall discharge its responsibilities as a joint board or through committees
elected by the AGM or appointed by the BoD respectively from among its members.
3.4 The BoD proposes to the AGM the election of the Chairman and appoints one or more
Vice-Chairmen and the chairmen of the committees of the BoD from among its members
for an office term of one year.
The BoD may appoint a Lead Independent Director. If the Chairman is deemed non-independent
by the BoD, the BoD must appoint a Lead Independent Director. The Lead Independent
Director may convene for meetings without the Chairman being present.
3.5 The BoD shall designate one or more Secretaries who need not be a member of the BoD.
3.6 A member of the BoD shall generally retire at the Annual General Meeting of the year
in which he has been serving on the BoD for 12 years. Under certain circumstances
the BoD may extend the limit of terms of office for a particular member of the BoD
for a maximum of three years.
3.7 Subject to the applicable provisions in section 33 of this OGR, the BoD shall otherwise organize itself.
11
4.1 The Chairman – or in his absence one of the Vice-Chairmen – presides over the meetings of the BoD. The Chairman shall prepare an agenda in advance
of each meeting in coordination with the CEO.
4.2 The Chairman co-ordinates the work of the BoD and the committees and ensures that
the BoD members are provided with timely information relevant for appropriately performing
their duties and responsibilities.
4.3 The Chairman leads the preparations of the AGM and oversees the implementation of
the resolutions taken by shareholders.
4.4 The Chairman challenges and supports the CEO and the ExB in developing the strategic
business plans and financial objectives of the Group. The Chairman is also actively
involved in establishing succession plans for the CEO and other key management positions.
Within the scope of his duties of overall direction and supervision, the Chairman
may attend meetings of the ExB, however not on a regular basis, but has no voting
rights.
4.5 The Chairman represents the Group and the BoD to shareholders, customers, employees,
and other stakeholders.
4.6 The Chairman is supported by the Chairman’s Office whose composition, duties and responsibilities he determines as deemed appropriate.
5.1 The BoD shall be responsible for the overall direction, supervision and control of
CSG, CS and its management. In particular, the members of the BoD shall jointly discharge
the following actions:
5.1.1 determine the principal organization and governance of the Group;
5.1.2 establish general accounting, financial control and planning principles and policies;
5.1.3 prepare and approve the annual report, annual financial statements and the agenda
of the AGM including the proposal by the BoD;
5.1.4 appoint or dismiss the CEO and the members of the ExB and grant them collective signing
authority, exercisable jointly by two, for CSG and CS;
5.1.5 appoint or dismiss the Head of Internal Audit as well as appoint the regulatory auditor
upon proposal by the AC;
5.1.6 approve the principles for the business policy, the objectives, the strategy, the
annual business and financial plans including the principal risk management strategy
for the business activities;
5.1.7 approve the risk management framework, annual risk appetite and the overall risk limits,
including appetites for the strategic risk objectives, as well as specific appetites
covering financial and non-financial risk;
5.1.8 approve the liquidity risk tolerances, the liquidity management strategies and key
liquidity policies including the contingency funding plan;
5.1.9 approve the country limits upon proposal by the RC if not otherwise delegated (see
annex A II);
5.1.10 perform and document a systematic risk analysis as the basis for an appropriate ICS
and regularly review its appropriateness and efficiency;
12
5.1.11 supervise the implementation of appropriate processes and measures designed to ensure
that employees on all levels are aware of and understand their responsibilities and
tasks with regard to ICS processes;
5.1.12 approve the compensation principles, the Compensation Policy and key elements of management
and employee compensation plans and amendments thereto and of significant fringe benefit
or welfare plans;
5.1.13 set the overall amounts of compensation of the BoD and the ExB in accordance with
Art. 20 Para. 1 of the AoA of CSG;
5.1.14 set the compensation of the individual BoD members, the CEO, and individual ExB members
within the framework of the overall amounts that apply as per Art. 20 Para. 2 of the
AoA of CSG;
5.1.15 approve the overall variable compensation pool and the key sub-pools;
5.1.16 appoint or dismiss the chair and the members of the BoD of the major subsidiaries
of the Group and approve their remuneration, subject to local law and regulations.
A policy naming the subsidiaries in scope and providing guidelines for the nomination
and remuneration process shall be reviewed by the BoD on an annual basis;
5.1.17 approve the Recovery and Resolution Plans of the Group and the major subsidiaries
in accordance with regulatory requirements;
5.1.18 approve actions and transactions and receive reports in accordance with annex A.
6.1 The BoD shall monitor that the CEO and the ExB pursue the business policy and strategy
effectively and in accordance with all applicable laws, the AoA, the Code of Conduct
and all additional internal regulations, and ensure compliance with applicable laws,
rules and regulations.
6.2 The members of the BoD shall have access to all information concerning the Group as
far as necessary to fulfil their duties as a BoD member. The Chairman approves requests
made by a member of the BoD to review internal documents outside a BoD or committee meeting. BoD members with functional duties may review
any internal documents at any time without the approval of the Chairman, if needed
to fulfil their functional duties.
6.3 The BoD shall receive the following reports:
6.3.1 risk reports at least on a quarterly basis providing an overview on key changes in
the risk profile;
6.3.2 monthly financial reports providing an overview on the financial performance (overall
and on a divisional basis), liquidity and capital adequacy;
6.3.3 regulatory reports, including the quarterly large exposure report, the annual Long
Form Report issued by the external auditor, and reports on significant other regulatory
issues as soon as practicable;
6.3.4 annual Comprehensive Auditor’s Report issued by the external auditor providing a summary of findings from the audits of the consolidated financial statements of CSG and CS;
6.3.5 annual Compliance Report and ICS Report;
6.3.6 periodic reports on significant human resources matters;
6.3.7 other reports on material extraordinary events and actions taken as soon as practicable;
13
6.3.8 all information of major subsidiaries (e.g. minutes of the BoD, reports and other
information prepared for management purposes).
6.4 The Chairman may request additional reports as deemed appropriate.
7.1 The BoD establishes the following regular committees and approves their charters:
■ the Governance and Nominations Committee;
■ the Audit Committee;
■ the Compensation Committee;
■ the Risk Committee; and
■ the Conduct and Financial Crime Control Committee.
In addition, the BoD may establish such other committees with such other charters
as the BoD deems appropriate.
7.2 The members of the Governance and Nominations Committee, Audit Committee, Risk Committee
and Conduct and Financial Crime Control Committee shall be appointed for the period
of one year. The committees shall organize themselves according to their charters.
7.3 The members of the Compensation Committee are to be elected individually by the AGM
for an office term of one year.
7.4 The chairmen of the committees shall regularly inform the BoD on material matters
discussed at the committee meetings.
8.1 The GNC shall consist of the Chairman, the Vice-Chairmen, the chairmen of the AC,
RC, CC and CFCCC and other BoD members appointed by the BoD. It organizes itself as
per the date of the AGM for one year. It may include non-independent members, however
the majority of the members must qualify as independent. It shall establish its own
charter to be submitted to the BoD for approval.
8.2 The GNC shall, in particular, have the following responsibilities:
8.2.1 act as counselor to the Chairman and facilitate the dialogue between the members of
the BoD and the Chairman;
8.2.2 discuss with the CEO and assess any significant appointment proposal to be submitted
to the BoD for approval, in particular appointments to the ExB and the appointment
of the head of Internal Audit;
8.2.3 develop criteria and assess candidates for a BoD membership on the basis of a requirements
profile drawn up by the GNC. The requirements profile for BoD candidates takes into account all applicable laws and provisions as well as aspects
relevant for ensuring an appropriate degree of diversity. The GNC reviews both internal and external proposals and submits potential
candidates to the BoD for proposal to the AGM;
8.2.4 ensure the maintenance of high standards of corporate governance and make proposals to the BoD on corporate governance issues, in particular BoD member independence, the adherence to corporate governance provisions applicable to
individual BoD members and BoD committee composition.
14
9.1 The AC shall consist of not less than three BoD members, who are appointed by the
BoD for a term of one year. All members of the AC need to be independent in the meaning
of article 3.2 of this OGR. The chairman of the RC shall generally be appointed as one of the members of the AC. It shall establish its own charter to be
submitted to the BoD for approval. The members of the AC shall satisfy all additional
independence and qualification requirements as set forth in the charter. The composition
of the AC shall differ sufficiently from the other committees.
9.2 The AC shall, in particular, have the following responsibilities:
9.2.1 review the annual report, the annual financial statements and related resolutions
proposed for the AGM;
9.2.2 review the quarterly financial statements;
9.2.3 review the ExB’s report on internal control over financial reporting (SOX 404) and
the Annual Compliance Report;
9.2.4 review the quality, independence and performance of the internal and external audit
function;
9.2.5 take note of significant extraordinary reports submitted to regulators;
9.2.6 review the findings of Internal Audit and the external auditors and approve their
annual audit objectives;
9.2.7 review and assess components of the internal control system addressing compliance
processes and controls;
9.2.8 review jointly with the RC the annual assessment of the adequacy and effectiveness
of the internal control system, the status of major infrastructure and committed change
programs, as well as the control functions’ input into remuneration;
9.2.9 review jointly with the RC other significant matters of non-financial risk as appropriate;
9.2.10 submit to the BoD upon consultation of the GNC proposals for the appointment of the
Head of Internal Audit;
9.2.11 propose the regulatory auditor for appointment by the BoD;
9.2.12 review reports by the GC on material legal and regulatory matters; and
9.2.13 review reports by the CRCO and/or DCCO on material compliance matters, including matters
raised by way of the whistleblower process.
10.1 The CC shall consist of not less than three BoD members, who are nominated by the
BoD and elected by the AGM for a term of one year. All members of the CC need to be
independent in the meaning of article 3.2 of this OGR. It shall establish its own
charter to be submitted to the BoD for approval.
10.2 The CC shall, in particular, have the following responsibilities:
10.2.1 review the Group’s compensation principles and submit them to the BoD for approval;
10.2.2 review the Group’s Compensation Policy and submit it to the BoD for approval;
15
10.2.3 discuss and determine amendments to existing or the establishment of new management and employee compensation plans and of significant fringe benefit or welfare plans and submit key elements of such plans and any significant
amendments thereto to the BoD for approval;
10.2.4 propose compensation for the BoD members, the CEO and the ExB members (including newly
appointed ExB members) for proposal to the AGM for approval;
10.2.5 review and propose the overall variable compensation pool and the key sub-pools to
the BoD for approval and provide the BoD with a review of the compensation process
on an annual basis;
10.2.6 review and approve the compensation proposals for other individuals (e.g. individuals
classified as “Covered Employees”) as stipulated in the CC Charter;
10.2.7 receive periodic information on employee expense regulations;
10.2.8 inform the BoD on the decisions taken, review and propose any mandatory public disclosure
of management compensation as well as the annual compensation report.
11.1 The RC shall consist of not less than three BoD members, who are appointed by the
BoD for a term of one year. With the exception of the chairman of the RC, it may include
non-independent BoD members, however the majority of the members must qualify as independent.
The chairman of the AC shall generally be appointed as one of the members of the RC.
The RC shall establish its own charter to be submitted to the BoD for approval. The
members of the RC shall satisfy all additional qualification requirements as set forth
in the RC charter.
11.2 The RC shall, in particular, have the following responsibilities:
11.2.1 review and assess the integrity and adequacy of the risk management function of the
Group, including risk measurement approaches;
11.2.2 review and calibrate:
■ the risk appetite at the level of the Group as well as at the level of key businesses
considering capital, liquidity, funding, credit, market, model and climate risks,
illiquid investment activities, and jointly with the AC, significant matters of non-financial
risk as appropriate; and
■ major risk concentrations;
11.2.3 approve the list of countries to be monitored with internal country limits and propose
the country limits allocated to such countries to the BoD insofar as this authority
has not been delegated (see annex A II);
11.2.4 review and assess the business continuity management, risk measurement and management
with respect to the internal control system, and annually the firm-wide risk management
framework;
11.2.5 review jointly with the AC the annual assessment of the adequacy and effectiveness
of the internal control system, the status of major infrastructure and committed change
programs, as well as the control functions’ input into remuneration; and
11.2.6 mandate the Credit Risk Review function.
16
11a.1 Credit Risk Review is given its mandate from the RC to independently assess Credit
Suisse’s credit risk management practices, identify issues impacting the quality of
credit risk management, and report its findings to the RC.
11a.2 The Global Head of Credit Risk Review will functionally report to the chairman of
the RC and the Credit Risk Review team will administratively be part of the CRCO function.
11a.3 The Global Head of Credit Risk Review will be appointed by the RC, in consultation
with the CRCO.
11a.4 The RC will approve the annual review plan, budget and compensation for the Credit
Risk Review team.
11a.5 Credit Risk Review will have unrestricted access to all information, systems, and
employees required to fulfill its mandate.
11a.6 Credit Risk Review has the final decision on the reporting of credit risk related
findings and risk rating changes as a result of its review process. Credit Risk Review
shall prepare its reports independently and the content of these reports will distributed
to senior management and RC as set forth in the mandate.
12.1 The CFCCC shall consist of not less than three BoD members, who are appointed by the
BoD for a term of one year. It may include non-independent BoD members, however the
majority of the members must qualify as independent. The chairman of the AC shall
generally be appointed as one of the members of the CFCCC. The CFCCC shall establish
its own charter to be submitted to the BoD for approval.
12.2 The CFCCC shall, in particular, have the following responsibilities:
12.2.1 review the Group’s overall compliance framework for addressing financial crime risk;
12.2.2 assess the effectiveness of financial crime compliance programs, including those with
respect to the following areas:
■ anti-money laundering;
■ client identification and know-your-client (KYC);
■ client on and off boarding;
■ politically exposed persons (PEP);
■ economic and trade sanctions;
■ anti-bribery and anti-corruption; and
■ client ■ compliance.
12.2.3 review reports by the CRCO and DCCO on material matters related to financial crime
compliance, including matters concerning employee conduct;
12.2.4 review the findings of Internal Audit and the external auditors related to financial
crime compliance;
12.2.5 in the compensation process, provide input to the CC with respect to relevant financial
crime compliance issues, as well as provide support and advice to the CC;
12.2.6 conduct joint reviews with the AC and/or RC as appropriate.
17
13.1 The ExB shall have the overall responsibility for the operational management of the
Group.
13.2 The businesses of the Group are managed through four Divisions and designated Corporate
Functions, which provide products, infrastructure and services to the Divisions, as
well as perform control activities, independent from the Divisions. The Divisions
coordinate their business activities in collaboration with the Corporate Functions
where appropriate. As indicated below, when determined to be necessary or advisable
by the CEO, Divisional CEOs, COO, CFO, GC, CRCO, SRI, HR or other designated Corporate
Functions, certain of their authorities and responsibilities may be delegated to subsidiary
BoD and management, or otherwise.
14.1 The CEO shall be appointed by the BoD and may not be a member of the BoD.
14.2 The CEO shall, in particular, have the following authorities and responsibilities
with the right to delegate the performance and implementation of such authorities
and responsibilities further:
14.2.1 designate a deputy who shall exercise all responsibilities and authorities in case
the CEO may not be able to exercise his function;
14.2.2 establish a management organization that avoids the creation or appearance of conflicts
of interests and enables the Group to effectively operate its businesses as one economic
unit in accordance with the strategy approved by the BoD. In particular, he shall
establish a risk management function, a legal function and a compliance function independent
from any business line;
14.2.3 issue policies necessary for the management and operation of the Group, to the extent
that this is not the responsibility of the BoD;
14.2.4 supervise the business activities and be responsible for the implementation of resolutions of the BoD and its committees;
14.2.5 approve actions and transactions and receive reports in line with annex A;
14.2.6 ensure that the reporting duties to the BoD and its committees as stipulated in sections
6.3 and 8 through 12 of this OGR as well as the applicable committee charters are
fulfilled.
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15.1 The ExB members are appointed by the BoD. The CEO shall act as the chairman of the
ExB. Otherwise the ExB shall organize itself.
15.2 The CEO shall have a right to veto any decision taken by the ExB. He shall inform
the Chairman on any such vetoes.
15.3 The ExB shall, in particular, have the following authorities and responsibilities:
15.3.1 regularly review and co-ordinate significant initiatives, projects and business developments
in the Divisions, and Corporate Functions and reconcile any issues;
15.3.2 regularly review the consolidated and divisional financial performance;
15.3.3 establish annually the strategic business plans, performance targets and budgets for
the Group as a whole and the Divisions including resource allocation, subject to approval
by the BoD and implement such plans;
15.3.4 grant corporate titles for CSG and CS and signatory power for CS in line with section
32;
15.3.5 approve the annual capital expenditure plan and establish the approval authorities
for investments within the approved plan as well as extraordinary investments in line
with section 15 of annex A;
15.3.6 approve key policies for the Group, in particular, the Group Policy on Inter-Company
Guarantees and the Group Policy on Capital of Branches and Subsidiaries;
15.3.7 determine and oversee the management of the Group’s branches and representative offices;
15.3.8 appoint the Group’s representatives in important commissions or organizations;
15.3.9 approve actions and transactions and receive reports in line with annex A.
15.4 Any member of the ExB must notify the CEO promptly and the ExB at the next opportunity
of any extraordinary events or risks occurring in the course of ongoing business activities.
15.5 All board and similar mandates, held by a member of the ExB by virtue of that member’s
office, shall be relinquished upon termination of service within the Group, unless
otherwise determined by the GNC in consultation with the CEO.
15a.1 The CEO shall appoint the entirety of the ExB to form the ExB Risk Forum. The CRCO
shall serve as chair for the ExB Risk Forum. Otherwise the ExB Risk Forum shall organize
itself.
15a.2 The ExB Risk Forum shall address matters escalated from the CARMCs or any ExB member,
and will escalate items requiring additional oversight to the RC or the BoD.
15a.3 The ExB Risk Forum shall, in particular, have the following authorities and responsibilities:
15a.3.1 determine management strategy for critical risk issues at the Group and/or at the
cross-Divisional level and submit such to the BoD for approval;
15a.3.2 review and resolve issues pertaining to risk escalated by the CARMCs or any ExB member;
15a.3.3 sign off on the Group Risk Appetite in the context of the Group Financial Plan prior
to final approval by the BoD;
19
15a.3.4 review and sign off on aggregate risk management limits proposed by the CARMCs;
15a.3.5 recommend country limits for review by the RC and approval by the BoD;
15a.3.6 sign off on management-level liquidity resource allocations; and
15a.3.7 monitor key risk trends and relevant metrics.
16.1 Capital Allocation and Risk Management Committee
16.1.1 The CEO establishes the CARMC which shall operate in three cycles:
■ Position & Client Risk (PCR) Cycle;
■ Asset & Liability Management (ALM) Cycle; and
■ Internal Control System (ICS) Cycle.
The CEO furthermore establishes the CS AG CARMC.
16.1.2 The CEO shall appoint a minimum of five members to form the CARMC, of which a minimum
of two members are from the ExB. The CEO shall appoint a chair for each CARMC cycle,
which shall meet at least on a quarterly basis. Otherwise the CARMC shall organize
itself. The CARMC may delegate its authority to set and approve certain limits to
the CRCO or Divisional RMCs, subsidiary CROs or risk governance bodies or otherwise,
as appropriate.
16.1.3 The CARMC will escalate items requiring additional oversight to the ExB Risk Forum,
the RC or the BoD.
16.1.4 The CARMC may establish sub-committees to monitor specific risks or sub-committees
within Divisions or subsidiaries and may delegate relevant authorities to these sub-committees
as required. Such sub-committees inform the CARMC on a regular basis;
16.1.5 The CARMC shall review policies approved by the RPSC in line with section 21.2.9.
16.1.6 The CARMC shall approve actions and transactions and receive reports in line with
annex A.
16.1.7 The CARMC shall approve all limit applications requiring final approval by the RC
or the BoD.
16.1.8 Position & Client Risk Cycle: the PCR CARMC shall, in particular, have the following
delegable authorities and responsibilities related to position and client risks:
16.1.8.1 determine the risk management strategy and risk appetite to market, credit, liquidity,
reputational, sustainability, environmental and social risks of clients or industries
across the various businesses within the Group;
16.1.8.2 serve as the management approval authority for risk appetite, including approval of
limits, ceilings, limit excesses, and other measures for the risk types listed in
16.1.8.1, including country risk to monitor and manage the risk portfolio;
16.1.8.3 ensure capabilities for management of relevant long term risk trends (e.g. climate
risk) are established;
16.1.8.4 conduct detailed reviews, as appropriate, on elevated or emerging risks including
but not limited to key clients, product offerings, and portfolio risks;
16.1.8.5 allocate risk capital and establish risk limits for individual Divisions and/or businesses;
20
16.1.8.6 review relevant regulatory developments and remediation;
16.1.8.7 ensure the Group-wide implementation of and compliance with the Group’s sustainability
and reputational risk policy commitments; and
16.1.8.8 serve as the decision body for environmental and social issues (subject to escalation
to the ExB).
16.1.9 Asset & Liability Management Cycle: the ALM CARMC shall, in particular, have the following
delegable authorities and responsibilities related to ALM, funding, liquidity and
capital matters:
16.1.9.1 review the funding and balance sheet trends and activities;
16.1.9.2 plan and monitor regulatory and business liquidity requirements and monitor the interest
rate risk in the banking books;
16.1.9.3 plan and monitor internal and regulatory capital adequacy as well as RWA utilization;
16.1.9.4 approve the Group Policy on Funding Authority in line with section 19.2.5;
16.1.9.5 approve the limit range for foreign exchange and interest rate risks related to the
investment of own equity;
16.1.9.6 maintain an optimal global booking model with established booking principles; and
16.1.9.7 review and challenge migration initiatives and annual legal entity profitability analysis.
16.1.10 Internal Control System Cycle: the ICS CARMC shall, in particular, have the following
delegable authorities and responsibilities related to operational risks, legal and compliance
issues and internal control matters:
16.1.10.1 monitor and analyze significant legal and compliance risks (incl. SOX compliance);
16.1.10.2 review effectiveness of the new business approval process;
16.1.10.3 review and approve the business continuity program’s alignment with corporate strategy
on an annual basis;
16.1.10.4 set limits, caps and triggers on specific businesses to control significant operational risk exposure and impose additional expenditure where appropriate to mitigate significant operational
risks;
16.1.10.5 review and assess the appropriateness and efficiency of the ICS.
16.1.11 CS AG CARMC: the CS AG CARMC shall meet at least on a quarterly basis. The CRCO and
CFO shall generally be appointed as members and co-chair the CS AG CARMC. Otherwise
the CS AG CARMC shall organize itself. The CS AG CARMC shall, in particular, have
the following delegable authorities and responsibilities related to capital management
and risk management matters of CS AG Parent:
16.1.11.1 set and monitor the risk appetite for CS AG Parent;
16.1.11.2 review the capital, liquidity and funding trends and activities of CS AG Parent;
16.1.11.3 review the existing business booked into CS AG Parent to ensure the ability to generate
an appropriate risk/return, subject to broader accounting, tax or other financial
and/or capital objectives; and
16.1.11.4 review and challenge the major subsidiary financial and capital plans, including key
risks and key dependencies, such as dividends or other capital repatriations from
the major subsidiaries to CS AG Parent, ahead of approvals by the respective subsidiary
governance bodies.
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16.2 Valuation Risk Management Committee
16.2.1 The CEO shall appoint a minimum of five members from the ExB and senior management to form the VARMC. The CFO shall generally be appointed as a member and
chair the VARMC. Otherwise the VARMC shall organize itself.
16.2.2 The VARMC shall, in particular, have the following delegable authorities and responsibilities:
It regularly reviews the Inventory Valuation Reviews, establishes policies regarding
the valuation of certain important assets and the policies and calculation methodologies
applied in the valuation process, and monitors and assesses valuation risks.
16.3 Group Conduct and Ethics Board
16.3.1 The CEO shall appoint a minimum of five members from the ExB and senior management to form the CEB. The CEO of SRI and Global Head of HR shall generally be
appointed as members and co-chair the CEB. Otherwise the CEB shall organize itself.
16.3.2 The CEB shall, in particular, have the following delegable authorities and responsibilities:
16.3.2.1 establish and determine a governance framework for the management of conduct and ethics
matters of the Group;
16.3.2.2 ensure the Group-wide implementation of the governance framework and the alignment of standards, processes and procedures across Divisions and Corporate Functions;
16.3.2.3 review disciplinary sanctions and serve as the decision body for disciplinary matters
escalated from the Divisions and Corporate Functions (subject to escalation to the ExB);
16.3.2.4 report on the disciplinary process to the CEO, ExB and BoD;
16.3.2.5 conduct investigations into conduct and ethics related issues; and
16.3.2.6 periodically review and recommend amendments to the Code of Conduct for approval to the BoD.
16.4 Other Committees
16.4.1 The CEO may establish further ExB committees if deemed appropriate.
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17.1 While the Divisions remain responsible for certain operational functions that are
critical for the revenue generation in the Divisions, the Corporate Functions are
consolidated at Group level.
17.2 The CEO allocates the management of such consolidated Corporate Functions to the COO,
the CFO, the GC, the CRCO, the CEO of SRI, and the Global Head of HR.
17.3 The COO, the CFO, the GC, the CRCO, the CEO of SRI and the Global Head of HR shall
have the authority to establish policies for their respective functions as well as
for areas where the execution of specific duties within their functions is allocated
to the Divisions.
17.4 The CEO may designate other Corporate Functions and appoint the heads of such Corporate Functions.
18.1 The COO shall be appointed by the BoD and shall report directly to the CEO.
18.2 The COO shall, in particular, have the following authorities and responsibilities
(“COO duties”), with the right to delegate the performance and implementation of such
COO duties further:
18.2.1 establish an organizational basis to manage all IT matters and deliver and maintain
effective IT solutions for critical business initiatives within the Group, i.e. including
in subsidiaries and branches;
18.2.2 manage corporate real estate services (CRES), supply management and security services
(excluding investigations);
18.2.3 establish and manage a new business process and policy;
18.2.4 run global operations; and
18.2.5 execute other responsibilities and authorities delegated by the BoD or the CEO.
19.1 The CFO shall be appointed by the BoD and shall report directly to the CEO.
19.2 The CFO shall, in particular, have the following authorities and responsibilities
(“CFO duties”), with the right to delegate the performance and implementation of such
CFO duties further:
19.2.1 establish an organizational basis to manage all financial matters of the Group, i.e.
including in subsidiaries and branches, as well as all other business areas allocated
to the CFO;
19.2.2 establish a controlling, accounting, product control, tax, treasury and investor relation
function;
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19.2.3 ensure transparent and timely financial reporting (accounting policies, statutory
and consolidated financial statements) internally as well as to the public and regulators
in line with legal and regulatory requirements as well as best practice;
19.2.4 ensure together with the CRCO and the GC that all regulatory reports are filed on
a timely basis;
19.2.5 develop and propose to the CARMC (Asset & Liability Management Cycle) for approval
the Group Policy on Funding Authority defining in particular the authorities and responsibilities
for:
■ the use of money market and capital market instruments and derivatives for the management
of the balance sheet;
■ the use of capital market transactions, the issuance and sale of notes, bonds, preferred
shares and similar securities;
■ the issuance of structured notes; and
■ borrowings by the Group.
19.2.6 manage regulatory and business liquidity and capital adequacy within the general bands
set by the regulators, the BoD and the CARMC;
19.2.7 approve actions and transactions and receive reports in line with annex A; and
19.2.8 execute other responsibilities and authorities delegated by the BoD or the CEO.
20.1 The GC shall be appointed by the BoD and shall report directly to the CEO.
20.2 The GC shall have all necessary authorities for legal matters within the Group. In
particular, he shall have the following authorities and responsibilities (“GC duties”),
with the right to delegate the performance and implementation of such GC duties further:
20.2.1 establish an organizational basis for the management of all legal matters of the Group,
i.e. including in subsidiaries and branches, independent from any business line;
20.2.2 manage public affairs and policy;
20.2.3 be responsible for the representation of the Group vis à vis the lead regulator (excluding
CRCO related matters; see section 21, and CFO related matters; see section 19) and
coordinate with the Divisional CEOs the representation of the Group vis à vis other
regulators and governmental authorities;
20.2.4 ensure, together with the CFO and CRCO function that all regulatory reports are filed on a timely basis;
20.2.5 ensure, together with the Divisional CEOs and CRCO that all license requirements are
continuously adhered to; and
20.2.6 execute other responsibilities and authorities delegated by the BoD or the CEO.
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21.1 The CRCO shall be appointed by the BoD and shall report directly to the CEO.
21.2 The CRCO shall, in particular, have the following authorities and responsibilities
(“CRCO duties”), with the right to delegate the performance and implementation of
such CRCO duties further:
21.2.1 establish an organizational basis to manage all financial and non-financial risk management
matters of the Group, i.e. including in subsidiaries and branches, and also including
an appropriate credit risk management, market risk management, liquidity risk management,
and non-financial risk management function, all of which shall be independent from
any business line;
21.2.2 establish a risk reporting system that ensures, in particular, that relevant information
on the risk portfolio, including compliance matters, is provided to the ExB on a regular
basis;
21.2.3 designate a Chief Credit Officer, who shall have the authority to approve actions
and transactions with material impact on global portfolio limits, in line with the credit risk
policy;
21.2.4 designate a Deputy Chief Compliance Officer and Divisional CCOs; the DCCO will act
as the delegate of the CRCO for compliance matters within parameters set out by the
CRCO and shall, in particular, have the following authorities and responsibilities:
■ lead the central compliance function, with responsibility for financial crime compliance,
core compliance and compliance investigations, and compliance operations;
■ provide input to Divisional CCOs, who will report to the DCCO on a secondary basis;
■ take responsibility for setting global compliance standards, frameworks and policies,
and for overseeing global compliance programs; and
■ support the proper operation and supervision of global compliance risk monitoring.
21.2.5 designate Divisional CROs, who shall have the authority to approve actions and transactions
in line with annex A;
21.2.6 represent the Group vis-a-vis the lead regulator in all risk management and compliance
related matters and coordinate together with the GC the representation of the Group
vis-a-vis other regulators and authorities;
21.2.7 ensure, together with the CFO and the GC that all regulatory reports are filed on
a timely basis;
21.2.8 ensure, together with the Divisional CEOs and GC, that all license requirements are
continuously adhered to;
21.2.9 establish a RPSC and appoint its chair and members. The RPSC shall, in particular,
have the following authorities and responsibilities:
■ review major risk management processes;
■ issue general instructions, standards and processes concerning risk management;
■ approve material changes in market, credit and operational risk management standards
and policies and related methodologies with notification to the CARMC and the chairman
of the RC;
■ review and approve procedures for analyzing and monitoring the risk portfolio;
■ review and approve risk measurement principles and key parameter changes; and
■ review and approve the standards for the computation of the amount of risk capital
for all types of transactions.
21.2.10 be responsible and drive the implementation of the BCM efforts;
21.2.11 approve actions and transactions and receive reports in line with annex A;
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21.2.12 establish a policy as to the approval authorities and the monitoring of outside business
activities of employees;
21.2.13 facilitate that the risk governance bodies of the major subsidiaries determine their
respective governance framework for the adoption of global policies and for the issuance
of subsidiary specific policies; and
21.2.14 execute other responsibilities and authorities delegated by the BoD or the CEO.
22.1 The CEO of SRI shall be appointed by the BoD and shall report directly to the CEO.
22.2 The CEO of SRI shall, in particular, have the following authorities and responsibilities
(“SRI duties”) with the right to delegate the performance and implementation of such
SRI duties further:
22.2.1 develop and propose in collaboration with the Divisions and other Corporate Functions
the sustainability strategy of the Group for approval by the BoD;
22.2.2 establish an organizational basis to manage all matters of the Group, i.e. including
in subsidiaries and branches, with respect to:
■ execution of sustainability strategy, advisory and finance, including establishing
policies and practices that drive sustainability internally and vis-à-vis external
stakeholders;
■ securities research, covering economics, corporates and industries for institutional
clients;
■ delivery of investment solutions and products with focus on wealth management clients;
and
■ global marketing and branding;
22.2.3 implement measures to create a culture of sustainability and social responsibility
across the Group; and
22.2.4 execute other responsibilities and authorities delegated by the BoD or the CEO.
23.1 The Global Head of HR shall be appointed by the BoD and shall report directly to the
CEO.
23.2 The Global Head of HR shall, in particular, have the following authorities and responsibilities
(“HR duties”), with the right to delegate the performance and implementation of such
HR duties further:
23.2.1 establish an organizational basis to manage all human resources matters of the Group, i.e. including in subsidiaries and branches, as well as other business areas allocated
to the Global Head of HR;
23.2.2 is responsible together with the Divisional CEOs and heads of the Corporate Functions
for the implementation of all Group policies related to human resources, as well as
to ensure ethical value and professional standards (Code of Conduct); and
23.2.3 execute other responsibilities and authorities delegated by the BoD or the CEO.
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24.1 While the CEO and the members of the ExB have the overall management responsibility
for the Group, the responsibility for the operational management of the Divisions
and the subsidiaries and branches, for which the management has been allocated to
the Divisions, lies with the Divisional CEOs.
24.2 The Divisional CEOs shall establish for their Divisions their own MC. They shall be
responsible for establishing an efficient organizational and management structure
in the Division. The Divisional CEO consults with the ExB prior to making significant
changes to the organizational and management structure in the Divisions.
25.1 The Divisional CEOs shall be appointed by the BoD and report directly to the CEO.
25.2 The Divisional CEOs shall be responsible for the operational management of the businesses
and subsidiaries and branches allocated to their Division. They shall, in particular,
have the following authorities and responsibilities (’Divisional CEOs duties’) with
the right to delegate the performance and implementation of such Divisional CEOs duties
further:
25.2.1 establish an adequate organizational basis to manage the divisional businesses and
subsidiaries and branches allocated to such Division;
25.2.2 appoint the managers of the divisional businesses and subsidiaries and branches, to
the extent that it is not the responsibility of the CEO or the ExB;
25.2.3 receive reports and manage matters escalated from the divisional businesses and subsidiaries
and branches;
25.2.4 issue policies, in coordination with the CRCO, necessary for the management and operation
of the Division, to the extent that it is not the responsibility of the BoD, the CEO
or the ExB;
25.2.5 actively co-ordinate business activities with the other Divisional CEOs and with Business
Heads; and
25.2.6 execute other responsibilities and authorities delegated by the BoD or the CEO.
26.1 The Divisional MC shall consist of the Divisional CEO and other members from Divisional
management appointed by the Divisional CEO upon consultation with the CEO. The Divisional CEO
shall act as the chairman of the MC and shall have a right of veto regarding decisions
taken by the MC. Otherwise the MC shall organize itself.
26.2 The Divisional MC shall, in particular, have the following delegable authorities and
responsibilities:
26.2.1 regularly review and co-ordinate significant initiatives, projects, and business developments
in the Divisions and efficiently reconcile any arising issues; and
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26.2.2 develop the divisional strategic business plan and budget for approval by the ExB.
26.3 Any MC member must notify the Divisional CEO promptly and the MC at the next opportunity
of any extraordinary risks occurring in the course of ongoing business activities.
27.1 The Divisional CEO shall establish a Divisional RMC for his area of responsibilities,
which shall consist of the Divisional Head, members from the Divisional MC, selected
members of senior management as well as representatives from relevant Corporate Functions. The Divisional
RMC may hold meetings jointly with other Divisional RMCs and/or RMCs of the major subsidiaries.
Other than that the Divisional RMC may organize itself.
27.2 The Divisional RMC shall, in particular, have the following delegable authorities
and responsibilities:
27.2.1 regularly review and discuss Division specific market and credit risk matters;
27.2.2 perform tasks delegated to it by the CARMC;
27.2.3 set limits to control or cap businesses as appropriate;
27.2.4 regularly review and discuss Division specific operational risks, legal and compliance
issues and internal control matters if these tasks are not performed by another divisional committee;
27.2.5 ensure that significant divisional risks are escalated to the CARMC or other bodies
at CS level as appropriate.
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28.1 From time to time, and consistent with applicable legal and regulatory requirements,
the BoD, in agreement with the CEO, may allocate certain responsibilities to the Group’s
major subsidiaries.
28.2 Such major subsidiary shall have its own governance documents. These shall comply
with all applicable local law and regulations and, to the extent possible, be consistent
with the same principles and rules as stated in this OGR.
28.3 In order to ensure a transparent flow of information, meeting documentation and other
information prepared for management purposes of major subsidiaries shall be shared
with CSG.
28.4 Further, CSG shall be informed about any material matter of a major subsidiary. Prior
to a substantial decision of a major subsidiary, CSG shall be consulted at the earliest
opportunity as specified by the governance documents of the relevant subsidiary.
29.1 The ExB shall determine and oversee the management of the Group’s branches and representative
offices, in line with applicable legal and regulatory requirements.
29.2 In determining the branch management, the ExB shall, in particular, consider the following:
29.2.1 the Division, whose business is predominant in the branch, shall determine the reporting
lines for Branch Managers and the responsibility for the management of the branch’s
business operations, and
29.2.2 the size and complexity of the branch’s organization and the materiality of its business
operations. The largest branches with the most material operations (“Material Branches”) shall
be classified as such and subject to a set of minimum governance standards. The ExB
may apply the same or other governance standards for other branches.
29.3 With respect to the management and oversight of the Material Branches, the following
minimum governance standards shall be observed:
29.3.1 the Divisional CEO, whose business is predominant in the branch, shall, upon consultation
with the ExB, appoint the general manager of the branch (the “Branch Manager”). The
Divisional CEO shall serve as line manager to these Branch Managers or may delegate
this responsibility. Branch Managers shall generally not also serve as officers of
a major subsidiary or in a control function role. Branch Managers shall have the authority
and responsibility for the management of branch matters and escalation of such to
the Divisional CEO or delegate.
29.3.2 the relevant Corporate Functions shall, upon consultation with the Branch Manager
and, if appropriate, the Divisional CEO or delegate, appoint a Branch CRO, CFO, CCO
and GC, and may appoint other officers (“Branch Officers”);
29.3.3 the Branch Manager shall establish a Branch Management Committee and, together with
the Branch CRO, a Branch Risk Management Committee. The Branch Manager may establish
further branch committees;
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29.3.4 the responsibility for capital, liquidity and financial matters of the branches shall
be with the CFO function; and
29.3.5 the mandates of the Branch Managers, Branch Officers and the Branch Management and
Branch Risk Management Committees of the Material Branches may be defined in further
detail, subject to approval by the ExB.
29.4 For branches not designated as material branches and representative offices, the Divisional CEO, whose business is predominant in the branch or representative office,
shall appoint the Branch Manager or head of the representative office.
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30.1 Internal Audit shall systematically, objectively and independently assess whether
major risks are appropriately identified and managed, the internal control system
is effective, the governance processes established ensure compliance with applicable policies, laws and regulations, and management performs efficient monitoring
and oversight.
30.2 Internal Audit is mandated by and reports to the AC. The Head of Internal Audit shall
report directly to the chairman of the AC. He shall have unrestricted access to all
information and all employees as it is required to perform his tasks.
30.3 The Head of Internal Audit shall be appointed by the BoD upon proposal by the AC and
upon consultation by the GNC.
30.4 The authorities and responsibilities as well as the working procedures of Internal
Audit shall be outlined in the charter of the AC and the Regulations for Internal
Audit as adopted by the AC.
30.5 Internal Audit shall prepare its reports independently. The reports shall be distributed
to executive bodies and ExB members as set forth in the Regulations for Internal Audit.
30.6 As set forth in the charter of the AC and in the Regulations for Internal Audit Internal
Audit shall regularly submit reports to the AC on significant findings, the achievement
of its annual audit objectives, and other matters as deemed appropriate.
30.7 Any member of the ExB may submit a request to the chairman of the AC or, in his absence,
to the Chairman, for Internal Audit to carry out a special project or investigation.
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31.1 The members of the BoD, the ExB, the Divisional MC and all committees named herein
are obliged to preserve the interests of the Group.
31.2 Conflicts of interest of a personal nature, private or professional, potential conflicts
of interest and even the appearance of conflicts of interest should be avoided. Any
conflicts of interest with respect to a particular transaction, including conflicts
of interest of persons or companies with whom the member has close personal relations,
should be disclosed to the chairman of the relevant body. The affected member shall
not become involved in the resolution process for the transaction.
31.3 With respect to conflicts of interest arising because a member of a body is also a
member of another body or company within the Group, which is involved or affected
by the transaction or matter to be decided, the following principles shall apply:
31.3.1 the respective member shall disclose the conflict of interest and a personal assessment
thereof in advance to the chairman of the relevant body and subsequently to that body
itself unless this is obvious;
31.3.2 the relevant body shall take the interest of the other body or company into consideration and make reasonable efforts to find a solution that aligns the common interests of both bodies or companies as much as possible; and
31.3.3 the conflicted member shall receive all necessary information and participate in the discussion, but shall abstain from voting if he prefers not to prejudice
his position to be taken in the respective decision of the other body.
32.1 Corporate Titles of the Group and Signing Authority on behalf of CS
32.1.1 The BoD appoints the CEO and the members of the ExB and grants them full signing authority exercisable jointly by two.
32.1.2 The ExB appoints MDR, MDA, DIR, VP, AVP, ASO and ANL.
32.1.3 Joint signing authority is automatically granted to MDR, MDA, DIR and VP upon their
appointment by the ExB in line with the AoA of CS.
32.1.4 Joint power of procuration (dual authorization) (i.e. Prokura according to Art 458ff
of the Swiss Code of Obligations) is automatically granted to AVP, ASO and ANL upon their appointment by the ExB in line with the AoA of CS.
32.1.5 The ExB may grant limited signing authority (dual authorization) in the form of a
commercial mandate (i.e. Handlungsvollmacht according to Art 462 of the Swiss Code of Obligation) to employees without a corporate title.
32.1.6 The ExB may establish policies to further detail signing authorities.
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32.2 Special Provisions for Signing Authority on behalf of CSG
32.2.1 The approval of any signing authority (joint signing authority, joint power of procuration
and commercial mandates) on behalf of CSG are approved by the BoD.
32.3 Functional Titles
32.3.1 The ExB shall establish a policy to guide the use of functional titles within the
Group.
32.4 Powers of Attorney
32.4.1 Powers of Attorney may be granted as set forth below to third parties, who may also
be employees of the Group, authorizing such third parties to individually or jointly execute documents or take other actions in connection with actions and transactions
approved consistent with the OGR.
32.4.2 Members of the ExB or the Divisional MC as well as the heads of the Corporate Functions
and their direct reports may, jointly by two, grant Powers of Attorney or
■ designate certain employees with a corporate title of AVP or higher in the GC area
to be authorized to grant, jointly by two, Powers of Attorney on behalf of CSG or
CS. This primarily applies to the granting of Power of Attorney in legal proceedings;
■ designate certain employees with a corporate title of VP or higher in the Divisions
or Corporate Functions to be authorized to grant, jointly by two, Powers of Attorney
on behalf of CSG or CS. This applies to the granting of Power of Attorney not related
to legal proceedings.
32.4.3 Powers of Attorney for the acts of any branch of CS outside Switzerland may be granted
by two authorized signatories of such branch, one of which must be the branch manager
or an MDR.
33.1 Meetings of the BoD and its Committees
33.1.1 The BoD shall hold at least six ordinary meetings per year. The frequency of the meetings
of the committees of the BoD shall be defined in the charter of the respective committee.
33.1.2 Extraordinary meetings of the BoD and its committees shall be held upon request by
the chairman of the respective body or any other member.
33.1.3 The meetings shall be called by the respective chairman; sufficient notice of meetings
shall be given prior to the meeting date and shall contain the items on the agenda.
33.1.4 The BoD and each committee shall designate a secretary who need not be a member of
such body.
33.1.5 Preparatory documents for the meeting shall be made available in a timely manner.
In principle, business matters asking for a formal decision may not be decided upon
without advance documentation.
33.1.6 The respective chairman shall decide as to the attendance of ExB members and senior
management members at meetings.
33.1.7 Subject to statutory provisions to the contrary, the majority of the members of the
respective body must be present for the purpose of passing resolutions. Participation
via telephone or video-conference is permitted and deemed as attendance, whereby personal
presence is preferred.
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33.1.8 The majority of the votes of the members present shall be necessary to pass a resolution. In the event of deadlock, the chairman of the meeting shall cast the deciding vote.
33.1.9 Resolutions of the BoD or a committee may also be passed by way of written consent
provided the text of the resolution is sent to all members of the respective body
and provided that a majority of the members cast a vote. The procedure for circular
resolutions should be restricted to the following cases: administrative and routine
matters, matters of increased urgency, and matters with respect to which the core
content has already been discussed by the BoD. Any member shall have the right to
request, within the period stipulated for the vote, that the matter be discussed in
a meeting.
33.1.10 The minutes of the BoD and its committees shall document all decisions made and reflect
in a general matter the considerations made which led to the decisions taken.
33.1.11 The minutes of the BoD and its committees shall be signed by the chairman and the
secretary of the respective body. They shall be made available for review prior to
the next meeting and approved thereat.
33.2 Meetings of ExB and other bodies reflected in the OGR
33.2.1 The CEO and the respective chairman determine the frequency of meetings of the ExB
and other bodies reflected in this OGR.
33.2.2 The ExB and other bodies reflected in the OGR may, unless otherwise instructed by
the CEO or the respective chairman or without being explicitly requested by an ExB
member, record the resolutions only.
33.2.3 Otherwise the rules set out above for the meetings of the BoD and its committees shall
in analogy be applicable to the meetings of the ExB and other bodies reflected in
the OGR.
The financial year is identical with the calendar year (1st of January until 31st
of December).
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1.1 The management of credit risk is a joint responsibility between the Divisions and CRM. The ultimate credit risk decision generally lies with the Division, with CRM intervention
being necessary in cases of material impacts on global portfolio limits. After credit
assessment and endorsement by the respective front management, all credit exposures
require approval under the authorities designated by the CRCO, the Chief Credit Officer
and Divisional CROs (subject to the provisions set out below). CRM can delegate authorities
for the approval of credit transactions with fully standardized approval procedures
to defined individuals from the front organization.
1.2 The CRCO establishes and approves the Global Credit Risk Policy. The Chief Credit
Officer – in consultation with the CRCO – details the Global Credit Policy further by establishing divisional sub-policies.
1.3 All loans and other credit limits must be approved and documented and periodically
reviewed in an independent credit review process in accordance with the policies set
forth by the Chief Credit Officer.
1.4 The total credit limit for a client, or in the case of client groups, the aggregate
of all total credit limits or transactions is relevant for the determination of the
approval authority. This does not apply to credit transactions for which the CRM sets
up fully standardized procedures for approval by representatives of the relevant front organization.
2.1 The Chief Credit Officer has approval authority up to USD 3bn. Credit limits and underwritings
exceeding this threshold are to be approved by the CRCO.
2.2 The Divisional CROs have approval authority up to USD 2bn for investment grade and
USD 1.5bn for non-investment grade.
2.3 Upon consultation with the CRCO, the Chief Credit Officer shall establish a policy
outlining the approval limits to be delegated to credit specialists, special managing
bodies within CRM or defined representatives of the front organization. The maximum
limit to be delegated may not exceed USD 2bn in aggregate. The policy shall also regulate
the approval authorities establishing provision on credit positions, other actions
in connection with credit recovery situation, temporary limit excesses and account
overdrafts.
2.4 Upon consultation with the Chief Credit Officer, the Divisional CROs shall establish
a policy outlining the approval limits to be delegated to credit specialists in their
respective Divisions.
2.5 Any transaction which results in a counterparty exposure exceeding 25% of the available
CET1 capital is subject to review by the CFO.
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2.6 The anticipated hold level for underwritings is generally to be achieved within 90
days but may vary depending on the nature of the transaction. During a prescribed
period, underwriting positions may be exempt from certain limits if approved by the
CARMC or its delegates.
2.7 The RC may temporarily approve higher approval authorities.
2.8 Subject to the endorsement by the CRCO, the Divisional CROs shall establish, in accordance
with OGR section 2.2, the authority for approving urgent credit transactions for their
respective Divisions.
3.1 For the countries determined according to section 11.2.3 of this OGR country limits
shall be approved at least on an annual basis. Approval authority for the country
limits is governed as follows:
3.1.1 Upon recommendation of the RC, the BoD approves the list of countries where authorities
are delegated.
3.1.2 Approval of country limits by the BoD is to be given upon the recommendation of the
RC.
3.1.3 An overall Group Reserve may be established and is governed by the PCR CARMC, which
may further sub-delegate the authority.
3.1.4 Allocation of country limits to the Divisions is determined by the PCR CARMC, which
may further sub-delegate the authority.
3.2 The country ratings are approved by the Group Chief Credit Officer.
4.1 The CARMC may establish trading risk and position limits for the Divisions and the
major subsidiaries within the Group and may delegate the monitoring of such limits
as appropriate.
4.2 The CARMC shall ensure that appropriate approval processes for transactions executed
under these trading risk limits are established.
4.3 The CRCO may approve temporary excesses of any trading risk and position limit up to a maximum of 10% until the next CARMC meeting, with immediate notice to the CEO, and with information to the CARMC and the BoD at its next meeting.
4.4 The CRCO signs off on the incremental risk associated with excesses of CARMC limits
and approves the remediation plan with immediate notice to the CEO and subsequent
information to the CARMC and the BoD at the next opportunity.
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5.1 The illiquid investment limit covers transactions which due to their characteristics
and risk profile are not subject to CARMC approved processes for trading activities outlined in section III of annex A and are not subject to the approval
authorities outlined in section V of annex A.
5.2 The illiquid investment limit covers in particular seed money investments, private
equity investments, including investments in portfolio companies and funds, and other
illiquid investments. Investments pursued for bank strategic reasons are generally
subject to section V below.
6.1 The illiquid investment limit is approved by the BoD upon recommendation by the RC.
6.2 The CARMC shall allocate the illiquid investment limit to the Divisions in relation
to their requirements. It may introduce restrictions to using the limit e.g. in terms
of industry or type of business. The CARMC receives regular updates on the exposure
under the illiquid investment limit.
6.3 The Divisions shall establish a governance model regarding investments under the illiquid
investment limit as delegated to them by the CARMC. In particular, the Divisions shall
establish rules as to approval authorities as well as information and escalation processes.
V. Formations, liquidations, mergers, acquisitions, divestitures, long-term participations
and other actions and transactions, legal cases
7.1 The approval authorities as outlined herein are required for the actions and transactions
described in sections 8 to 11b. They do not apply to transactions accounted for under
the illiquid investment limit or investments made for trading purposes.
7.2 Notwithstanding anything to the contrary in section V or elsewhere in this OGR, the
CFO or his delegate may approve any of the actions or transactions in sections 8 to
11b of annex A when they are taken or entered into in the context of or incidental
to other actions and transactions that were previously approved in accordance with
the OGR, with periodic information to the CEO.
7.3 When any approval or denial is given by the CFO’s delegate, he must give regular information
to the CFO.
7.4 A “Non-operating Subsidiary” is any subsidiary that is both (a) not regulated and
(b) and has no material contact with third parties. A subsidiary that is not a Non-operating
Subsidiary is an “Operating Subsidiary”. “Regulated” means regulated or licensed in
any jurisdiction as a bank, securities firm or other financial services provider.
37
8.1 When directly or indirectly wholly owned by the Group and provided the formation or
liquidation of the subsidiary will not result in a significant change to the organizational
structure, the action shall be approved by the CFO or his delegate.
8.2 When a Non-Operating Subsidiary is being formed or liquidated in connection with the
day-to-day management of a line of business the transaction shall be approved by the
CFO or his delegate.
8.3 Otherwise the formation or liquidation shall be approved in accordance with the approval
authorities in section 12 of annex A, where the relevant total amount of the transaction
is,
a) in the case of a formation, the total amount of capital to be initially provided (or anticipated to be provided in the short term) to such subsidiary by CSG, CS or one
of its subsidiaries, and
b) in the case of a liquidation, the estimated value of the direct or indirect interest
in the subsidiary at the time the determination to liquidate is made.
9. Merger, consolidation or similar transaction; acquisition or divestiture of a subsidiary, interest in a subsidiary or assets constituting a business
9.1 When solely among any of the direct or indirect wholly owned subsidiaries, except
when such transaction results in a significant change to the organizational structure,
the action or transaction shall be approved by the CFO or his delegate.
9.2 When, in connection with the day-to-day management of a line of business, a Non-operating
Subsidiary is to be merged, consolidated, or be party to a similar transaction with a third party, the action or transaction shall be approved by the
CFO or his delegate.
9.3 When, in connection with the day-to-day management of a line of business, a Non-operating
Subsidiary, an interest in a Non-operating Subsidiary or assets constituting a business that is not regulated in the meaning of section 7.4 of annex
A is to be acquired from or divested to a third party, the action or transaction shall be approved by the CFO or his delegate.
9.4 Otherwise the action or transaction shall be approved in accordance with the approval
authorities in section 12 of annex A, where the relevant total amount of the transaction is,
a) in the case of a merger, consolidation or similar transaction, the difference between
the estimated value of the resulting merged, consolidated, similarly combined entity
or interest in such entity and the estimated value of the Group’s direct or indirect
interest in any subsidiary that was a party to such merger, consolidation or similar
transaction prior to such transaction, and
b) in the case of an acquisition or divestiture, the estimated value of/price paid for
the subsidiary, interest in a subsidiary or assets constituting a business.
10.1 A long-term participation is generally an equity investment or equity-like investment
(e.g. convertible debt instrument, call options, warrants) (collectively, an “Equity-Like
Long-term Participation”) made by CSG or any of its subsidiaries for strategic reasons
in a third party entity. Thereby it is not relevant whether or not the long-term participation
is consolidated within the Group.
38
10.2 An acquisition or a divestiture of a long-term participation must be approved as follows:
a) When the estimated value of/price paid for the long-term participation being acquired
or divested is less than CHF 2 million, such transaction shall be approved by the
responsible member of a MC, with regular information to the Divisional Heads, the
CEO and the CFO.
b) When a) above is inapplicable, a long-term participation is being acquired or divested
in connection with the day-to-day management of a business line and such participation
is in an entity that (i) is not regulated in the meaning of section 7.4 of annex A
and (ii) has no material contact with third parties, the transaction shall be approved
by the CFO or his delegate.
c) Otherwise the transaction shall be approved in accordance with the approval authorities
in section 12 of annex A, where the relevant total amount of the transaction is the
estimated value of/price paid for the long-term participation.
d) In case of an acquisition of an Equity-Like Long-term Participation, such transaction
shall be approved according to a), b) or c) above both: (i) at the time of the acquisition
of the Equity-Like Long-term Participation; and (ii) at the time it is intended to
exercise the Equity-Like Long-term Participation into an equity participation within
the meaning of Section 10.1.
11.1 The establishment or closure of a branch or a representative office of CSG, CS, and
other direct subsidiaries of CSG shall be approved by the CEO upon consultation with
the ExB.
11.2 If not explicitly regulated otherwise or governed elsewhere, the establishment or
closure of a branch or representative office of an Operating Subsidiary of CS shall
be approved by the CFO or his delegate, upon consultation with the responsible Divisional
CEO.
11.3 The establishment or closure of a branch or representative office of a Non-operating
Subsidiary of CSG or CS shall be approved by the CFO or his delegate.
Settlements in respect of significant legal proceedings are reviewed by the GC and
decided by the ExB where the sum involved is CHF 250m or more. The BoD is informed in accordance with sections 14.2.6 and 6.3. The
conclusion of a settlement that has a significant impact on the strategy or reputation of the Group
is subject to the approval of the BoD if the sum involved is CHF 500m or more.
Unless provided otherwise by section V of annex A, approval authority is governed
as follows:
| Transaction value | CFO or delegate | CEO | ExB | Chairman | BoD | ||||||
| =/< CHF 50m | D | I | – | – | – | ||||||
| > CHF 50m =/< CHF 100m | D | I | – | – | |||||||
| > CHF 100m =/< CHF 250m | D | C | I | ||||||||
| > CHF 250m | D | ||||||||||
|
D = Decision; C = Consultation; I = Information
|
|||||||||||
39
13.1 The PCR CARMC shall designate, upon consultation with the responsible Divisional CEOs,
Reputational Risk Approvers in the respective Divisions.
13.2 The head of Reputational Risk shall develop a policy on managing reputational risks
subject to PCR CARMC approval.
13.3 Any decision by a reputational risk decision authority, as defined in the Reputational
Risk policy, to reject a transaction is final and cannot be overruled. However, the
Business Division CEO may reject a particular transaction even though approved by
the reputational risk decision authority.
14.1 The use of money market instruments and capital market transactions, the issuance
and sale of bonds, structured notes and similar securities is governed by the Group
Policy on Funding Authority.
14.2 The conclusion or extension of a loan agreement or a guarantee agreement in connection
with a loan agreement of a subsidiary and draw-downs under such agreements are governed
by the Group Policy on Funding Authority and the Policy on Inter-Company Guarantees.
14.3 Issuance of comfort letters, regulatory keep-well letters and similar documents on
behalf of CSG or CS require approval by the CFO. Issuance of comfort letters, regulatory keep-well letters and similar documents on behalf of subsidiaries require
approval by the CFO or his delegate.
15.1 The annual financial planning process for the Group shall include the planning of
capital expenditure projects (in particular investments in IT and in Group owned real
estate) as well as the total financial framework for capital expenditures.
15.2 The ExB shall approve the capital expenditure plan for the Group. The ExB shall further
establish a policy outlining the authority for the approval of individual investments under
the approved plan as well as the authority for approval of expenditures outside the
approved plan.
15.3 For each project or investment, a written capital expenditure application prepared
in accordance with the applicable policies must be submitted for review to the approving
member of management or management body.
15.4 The authority for the purchase of real estate at auctions in connection with repossession proceedings against banking clients or the acquisition of such real estate
(under such circumstances) shall be determined by the CARMC.
40
1.1 The creation and any changes to the ordinary, authorized, conditional and conversion
capital require approval by the shareholders upon proposal by the BoD.
1.2 The issuance of new shares out of ordinary or authorized capital as well as out of
conversion capital may be executed by the BoD. In line with CSG’s AoA there is no
quorum requirement for the acknowledgment of capital increases and the subsequent
changes to the AoA.
1.3 The allocation of conditional capital for convertible bonds, contingent convertible
bonds, bonds with options, shareholder options or similar instruments as well as for
employee compensation plans is the responsibility of the BoD.
1.4 The allocation of conversion capital for contingent convertible bonds or similar instruments
is the responsibility of the BoD.
2.1 The BoD appoints one or several Share Registrars.
2.2 The BoD issues or amends regulations governing the shareholders’ register.
2.3 The BoD shall receive at least annually a report on the shareholder structure according
to the share register.
41
42
CREDIT SUISSE GROUP AG
Paradeplatz 8
CH-8070 Zurich
Switzerland
www.credit-suisse.com
Exhibit 2.2
As of December 31, 2020, Credit Suisse Group AG (“Credit Suisse Group” and the “Company”) had shares and American Depositary Shares registered pursuant to Section 12 of
the Securities Exchange Act of 1934 and Credit Suisse Group’s subsidiary, Credit Suisse
AG (the “Issuer,” “we,” “us,” and “our”), had certain Exchange-Traded Notes registered pursuant to Section 12 of the Securities
Exchange Act of 1934.
General
The following description of Credit Suisse Group’s registered shares is a summary
and does not purport to be complete. The summary describes the material terms of the registered shares of Credit Suisse Group, par value CHF 0.04 per share, which Credit Suisse Group refers to as the Company’s “shares.” The summary is subject to and qualified in its entirety by reference to the Company’s
Articles of Association, which are incorporated by reference as an exhibit to the
Company’s Annual Report on Form 20-F of which this Exhibit 2.2 is a part.
As of December 31, 2020, Credit Suisse Group had fully paid and issued share capital of CHF 97,909,908.80, comprised of 2,447,747,720 registered shares with a par value of CHF 0.04 each.
As of December 31, 2020, Credit Suisse Group had additional authorized share capital in the amount
of CHF 4,120,000, authorizing the Board of Directors of Credit Suisse Group (the “Board of Directors”) to issue at any time until April 26, 2021 up to 103,000,000 registered shares, to
be fully paid in, with a par value of CHF 0.04 each.
Additionally, as of December 31, 2020, Credit Suisse Group had total conditional share capital in the amount of
CHF 16,000,000, for the issuance of a maximum of 400,000,000 registered shares (72,242,777
of which were reserved for high-trigger capital instruments) with a par value of CHF 0.04 each, reserved for the purpose of increasing share capital through the conversion
of bonds or other financial market instruments of Credit Suisse Group or any subsidiary
thereof that allow for contingent compulsory conversion into Credit Suisse Group’s
shares and that are issued in order to fulfill or maintain compliance with regulatory
requirements of Credit Suisse Group and/or any subsidiary thereof (“contingent convertible bonds”). Of the CHF 16,000,000 in conditional share capital, up to CHF 4,000,000 was also available for share capital increases executed through the voluntary
or compulsory exercise of conversion rights and/or warrants granted in connection
with bonds or other financial market instruments of Credit Suisse Group and/or any
other subsidiary thereof (“equity-related financial market instruments”).
Additionally, as of December 31, 2020, Credit Suisse Group had conversion capital in the amount of CHF 6,000,000 for the issuance of a maximum of 150,000,000 registered shares (of which
38,950,700 were reserved for high-trigger capital instruments), to be fully paid in,
with a par value of CHF 0.04 each, through the compulsory conversion upon occurrence of the trigger event
of claims arising out of contingent convertible bonds of Credit Suisse Group and/or
any subsidiary thereof, or other financial market instruments of Credit Suisse Group
and/or any subsidiary thereof, that provide for a contingent or unconditional compulsory
conversion into shares of Credit Suisse Group.
As of December 31, 2020, Credit Suisse Group, together with its subsidiaries, held 41,602,841 of
its own shares, representing 1.70% of its issued shares.
1
The Company’s shares are listed on the SIX Swiss Exchange under the symbol “CSGN”
and, in the form of American Depositary Shares, on the New York Stock Exchange under
the symbol “CS.”
Shareholder Rights
1. Dividend Rights
Under Swiss law, dividends may be paid out only if and to the extent a corporation
has distributable profits from previous financial years or has freely distributable
reserves, in each case, as presented on the annual statutory standalone balance sheet
of the corporation. In addition, at least 5% of the annual net profits of a corporation
must be retained and booked as general reserves for so long as these reserves amount
to less than 20% of its paid-in share capital. The Company’s reserves currently exceed
this 20% threshold. The Board of Directors may propose that a dividend be paid out,
but cannot itself set the dividend. The auditors must confirm that the dividend proposal
of the Board of Directors conforms to statutory law and the Company’s Articles of
Association. Dividends may be paid out only after approval of the shareholders. In
practice, the shareholders usually approve the dividend proposal of the Board of Directors.
Dividends are usually due and payable after the shareholders’ resolution approving
the payment has been passed, but the shareholders can set a specific due date in the
resolution itself. Under Swiss law, the statute of limitations in respect of dividend
payments is five years.
2. Voting and Transfer
In principle, each share carries one vote at the Company’s shareholders’ meetings.
The shares for which a single shareholder can directly or indirectly exercise voting
rights for his or her own shares or as a proxy may not exceed 2% of the total outstanding
share capital, except that such restrictions do not apply to (i) the exercise of voting rights by the independent proxy as elected by the shareholders’
meeting, (ii) shares in respect of which the holder confirms to the Company in the application for
registration in the Company’s share register that he or she has acquired the shares
in his or her name for his or her own account and in respect of which the disclosure
obligations pursuant to the Swiss Federal Act on Financial Market Infrastructures
and Market Conduct in Securities and Derivatives Trading dated June 19, 2015, as amended and the relevant ordinances
and regulations have been fulfilled or (iii) shares registered in the name of a nominee, provided the nominee furnishes the Company
with the name, address and shareholdings of any beneficial owner or group of related
beneficial owners on behalf of whom the nominee holds 0.5% or more of the Company’s
total outstanding share capital. The Board of Directors has the right to conclude
agreements with nominees concerning both their disclosure requirement and the exercise
of voting rights. Voting rights may be exercised only after a shareholder has been
recorded in the share register as a shareholder with voting rights. In order to be
registered in the share register, the purchaser must file a share registration form with the depository bank. The registration of shares in
the Company’s share register may be requested at any time. Failing such registration,
the purchaser may not vote or participate in shareholders’ meetings. Registration
with voting rights is subject to certain restrictions as described below.
Legal entities, partnerships or groups of joint owners or other groups in which individuals
or legal entities are related to one another through capital ownership or voting rights
or have a common management or are otherwise interrelated, as well as individuals,
legal entities or partnerships that act in concert (especially as a syndicate) with
intent to evade the limitation on voting rights are considered as one shareholder
or nominee.
Each shareholder, whether registered in the Company’s share register or not, is entitled
to receive the dividends approved by the shareholders. The same principle applies
for capital repayments in the event of a reduction of the share capital, and for liquidation
proceeds in the event the Company is dissolved or liquidated. Under Swiss law, a shareholder
has no liability for capital calls, but is also not entitled to reclaim its capital
contribution. Swiss law further requires the Company to apply the principle of equal
treatment to all shareholders.
The Company may issue shares in the form of single certificates, global certificates
or uncertificated securities. The Company may convert issued shares from one form
into another form at any time, without the approval of the shareholders. Shareholders
have no right to demand that the Company’s shares be converted from one form into
another form. Shareholders may, however, at any time request that the Company issue
a certification attesting to the shares that they hold according to the Company’s
share register.
The Swiss Federal Act on Intermediated Securities dated October 3, 2008, as amended
(the “FISA”) provides for a regime for securities known as “intermediated securities.” Intermediated
securities are fungible claims or membership rights against an issuer that are credited
to one or more securities accounts of a custodian within the meaning of the FISA,
which must be a regulated entity such as a bank or a securities dealer. The transfer
of intermediated securities representing the Company’s shares, and the pledging of
these intermediated securities as collateral, is governed by, and must be done in
accordance with, the FISA. Transfer or pledging these intermediated securities as
collateral by means of written assignment is not permitted.
2
3. Pre-Emptive Subscription Rights and Preferential Subscription Rights
Under Swiss law, any share issue, whether for cash or non-cash consideration, is subject
to the prior approval of the shareholders. Shareholders have certain pre-emptive subscription
rights (Bezugsrechte) to subscribe for new issues of shares as well as preferential subscription rights
(Vorwegzeichnungsrechte) to subscribe for option bonds, convertible bonds or similar debt instruments with
option or convertible rights in proportion to the nominal amount of shares held. A
resolution adopted by a majority of at least two-thirds of the votes and the absolute
majority of the share capital, in each case, represented at the shareholders’ meeting,
may limit or exclude pre-emptive subscription rights in certain limited circumstances.
Under the Company’s Articles of Association, the Board of Directors is authorized
to exclude shareholders’ pre-emptive subscription rights in favor of third parties with
regard to new shares issued out of authorized capital if such shares are used for
(a) the acquisition of companies, segments of companies or participations in the banking, finance, asset management or insurance industries through an exchange of shares or
(b) for financing/refinancing the acquisition of companies, segments of companies or participations
in these industries, or new investment plans. If commitments to service convertible
bonds or bonds with warrants are assumed in connection with company takeovers or investment
plans, the Board of Directors is authorized, for the purpose of fulfilling delivery
commitments under such bonds, to issue new shares out of authorized capital excluding
the pre-emptive subscription rights of shareholders.
Further, the Company’s Articles of Association provide that the shareholders’ pre-emptive
subscription rights are excluded if new shares are issued out of the Company’s conditional
share capital through the voluntary or compulsory exercise of conversion rights and/or
warrants granted in connection with equity-related financial market instruments of
Credit Suisse Group or any of its subsidiaries, or through compulsory conversion of
contingent convertible bonds or other financial market instruments of Credit Suisse
Group or any of its subsidiaries, that allow for contingent compulsory conversion
into the Company’s shares. Holders of financial market instruments with conversion
features and/or of warrants are entitled to subscribe to the new shares. The Board
of Directors fixes the conversion/warrant conditions. The acquisition of shares through
the exercise of conversion rights and/or warrants, or through the conversion of financial
market instruments with conversion features, and any subsequent transfer of the shares,
are subject to the restrictions on voting rights set out above.
Notwithstanding the above, the Company’s Articles of Association provide that, in
the case of contingent convertible bonds that provide for the issuance of new shares
out of the Company’s conditional share capital, in order for the Board of Directors
to exclude shareholders’ preferential subscription rights, the contingent convertible
bonds must be issued on the national or international capital markets (including private placements with selected
strategic investors). In such case, (i) the contingent convertible bonds must be issued
at prevailing market conditions, (ii) the setting of the issue price of the new shares must take due account of the stock market price of the shares and/or comparable
instruments priced by the market at the time of issue or time of conversion, and (iii) conditional conversion features may remain in place indefinitely.
Furthermore, the Company’s Articles of Association provide that, in the case of equity-related
financial market instruments that provide for the issuance of new shares out of the
Company’s conditional share capital, in order for the Board of Directors to exclude
shareholders’ preferential subscription rights, such instruments must be issued to
finance or refinance the acquisition of companies, parts of companies, participations
or new investment projects and/or issued on the national or international capital
markets. In such case (i) such instruments must be issued at prevailing market conditions, (ii) the issue price of the new shares must be set at market conditions taking due account
of the stock market price of the shares and/or comparable instruments priced by the
market, and (iii) it should be possible to exercise the conversion rights for a maximum of fifteen years
and to exercise warrants for a maximum of seven years from the relevant issue date.
Shareholders’ preferential subscription rights with regards to financial market instruments
with conversion features will be granted. If a quick placement of contingent convertible
bonds in large tranches is required, the Board of Directors is authorized to exclude
shareholders’ preferential subscription rights. In such circumstances, these contingent
convertible bonds must be issued at prevailing market conditions.
The Board of Directors determines the issue price of the new shares taking due account
of the stock market price of the shares and/or comparable instruments.
4. Liquidation
Under Swiss law and the Company’s Articles of Association, the Company may be dissolved
at any time, by way of liquidation or in the case of a merger in accordance with the
Swiss Federal Act on Merger, Demerger, Transformation and Transfer of Assets dated October
3, 2003, as amended, based on a shareholders’ resolution, which must be passed by
(i) in the case of dissolution by way of liquidation, a supermajority of at least three-quarters of the votes cast at the shareholders’ meeting, and (ii) in all other cases, a supermajority of at least two-thirds of the votes, and an absolute
majority of the par value of the shares, represented at
3
the shareholders’ meeting. As the Company is the Swiss ultimate parent company of
a financial group, the Swiss Financial Market Supervisory Authority FINMA (“FINMA”) is the only competent authority to open restructuring or liquidation (bankruptcy)
proceedings with respect to the Company. Under Swiss law, any surplus arising out
of liquidation (after the settlement of all claims of all creditors) is distributed
to shareholders in proportion to the paid up par value of shares held.
Limitations on Share Ownership
There are no limitations under Swiss law or the Company’s Articles of Association
on the rights of shareholders to own shares, subject to certain notification and other
review requirements in the case of the direct or indirect acquisition of 10% or more
of the Company’s banks’ capital or voting rights. The rights of any shareholder to
vote may, however, be restricted in certain circumstances as described above.
General
The following description of the Company’s American Depositary Shares is a summary
and does not purport to be complete. The ordinary shares of the Company may be issued
in the form of American Depositary Shares, each representing deposited ordinary shares
(the “Ordinary Shares”) of the Company. Each American Depositary Share represents one Ordinary Share deposited
or subject to deposit under the Deposit Agreement (as hereafter defined) with a custodian
for the Depositary (as hereafter defined) (the “Custodian”).
The following is a summary of the material terms of the Amended and Restated Deposit
Agreement dated as of November 22, 2016 among the Company, The Bank of New York Mellon
(the “Depositary”) and all other Owners and Holders from time to time of American Depositary Shares
issued thereunder (the “Deposit Agreement”). The summaries and descriptions below do not purport to be complete statements
of the relevant provisions of the Deposit Agreement, and are entirely qualified by
that document. Please refer to Exhibit 1 on Form F-6 (File No. 333-214548 filed with
the SEC on November 10, 2016. Copies of the Deposit Agreement are also available for
inspection at the office of the Depositary at 240 Greenwich Street, New York, NY 10286,
and at the office of the Custodian.
Terms used but not defined herein have the meaning given to them in the Deposit Agreement.
Voting Rights
Upon receipt from the Company of notice of any meeting of holders of Ordinary Shares
at which holders of Ordinary Shares will be entitled to vote, or a solicitation of
proxies or consents of holders of Ordinary Shares, if requested in writing by the
Company, the Depositary shall, as soon as practicable thereafter, Disseminate to the
Owners a notice, the form of which shall be approved by the Company in advance (such
approval not to be unreasonably withheld), that shall contain (i) the information
(including, without limitation, solicitation materials) contained in the notice of
meeting received by the Depositary, (ii) a statement that the Owners as of the close
of business on a specified record date will be entitled, subject to any applicable
provision of Swiss law and of the Articles of Association or similar documents of
the Company, to instruct the Depositary as to the exercise of the voting rights pertaining
to the amount of Ordinary Shares represented by their respective American Depositary
Shares, (iii) a statement as to the manner in which those instructions may be given
and (iv) the last date on which the Depositary will accept instructions (the “Instruction Cutoff Date”).
Upon the written request of an Owner of American Depositary Shares, as of the date
of the request or, if a record date was specified by the Depositary, as of that record
date, received on or before any Instruction Cutoff Date established by the Depositary,
the Depositary may, and if the Depositary sent a notice under the preceding paragraph
shall, endeavor, in so far as practicable, to vote or cause to be voted the amount
of deposited Ordinary Shares represented by those American Depositary Shares in accordance
with the instructions set forth in that request. The Depositary shall not vote or
attempt to exercise the right to vote that attaches to the Deposited Securities, for
purposes of establishing a quorum or otherwise, other than in accordance with instructions
given by Owners and received by the Depositary, or exercise any discretion as to voting
Deposited Securities.
There can be no assurance that Owners generally or any Owner in particular will receive
the notice described above in time to enable Owners to give instructions to the Depositary
prior to the Instruction Cutoff Date.
4
In order to give Owners a reasonable opportunity to instruct the Depositary as to
the exercise of voting rights relating to Ordinary Shares, if the Company will request
the Depositary to Disseminate a notice as described above, the Company shall give
the Depositary notice of the meeting, details concerning the matters to be voted upon
and copies of materials to be made available to holders of Ordinary Shares in connection
with the meeting not less than 30 days prior to the meeting date.
The Company has informed the Depositary that its Articles of Association and Swiss
law require disclosures as a condition of voting by persons holding shares of the
Company’s capital stock in excess of a specified threshold amount. If the Company
instructs the Depositary to send a notice of a meeting of holders of Ordinary Shares
as described above, it shall, at the same time, notify the Depositary of the amount
of Ordinary Shares that, at the time, constitutes two percent of the Company’s outstanding
share capital. If the amount of Ordinary Shares held under the Deposit Agreement as
of the record date set by the Depositary with respect to that meeting exceeds the
amount specified in the Company’s notice, the Depositary shall include in its notice
to Owners a statement that an Owner may not give voting instructions on its own behalf
if it beneficially owns an amount of Ordinary Shares (including Ordinary Shares represented
by American Depositary Shares), and a Holder may not give voting instructions as proxy
or substitute proxy of an Owner if it beneficially owns an amount of Ordinary Shares
(including Ordinary Shares represented by American Depositary Shares), that constitutes
0.5% or more of the Company’s share capital (being one quarter of the amount of Ordinary
Shares specified in the Company’s notice to the Depositary) unless that Owner, or
that Holder, as the case may be, discloses to the Depositary the name, address and
total beneficial ownership of Company share capital of that Owner or Holder, as the
case may be. For the avoidance of doubt, under no circumstances shall the Depositary
be entitled to exercise any discretion as to voting or vote on behalf of any Owner
or Holder except in accordance with instructions received from that Owner or Holder.
The Depositary shall forward to the Company each disclosure it receives under this
paragraph, but will have no duty to verify the accuracy of any disclosure of that
kind or any duty or liability if an Owner or Holder fails to disclose as required
by this paragraph.
Distributions
Whenever the Depositary receives any cash dividend or other cash distribution on Deposited
Securities, the Depositary shall, subject to the provisions of Section 4.5 of the
Deposit Agreement, as promptly as practicable, convert that dividend or other distribution
into Dollars and distribute the amount thus received (net of the fees and expenses
of the Depositary as provided in Section 5.9 of the Deposit Agreement) to the Owners
entitled thereto, in proportion to the number of American Depositary Shares representing
those Deposited Securities held by them respectively; provided, however, that if the
Custodian or the Depositary shall be required by applicable law to withhold and does
withhold from that cash dividend or other cash distribution an amount on account of
taxes or other governmental charges, the amount distributed to the Owners of the American
Depositary Shares representing those Deposited Securities shall be reduced accordingly.
However, the Depositary will not pay any Owner a fraction of one cent, but will round
each Owner’s entitlement to the nearest whole cent.
The Company or its agent will remit to the appropriate governmental agency in each
applicable jurisdiction all amounts withheld and owing to such agency. The Depositary
will, as promptly as practicable, forward to the Company or its agent such information
from its records as the Company may reasonably request to enable the Company or its
agent to file necessary reports with governmental agencies. Each Owner and Holder
agrees to indemnify the Company, the Depositary, the Custodian and their respective
directors, employees, agents and affiliates for, and hold each of them harmless against,
any claim by any governmental authority with respect to taxes, additions to tax, penalties
or interest arising out of any refund of taxes, reduced withholding at source or other
tax benefit received by it.
If a cash distribution would represent a return of all or substantially all the value
of the Deposited Securities underlying American Depositary Shares, the Depositary
may require surrender of those American Depositary Shares and may require payment
of or deduct the fee for surrender of American Depositary Shares (whether or not it
is also requiring surrender of American Depositary Shares) as a condition of making
that cash distribution. A distribution of that kind shall be a Termination Option
Event.
Subject to the provisions of Sections 4.11 and 5.9 of the Deposit Agreement, whenever
the Depositary receives any distribution other than a distribution described in Section
4.1, 4.3 or 4.4 of the Deposit Agreement on Deposited Securities (but not in exchange
for or in conversion or in lieu of Deposited Securities), the Depositary shall, as
promptly as practicable, cause the securities or property received by it to be distributed
to the Owners entitled thereto, after deduction or upon payment of any fees and expenses
of the Depositary and any taxes or other governmental charges, in proportion to the
number of American Depositary Shares representing such Deposited Securities held by
them respectively, in any manner that the Depositary reasonably deems equitable and
practicable for accomplishing that distribution (which may be a distribution of depositary
shares representing the securities received); provided, however, that if in the reasonable
opinion of the Depositary such distribution cannot be made proportionately among the
Owners entitled thereto, or if for any other reason (including, but not limited to,
any requirement that the Company or the Depositary withhold an amount on account of
taxes or other governmental charges or that securities received must be registered
under the Securities
5
Act of 1933 in order to be distributed to Owners or Holders) the Depositary reasonably
deems such distribution not to be lawful and feasible, the Depositary may, after consultation
with the Company to the extent practicable, adopt such other method as it may deem
equitable and practicable for the purpose of effecting such distribution, including,
but not limited to, the public or private sale of the securities or property thus
received, or any part thereof, and distribution of the net proceeds of any such sale
(net of the fees and expenses of the Depositary as provided in Section 5.9 of the
Deposit Agreement) to the Owners entitled thereto, all in the manner and subject to
the conditions set forth in Section 4.1 of the Deposit Agreement. The Depositary may
withhold any distribution of securities under Section 4.2 of the Deposit Agreement
if it has not received reasonably satisfactory assurances from the Company that the
distribution does not require registration under the Securities Act of 1933. The Depositary
may sell, by public or private sale, an amount of securities or other property it
would otherwise distribute under Section 4.2 of the Deposit Agreement that is sufficient
to pay its fees and expenses in respect of that distribution.
If a distribution under Section 4.2 of the Deposit Agreement would represent a return
of all or substantially all the value of the Deposited Securities underlying American
Depositary Shares, the Depositary may require surrender of those American Depositary
Shares and may require payment of or deduct the fee for surrender of American Depositary
Shares (whether or not it is also requiring surrender of American Depositary Shares)
as a condition of making that distribution. A distribution of that kind shall be a
Termination Option Event.
Whenever the Depositary receives any distribution on Deposited Securities consisting
of a dividend in, or free distribution of, Ordinary Shares, the Depositary may, and
shall, if the Company so requests in writing, deliver, as promptly as practicable,
to the Owners entitled thereto, in proportion to the number of American Depositary
Shares representing those Deposited Securities held by them respectively, an aggregate
number of American Depositary Shares representing the amount of Ordinary Shares received as that dividend or free distribution, subject
to the terms and conditions of the Deposit Agreement with respect to the deposit of
Shares and issuance of American Depositary Shares, including withholding of any tax
or governmental charge as provided in Section 4.11 of the Deposit Agreement and payment
of the fees and expenses of the Depositary as provided in Section 5.9 of the Deposit
Agreement (and the Depositary may sell, by public or private sale, an amount of the
Ordinary Shares received (or American Depositary Shares representing those Ordinary
Shares) sufficient to pay its fees and expenses in respect of that distribution).
In lieu of delivering fractional American Depositary Shares, the Depositary may sell
the amount of Ordinary Shares represented by the aggregate of those fractions (or
American Depositary Shares representing those Ordinary Shares) and distribute the
net proceeds, all in the manner and subject to the conditions described in Section
4.1 of the Deposit Agreement. If and to the extent that additional American Depositary
Shares are not delivered and Ordinary Shares or American Depositary Shares are not
sold, each American Depositary Share shall thenceforth also represent the additional
Ordinary Shares distributed on the Deposited Securities represented thereby.
If the Company declares a distribution in which holders of Deposited Securities have
a right to elect whether to receive cash, Ordinary Shares or other securities or a
combination of those things, or a right to elect to have a distribution sold on their
behalf, the Depositary shall, after consultation with the Company, and to the extent
permitted by applicable law, make that right of election available for exercise by
Owners in any manner the Depositary considers to be lawful and practical. As a condition
of making a distribution election right available to Owners, the Depositary may require
satisfactory assurances from the Company that doing so does not require registration
of any securities under the Securities Act of 1933. If a right of election is made
available to Owners and an Owner elects to receive the proposed dividend (x) in cash,
the dividend shall be distributed upon the terms described in Section 4.1 of the Deposit
Agreement, or (y) in American Depositary Shares, the dividend shall be distributed
upon the terms described in Section 4.3 of the Deposit Agreement. Nothing herein shall
obligate the Depositary or the Company to make available to Owners a method to receive
the elective dividend in Ordinary Shares (rather than American Depositary Shares).
There can be no assurance that Owners generally, or any Owner in particular, will
be given the opportunity to receive elective distributions on the same terms and conditions
as the holders of Ordinary Shares.
Reports and Other Communications
On or before the first date on which the Company gives notice, by publication or otherwise,
of any meeting of holders of Ordinary Shares, or of any adjourned meeting of those
holders, or of the taking of any action in respect of any cash or other distributions
or the granting of any rights, the Company agrees to transmit to the Depositary and
the Custodian a copy of the notice thereof in English but otherwise in the form given
or to be given to holders of Ordinary Shares.
The Company will arrange for the translation into English, if not already in English,
to the extent required pursuant to any regulations of the Commission, and the prompt
transmittal by the Company to the Depositary and the Custodian of all notices and
any other reports and communications which are made generally available by the Company
to holders of its Ordinary Shares. If requested in writing by the Company, the Depositary
will, as promptly as practicable, Disseminate, at the Company’s expense, those notices,
reports and communications to all Owners or otherwise make them available to Owners
in a manner that the Company specifies as substantially
6
equivalent to the manner in which those communications are made available to holders
of Ordinary Shares and compliant with the requirements of any securities exchange
on which the American Depositary Shares are listed. The Company will timely provide
the Depositary with the quantity of such notices, reports, and communications, as
requested by the Depositary from time to time, in order for the Depositary to effect
that Dissemination.
Rights
(a) If rights are granted to the Depositary in respect of deposited Ordinary Shares
to purchase additional Ordinary Shares or other securities, the Company and the Depositary
shall endeavor to consult as to the actions, if any, the Depositary should take in
connection with that grant of rights. The Depositary may, to the extent deemed by
it to be lawful and practical (i) if requested in writing by the Company, grant to
all or certain Owners rights to instruct the Depositary to purchase the securities
to which the rights relate and deliver those securities or American Depositary Shares
representing those securities to Owners, (ii) if requested in writing by the Company,
deliver the rights to or to the order of certain Owners or (iii) sell the rights to
the extent practicable and distribute the net proceeds of that sale to Owners entitled
to those proceeds. To the extent rights are not exercised, delivered or disposed of
under (i), (ii) or (iii) above, the Depositary shall permit the rights to lapse unexercised.
(b) If the Depositary will act under (a)(i) above, the Company and the Depositary
will enter into a separate agreement setting forth the conditions and procedures applicable
to the particular offering. Upon instruction from an applicable Owner in the form
the Depositary specified and upon payment by that Owner to the Depositary of an amount
equal to the purchase price of the securities to be received upon the exercise of
the rights, the Depositary shall, on behalf of that Owner, exercise the rights and
purchase the securities. The purchased securities shall be delivered to, or as instructed
by, the Depositary. The Depositary shall (i) deposit the purchased Ordinary Shares
under the Deposit Agreement and deliver American Depositary Shares representing those
Ordinary Shares to that Owner or (ii) deliver or cause the purchased Ordinary Shares
or other securities to be delivered to or to the order of that Owner. The Depositary
will not act under (a)(i) above unless the offer and sale of the securities to which
the rights relate are registered under the Securities Act of 1933 or the Depositary
has received an opinion of United States counsel that is reasonably satisfactory to
it to the effect that those securities may be sold and delivered to the applicable
Owners without registration under the Securities Act of 1933.
(c) If the Depositary will act under (a)(ii) above, the Company and the Depositary
will enter into a separate agreement setting forth the conditions and procedures applicable
to the particular offering. Upon (i) the request of an applicable Owner to deliver
the rights allocable to the American Depositary Shares of that Owner to an account
specified by that Owner to which the rights can be delivered and (ii) receipt of such
documents as the Company and the Depositary agreed to require to comply with applicable
law, the Depositary will deliver those rights as requested by that Owner.
(d) If the Depositary will act under (a)(iii) above, the Depositary will use reasonable
efforts to sell the rights in proportion to the number of American Depositary Shares
held by the applicable Owners and pay the net proceeds to the Owners otherwise entitled
to the rights that were sold, upon an averaged or other practical basis without regard
to any distinctions among such Owners because of exchange restrictions or the date
of delivery of any American Depositary Shares or otherwise.
(e) Payment or deduction of the fees of the Depositary as provided in Section 5.9
of the Deposit Agreement and payment or deduction of the expenses of the Depositary
and any applicable taxes or other governmental charges shall be conditions of any
delivery of securities or payment of cash proceeds under Section 4.4 of the Deposit
Agreement.
(f) The Depositary shall not be responsible for any failure to determine that it may
be lawful or feasible to make rights available to or exercise rights on behalf of
Owners in general or any Owner in particular, or to sell rights.
Replacement of Deposited Securities
If the Depositary is notified of or there occurs any change in nominal value or any
subdivision, combination or any other reclassification of the Deposited Securities
or any recapitalization, reorganization, sale of assets substantially as an entirety,
merger or consolidation affecting the issuer of the Deposited Securities or to which
it is a party that is mandatory and binding on the Depositary as a holder of Deposited
Securities and, as a result, securities or other property have been or will be delivered
in exchange, conversion, replacement or in lieu of, Deposited Securities (a “Replacement”), the Depositary shall, if required, surrender the old Deposited Securities affected
by that Replacement of Ordinary Shares and hold, as new Deposited Securities under
the Deposit Agreement, the new securities or other property delivered to it in that
Replacement. However, the Depositary may elect to sell those new Deposited Securities
if in the opinion of the Depositary it is not lawful or not practical for it to hold
those new Deposited Securities under the Deposit Agreement because those new Deposited
Securities may not be distributed to Owners without registration under the Securities
Act of 1933 or for any other reason, at public or private sale, at such places and
on such terms as it reasonably deems proper and proceed as if those
7
new Deposited Securities had been Redeemed as described in the Deposit Agreement.
A Replacement shall be a Termination Option Event.
Amendment and Termination
The form of the Receipts and any provisions of the Deposit Agreement may at any time
and from time to time be amended by written agreement between the Company and the
Depositary without the consent of Owners or Holders in any respect that they may deem
necessary or desirable. Any amendment that would impose or increase any fees or charges
(other than taxes and other governmental charges, registration fees, cable, telex
or facsimile transmission costs, delivery costs or other such expenses), or that would
otherwise prejudice any substantial existing right of Owners, shall, however, not
become effective as to outstanding American Depositary Shares until the expiration
of 30 days after notice of that amendment has been Disseminated to the Owners of outstanding
American Depositary Shares. Every Owner and Holder, at the time any amendment so becomes
effective, shall be deemed, by continuing to hold American Depositary Shares or any
interest therein, to consent and agree to that amendment and to be bound by the Deposit
Agreement as amended thereby. Upon the effectiveness of an amendment to the form of
Receipt, including a change in the number of Ordinary Shares represented by each American
Depositary Share, the Depositary may call for surrender of Receipts to be replaced
with new Receipts in the amended form or call for surrender of American Depositary
Shares to effect that change of ratio. In no event shall any amendment impair the
right of the Owner to surrender American Depositary Shares and receive delivery of
the Deposited Securities represented thereby, except in order to comply with mandatory
provisions of applicable law. Notwithstanding the foregoing, if any governmental body
should adopt new laws, rules or regulations which would require amendment or supplementation
of the Deposit Agreement and the Receipts to ensure compliance therewith, the Company
and the Depositary may amend or supplement the Deposit Agreement and the Receipts
at any time in accordance with such changed laws, rules or regulations. Such amendment
or supplement to the Deposit Agreement in such circumstances may become effective
before a notice of such amendment or supplement is given to Owners or within any other
period of time as required for compliance with such laws, rules or regulations.
The Company may initiate termination of the Deposit Agreement by notice to the Depositary.
The Depositary may initiate termination of the Deposit Agreement if (i) at any time
60 days shall have expired after the Depositary delivered to the Company a written
resignation notice and a successor depositary has not been appointed and accepted
its appointment as provided in Section 5.4 of the Deposit Agreement, (ii) an Insolvency
Event or Delisting Event occurs with respect to the Company or (iii) a Termination
Option Event has occurred. If termination of the Deposit Agreement is initiated, the
Depositary shall Disseminate a notice of termination to the Owners of all American
Depositary Shares then outstanding setting a date for termination (the “Termination Date”), which shall be at least 90 days after the date of that notice, and the Deposit
Agreement shall terminate on that Termination Date.
After the Termination Date, the Company shall be discharged from all obligations under
the Deposit Agreement except for its obligations to the Depositary under Sections
5.8, 5.9 and 7.6 of the Deposit Agreement.
At any time after the Termination Date, the Depositary may sell the Deposited Securities
then held under the Deposit Agreement and may thereafter hold uninvested the net proceeds
of any such sale, together with any other cash then held by it hereunder, unsegregated
and without liability for interest, for the pro rata benefit of the Owners of American
Depositary Shares that remain outstanding, and those Owners will be general creditors
of the Depositary with respect to those net proceeds and that other cash. After making
that sale, the Depositary shall be discharged from all obligations under the Deposit
Agreement, except (i) to account for the net proceeds and other cash (after deducting,
in each case, the fee of the Depositary for the surrender of American Depositary Shares,
any expenses for the account of the Owner of such American Depositary Shares in accordance
with the terms and conditions of the Deposit Agreement and any applicable taxes or
governmental charges) and (ii) for its obligations under Section 5.8 of the Deposit
Agreement and (iii) to act as provided below.
After the Termination Date, the Depositary shall continue to receive dividends and
other distributions pertaining to Deposited Securities (that have not been sold),
may sell rights and other property as provided in the Deposit Agreement and shall
deliver Deposited Securities (or sale proceeds) upon surrender of American Depositary
Shares (after payment or upon deduction, in each case, of the fee of the Depositary
for the surrender of American Depositary Shares, any expenses for the account of the
Owner of those American Depositary Shares in accordance with the terms and conditions
of the Deposit Agreement and any applicable taxes or governmental charges). After
the Termination Date, the Depositary shall not accept deposits of Ordinary Shares
or deliver American Depositary Shares. After the Termination Date, (i) the Depositary
may refuse to accept surrenders of American Depositary Shares for the purpose of withdrawal
of Deposited Securities (that have not been sold) if in its judgment the requested
withdrawal would interfere with its efforts to sell the Deposited Securities, (ii)
the Depositary will not be required to deliver cash proceeds of the sale of Deposited
Securities until all Deposited Securities have been sold and (iii) the Depositary
may discontinue the registration of transfers of American Depositary Shares and suspend
the distribution of dividends and other distributions on Deposited Securities to the
Owners
8
and need not give any further notices or perform any further acts under the Deposit
Agreement except as otherwise provided in the Deposit Agreement.
Books of Depositary and List of Owners
The Depositary shall make available for inspection by Owners at its Office any reports, notices and other communications, including any proxy solicitation
material, received from the Company which are both (a) received by the Depositary as the holder of the Deposited Securities and (b) made generally available to the holders of those Deposited Securities by the Company.
The Company shall furnish reports and communications, including any proxy soliciting
material to which this Section applies, to the Depositary in English, to the extent
those materials are required to be translated into English pursuant to any regulations
of the Commission.
Upon written request by the Company, the Depositary shall, as promptly as practicable,
at the expense of the Company, furnish to it a list, as of a recent date, of the names,
addresses and American Depositary Share holdings of all Owners, as such information
is reflected in the Depositary’s records.
Limitations on Delivery, Transfer and Surrender
As a condition precedent to the delivery, registration of transfer or surrender of
any American Depositary Shares or split-up or combination of any Receipt or withdrawal
of any Deposited Securities, the Depositary, Custodian or Registrar may require payment
from the depositor of Ordinary Shares or the presenter of the Receipt or instruction
for registration of transfer or surrender of American Depositary Shares not evidenced
by a Receipt of a sum sufficient to reimburse it for any tax or other governmental
charge and any stock transfer or registration fee with respect thereto (including
any such tax or charge and fee with respect to Ordinary Shares being deposited or
withdrawn) and payment of any applicable fees as provided in the Deposit Agreement,
may require the production of proof satisfactory to it as to the identity and genuineness
of any signature and may also require compliance with any regulations the Depositary
may establish consistent with the provisions of the Deposit Agreement, including,
without limitation, Section 2.6 of the Deposit Agreement.
The delivery of American Depositary Shares against deposit of Ordinary Shares generally
or against deposit of particular Ordinary Shares may be suspended, or the registration
of transfer of American Depositary Shares in particular instances may be refused,
or the registration of transfer of outstanding American Depositary Shares generally
may be suspended, during any period when the transfer books of the Depositary are
closed, or if any such action is deemed necessary or advisable by the Depositary or
the Company at any time or from time to time because of any requirement of law or
of any government or governmental body or commission, or under any provision of the
Deposit Agreement, or for any other reason. Notwithstanding anything to the contrary
in the Deposit Agreement, the surrender of outstanding American Depositary Shares
and withdrawal of Deposited Securities may not be suspended, subject only to (i) temporary
delays caused by closing of the transfer books of the Depositary or the Company or
the Foreign Registrar, if applicable, or the deposit of Ordinary Shares in connection
with voting at a shareholders’ meeting, or the payment of dividends, (ii) the payment
of fees, taxes and similar charges, and (iii) compliance with any U.S. or foreign
laws or governmental regulations relating to the American Depositary Shares or to
the withdrawal of the Deposited Securities.
The Depositary shall not knowingly accept for deposit under the Deposit Agreement
any Ordinary Shares that, at the time of deposit, are Restricted Securities.
The Depositary shall notify the Company, as promptly as practicable, of any suspension
or refusal under Section 2.6 of the Deposit Agreement that is outside the ordinary
course of business.
Limitations on Liability
Neither the Depositary nor the Company shall have any obligation or be subject to
any liability under the Deposit Agreement to any Holder of American Depositary Shares,
but only to the Owner.
Neither the Depositary nor the Company nor any of their respective officers, directors,
employees, agents or affiliates shall incur any liability to any Owner or Holder (i)
if by reason of any provision of any present or future law or regulation of the United
States, Switzerland or any other country, or of any governmental or regulatory authority
or stock exchange, or by reason of any provision, present or future, of the Articles
of Association or similar document of the Company, or by reason of any provision of
any securities issued or distributed by the Company, or any offering or distribution
thereof, or by reason of any act of God or war or terrorism or other circumstances
beyond its control, the Depositary or the Company is prevented from, forbidden to
or delayed in, or could be subject to any civil or criminal penalty on account of
doing or performing and therefore does not do or perform, any act or thing that, by
the
9
terms of the Deposit Agreement or the Deposited Securities, it is provided shall be
done or performed, (ii) by reason of any exercise of, or failure to exercise, any
discretion provided for in the Deposit Agreement (including any determination by the
Depositary to take, or not take, any action that the Deposit Agreement provides the
Depositary may take), (iii) for the inability of any Owner or Holder to benefit from
any distribution, offering, right or other benefit that is made available to holders
of Deposited Securities but is not, under the terms of the Deposit Agreement, made
available to Owners or Holders, or (iv) for any special, consequential or punitive
damages for any breach of the terms of the Deposit Agreement. Where, by the terms
of a distribution to which Section 4.1, 4.2 or 4.3 of the Deposit Agreement applies,
or an offering to which Section 4.4 of the Deposit Agreement applies, or for any other
reason, that distribution or offering may not be made available to Owners, and the
Depositary may not dispose of that distribution or offering on behalf of Owners and
make the net proceeds available to Owners, then the Depositary shall not make that
distribution or offering available to Owners, and shall allow any rights, if applicable,
to lapse.
Neither the Company nor any of its officers, directors, employees, agents or affiliates
assumes any obligation nor shall it or any of them be subject to any liability under
the Deposit Agreement to any Owner or Holder, except that the Company agrees to perform
its obligations specifically set forth in the Deposit Agreement without negligence
or bad faith.
Neither the Depositary nor any of its officers, directors, employees, agents or affiliates
assumes any obligation nor shall it or any of them be subject to any liability under
the Deposit Agreement to any Owner or Holder (including, without limitation, liability
with respect to the validity or worth of the Deposited Securities), except that the
Depositary agrees to perform its obligations specifically set forth in the Deposit
Agreement without negligence or bad faith.
Neither the Depositary nor the Company nor any of their respective officers, directors,
employees, agents or affiliates shall be under any obligation to appear in, prosecute
or defend any action, suit or other proceeding in respect of any Deposited Securities
or in respect of the American Depositary Shares on behalf of any Owner or Holder or
any other person.
Each of the Depositary and the Company and their respective officers, directors, employees,
agents or affiliates may rely, and shall be protected in relying upon, any written
notice, request, direction or other document believed by it or them to be genuine
and to have been signed or presented by the proper party or parties.
Neither the Depositary nor the Company nor any of their respective officers, directors,
employees, agents or affiliates shall be liable for any action or non-action by it
or them in reliance upon the advice of or information from legal counsel, accountants,
any person presenting Ordinary Shares for deposit, any Owner or any other person believed
by it or them in good faith to be competent to give such advice or information.
The Depositary shall not be liable for any acts or omissions made by a successor depositary
whether in connection with a previous act or omission of the Depositary or in connection
with any matter arising wholly after the removal or resignation of the Depositary,
provided that in connection with the issue out of which such potential liability arises
the Depositary performed its obligations without negligence or bad faith while it
acted as Depositary.
The Depositary shall not be liable for the acts or omissions of any securities depository,
clearing agency or settlement system in connection with or arising out of book-entry
settlement of American Depositary Shares or Deposited Securities or otherwise.
In the absence of bad faith on its part, the Depositary shall not be responsible for
any failure to carry out any instructions to vote any of the Deposited Securities,
or for the manner in which any such vote is cast or the effect of any such vote.
The Depositary shall have no duty to make any determination or provide any information
as to the tax status of the Company or any liability for any tax consequences that
may be incurred by Owners or Holders as a result of owning or holding American Depositary
Shares.
No disclaimer of liability under the Securities Act of 1933 is intended by any provision
of the Deposit Agreement.
10
The following description of Credit Suisse AG’s Exchange-Traded Notes (the “ETNs”) is a summary and does not purport to be complete. It is subject to and qualified
in its entirety by reference to (i) the senior indenture, dated March 29, 2007, between
Credit Suisse AG (formerly Credit Suisse) and The Bank of New York Mellon (formerly
known as the Bank of New York) (the “Trustee”) (as may be further amended or supplemented from time to time, the “Indenture”), which is incorporated by reference as an exhibit to the Annual Report on Form
20-F of which this Exhibit 2.2 is a part and (ii) each of the notes or supplemental
indentures to the Indenture under which each ETN was issued, each of which is incorporated
by reference as an exhibit to the Form 8-A filed for such ETN. We encourage you to
read the Indenture together with the relevant notes, supplemental indentures and pricing
supplements for each ETN.
The ETNs are part of a series of debt securities entitled “Senior Medium-Term Notes”
(the “Medium-Term Notes”) that may be issued under the Indenture from time to time. The ETNs are senior,
unsecured and unsubordinated debt obligations of the Issuer. There is no limitation
on the aggregate principal amount of securities which may be authenticated and delivered
under the Indenture, and such securities shall rank equally and pari passu with all
other unsecured and unsubordinated debt of the Issuer, including the ETNs.
Unless otherwise specified, references to “holders” in this section mean those who
own the ETNs registered in their own names, on the books that we or the Trustee, or
any successor Trustee, as applicable, maintain for this purpose, and not those who
own beneficial interests in the ETNs registered in street name or in the ETNs issued
in book-entry form through The Depository Trust Company (“DTC”) or another depositary.
References to “we,” “us” or “our” refer to the Issuer.
■ Description of Credit Suisse X-Links® Monthly Pay 2xLeveraged Mortgage REIT Exchange Traded Notes due July 11, 2036
■ Description of Credit Suisse S&P MLP Index Exchange Traded Notes due December 4, 2034
Linked to the S&P MLP Index
■ Description of Credit Suisse X-Links® Gold Shares Covered Call ETNs due February 2, 2033
■ Description of Credit Suisse X-Links Silver Shares Covered Call ETNs due April 21,
2033
■ Description of Credit Suisse X-Links® Crude Oil Shares Covered Call ETNs due April 24, 2037
■ Description of Credit Suisse FI Large Cap Growth Enhanced Exchange Traded Notes due
June 13, 2024 Linked to the Russell 1000® Growth Index Total Return
■ Description of Credit Suisse FI Enhanced Europe 50 Exchange Traded Notes due May 11,
2028 Linked to the STOXX® Europe 50 USD (Gross Return) Index
Description of Credit Suisse X-Links® Monthly Pay 2xLeveraged Mortgage REIT Exchange Traded Notes due July 11, 2036
Defined terms used within this subsection are defined only with respect to the ETNs
listed in the subsection heading above and described within this subsection.
General
The return on the Credit Suisse X-Links® Monthly Pay 2xLeveraged Mortgage REIT Exchange Traded Notes due May 16, 2036 (the “ETNs”) will be based on the monthly compounded leveraged performance of the price return
version of the FTSE NAREIT All Mortgage Capped Index (the “Index”), as reflected by their Indicative Value, calculated as set forth below. The Index
measures the performance of tax-qualified U.S. mortgage real estate investment trusts
(“Mortgage REITs”) with more than 50% of total assets invested in mortgage loans or mortgage-backed
securities secured by interests in real property (the “Index Constituents”), as selected and ranked by FTSE International Limited (the “Index Sponsor”) in accordance with the Index methodology. Each Index Constituent must, among other
requirements, be a tax-qualified Mortgage REIT that is listed on the New York Stock
Exchange, the NYSE Arca or the NASDAQ National Market List. The Index is subject to
the policies of the Index Sponsor and is subject to the Index Sponsor’s discretion,
including with respect to the implementation of, and changes to, the rules governing
the Index methodology.
11
Inception, Issuance and Maturity
The “Initial Trade Date” of the ETNs is July 12, 2016. The “Initial Settlement Date” of the ETNs is July 15, 2016. The scheduled maturity date of the ETNs is July 11,
2036.
Intraday Index Level
On each Trading Day, the Index Calculation Agent, or a successor Index Calculation
Agent, will calculate and publish the intraday level of the Index every 15 seconds
during normal trading hours on Reuters under the RIC “.FTFNMRC” and on Bloomberg under
the ticker symbol “FNMRC”. The actual Index Closing Level, which is the closing level
of the Index on any Trading Day, may vary, and on a cumulative basis over the term
of the ETNs, may vary significantly, from the intraday level of the Index. In addition,
the intraday level of the Index is likely to differ materially from the Index Closing
Level used to determine the payment at maturity or upon early redemption or our call.
Closing Indicative Value of the ETNs
The Closing Indicative Value of the ETNs on the Initial Trade Date was equal to $25.00.
The Closing Indicative Value of the ETNs on any Trading Day after the Initial Trade
Date will be calculated by NYSE Arca (the “IV Calculation Agent”) and will equal:
(a) the product of
(i) the Current Principal Amount, multiplied by
(ii) the Index Factor as of such Trading Day, plus
(b) the Coupon Amount, if any, with respect to the most recent Coupon Valuation Date on
or before such Trading Day if on such Trading Day the Coupon Ex-Date with respect
to such Coupon Amount has not yet occurred, plus
(c) the Stub Reference Distribution Amount, if any, as of such Trading Day, minus
(d) the Accrued Fees as of such Trading Day.
If the Closing Indicative Value of the ETNs is equal to or less than zero on any Trading
Day, the Closing Indicative Value on that day, and all future days, will be zero.
Although the Closing Indicative Value approximates the Cash Settlement Amount and
the Call Settlement Amount of the ETNs as of the applicable time, it is neither the
Cash Settlement Amount nor the Call Settlement Amount. The Cash Settlement Amount
and the Call Settlement Amount are likely to differ from the Closing Indicative Value,
and the difference may be material. This is because:
■ The Cash Settlement Amount and the Call Settlement Amount are calculated using an
average of the Index Closing Levels during the Final Valuation Period and the Call
Valuation Period, respectively, and not the Index Closing Level on a single day;
■ The relevant Index Closing Levels during the Final Valuation Period and the Call Valuation
Period, as applicable, may be materially different from the single Index Closing Level
used to calculate the Closing Indicative Value;
■ The Index Performance Ratio during the Final Valuation Period and the Call Valuation
Period, as applicable, may be materially different from such value used to calculate
the Closing Indicative Value; and
■ The Closing Indicative Value does not take into account the declining deemed holdings
of the Reference Holder of the Index Constituents in the calculation of the Stub Reference
Distribution Amount during the Final Valuation Period and the Call Valuation Period,
as applicable.
■ In addition, the Redemption Settlement Amount differs from the Closing Indicative
Value because it is reduced by the Redemption Fee and the Index Closing Level for
any Redemption Settlement Amount is determined on the applicable Redemption Valuation
Date.
Intraday Indicative Value of the ETNs
Generally, “intraday indicative value” is meant to approximate the expected trading
value of the ETNs in a liquid market. The “Intraday Indicative Value” of the ETNs will be calculated and published by the IV Calculation Agent every 15
seconds on each Trading Day during normal trading hours so long as no Market Disruption
Event has occurred or is continuing and will be disseminated over the consolidated
tape or other major market data vendor, and is equal to:
(a) the product of
(i) the Current Principal Amount, multiplied by
(ii) the Index Factor calculated based on the most recently reported intraday level of
the Index at such time, plus
(b) the Coupon Amount, if any, with respect to the most recent Coupon Valuation Date on
or before such Trading Day if on such Trading Day the Coupon Ex-Date with respect
to such Coupon Amount has not yet occurred, plus
(c) the Stub Reference Distribution Amount, if any, as of such Trading Day, minus
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(d) the Accrued Fees as of such Trading Day.
The calculation of the Closing Indicative Value or the Intraday Indicative Value will
be provided for reference purposes only. It is not intended as a price or quotation,
or as an offer or solicitation for the purchase, sale or termination of the ETNs,
nor will it reflect hedging or other transactional costs, credit considerations, market
liquidity or bid-offer spreads. The levels of the Index provided by the Index Calculation
Agent will not necessarily reflect the depth and liquidity of the Index Constituents.
For this reason and others, the actual trading price of the ETNs may be different
from their Indicative Value.
The calculation of the Closing Indicative Value or the Intraday Indicative Value shall
not constitute a recommendation or solicitation to conclude a transaction at the level
stated, and should not be treated as giving investment advice.
The Closing Indicative Value and the Intraday Indicative Value of the ETNs will be
calculated by the IV Calculation Agent and published on each Trading Day under the
Bloomberg ticker symbol “REMLIV <INDEX>” and may also be calculated and published
by other sources. The publishing of such values by the IV Calculation Agent or by
others is subject to delay or postponement and published values may be inaccurate
as a result of miscalculations, human error, or systems and technology errors. Credit
Suisse does not (i) guarantee the completeness or accuracy of any published Indicative
Value, (ii) make any representation or warranty with regard to any published Indicative
Value, or (iii) assume responsibility for losses or damages arising out of a holder’s
use of any published Indicative Value or any subsequent corrections or amendments
to any published Indicative Value.
The actual trading price of the ETNs may be different from their Closing Indicative
Value or the Intraday Indicative Value as well as from any other payment holders may
be entitled to receive on the ETNs. The Intraday Indicative Value of the ETNs, published at least every 15 seconds during normal trading hours, which
is currently from 9:30 a.m. to 4:00 p.m. (New York City time), will be based on the intraday values of the Index, and may not
be equal to the payment at maturity or upon early redemption or our call.
The Closing Indicative Value and the Intraday Indicative Value is calculated as of
a particular time and date and will therefore not reflect subsequent changes in market
values or prices or in any other factors relevant to their determination.
Suspensions or disruptions to the calculation of the Index, whether due to application
of the Index methodology, human error, Index Sponsor discretion or otherwise, can
result in lags, delays and distortions to the Index. Because the Intraday Indicative
Value is based on the intraday levels of the Index, it will reflect lags and other
disruptions and suspensions that affect the Index.
Indicative Value of the ETNs
The “Indicative Value” of the ETNs is the Intraday Indicative Value or the Closing Indicative Value of
the ETNs, as applicable.
Trading Price of the ETNs
The market value of the ETNs at any given time, which we refer to as the trading price,
is the price at which holders may be able to sell their ETNs in the secondary market
at such time, if one exists. In the absence of an active secondary market for the
ETNs, the last reported trading price may not reflect the actual price at which holders
may be able to sell their ETNs at a particular time. The trading price of the ETNs
in the secondary market is not the same as the Indicative Value of the ETNs at any
time or any other payment a holder is entitled to receive on the ETNs, even if a concurrent
trading price in the secondary market were available at such time. The trading price
of the ETNs at any time may vary significantly from the Indicative Value of the ETNs
at such time or any other payment a holder may be entitled to receive on the ETNs,
due to, among other things, imbalances of supply and demand of the ETNs (including
as a result of any decision of ours to issue, stop issuing or resume issuing additional
ETNs), the Index Constituents and derivatives related to the ETNs, the Index Constituents
and the Index itself, trading disruptions or limitations to any of the foregoing or
the occurrence or continuation of a Market Disruption Event. Premiums and discounts
can also arise as a result of transaction costs, credit considerations and bid-offer
spreads related to the ETNs, the Index Constituents and derivatives related to the
ETNs, the Index Constituents and the Index itself. Furthermore, any premium over or
discount to the Intraday Indicative Value reflected in the trading price of the ETNs
may be reduced or eliminated at any time. Paying such a premium purchase price could
lead to significant losses in the event a holder sells its ETNs at a time when such
premium is no longer present in the marketplace or a holder’s ETNs are called at our
option, in which case such holder will be entitled to receive a cash payment based
on the Index Closing Level on the relevant determination dates. Investors should consult
their financial advisers before purchasing or selling the ETNs, especially for ETNs
trading at a premium over or at a discount to their Indicative Value.
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Coupon Payment
For each ETN a holder holds on a Coupon Record Date, such holder will receive on the
applicable Coupon Payment Date an amount in cash equal to the Reference Distribution
Amount, if any, as of the applicable Coupon Valuation Date (the “Coupon Amount”). The Coupon Amount payable on any Coupon Payment Date will equal the sum of the
net cash dividends or distributions that a Reference Holder of Index Constituents would
have been entitled to receive in respect of the Index Constituents during the relevant
period. If the Reference Distribution Amount on such Coupon Valuation Date is zero,
holders will not receive any Coupon Amount on the related Coupon Payment Date.
The “Reference Distribution Amount” is (a) as of the first Coupon Valuation Date, an amount equal to the sum of the net cash dividends or distributions that a Reference Holder would have been entitled
to receive in respect of the Index Constituents held by such Reference Holder on the
“record date” for those cash dividends or distributions whose “ex-dividend date” occurs
during the period from and excluding the Initial Trade Date to and including the first Coupon Valuation
Date; and (b) as of any other Coupon Valuation Date, an amount equal to the sum of the net cash dividends or distributions that a Reference Holder would have been entitled
to receive in respect of the Index Constituents held by such Reference Holder on the
“record date” for those cash dividends or distributions whose “ex-dividend date” occurs
during the period from and excluding the immediately preceding Coupon Valuation Date
to and including such Coupon Valuation Date, provided that for the purpose of calculating the Reference Distribution Amount during any
Valuation Period, the Reference Holder will be deemed to hold 4/5, 3/5, 2/5 and 1/5
of the shares of each Index Constituent it would otherwise hold on the second, third,
fourth and fifth Trading Day, respectively, in such Valuation Period.
Notwithstanding the foregoing, with respect to a net cash dividend or distribution for an Index Constituent which is scheduled to be paid
prior to the applicable Coupon Ex-Date, if, and only if, the issuer of such Index
Constituent fails to pay the dividend or distribution to holders of such Index Constituent
by the scheduled payment date for such dividend or distribution, such dividend or
distribution will be assumed to be zero for the purposes of calculating the applicable
Reference Distribution Amount.
The “Coupon Payment Date” means the fifteenth (15th) Business Day following each Coupon Valuation Date, provided that a scheduled Coupon Payment Date corresponding to the Coupon Valuation Date immediately
preceding the Final Valuation Date or the Call Valuation Date, as applicable, may
be the Maturity Date or the Call Settlement Date, respectively, subject to adjustment
as described herein. The initial Coupon Payment Date was August 19, 2016.
If the Maturity Date or the Call Settlement Date occurs prior to a scheduled Coupon
Payment Date for which the Coupon Amount has been determined but not yet paid, instead
of such Coupon Amount being paid on the regularly scheduled Coupon Payment Date, such
Coupon Amount will be paid on either (a) the Maturity Date or (b) the Call Settlement
Date if, as of the corresponding Final Valuation Date or Call Valuation Date, as applicable,
the Coupon Ex-Date with respect to such Coupon Amount has occurred. In such case,
such Coupon Amount will be included in the Cash Settlement Amount or Call Settlement
Amount, as applicable.
The “Coupon Valuation Date” means the last scheduled Trading Day of each calendar month during the term of the
ETNs (or if any such day is not a Trading Day, the next following Trading Day). The
initial Coupon Valuation Date was July 29, 2016.
The “Coupon Record Date” means the ninth (9th) Business Day following the corresponding Coupon Valuation
Date.
The “Coupon Ex-Date” means, with respect to a Coupon Amount, the first Trading Day on which the ETNs
trade without the right to receive the Coupon Amount (under current NYSE Arca practice,
the Coupon Ex-Date will generally be the first Trading Day prior to the applicable
Coupon Record Date).
The “Reference Holder” is, as of any date of determination, a hypothetical holder of a number of units
of each Index Constituent equal to two times (a) the published unit weighting of that Index Constituent as of that date, divided by (b) the product of (1) the Index Divisor as of that date, multiplied by (2) the Reset Initial Closing Level, divided by the Current Principal Amount. Such number of units is intended to reflect the hypothetical
exposure the holder of a single ETN would have to each Index Constituent at any given
time.
The “Index Divisor” is, as of any date of determination, the divisor used by the Index Calculation Agent
to calculate the level of the Index. The Index Divisor as of November 4, 2020 was
83.791568.
“record date” means, with respect to a dividend or distribution on an Index Constituent, the date
on which a holder of such Index Constituent must be registered as a unitholder of
such Index Constituent in order to be entitled to receive such dividend or distribution.
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“ex-dividend date” means, with respect to a dividend or distribution on an Index Constituent, the first
Trading Day on which transactions in such Index Constituent trade on its Primary Exchange
without the right to receive such distribution.
Cash Settlement Amount at Maturity
The “Maturity Date” for the ETNs is July 11, 2036.
For each ETN a holder holds, unless earlier redeemed or called, such holder will receive
on the Maturity Date a cash payment equal to (a) the product of (i) the Current Principal Amount, multiplied by (ii) the Index Factor as of the Final Valuation Date, plus (b) the Coupon Amount, if any, with respect to the most recent Coupon Valuation Date on
or before the Final Valuation Date if on the Final Valuation Date the Coupon Ex-Date
with respect to such Coupon Amount has not yet occurred, plus (c) the Stub Reference Distribution Amount, if any, as of the Final Valuation Date, minus (d) the Accrued Fees as of the Final Valuation Date. We refer to this amount as the “Cash Settlement Amount.” If the amount so calculated is less than zero, the Cash Settlement Amount will
be zero. Any payment on the ETNs is subject to our ability to pay our obligations
as they become due.
The “Stub Reference Distribution Amount” is (a) as of any Coupon Valuation Date, an amount equal to zero; and (b) as of any other date of determination, an amount equal to the sum of the net cash dividends or distributions that a Reference Holder would have been entitled
to receive in respect of the Index Constituents held by such Reference Holder on the
“record date” for those cash dividends or distributions whose “ex-dividend date” occurs
during the period from and excluding the immediately preceding Coupon Valuation Date
(or if such date of determination occurs prior to the first Coupon Valuation Date,
the period from and excluding the Initial Trade Date) to and including such date,
provided that for the purpose of calculating the Stub Reference Distribution Amount during
any Valuation Period, the Reference Holder will be deemed to hold 4/5, 3/5, 2/5 and
1/5 of the shares of each Index Constituent it would otherwise hold on the second,
third, fourth and fifth Trading Day, respectively, in such Valuation Period.
Notwithstanding the foregoing, with respect to a net cash dividend or distribution for an Index Constituent which is scheduled to be paid
prior to the applicable determination date, if, and only if, the issuer of such Index
Constituent fails to pay the dividend or distribution to holders of such Index Constituent
by the scheduled payment date for such dividend or distribution, such dividend or
distribution will be assumed to be zero for the purposes of calculating the Stub Reference
Distribution Amount.
As of any date of determination, the “Accrued Fees” will be the sum of (i) the Accrued Tracking Fee as of such date, plus (ii) the Accrued Financing Charge as of such date.
The “Final Valuation Period” is the five consecutive Trading Days ending on and including the Final Valuation
Date. The Final Valuation Period is subject to adjustment as described under “Market
Disruption Event.”
The “Final Valuation Date” is July 8, 2036, unless such day is not a Trading Day, in which case the Final Valuation
Date will be the next Trading Day, subject to adjustment.
The “Financing Level” is, as of any date of determination, an amount equal to the Current Principal Amount
as of such date.
The “Accrued Financing Charge” as of the Initial Trade Date was equal to $0. As of any other Trading Day, the Accrued
Financing Charge will equal (i) the Financing Rate as of such date, multiplied by (ii) the Financing Level as of such date, multiplied by (iii) (a) the number of calendar days from, but excluding, the immediately preceding
Reset Valuation Date (or, in the case of the Trading Day that occurred prior to the
initial Monthly Valuation Date, from, but excluding, the Initial Trade Date) to, and
including, such Trading Day, divided by (b) 360.
The “Financing Rate” is, as of any date of determination, the sum of (a) the Financing Spread and (b)
the London interbank offered rate (British Banker’s Association) for three-month deposits
in U.S. Dollars, which is displayed on Reuters page LIBOR01 (or any successor service
or page for the purpose of displaying the London interbank offered rates of major
banks, as determined by the Calculation Agent), as of 11:00 a.m., London time, on
the immediately preceding Monthly Valuation Date (or, if such date of determination
is on or before the initial Monthly Valuation Date, the Initial Trade Date), provided
that such Monthly Valuation Date or Initial Trade Date, as applicable, is a London
business day (or if any such date is not a London business day, the London business
day immediately preceding it). “London business day” means each Monday, Tuesday, Wednesday, Thursday and Friday that is not a day on
which banking institutions in London generally are authorized or obligated by law,
regulation or executive order to close and is also a day on which dealings in U.S.
dollars are transacted in the London interbank market.
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The “Accrued Tracking Fee” as of the Initial Trade Date was equal to $0. As of any other Trading Day, the Accrued
Tracking Fee will equal the aggregate sum of the Tracking Fees as of each Trading
Day starting from, but excluding, the immediately preceding Reset Valuation Date (or
in the case of the Trading Day that occurred prior to the initial Monthly Valuation
Date, from, but excluding, the Initial Trade Date) to, and including, such Trading
Day.
The “Tracking Fee” is, as of any date of determination, an amount per ETN equal to (i) the Tracking
Rate, multiplied by (ii) the ETN Performance Factor as of the immediately preceding Trading Day, multiplied by (iii) a fraction, the numerator of which is the total number of calendar days from, but
excluding, the immediately preceding Trading Day to, and including, such date of determination,
and the denominator of which is 365.
The “Tracking Rate” is 0.50% per annum.
The “ETN Performance Factor” is, as determined by the Calculation Agent as of any date of determination, an amount
per ETN equal to the product of (i) the Current Principal Amount, multiplied by (ii)
the number calculated as follows:
1 + 2 × (Index Closing Level — Reset Initial Closing Level) / Reset Initial Closing Level.
The “Current Principal Amount” was equal to $25.00 per ETN on the Initial Trade Date.
With respect to any other Trading Day, the Current Principal Amount for each ETN will
be determined as follows:
If such Trading Day is a Reset Date:
Current Principal Amount = (Current Principal Amount as of the immediately preceding
Trading Day × Index Factor on the immediately preceding Reset Valuation Date) — Accrued Fees on the immediately preceding Reset Valuation Date
If such Trading Day is not a Reset Date:
Current Principal Amount = Current Principal Amount as of the immediately preceding
Trading Day.
“Reset Date” refers to any Monthly Reset Date and any Leverage Reset Date. In the event of a
Leverage Reset Event, the Current Principal Amount will be reset as described below
under “Leverage Reset Events.”
“Monthly Reset Date” is the first Trading Day of each month, beginning on August 1, 2016 and ending on
July 1, 2036, subject to adjustment as described under “Market Disruption Event”;
provided, however, that no Monthly Reset Date will occur on or after the Call Valuation
Date.
“Monthly Valuation Date” is the last Trading Day of each month, beginning on July 29, 2016 and ending on
June 30, 2036, subject to adjustment as described under “Market Disruption Event.”
“Reset Valuation Date” refers to any Monthly Valuation Date and any Leverage Reset Valuation Date.
The “Index Factor” will be calculated as follows:
1 + (2 × Index Performance Ratio)
The “Index Performance Ratio” on any Trading Day, will be:
Index Valuation Level — Reset Initial Closing Level
Reset Initial Closing Level
The “Index Valuation Level,” as determined by the Calculation Agent, on (1) any Averaging Trading Day will equal
(a) 1/5, multiplied by (b)(i) the sum of the Index Closing Levels on each Trading Day from, and including,
the first Trading Day in the applicable Valuation Period, to, but excluding, such
Trading Day, plus (ii) the number of Trading Days from, and including, such Trading Day to, and including
the Final Valuation Date or Call Valuation Date, as applicable, multiplied by the Index Closing Level on such Trading Day, or (2) on any other date of determination,
including any Reset Valuation Date or any Redemption Valuation Date, will equal the
Index Closing Level on such date.
On the Initial Trade Date, the “Reset Initial Closing Level” was 787.22, the Index Closing Level on the Initial Trade Date. On any other date
of determination, the Reset Initial Closing Level will equal the Index Closing Level
on the Reset Valuation Date immediately preceding such date of determination.
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The “Index Closing Level” is, on any Trading Day, the closing level of the Index as reported on Thomson Reuters
(“Reuters”) or Bloomberg L.P. (“Bloomberg”). If the closing level of the Index as reported on Reuters (or any successor) differs
from the closing level of the Index as reported on Bloomberg (or any successor), then
the Index Closing Level will be the closing level of the Index as calculated by the
Index Calculation Agent.
The “Index Calculation Agent” will be FTSE International Limited (“FTSE”). The Index Calculation Agent will be responsible for calculating and publishing
the level of the Index.
“Trading Day” means any day on which trading is generally conducted on the New York Stock Exchange,
NYSE Arca, NASDAQ and any other exchange on which the Index Constituents are traded
and published.
Early Redemption at the Option of the Holders
Subject to compliance with the procedures described below under “Early Redemption
Procedures” and the potential postponements and adjustments as described under “Market
Disruption Event,” holders may submit a request (the “Redemption Notice”) to have us redeem their ETNs, in whole or in part, on any Trading Day through and
including the final Redemption Notice Date, which will be June 30, 2036 (each Trading
Day that a Redemption Notice is delivered or, if a Redemption Notice is delivered
on a day that is not a Trading Day, the next Trading Day, a “Redemption Notice Date”) provided that (i) we will not accept a Redemption Notice submitted to us on any Trading Day
after the fifth Trading Day preceding the Call Valuation Date; and (ii) a holder requests that we redeem a minimum of 50,000 ETNs. To satisfy the minimum
redemption amount, a holder’s broker or other financial intermediary may bundle such
holder’s ETNs for redemption with those of other investors to reach this minimum amount
of 50,000 ETNs; however, there can be no assurance that they can or will do so. We
may from time to time in our sole discretion reduce, in part or in whole, the minimum
redemption amount of 50,000 ETNs. Any such reduction will be applied on a consistent
basis for all holders of the ETNs at the time the reduction becomes effective.
When a holder submits its ETNs for redemption in accordance with the redemption procedures
described below under “Early Redemption Procedures,” such ETNs may remain outstanding
(and be resold by us or an affiliate) or may be submitted by us for cancellation.
The ETNs will be redeemed and the holders will receive payment for their ETNs on the
third Business Day following the applicable Redemption Valuation Date (the “Redemption Settlement Date”). If a Market Disruption Event is continuing or occurs on the applicable scheduled
Redemption Valuation Date with respect to any of the Index Constituents, such Redemption
Valuation Date may be postponed as described under “Market Disruption Event.” Holders
must comply with the early redemption procedures described below in order to redeem
their ETNs.
The “Redemption Valuation Date” means the Trading Day following the applicable Redemption Notice Date (as defined
below), subject to adjustment as described under “Market Disruption Event.”
If a holder exercises its right to have us redeem its ETNs, subject to compliance
with the procedures described under “Early Redemption Procedures,” for each applicable
ETN such holder holds, such holder will receive a cash payment on the relevant Redemption
Settlement Date equal to:
(a) the product of
(i) the Current Principal Amount multiplied by
(ii) the Index Factor as of the Redemption Valuation Date, plus
(b) the Coupon Amount, if any, with respect to the most recent Coupon Valuation Date on
or before the Redemption Valuation Date if on the Redemption Valuation Date the Coupon
Ex-Date with respect to such Coupon Amount has not yet occurred, plus
(c) the Stub Reference Distribution Amount, if any, as of the Redemption Valuation Date,
minus
(d) the Accrued Fees as of the Redemption Valuation Date, minus
(e) the Redemption Fee.
We refer to this cash payment as the “Redemption Settlement Amount.”
If the amount calculated above is less than zero, the Redemption Settlement Amount
will be zero. Any payment on the ETNs is subject to our ability to pay our obligations
as they become due.
We will inform holders of such Redemption Settlement Amount on the first Trading Day
following the applicable Redemption Valuation Date.
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Holders may lose some or all of their investments upon early redemption. Because the
Accrued Fees and the Redemption Fee reduce the final payment, the monthly compounded
leveraged return of the Index plus any Coupon Amounts and any Stub Reference Distribution
Amount as of the Redemption Valuation Date, if any, will need to be sufficient to
offset the negative effect of the Accrued Fees and the Redemption Fee, if applicable,
in order for a holder to receive an aggregate amount equal to or greater than its
investment in the ETNs. If the monthly compounded leveraged return of the Index plus
any Coupon Amounts and any Stub Reference Distribution Amount as of the Redemption
Valuation Date, if any, is insufficient to offset such a negative effect or if the
monthly compounded leveraged return of the Index is negative, Holders will lose some
or all of their investments upon early redemption.
The “Accrued Fees” will be calculated as of any Redemption Valuation Date as the sum of (i) the Accrued
Tracking Fee as of such date and (ii) the Accrued Financing Charge as of such date.
The “Accrued Tracking Fee” as of any Redemption Valuation Date will equal the aggregate sum of the Tracking
Fees as of each Trading Day starting from, but excluding, the immediately preceding
Reset Valuation Date (or in the case of the Redemption Valuation Date that occurred
prior to the initial Monthly Valuation Date, from, but excluding, the Initial Trade
Date) to, and including, such Redemption Valuation Date.
The “Accrued Financing Charge” as of any Redemption Valuation Date is an amount equal to (i) the Financing Rate
as of such date, multiplied by (ii) the Financing Level as of the applicable Redemption Valuation Date, multiplied by (iii) (a) the number of calendar days from, but excluding, the immediately preceding
Reset Valuation Date (or, in the case of the applicable Redemption Valuation Date
that occurred prior to the initial Monthly Valuation Date, from, but excluding, the
Initial Trade Date) to, and including, the applicable Redemption Valuation Date, divided by (b) 360.
The “Redemption Fee” means the product of (a) 0.125%, multiplied by (b) the Current Principal Amount, multiplied by (c) the Index Factor as of the applicable Redemption Valuation Date.
Early Redemption Procedures
■ If a holder wishes to offer its ETNs to Credit Suisse for early redemption, such holder’s
broker or other person with whom its holds its ETNs must follow the following procedures:
■ Deliver a notice of early redemption (the “Redemption Notice”), to Credit Suisse via email or other electronic delivery as requested by Credit
Suisse. If the Redemption Notice is delivered prior to 4:00 p.m. (New York City time) on any Trading Day, the immediately following Trading Day will
be the applicable “Redemption Valuation Date.” If the Redemption Notice is delivered at or after 4:00 p.m. (New York City time), the applicable Redemption Valuation Date will be the second
following Trading Day. Notwithstanding the foregoing, we will not accept a Redemption
Notice submitted to us after June 30, 2036 or on any day after the fifth Trading Day
preceding the Call Valuation Date. If Credit Suisse receives such Redemption Notice
prior to 4:00 p.m. (New York City time), on any Trading Day, Credit Suisse will respond
by sending the relevant holder’s broker an acknowledgment of the Redemption Notice
accepting such holder’s early redemption request by 7:30 p.m. (New York City time),
on the Trading Day prior to the applicable Redemption Valuation Date. Credit Suisse
or one of its affiliates must acknowledge to such holder’s broker or other person
with whom it holds its ETNs acceptance of the Redemption Notice in order for such
holder’s early redemption request to be effective;
■ Notwithstanding the foregoing, Credit Suisse may, at its option, waive the requirement
that the Redemption Notice be delivered as set forth above, if confirmed by Credit
Suisse that a written indication of an offer for early redemption has otherwise been accepted by Credit Suisse. Any such written indication that is delivered at or
after 4:00 p.m. (New York City time), on any Trading Day, will be deemed to have been made on the
following Trading Day. For the avoidance of doubt, a holder may choose to comply with
the procedures set forth above in lieu of the procedures in this clause, irrespective
of any waiver by Credit Suisse;
■ Instruct the holder’s DTC custodian to book a delivery versus payment trade with respect
to the ETNs on the applicable Redemption Valuation Date at a price equal to the applicable
Redemption Settlement Amount, facing us; and
■ Cause the holder’s DTC custodian to deliver the trade as booked for settlement via
DTC at or prior to 10:00 a.m. (New York City time), on the applicable Redemption Settlement Date (the third Business
Day following the Redemption Valuation Date).
The holder is responsible for (i) instructing or otherwise causing its broker or other person with whom it holds its
ETNs to provide the Redemption Notice (unless otherwise waived by Credit Suisse as set forth above) and (ii) its broker satisfying the additional requirements as set forth in the second, third
and fourth bullets above in order for the early redemption to be effected. Different
brokerage firms may have different deadlines for accepting instructions from their customers. Accordingly,
a holder should consult the brokerage firm through which it owns its interest in the
ETNs in respect of such deadlines. If Credit Suisse does not (i) receive the Redemption Notice from the holder’s broker prior to 4:00 p.m. (New York City time) and (ii) deliver an acknowledgment of such Redemption Notice to such broker accepting such
early redemption request by 7:30 p.m. (New York City time), on the Trading Day
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prior to the applicable Redemption Valuation Date, such notice will not be effective
for such Trading Day and Credit Suisse will treat such Redemption Notice as if it
was received on the next Trading Day. Any redemption instructions for which Credit
Suisse receives a valid confirmation in accordance with the procedures described above
will be irrevocable after Credit Suisse confirms the offer for early redemption.
Our Call Right
We have the right to call all, but not less than all, of the issued and outstanding
ETNs upon not less than sixteen (16) calendar days’ prior notice (the “Call Notice”) to the holders of the ETNs, such call to occur on any Business Day through and
including the Maturity Date (the “Call Settlement Date”). We will specify the Call Settlement Date in the Call Notice. In the event we exercise
our Call Right, holders will receive for each ETN they hold a cash payment equal to:
(a) the product of
(i) the Current Principal Amount multiplied by
(ii) the Index Factor as of the Call Valuation Date, plus
(b) the Coupon Amount, if any, with respect to the most recent Coupon Valuation Date on
or before the Call Valuation Date if on the Call Valuation Date the Coupon Ex-Date
with respect to such Coupon Amount has not yet occurred, plus
(c) the Stub Reference Distribution Amount, if any, as of the Call Valuation Date, minus
(d) the Accrued Fees as of the Call Valuation Date.
We refer to this cash payment as the “Call Settlement Amount.” If the amount calculated above is less than zero, the Call Settlement Amount will
be zero.
The “Call Valuation Date” will be a scheduled Trading Day that will be specified in the Call Notice, unless
such day is not a Trading Day, in which case the Call Valuation Date will be the next
Trading Day, subject to adjustment.
The “Call Valuation Period” will be the five consecutive Trading Days ending on and including the Call Valuation
Date. The Call Valuation Period is subject to adjustment as described under “Market
Disruption Event.”
We will inform holders of such Call Settlement Amount on the first Business Day following
the Call Valuation Date.
The Accrued Fees will be calculated as of the Call Valuation Date as the sum of (i)
the Accrued Tracking Fee as of the Call Valuation Date plus (ii) the Accrued Financing Charge as of the Call Valuation Date.
The “Accrued Tracking Fee” as of the Call Valuation Date is an amount equal to the aggregate sum of the Tracking
Fees as of each Trading Day starting from, but excluding, the immediately preceding
Reset Valuation Date (or in the case of the Trading Day that occurred prior to the
initial Monthly Valuation Date, from, but excluding, the Initial Trade Date) to, and
including, the Call Valuation Date.
The “Accrued Financing Charge” as of the Call Valuation Date will equal (i) the Financing Rate as of the Call Valuation
Date, multiplied by (ii) the Financing Level as of the Call Valuation Date, multiplied by (iii) (a) the number of calendar days from, but excluding, the immediately preceding
Reset Valuation Date (or, in the case of the Call Valuation Date that occurred prior
to the initial Monthly Valuation Date, from, but excluding, the Initial Trade Date)
to, and including, the Call Valuation Date, divided by (b) 360.
Leverage Reset Events
A Leverage Reset Event will have the effect of deleveraging the ETNs with the aim
of resetting the then-current leverage to approximately 2.0. This means that after
a Leverage Reset Event, any increase in the Index Closing Level will have less of
a positive effect on the value of the ETNs relative to such an increase before the
occurrence of the Leverage Reset Event.
A “Leverage Reset Event” occurs if, on any Trading Day (other than an Excluded Day, as defined herein), the
Index Closing Level is equal to or less than 80% of the Index Closing Level on the
most recent Reset Valuation Date. If a Leverage Reset Event occurs, the Current Principal
Amount of the ETNs will be reset as described below, which will have the effect of
deleveraging the ETNs with the aim of resetting the then-current leverage to approximately
2.0.
Upon the occurrence of a Leverage Reset Event, the Current Principal Amount of the
ETNs will be reset on the applicable Leverage Reset Date so that it will equal (a) the product of the Current Principal Amount as of the immediately preceding Trading
Day and the
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Index Factor on the immediately preceding Leverage Reset Valuation Date, minus (b) the Accrued Fees on the immediately preceding Leverage Reset Valuation Date.
In the event of a Leverage Reset Event, the Financing Rate will not be adjusted.
Leverage Reset Events may occur multiple times over the term of the ETNs and may occur
multiple times during a single calendar month. This means both that (i) the Current
Principal Amount may be reset more frequently than monthly and (ii) the cumulative
effect of compounding and fees will have increased as a result of the Leverage Reset
Event(s). Because each Leverage Reset Event will have the effect of deleveraging the
ETNs, following a Leverage Reset Event any increase in the Index Closing Level will
have less of a positive effect on the ETNs relative to such an increase before the
occurrence of such Leverage Reset Event.
The “Accrued Fees” will be calculated as of the Leverage Reset Valuation Date as the sum of (i) the
Accrued Tracking Fee as of the Leverage Reset Valuation Date and (ii) the Accrued Financing Charge as of the Leverage Reset Valuation Date.
The “Accrued Tracking Fee” as of the Leverage Reset Valuation Date will equal the aggregate sum of the Tracking
Fees as of each Trading Day starting from, but excluding, the immediately preceding
Reset Valuation Date (or in the case of the Trading Day that occurred prior to the
initial Monthly Valuation Date, from, but excluding, the Initial Trade Date) to, and
including, the Leverage Reset Valuation Date.
The “Accrued Financing Charge” as of the Leverage Reset Valuation Date will equal (i) the Financing Rate as of
the Leverage Reset Valuation Date, multiplied by (ii) the Financing Level as of the Leverage Reset Valuation Date, multiplied by (iii) (a) the number of calendar days from, but excluding, the immediately preceding Reset Valuation
Date (or, in the case of the Reset Valuation Date that occurred prior to the initial
Monthly Valuation Date, from, but excluding, the Initial Trade Date) to, and including,
the Leverage Reset Valuation Date, divided by (b) 360.
An “Excluded Day” means (i) the Trading Day immediately preceding any Monthly Valuation Date, (ii)
any Reset Valuation Date, (iii) the Trading Day immediately preceding the first day
of any Valuation Period, or (iv) any Averaging Trading Day.
With respect to any Leverage Reset Event, the “Leverage Reset Date” will be the first Trading Day immediately following the applicable Leverage Reset
Valuation Date, subject to adjustment. The “Leverage Reset Valuation Date” will be the first Trading Day following the occurrence of such Leverage Reset Event,
subject to adjustment as described under “Market Disruption Event.”
Calculation Agent
Our affiliate, Credit Suisse International (“CSi”), will act as the calculation agent (the “Calculation Agent”). The Calculation Agent will determine, among other things, the Index Valuation
Level, the Index Performance Ratio, the Index Factor, the Current Principal Amount,
the Accrued Fees, the Financing Level, the Financing Rate, the Coupon Amount, if any,
the Reference Distribution Amount, if any, the Stub Reference Distribution Amount,
if any, the Redemption Fee, if any, the Cash Settlement Amount, if any, that we will
pay holders on the Maturity Date, the Redemption Settlement Amount, if any, that we
will pay holders on the Redemption Settlement Date, if applicable, or the Call Settlement
Amount, if any, that we will pay holders on the Call Settlement Date, if applicable,
whether a Leverage Reset Event has occurred, and whether any day is a Business Day
or a Trading Day. The Calculation Agent will also be responsible for determining whether
a Market Disruption Event has occurred, whether the Index has been discontinued and
whether there has been a material change in the Index. We may appoint a different
Calculation Agent from time to time without consent and without notifying holders.
Market Disruption Event
To the extent a Market Disruption Event with respect to the Index has occurred or
is continuing on an Averaging Trading Day (as defined below), the Index Closing Level
for such Averaging Trading Day will be the Index Closing Level as of the next immediately
following Trading Day on which a Market Disruption Event does not occur or is not
continuing (the “Deferred Averaging Trading Day”) with respect to the Index irrespective of whether, pursuant to such determination,
the Deferred Averaging Trading Day would fall on a date originally scheduled to be
an Averaging Trading Day. If the postponement described in the preceding sentence
results in the Index Closing Level being calculated on a day originally scheduled
to be an Averaging Trading Day, for purposes of determining the Index Closing Level
on any Averaging Trading Day, the Calculation Agent, as the case may be, will apply
the Index Closing Level for such Deferred Averaging Trading Day (i) on the date(s)
of the original Market Disruption Event and (ii) such Averaging Trading Day.
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To the extent a Market Disruption Event with respect to the Index has occurred or
is continuing on any Redemption Valuation Date, the Index Closing Level for such Redemption
Valuation Date will be the Index Closing Level as of the next immediately following
Trading Day on which a Market Disruption Event does not occur or is not continuing.
In no event, however, will any postponement pursuant to the two immediately preceding
paragraphs result in the final Averaging Trading Day, Reset Valuation Date or the
Redemption Valuation Date, as applicable, occurring more than three Trading Days following
the day originally scheduled to be such final Averaging Trading Day, Reset Valuation
Date or Redemption Valuation Date. If the third Trading Day following the date originally
scheduled to be the final Averaging Trading Day, Reset Valuation Date or Redemption
Valuation Date, as applicable, is not a Trading Day or a Market Disruption Event has
occurred or is continuing with respect to the Index on such third Trading Day, the
Calculation Agent will determine the Index Closing Level based on its good faith estimate
of the Index Closing Level that would have prevailed on such third Trading Day but
for such Market Disruption Event.
If a Market Disruption Event occurs on any Reset Valuation Date, the Index Closing
Level for such Reset Valuation Date will be determined by the Calculation Agent on
the first succeeding Trading Day on which a Market Disruption Event does not occur
or is not continuing. If any Reset Valuation Date is postponed as described above,
the succeeding Reset Date will occur on the Trading Day immediately following the
postponed Reset Valuation Date.
An “Averaging Trading Day” means each of the Trading Days during a Valuation Period, subject to adjustment
as described herein.
Notwithstanding the occurrence of one or more of the events below, which may, in the
Calculation Agent’s sole discretion, constitute a Market Disruption Event with respect
to the Index, the Calculation Agent in its sole discretion may waive its right to
postpone the Index Closing Level if it determines that one or more of the below events
has not and is not likely to materially impair its ability to rely on the Index Closing
Level on such date.
Any of the following will be a “Market Disruption Event” with respect to the Index, in each case as determined by the Calculation Agent in
its sole discretion:
(a) suspension, absence or material limitation of trading in a material number of the
Index Constituents for more than two (2) hours or during the one-half (1/2) hour before
the close of trading in the applicable market or markets;
(b) suspension, absence or material limitation of trading in option or futures contracts
relating to the Index or to a material number of Index Constituent equity interests
in the primary market or markets for those contracts for more than two hours of trading
or during the one-half hour before the close of trading in that market;
(c) the level of the Index is not published; or
(d) in any other event, if the Calculation Agent determines in its sole discretion that
the event materially interferes with our ability or the ability of any of our affiliates
to unwind all or a material portion of a hedge with respect to the ETNs that we or
our affiliates have effected or may effect as described in the section entitled “Supplemental
Use of Proceeds and Hedging.”
The following events will not be Market Disruption Events with respect to the Index:
(a) a limitation on the hours or numbers of days of trading, but only if the limitation
results from an announced change in the regular business hours of the relevant market;
or
(b) a decision to permanently discontinue trading in the option or futures contracts relating
to the Index or any Index Constituent equity interests.
For this purpose, an “absence of trading” in the primary securities market on which
option or futures contracts related to the Index or any Index Constituent equity interests
are traded will not include any time when that market is itself closed for trading
under ordinary circumstances.
Discontinuance of or Adjustments to the Index; Alteration of Method of Calculation
If the entity that publishes the Index discontinues publication of or otherwise fails
to publish the Index, and such entity or another entity publishes a successor or substitute
index that the Calculation Agent determines to be comparable to the discontinued Index
(such index being referred to herein as a “Successor Index”), then the Index Closing Level for such Successor Index will be determined by the
Index Calculation Agent by reference to the Successor Index on the dates and at the
times as of which the Index Closing Levels for such Successor Index are to be determined.
Upon any selection by the Calculation Agent of a Successor Index, the Calculation
Agent will cause written notice thereof to be furnished to the trustee, to us and
to the holders of the ETNs.
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If the entity publishing the Index discontinues publication of the Index prior to,
and such discontinuation is continuing on any Reset Valuation Date, any Averaging
Trading Day, any Redemption Valuation Date or any other relevant date on which the
Index Closing Level is to be determined and the Calculation Agent determines that
no Successor Index is available at such time, or the Calculation Agent has previously
selected a Successor Index and publication of such Successor Index is discontinued
prior to, and such discontinuation is continuing on, any Reset Valuation Date, any
Averaging Trading Day, any Redemption Valuation Date or any other relevant date on
which the Index Closing Level is to be determined, then the Calculation Agent will
determine the Index Closing Level using the closing level and published share weighting
of each Index Constituent included in the Index or Successor Index, as applicable,
immediately prior to such discontinuation or unavailability, as adjusted for certain
corporate actions as described under “The FTSE NAREIT All Mortgage Capped Index.”
In such event, the Calculation Agent will cause notice thereof to be furnished to
the trustee, to us and to the holders of the ETNs.
Notwithstanding these alternative arrangements, discontinuation of the publication
of the Index or Successor Index, as applicable, may adversely affect the value of
the ETNs.
If at any time the method of calculating the Index or a Successor Index, or the value
thereof, is changed in a material respect, or if the Index or a Successor Index is
in any other way modified so that the level of the Index or such Successor Index does
not, in the opinion of the Calculation Agent, fairly represent the level of the Index
or such Successor Index had such changes or modifications not been made, then the
Calculation Agent will make such calculations and adjustments as, in the good faith
judgment of the Calculation Agent, may be necessary in order to arrive at a level
of the Index comparable to the Index or such Successor Index, as the case may be,
as if such changes or modifications had not been made, and the Calculation Agent will
calculate the levels for the Index or such Successor Index with reference to the Index
or such Successor Index, as adjusted. The Calculation Agent will accordingly calculate
the Index Valuation Level, the Index Performance Ratio, the Index Factor, the Current
Principal Amount, the Accrued Fees, the Financing Level, the Financing Rate, the Coupon
Amount, if any, the Reference Distribution Amount, if any, the Stub Reference Distribution
Amount, if any, the Redemption Fee, if any, the Cash Settlement Amount, if any, that
we will pay holders on the Maturity Date, the Redemption Settlement Amount, if any,
that we will pay holders on the Redemption Settlement Date, if applicable, or the
Call Settlement Amount, if any, that we will pay holders on the Call Settlement Date,
if applicable, based on the index levels calculated by the Calculation Agent, as adjusted.
Accordingly, if the method of calculating the Index or a Successor Index is modified
so that the level of the Index or such Successor Index is a fraction of what it would
have been if there had been no such modification (e.g., due to a split in the Index), which, in turn, causes the level of the Index or such
Successor Index to be a fraction of what it would have been if there had been no such
modification, then the Calculation Agent will make such calculations and adjustments
in order to arrive at a level for the Index or such Successor Index as if it had not
been modified (e.g., as if such split had not occurred).
Default Amount on Acceleration
If an event of default occurs and the maturity of the ETNs is accelerated, we will
pay the default amount in respect of the principal of the ETNs at maturity. We describe
the default amount below under “Default Amount.” In addition to the default amount
described below, we will also pay the Coupon Amount per ETN, if any, with respect
to the final Coupon Payment Date, as described above under “Coupon Payment,” calculated
as if the date of acceleration was the last Trading Day in the last applicable Valuation
Period prior to the Maturity Date and the four Trading Days immediately preceding
the date of acceleration were the corresponding Trading Days in such accelerated Valuation
Period, with the fourth Trading Day immediately preceding the date of acceleration
being the accelerated Final Valuation Date and the accelerated final Coupon Valuation
Date, and the Trading Day immediately preceding the date of acceleration being the
relevant final Coupon Valuation Date.
For the purpose of determining whether the holders of our Senior Medium-Term Notes,
of which the ETNs are a part, are entitled to take any action under the indenture,
we will treat the outstanding Stated Principal Amount of the Senior Medium-Term Notes
as constituting the outstanding Stated Principal Amount of the ETNs. Although the
terms of the ETNs may differ from those of the other Senior Medium-Term Notes, holders
of specified percentages in Stated Principal Amount of all Senior Medium-Term Notes,
together in some cases with other series of our debt securities, will be able to take
action affecting all the Senior Medium-Term Notes, including the ETNs.
Default Amount
The default amount for the ETNs on any day will be an amount in U.S. dollars for the
principal of the ETNs, as determined by the Calculation Agent in its sole discretion,
equal to the cost of having a qualified financial institution, of the kind and selected
as described below, expressly assume all of our payment and other obligations with
respect to the ETNs as of that day and as if no default or acceleration had occurred,
or to undertake other obligations providing substantially equivalent economic value
to holders with respect to the ETNs. That cost will equal the sum of:
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(a) the lowest amount that a qualified financial institution would charge to effect this
assumption or undertaking, plus
(b) the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders
of the ETNs in preparing any documentation necessary for this assumption or undertaking.
During the default quotation period for the ETNs, which we describe below, the holders
of the ETNs and/or we may request a qualified financial institution to provide a quotation of the amount it would charge to effect this
assumption or undertaking. If either party obtains a quotation, it must notify the
other party in writing of the quotation. The amount referred to in paragraph (a) above will equal the lowest — or, if there is only one, the only — quotation obtained, and as to which notice is so given, during the default quotation
period. With respect to any quotation, however, the party not obtaining the quotation
may object, on reasonable and significant grounds, to the assumption or undertaking
by the qualified financial institution providing the quotation and notify the other
party in writing of those grounds within two Business Days after the last day of the
default quotation period, in which case that quotation will be disregarded in determining
the default amount.
Default Quotation Period
The default quotation period is the period beginning on the day the default amount
first becomes due and ending on the third Business Day after that day, unless:
(a) no quotation of the kind referred to above is obtained, or
(b) every quotation of that kind obtained is objected to within five Business Days after
the due date as described above.
If either of these two events occurs, the default quotation period will continue until
the third Business Day after the first Business Day on which prompt notice of a quotation
is given as described above. If that quotation is objected to as described above within
five Business Days after that first Business Day, however, the default quotation period
will continue as described in the prior sentence and this sentence.
In any event, if the default quotation period and the subsequent two Business Day
objection period have not ended before the Final Valuation Date, then the default
amount will equal the Current Principal Amount of the ETNs.
Qualified Financial Institutions
For the purpose of determining the default amount at any time, a qualified financial
institution must be a financial institution organized under the laws of any jurisdiction
in the United States of America, Europe or Japan, which at that time has outstanding
debt obligations with a stated maturity of one year or less from the date of issue
and rated either:
■ A-1 or higher by Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill
Companies, Inc., or any successor, or any other comparable rating then used by that
rating agency, or
■ P-1 or higher by Moody’s Investors Service or any successor, or any other comparable
rating then used by that rating agency.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity or upon early redemption or our
call will be made to accounts designated by holders and approved by us, or at the
corporate trust office of the trustee in New York City, but only when the ETNs are
surrendered to the trustee at that office. We also may make any payment or delivery
in accordance with the applicable procedures of the depositary.
Business Day
When we refer to a Business Day with respect to the ETNs, we mean a day that is a
Business Day of the kind described below under “General Terms of the ETNs—Business Days”.
Modified Business Day
Any payment on the ETNs that would otherwise be due on a day that is not a Business
Day may instead be paid on the next day that is a Business Day, with the same effect
as if paid on the original due date, except as described under “Cash Settlement Amount
at Maturity,” “Early Redemption at the Option of the Holders” and “Our Call Right”
above.
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Further Issuances
We may, from time to time, without notice to or the consent of the holders of the
ETNs, create and issue additional securities having the same terms and conditions
as the ETNs, and ranking on an equal basis with the ETNs in all respects.
Description of Credit Suisse S&P MLP Index Exchange Traded Notes due December 4, 2034
Linked to the S&P MLP Index
Defined terms used within this subsection are defined only with respect to the ETNs
listed in the subsection heading above and described within this subsection.
General
The return on the Credit Suisse S&P MLP Index Exchange Traded Notes due December 4,
2034 (the “ETNs”) will be based on the price return version of the S&P MLP Index (the “Index”), as reflected by their Indicative Value, calculated as set forth below. The Index
includes both master limited partnerships (“MLPs”) and limited liability companies (“LLCs”), which have a similar legal structure to MLPs and share the same tax characteristics
as MLPs (collectively, the “Index Constituents”), that trade on major U.S. exchanges. The Index Constituents are classified in
the GICS® Energy Sector and GICS® Gas Utilities Industry according to the Global Industry Classification Standard® (“GICS”). The Index is subject to the policies of S&P Dow Jones Indices LLC (the “Index Sponsor”) and is subject to the Index Sponsor’s discretion, including with respect to the
implementation of, and changes to, the rules governing the Index methodology.
Inception, Issuance and Maturity
The “Inception Date” of the ETNs is December 2, 2014. The “Initial Settlement Date” of the ETNs is December 5, 2014. The scheduled “Maturity Date” is initially December 4, 2034, but the maturity of the ETNs may be extended at our
option for up to two additional five-year periods.
Intraday Indicative Value
The “Intraday Indicative Value” of the ETNs is designed to reflect the economic value of the ETNs at a given time.
The Intraday Indicative Value of the ETNs will be calculated and published by the
IV Calculation Agent every 15 seconds on each Trading Day during normal trading hours
under the Bloomberg ticker symbol “MLPOIV” and under the Yahoo! Finance ticker symbol
“^MLPO-IV” so long as no Market Disruption Event has occurred or is continuing and
will be disseminated over the consolidated tape or other major market data vendor.
The Intraday Indicative Value at any time is based on the most recent intraday level
of the Index. It is calculated using the same formula as the Closing Indicative Value,
except that instead of using the Closing Level of the Index, the calculation is based
on the most recent reported level of the Index at the particular time (or, if the
day on which such time occurs is not a Trading Day, as determined by the Calculation
Agent).
At any time at which a Market Disruption Event has occurred and is continuing, there
shall be no Intraday Indicative Value. If the Intraday Indicative Value of the ETNs
is equal to or less than zero at any time or the Closing Indicative Value is equal
to zero on any Trading Day, the Closing Indicative Value of the ETNs on that day,
and all future days, will be zero.
Neither the Intraday Indicative Value nor the Closing Indicative Value calculation
is intended as a price or quotation, or as an offer or solicitation for the purchase,
sale, redemption, a call or termination of a holder’s ETNs, nor will it reflect hedging
or transaction costs, credit considerations, market liquidity or bid-offer spreads.
The NYSE Arca is responsible for computing and disseminating the ETN’s Indicative
Values. Published levels of the Index from the Index Sponsor may occasionally be subject
to delay or postponement. Any such delays or postponements will affect the current
level of the Index and therefore the Intraday Indicative Value of the ETNs. The actual
trading price of the ETNs may be different from their Intraday Indicative Value or
Closing Indicative Value.
The actual trading price of the ETNs at any time may vary significantly from the Intraday
Indicative Value at such time. The trading prices of the ETNs at any time is the price
that holders may be able to sell their ETNs in the secondary market at such time,
if one exists.
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The trading price of the ETNs at any time is the price at which holders may be able
to sell their ETNs in the secondary market at such time, if one exists. In the absence
of an active secondary market for the ETNs, the last reported trading price may not
reflect the actual price at which holders may be able to sell their ETNs at a particular
time. The trading price of the ETNs at any time may vary significantly from the Intraday
Indicative Value of and the Closing Indicative Value of the ETNs at such time due
to, among other things, imbalances of supply and demand, lack of liquidity, transaction
costs, credit considerations and bid-offer spreads. The closing price of the ETNs
will be published on each Trading Day under the ticker symbol “MLPO”. Any premium
or discount may be reduced or eliminated at any time. Paying a premium purchase price
of the ETNs over the Intraday Indicative Value or the Closing Indicative Value of
the ETNs could lead to significant losses in the event holders sell their ETNs at
a time when such premium has declined or is no longer present in the market place
or at maturity or upon early redemption or upon a call of the ETNs, in which case
holders will receive a cash payment based on the Closing Indicative Value on the relevant
Valuation Date(s).
The ETNs may be redeemed or called, subject to the conditions described herein.
As discussed in “Payment Upon Early Redemption” below, holders may, subject to certain
restrictions, provide a Redemption Notice on any Business Day during the term of the
ETNs, starting on the Business Day following the Inception Date until November 21,
2034 (or, if the maturity of the ETNs is extended, five scheduled Trading Days prior
to the scheduled Final Valuation Date, as extended).
Holders must offer for early redemption at least 50,000 ETNs at one time in order
to exercise the right to cause us to redeem the ETNs on any Redemption Settlement
Date (the “Minimum Redemption Amount”); provided that we or CSSU may from time to time reduce, in whole or in part, the
Minimum Redemption Amount. Any such reduction will be applied on a consistent basis
for all holders of the ETNs at the time the reduction becomes effective. If the ETNs
undergo a split or reverse split, the minimum number of ETNs needed to exercise the
right to cause us to redeem the ETNs will remain the same.
If the number of ETNs being redeemed is less than the Redemption Liquidity Threshold
(a “Small Redemption”), the “Redemption Settlement Amount” will be a cash payment per ETN equal to the greater of (a) zero and (b) (1) the
Closing Indicative Value on the applicable Redemption Valuation Date, minus (2) the Redemption Fee Amount.
If the number of ETNs being redeemed is equal to or greater than the Redemption Liquidity
Threshold (a “Large Redemption”), the Redemption Settlement Amount will be a cash payment per ETN equal to the greater
of (a) zero and (b) (1) the arithmetic average, as determined by the Calculation Agent,
of the Closing Indicative Values during the Redemption Valuation Period, minus (2) the Redemption Fee Amount.
A holder may exercise its early redemption right by causing its broker or other person
with whom it holds its ETNs to deliver a Redemption Notice (as defined herein) to
Credit Suisse.
In the case of a Small Redemption, and where the Redemption Notice is delivered prior
to 4:00 p.m. New York City time on any Business Day, the immediately following Trading
Day will be the applicable “Small Redemption Valuation Date”. If the Redemption Notice is delivered at or after 4:00 p.m. New York City time,
the Small Redemption Valuation Date will be the second following Trading Day.
In the case of a Large Redemption, and where the Redemption Notice is delivered prior
to 4:00 p.m. New York City time on any Business Day, the immediately following Trading
Day will be the first day of the Redemption Valuation Period. If the Redemption Notice
is delivered at or after 4:00 p.m. New York City time, the first day of the Redemption
Valuation Period will be the second following Trading Day. In either case, the Large
Redemption Valuation Date will be the last day of the Redemption Valuation Period.
We have the right to call the ETNs in whole or in part on any Trading Day during the
term of the ETNs by providing notice to holders of the ETNs starting on the Trading
Day following the Inception Date until the twentieth (20th) calendar day preceding
the Maturity Date (the “Call Notice”). We will provide notice at least twenty (20) calendar days prior to the Call Settlement
Date. Upon exercise of our call right, holders will be entitled to receive a cash
payment equal to the Call Settlement Amount, which will be calculated as described
herein and paid on the third Business Day following the Call Valuation Date specified
in the Call Notice (the “Call Settlement Date”). If the amount so calculated is less than zero, the payment upon exercise of the
call right will be zero. Unless the scheduled Call Settlement Date is postponed because
it is not a Business Day or because there is a Market Disruption Event on the scheduled
Call Valuation Date, the final day on which we can issue a Call Notice will be November
14, 2034 (or, if the maturity of the ETNs is extended, twenty (20) calendar days prior
to the scheduled Maturity Date, as extended).
25
Indicative Value
The “Indicative Value” of the ETNs is the Intraday Indicative Value or the Closing Indicative Value of
the ETNs, as applicable.
Split or Reverse Split of the ETNs
We or the Calculation Agent may initiate a split or reverse split of the ETNs on any
Trading Day. If we or the Calculation Agent decides to initiate a split or reverse
split, we will issue a notice to holders of the ETNs and a press release announcing
the split or reverse split, specifying the effective date of the split or reverse
split. The Calculation Agent will determine the ratio of such split or reverse split,
as the case may be, using relevant market indicia, and will adjust the terms of the
ETNs accordingly. Any adjustment of the closing value will be rounded to 8 decimal
places.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs
(commonly referred to as “partials”) in a manner determined by the Calculation Agent
in its sole discretion. A split or reverse split of the ETNs will not affect the aggregate
Stated Principal Amount of ETNs held by an investor, other than to the extent of any
“partial” ETNs, but it will affect the number of ETNs an investor holds, the denominations
used for trading purposes on the exchange and the trading price, and may affect the
liquidity, of the ETNs on the exchange.
Coupon
On each Coupon Payment Date, for each ETN a holder holds on the applicable Coupon
Record Date, such holder will be entitled to receive a cash payment on the applicable
Coupon Payment Date equal to (a) the Reference Distribution Amount minus the Accrued Investor Fee, each calculated as of the corresponding Coupon Valuation
Date (the “Coupon Amount”). The final Coupon Amount will be included in the Payment at Maturity if, on the
Final Valuation Date, the Coupon Ex-Date with respect to the final Coupon Amount has
not yet occurred. The Coupon Amount will be paid on the Coupon Payment Date to the
holder of an ETN as of the applicable Coupon Record Date.
To the extent the Reference Distribution Amount on a Coupon Valuation Date is less
than the Accrued Investor Fee on the corresponding Coupon Valuation Date, there will
be no Coupon Amount due or payable on the corresponding Coupon Payment Date, and an
amount equal to the Accrued Investor Fee minus the Reference Distribution Amount (the
“Fee Shortfall”) will be included in the Accrued Investor Fee for the next Coupon Valuation Date.
This process will be repeated to the extent necessary until the Reference Distribution
Amount for a Coupon Valuation Date is greater than the Accrued Investor Fee for the
corresponding Coupon Valuation Date. If there is a Fee Shortfall as of the last Coupon
Valuation Date, that amount will be reflected in the Payment at Maturity.
Denomination
The denomination and the Stated Principal Amount of each ETN is $25.00. ETNs may be
issued at a price higher or lower than the Stated Principal Amount, based on the Indicative
Value of the ETNs at that time.
Payment at Maturity
If the ETNs have not previously been redeemed or called, on the Maturity Date holders
will be entitled to receive for each ETN a cash payment equal to the arithmetic average,
as determined by the Calculation Agent, of the Closing Indicative Values during the
five consecutive Trading Days to and including the Final Valuation Date (the “Final Valuation Period”). The “Final Valuation Date” is November 29, 2034, subject to postponement if such date is not a Trading Day,
or in the event of a Market Disruption Event or an extension of the Maturity Date
as described herein. Any Fee Shortfall as of the last Coupon Valuation Date will be
reflected in the Payment at Maturity. Any payment on the ETNs is subject to our ability
to pay our obligations as they become due. In no event will the Payment at Maturity
be less than zero.
If not previously redeemed or called, the ETNs will mature on December 4, 2034, subject
to postponement if such date is not a Business Day, in the event of a Market Disruption
Event or an extension of the Maturity Date at our option for up to two additional
five-year periods. We may only extend the scheduled Maturity Date for five years at
a time. If we exercise our option to extend the maturity of the ETNs, we will notify
DTC (the holder of the global note for the ETNs) and the trustee at least 45 but not
more than 60 calendar days prior to the then-scheduled Maturity Date. We will provide
such notice to DTC and the trustee in respect of each five-year extension of the scheduled
Maturity Date that we choose to effect.
26
If the scheduled Maturity Date is not a Business Day, the Maturity Date will be postponed
to the first Business Day following the scheduled Maturity Date. If the scheduled
Final Valuation Date is not a Trading Day, the Final Valuation Date will be postponed
to the next following Trading Day, in which case the Maturity Date will be postponed
to the third Business Day following the Final Valuation Date as so postponed. In addition,
if a Market Disruption Event occurs or is continuing on any Trading Day during the
Final Valuation Period, the Maturity Date will be postponed until the date three (3)
Business Days following the Final Valuation Date, as postponed. No interest or additional
payment will accrue or be payable as a result of any postponement of the Maturity
Date. Any payment on the ETNs is subject to our ability to pay our obligations as
they become due.
Maturity Date
If the Maturity Date is not a Business Day, the Maturity Date will be the next following
business day. If the third Business Day before this day does not qualify as a Valuation
Date (as described above), then the Maturity Date will be the third Business Day following
the Final Valuation Date. The Calculation Agent may postpone the Final Valuation Date—and therefore the Maturity Date—if a Market Disruption Event occurs or is continuing on a day that would otherwise
be the Final Valuation Date.
In the event that Payment at Maturity is deferred beyond the stated Maturity Date,
penalty interest will not accrue or be payable with respect to that deferred payment.
If the Closing Indicative Value is zero, the Payment at Maturity will be zero.
The “Closing Indicative Value” for the ETNs on the Inception Date was equal to the Stated Principal Amount. The
Closing Indicative Value on any Trading Day after the Inception Date will be calculated
by the NYSE Arca and be equal to (a) the product of the Stated Principal Amount and
the Index Factor as of such Trading Day plus (b) the Coupon Amount, if any, with respect to the most recent Coupon Valuation Date
on or before the current Trading Day if on such Trading Day the Coupon Ex-Date with
respect to such Coupon Amount has not yet occurred, plus (c) the Stub Coupon Amount as of such Trading Day, if any, minus (d) the Accrued Investor Fee as of such Trading Day. In no event, however, will the
Closing Indicative Value be less than zero. Even if the Closing Indicative Value or
Intraday Indicative Value is equal to or less than zero at any time, the trading price
of the ETNs may remain above zero. Buying the ETNs at such a time will lead to a complete
loss of a holder’s investment.
The “Index Factor” on any Trading Day, including the Final Valuation Date, will be equal to the Closing
Level of the Index on that day divided by the Initial Index Level. The Closing Level of the Index on any Trading Day will
be determined by the Index Sponsor and published on the Bloomberg page “SPMLP <Index>”
or any successor page on Bloomberg or any successor service, as applicable.
If the ETNs undergo a split or reverse split, the Stated Principal Amount, Closing
Indicative Value and Intraday Indicative Value of the ETNs will be adjusted accordingly.
Neither the Closing Indicative Value nor the Intraday Indicative Value is the same
as the closing price or any other trading price of the ETNs in the secondary market.
The trading price of the ETNs at any time may vary significantly from the Closing
Indicative Value and Intraday Indicative Value of the ETNs at such time.
The Closing Indicative Value will never be less than zero. If the Intraday Indicative
Value is equal to or less than zero at any time, the Closing Indicative Value on that
day, and all future days, will be zero. The Closing Indicative Value for each Trading
Day will be published on such Trading Day under the Bloomberg ticker symbol “MLPOIV”.
The NYSE Arca is responsible for computing and disseminating the Closing Indicative
Value.
The “Closing Level” of the Index on any Trading Day will be the closing level published on Bloomberg
under the ticker symbol “SPMLP <Index>” or any successor page on Bloomberg or any
successor service, as applicable; provided that if such day is not a Trading Day, the Closing Level of the Index will be deemed
to be the Closing Level as of the immediately preceding Trading Day; provided further that in the event a Market Disruption Event exists on a Valuation Date, the
Calculation Agent will determine the Closing Level of the Index according to the methodology
described below in “Market Disruption Events.”
The “Annual Investor Fee Rate” will be equal to 0.95% per annum.
On any Trading Day, including the Final Valuation Date, the “Accrued Investor Fee” will be equal to (a) (i) the Annual Investor Fee Rate times (ii) the number of days in the period commencing on, but excluding, the previous
Coupon Valuation Date (or, with respect to the first Coupon Period, commencing on
but excluding the Inception Date) to, and including, such Trading Day, divided by 365 times by (iii) Stated Principal Amount times (iv) the Index Factor as of such Trading Day, plus (b) the Fee Shortfall from the previous Coupon Valuation Date, if any.
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There will be a Fee Shortfall from the previous Coupon Valuation Date if the Reference
Distribution Amount on such previous Coupon Valuation Date minus the Accrued Investor Fee on such previous Coupon Valuation Date was negative. In
such case, the Fee Shortfall is equal to the absolute value of such negative number.
The Accrued Investor Fee reduces the Coupon Amount and may reduce the amount of a
holder’s return at maturity, upon early redemption or upon a call. If the Coupon Amounts
(reduced by the Accrued Investor Fee, which includes any applicable Fee Shortfall)
and the performance of the Index are not sufficient to offset the applicable fees
built into the calculation of the Payment at Maturity, the Redemption Settlement Amount
and the Call Settlement Amount, as the case may be, a holder will receive less, and
possibly significantly less, at maturity or upon early redemption or upon a call of
the ETNs than the amount of such holder’s investment.
The “Intraday Indicative Value” of the ETNs will be calculated and published by the IV Calculation Agent every 15
seconds on each Trading Day during normal trading hours under the Bloomberg ticker
symbol “MLPOIV” and under the Yahoo! Finance ticker symbol “^MLPO-IV” so long as no
Market Disruption Event has occurred or is continuing and will be disseminated over
the consolidated tape or other major market data vendor. The Intraday Indicative Value
at any time is based on the most recent intraday level of the Index. It is calculated
using the same formula as the Closing Indicative Value, except that instead of using
the Closing Level of the Index, the calculation is based on the most recent reported
level of the Index at the particular time (or, if the day on which such time occurs
is not a Trading Day, as determined by the Calculation Agent). If the Intraday Indicative
Value of the ETNs is equal to or less than zero at any time or the Closing Indicative
Value is equal to zero on any Trading Day, the Closing Indicative Value on that day,
and all future days, will be zero.
We have appointed the NYSE Arca as the “IV Calculation Agent” to calculate the Closing Indicative Value and the Intraday Indicative Value of the
ETNs. We may, at any time, vary or terminate the appointment of the IV Calculation
Agent and appoint a replacement IV Calculation Agent.
A “Business Day” is any Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which
banking institutions in New York City generally are authorized or obligated by law,
regulation or executive order to close.
A “Trading Day” is day on which trading is generally conducted on the New York Stock Exchange, the
NYSE Arca, Nasdaq and any other exchange which the Index Constituents are traded and
published.
The “Index” means the price return version of the S&P MLP Index. The Index includes both master
limited partnerships (“MLPs”) and limited liability companies (“LLCs”), which have a similar legal structure to MLPs and share the same tax characteristics
as MLPs (collectively, the “Index Constituents”), that trade on major U.S. exchanges. The Index Constituents are classified in the
GICS® Energy Sector and GICS® Gas Utilities Industry according to the Global Industry Classification Standard® (“GICS”).
The ETNs do not guarantee any return of a holder’s investment. If the level of the
Index decreases or does not increase sufficiently to offset the Accrued Investor Fee
reflected in the Closing Indicative Value of the ETN, a holder will receive less,
and possibly significantly less, at maturity or upon early redemption or upon a call
of the ETNs than the amount of such holder’s investment. Any payment holders will
be entitled to receive is subject to our ability to pay our obligations as they become
due.
Payment Upon Early Redemption
Prior to maturity, holders may, subject to certain restrictions described below, offer
at least the applicable minimum number (the “Minimum Redemption Amount”) of ETNs to us for early redemption by delivering to us a redemption notice (the
“Redemption Notice”). The minimum redemption amount will be equal to 50,000 ETNs, except that we or
CSSU may from time to time reduce, in part or in whole, the minimum redemption amount.
Any such reduction will be applied on a consistent basis for all holders of the ETNs
at the time such reduction becomes effective. If the ETNs undergo a split or reverse
split, the minimum number of ETNs needed to exercise the right to cause us to redeem
the ETNs will remain the same.
If a holder elects to offer its ETNs for early redemption and the requirements for
acceptance by us are met, such holder will receive on the Redemption Settlement Date
a cash payment in an amount equal to the Redemption Settlement Amount for each ETN
such holder holds. Investors will be charged the applicable Redemption Fee Amount
for ETNs redeemed at such holder’s option. Any payment on the ETNs is subject to our
ability to pay our obligations as they become due.
A holder may provide a Redemption Notice on any Business Day during the term of the
ETNs, starting on the Business Day following the Inception Date until November 21,
2034 (or, if the maturity of the ETNs is extended, five scheduled Trading Days prior
to the scheduled Final Valuation Date, as extended).
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If the number of ETNs being redeemed is less than the Redemption Liquidity Threshold
(a “Small Redemption”), the Redemption Settlement Amount will be a cash payment per ETN equal to the greater
of (a) zero and (b) (1) the Closing Indicative Value on the applicable Small Redemption
Valuation Date, minus (2) the Redemption Fee Amount.
If the number of ETNs being redeemed is equal to or greater than the Redemption Liquidity
Threshold (a “Large Redemption”), the Redemption Settlement Amount will be a cash payment per ETN equal to the greater
of (a) zero and (b) (1) the arithmetic average, as determined by the Calculation Agent,
of the Closing Indicative Values during the Redemption Valuation Period, minus (2) the Redemption Fee Amount.
A holder may exercise its early redemption right by causing its broker or other person
with whom such holder holds its ETNs to deliver a Redemption Notice (as defined herein)
to Credit Suisse.
In the case of a Small Redemption, and where the Redemption Notice is delivered prior
to 4:00 p.m. New York City time on any Business Day, the immediately following Trading
Day will be the applicable “Small Redemption Valuation Date”. If the Redemption Notice is delivered at or after 4:00 p.m. New York City time,
the Small Redemption Valuation Date will be the second following Trading Day.
In the case of a Large Redemption, and where the Redemption Notice is delivered prior
to 4:00 p.m. New York City time on any Business Day, the immediately following Trading
Day will be the first day of the Redemption Valuation Period. If the Redemption Notice
is delivered at or after 4:00 p.m. New York City time, the first day of the Redemption
Valuation Period will be the second following Trading Day. In either case, the Large
Redemption Valuation Date will be the last day of the Redemption Valuation Period.
When a holder submits its ETNs for redemption in accordance with the redemption procedures
described herein, its ETNs may remain outstanding (and be resold by us or an affiliate)
or may be submitted by us for cancellation.
The “Redemption Settlement Date” will be the third Business Day following a Redemption Valuation Date.
The “Redemption Valuation Period” for Large Redemptions will be a period of five consecutive Trading Days to, and
including, the Large Redemption Valuation Date.
In the case of a Small Redemption, the Redemption Fee Amount will be equal to the
product of (1) the Closing Indicative Value of the ETNs on the applicable Trading
Day times (2) 0.10%.
In the case of a Large Redemption, the Redemption Fee Amount will be equal to the
product of (1) the arithmetic average, as determined by the Calculation Agent, of
the Closing Indicative Values of the ETNs during the Redemption Valuation Period,
times (2) 0.10%.
The “Redemption Liquidity Threshold” will be equal to 1,000,000 ETNs.
Procedures for Early Redemption
If a holder wishes to offer its ETNs to Credit Suisse for early redemption, such holder’s
broker or other person with whom such holder holds its ETNs must follow the following
procedures:
■ Deliver a notice of early redemption (the “Redemption Notice”), to Credit Suisse via email or other electronic delivery as requested by Credit
Suisse. In the case of a Small Redemption, and where the Redemption Notice is delivered
prior to 4:00 p.m. New York City time on any Business Day, the immediately following
Trading Day will be the applicable “Small Redemption Valuation Date”. If the Redemption Notice is delivered at or after 4:00 p.m. New York City time,
the Small Redemption Valuation Date will be the second following Trading Day. In the
case of a Large Redemption, and where the Redemption Notice is delivered prior to
4:00 p.m. New York City time on any Business Day, the immediately following Trading
Day will be the first day of the Redemption Valuation Period. If the Redemption Notice
is delivered at or after 4:00 p.m. New York City time, the first day of the Redemption
Valuation Period will be the second following Trading Day. In either case, the Large
Redemption Valuation Date will be the last day of the Redemption Valuation Period
Credit Suisse or its affiliate must acknowledge to a holder’s broker or other person
with whom such holder holds its ETNs acceptance of the Redemption Notice in order
for such holder’s early redemption request to be effective;
■ Notwithstanding the foregoing, Credit Suisse may, at its option, waive the requirement
that the Redemption Notice be delivered as set forth above, if confirmed by Credit
Suisse that a written indication of an offer for early redemption has otherwise been
accepted by Credit Suisse. Any such written indication that is delivered at or after
4:00 p.m., New York City time, on any Business Day, will
29
be deemed to have been made on the following Business Day. For the avoidance of doubt,
a holder may choose to comply with the procedures set forth above in lieu of the procedures
in this clause, irrespective of any waiver by Credit Suisse;
■ Cause the holder’s DTC custodian to book a delivery versus payment trade with respect
to the ETNs on the applicable Redemption Valuation Date at a price equal to the applicable
Redemption Settlement Amount, facing us; and
■ Cause the holder’s DTC custodian to deliver the trade as booked for settlement via
DTC at or prior to 10:00 a.m. New York City time, on the applicable Redemption Date
(the third Business Day following the Redemption Valuation Date).
The holder is responsible for (i) instructing or otherwise causing its broker or other
person with whom such holder holds its ETNs to provide the Redemption Notice (unless
otherwise waived by Credit Suisse as set forth above) and (ii) its broker satisfying
the additional requirements as set forth in the second and third bullets above in
order for the early redemption to be effected. Different brokerage firms may have
different deadlines for accepting instructions from their customers. Accordingly,
a holder should consult the brokerage firm through which it owns its interest in the
ETNs in respect of such deadlines. If Credit Suisse does not (i) receive the Redemption
Notice from the holder’s broker prior to 4:00 p.m. and (ii) deliver an acknowledgment
of such Redemption Notice to such broker accepting such redemption request by 7:30
p.m., on the Business Day prior to the applicable Redemption Valuation Date or the
first day of the Redemption Valuation Period, as the case may be, such notice will
not be effective for such Business Day and Credit Suisse will treat such Redemption
Notice as if it was received on the next Business Day. Any redemption instructions
for which Credit Suisse receives a valid confirmation in accordance with the procedures
described above will be irrevocable after Credit Suisse confirms a holder’s offer
for early redemption.
Because the Redemption Settlement Amount a holder will receive for each ETN will not
be determined until the close of trading on the applicable Redemption Valuation Date,
a holder will not know the applicable Redemption Settlement Amount at the time such
holder exercises its redemption right and will bear the risk that its ETNs will decline
in value between the time of such holder’s exercise and the time at which the Redemption
Settlement Amount is determined.
Issuer Call Right
We have the right to call the ETNs in whole or in part on any Trading Day during the
term of the ETNs by providing notice to holders of the ETNs starting on the Trading
Day following the Inception Date until the twentieth (20th) calendar day preceding
the Maturity Date (the “Call Notice”). We will provide notice at least twenty (20) calendar days prior to the Call Settlement
Date.
Upon exercise of our call right, holders will be entitled to receive a cash payment
equal to the Call Settlement Amount, which will be calculated as described herein
and paid on the third Business Day following the Call Valuation Date specified in
the Call Notice (the “Call Settlement Date”). If the amount so calculated is less than zero, the payment upon exercise of the
call right will be zero.
Unless the scheduled Call Settlement Date is postponed because it is not a Business
Day or because there is a Market Disruption Event on the scheduled Call Valuation
Date, the final day on which we can issue a Call Notice will be November 14, 2034
(or, if the maturity of the ETNs is extended, twenty (20) calendar days prior to the
scheduled Maturity Date, as extended).
Market Disruption Events
As set forth under “Payment at Maturity”, “Payment Upon Early Redemption” and “Issuer
Call Right” above, the Index Sponsor will determine the Closing Level of the Index
on each Valuation Date, including the Final Valuation Date. Notwithstanding the foregoing,
the Calculation Agent will be solely responsible for the determination and calculation
of any adjustments to the Index and of any related determinations and calculations
with respect to any event described below and its determinations and calculations
will be conclusive absent manifest error.
A “Market Disruption Event” means the occurrence or existence on any scheduled Trading Day during the one-half
hour period that ends at the relevant Valuation Time, of any suspension of or limitation
imposed on trading (by reason of movements in price exceeding limits permitted by
the relevant exchange or otherwise) on:
(a) an exchange on which securities that comprise 20% or more of the level of the Index
(or a Successor Index) are traded based on a comparison of (1) the portion of the
level of the Index (or a Successor Index) attributable to each Index Constituent comprising
the Index (or a Successor Index) in which trading is, in the determination of the
Calculation Agent, materially suspended or materially limited relative to (2) the
overall level of the Index (or a Successor Index), in the case of (1) or (2) immediately
before that suspension or limitation;
(b) a Related Exchange in options contracts on the Index (or a Successor Index); or
(c) a Related Exchange in futures contracts on the Index (or a Successor Index); and
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in the case of (a), (b) or (c) a determination by the Calculation Agent that such
suspension or limitation is material.
“Related Exchange” means any exchange on which futures or options contracts relating to the Index are
traded and any successor to such exchange or any substitute exchange to which trading
in futures or options contracts relating to the Index has temporarily relocated.
“Exchange” means the principal exchange on which the relevant security is traded.
“Valuation Time” means the time at which the Index Sponsor calculates the Closing Level of the Index
on any Trading Day.
A Valuation Date will be postponed and thus the determination of the Closing Level
of the Index will be postponed if the Calculation Agent reasonably determines that,
on such Valuation Date, a Market Disruption Event has occurred or is continuing. In
such case, that Valuation Date will be postponed to the next Trading Day on which
the Calculation Agent determines that no Market Disruption Event occurs or is continuing,
unless in respect of such Valuation Date the Calculation Agent determines that a Market
Disruption Event occurs or is continuing on each of the six scheduled Trading Days
immediately following the scheduled Valuation Date. In that case, (a) the sixth scheduled
Trading Day following the scheduled Valuation Date will be deemed to be the Valuation
Date, notwithstanding the Market Disruption Event, and (b) the Calculation Agent will
determine the Closing Level for the Index on that deemed Valuation Date in accordance
with the formula for and method of calculating the Index last in effect prior to the
commencement of the Market Disruption Event using exchange traded prices of the Index
Constituents on the relevant exchanges (as determined by the Calculation Agent in
its sole and absolute discretion) or, if trading in any Index Constituent has been
materially suspended or materially limited, its good faith estimate of the prices
that would have prevailed on the exchanges (as determined by the Calculation Agent
in its sole and absolute discretion) but for the suspension or limitation, as of the
Valuation Time on that deemed Valuation Date, of each Index Constituent (subject to
the provisions described under “Discontinuation or Modification of the Index” herein).
Any such postponement or determinations by the Calculation Agent may adversely affect
the return on the ETNs. In addition, no interest or other payment will be payable
as a result of such postponement.
If a scheduled Valuation Date is postponed due to a Market Disruption Event, the corresponding
Redemption Settlement Date or the corresponding Call Settlement Date will also be
postponed so that such Redemption Settlement Date or such Call Settlement Date, respectively,
occurs on the third Business Day following the Valuation Date as postponed. If a scheduled
Coupon Valuation Date is postponed due to a Market Disruption Event the corresponding
Coupon Payment Date will also be postponed so that such Coupon Payment Date occurs
on the fifteenth Business Day following the Coupon Valuation Date as postponed. If
the Final Valuation Date is postponed due to a Market Disruption Event, the Maturity
Date will also be postponed so that the Maturity Date occurs on the third Business
Day following the Final Valuation Date as postponed.
Default Amount on Acceleration
For the purpose of determining whether the holders of our senior medium-term notes,
of which the ETNs are a part, are entitled to take any action under the indenture,
we will treat the Stated Principal Amount of each ETN outstanding as the principal
amount of that ETN. Although the terms of the ETNs may differ from those of the other
senior medium-term notes, holders of specified percentages in principal amount of
all senior medium-term notes, together in some cases with other series of our debt
securities, will be able to take action affecting all the senior medium-term notes,
including the ETNs. This action may involve changing some of the terms that apply
to the senior medium-term notes, accelerating the maturity of the senior medium-term
notes after a default or waiving some of our obligations under the indenture.
In case an event of default with respect to ETNs shall have occurred and be continuing,
the amount declared due and payable upon any acceleration of the ETNs will be determined
by CSi, as the Calculation Agent, and will equal, for each ETN that a holder then
holds, the Closing Indicative Value determined by the Calculation Agent occurring
on the Trading Day following the date on which the ETNs were declared due and payable.
Further Issuances
We may, from time to time, without notice to or the consent of the holders of the
ETNs, create and issue additional securities having the same terms and conditions
as the ETNs, and ranking on an equal basis with the ETNs in all respects.
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Discontinuation or Modification of the Index
If the Index Sponsor discontinues publication of the Index and the Index Sponsor or
anyone else publishes a substitute index that the Calculation Agent determines is
comparable to the Index, then the Calculation Agent will permanently replace the original
Index with that substitute index (the “Successor Index”) for all purposes, and all provisions described herein as applying to the Index
will thereafter apply to the Successor Index instead. If the Calculation Agent replaces
the original Index with a Successor Index, then the Calculation Agent will determine
the Redemption Settlement Amount, Call Settlement Amount or Payment at Maturity, as
applicable, by reference to the Successor Index.
If the Calculation Agent determines that the publication of the Index is discontinued
and there is no Successor Index, the Calculation Agent will determine the level of
the Index and thus the applicable Payment Amount, by a computation methodology that
the Calculation Agent determines, will as closely as reasonably possible replicate
the Index.
If the Calculation Agent determines that the Index, the Index Constituents or the
method of calculating the Index is changed at any time in any respect, including whether
the change is made by the Index Sponsor under its existing policies or following a
modification of those policies, is due to the publication of a Successor Index, is
due to events affecting the Index Constituents or is due to any other reason and is
not otherwise reflected in the level of the Index by the Index Sponsor pursuant to
the Index methodology, then the Calculation Agent will be permitted (but not required)
to make such adjustments in the Index or the method of its calculation as it believes
are appropriate to ensure that the Closing Level of the Index used to determine the
Redemption Settlement Amount, Call Settlement Amount or Payment at Maturity is equitable.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated
by holders and approved by us, or at the office of the trustee in New York City, but
only when the ETNs are surrendered to the trustee at that office. We also may make
any payment or delivery in accordance with the applicable procedures of the depositary.
Role of CSi
Credit Suisse International (“CSi”), an affiliate of ours and the Calculation Agent, will, in its reasonable discretion,
make certain calculations and determinations that may impact the value of the ETNs,
including determination of the arithmetic average of the Closing Indicative Values
where applicable, Redemption Valuation Dates, Trading Days, a split or reverse split
of the ETNs, calculation of default amounts, Market Disruption Events and any Successor
Index and any other calculations or determinations to be made by the Calculation Agent
as specified herein.
If the Calculation Agent ceases to perform its role, we will either, at our sole discretion,
perform such role, appoint another party to do so or call the ETNs.
We may appoint a different Calculation Agent from time to time without consent and
without notifying holders.
Description of Credit Suisse X-Links® Gold Shares Covered Call ETNs due February 2, 2033
Defined terms used within this subsection are defined only with respect to the ETNs
listed in the subsection heading above and described within this subsection.
General
The return on the X-Links® Gold Shares Covered Call ETNs due February 2, 2033 (“ETNs”) will be based on the performance of the Credit Suisse NASDAQ Gold FLOWSTM 103 Index (the “Index”), as reflected by their Indicative Value, calculated as set forth below. The Index
measures the return of a “covered call” strategy on the shares of the SPDR® Gold Trust (the “GLD Shares”) by reflecting changes in the price of the GLD Shares and the notional option premiums
received from the notional sale of monthly call options on the GLD Shares less the
Notional Transaction Costs incurred in connection with the implementation of the covered
call strategy (the “Notional Transaction Costs”). These costs reflect the monthly transaction costs of hypothetically buying and
selling the call options
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and selling the GLD Shares and equal 0.03%, 0.03% and 0.01%, respectively, times the closing price of the GLD Shares on the date of such notional transactions and,
which, on an annual basis, are approximately equal to 0.84%. The actual cost will
vary depending on the value of the GLD Shares on the date of such transactions. The
Index strategy consists of a hypothetical notional portfolio that takes a “long” position
in GLD Shares and sells a succession of notional, approximately one-month, call options
on the GLD Shares with a strike price of approximately 103% of the price of the GLD
Shares exercisable on the option expiration date (the “Options” and together with the long position in GLD Shares, the “Index Components”). The notional sale of the Options is “covered” by the notional long position in
the GLD Shares. The long position in the GLD Shares and the “short” call options are
held in equal notional amounts (i.e., the short position in each Option is “covered”
by the long position in the GLD Shares). This strategy is intended to provide exposure
to gold through the notional positions in the GLD Shares and the Options that seeks
to (i) generate periodic cash flows that a direct long-only ownership position in
the GLD Shares would not, (ii) provide a limited offset to losses from downside market
performance in the GLD Shares via the cash flows from option premiums and (iii) provide
limited potential upside participation in the performance of the GLD Shares. The level
of the Index on any day reflects the value of (i) the notional long position in the
GLD Shares; (ii) the notional Option premium; and (iii) the notional short position
in the Options then outstanding; and net of the Notional Transaction Costs. The ETNs
will not participate in the potential upside of the GLD Shares beyond the applicable
strike price of the Options and the Notional Transaction Costs. The Index is subject
to the policies of CSi and NASDAQ OMX (the “Index Sponsors”) and is subject to the Index Sponsors’ discretion, including with respect to the
implementation of, and changes to, the rules governing the Index methodology.
Inception, Issuance and Maturity
The initial issuance of ETNs priced on January 28, 2013 (the “Inception Date”) and settled on February 1, 2013 (the “Initial Settlement Date”). The “Maturity Date” is initially February 2, 2033, but the maturity of the ETNs may be extended at our
option for up to two additional five-year periods, as described herein.
Intraday Indicative Value
The “Intraday Indicative Value” of the ETNs is designed to reflect the economic value of the ETNs at a given time.
The Intraday Indicative Value of the ETNs will be calculated and published by the
Index Calculation Agent every fifteen (15) seconds on each Trading Day during normal
trading hours so long as no Market Disruption Event has occurred or is continuing
and will be disseminated over the consolidated tape or other major market data vendor.
The Intraday Indicative Value of the ETNs at any time is based on the most recent
intraday level of the Index. It is calculated using the same formula as the Closing
Indicative Value, except that instead of using the Closing Level of the Index, the
calculation is based on the most recent reported level of the Index at the particular
time (or, if the day on which such time occurs is not a Trading Day, as determined
by the Calculation Agent).
At any time at which a Market Disruption Event has occurred and is continuing, there
shall be no Intraday Indicative Value. If the Intraday Indicative Value of the ETNs
is equal to or less than zero at any time or the Closing Indicative Value is equal
to zero on any Trading Day, the Closing Indicative Value of the ETNs on that day,
and all future days, will be zero.
Neither the Intraday Indicative Value nor the Closing Indicative Value calculation
is intended as a price or quotation, or as an offer or solicitation for the purchase,
sale, redemption, acceleration or termination of a holder’s ETNs, nor will it reflect
hedging or transaction costs, credit considerations, market liquidity or bid-offer
spreads. The Index Calculation Agent is responsible for computing and disseminating
the ETN’s Indicative Values. Published levels of the Index from the Index Calculation
Agent may occasionally be subject to delay or postponement. Any such delays or postponements
will affect the current level of the Index and therefore the Intraday Indicative Value
of the ETNs. The actual trading price of the ETNs may be different from their Intraday
Indicative Value or Closing Indicative Value.
The actual trading price of the ETNs at any time may vary significantly from the Intraday
Indicative Value at such time. The trading price of the ETNs at any time is the price
that holders may be able to buy or sell their ETNs in the secondary market at such
time, if one exists.
The trading price of the ETNs at any time is the price at which holders may be able
to buy or sell their ETNs in the secondary market at such time, if one exists. In
the absence of an active secondary market for the ETNs, the last reported trading
price may not reflect the actual price at which holders may be able to buy or sell
their ETNs at a particular time. The trading price of the ETNs at any time may vary
significantly from their Indicative Value at such time due to, among other things,
imbalances of supply and demand, lack of liquidity, transaction costs, credit considerations
and bid-offer spreads.
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The closing price of the ETNs will be published on each Trading Day under the ticker
symbol “GLDI”. Any premium or discount may be reduced or eliminated at any time. Paying
a premium purchase price of the ETNs over the Intraday Indicative Value or the Closing
Indicative Value of the ETNs could lead to significant losses in the event holders
sell their ETNs at a time when such premium is no longer present in the market place
or such ETNs are redeemed by us (including pursuant to an acceleration at our option),
in which case holders will be entitled to receive a cash payment based on the Closing
Indicative Value on the relevant Valuation Date(s).
The ETNs may be redeemed or accelerated at any time, subject to the conditions described
herein.
As discussed in “Payment Upon Early Redemption” below, a holder may, subject to certain
restrictions, provide a Redemption Notice on any Business Day during the term of the
ETNs beginning on January 29, 2013 through January 21, 2033 (or, if the maturity of
the ETNs is extended, five (5) scheduled Trading Days prior to the scheduled Final
Valuation Date, as extended) (for an anticipated January 24, 2033 Early Redemption
Valuation Date and an anticipated Early Redemption Date of January 27, 2033 or, if
the maturity of the ETNs is extended, an Early Redemption Valuation Date four (4)
scheduled Trading Days prior to the scheduled Final Valuation Date, as extended, and
an Early Redemption Date one scheduled Business Day prior to the scheduled Final Valuation
Date, as extended). If a holder elects to offer its ETNs to Credit Suisse for redemption,
such must offer at least the applicable Minimum Redemption Amount at one time for
redemption on any Early Redemption Date.
In addition, we have the right to accelerate the ETNs in whole or in part at any time
on any Business Day occurring on or after the Inception Date or upon the occurrence
of certain events described herein. Upon an acceleration of all of the outstanding
ETNs, holders will be entitled to receive a cash payment per ETN in an amount (the
“Accelerated Redemption Amount”) equal to the arithmetic average, as determined by the Calculation Agent, of the
Closing Indicative Values of such ETNs during the Accelerated Valuation Period. If
fewer than all of the outstanding ETNs are accelerated, the Accelerated Redemption
Amount will be the Closing Indicative Value on the Accelerated Valuation Date. If
less than all the ETNs are to be redeemed pursuant to an Optional Acceleration or
an Event Acceleration, the trustee shall select, pro rata, by lot or in such manner
as it deems appropriate and fair, the ETNs to be redeemed pursuant to such acceleration.
ETNs may be accelerated in part in multiples of 50,000 ETNs, or an integral multiple
of 50,000 ETNs in excess thereof.
The last date on which Credit Suisse will redeem the ETNs at a holder’s option will
be January 27, 2033 (or, if the maturity of the ETNs is extended, one scheduled Business
Day prior to the scheduled Maturity Date, as extended). As such, holders must offer
their ETNs for redemption no later than January 21, 2033 (or, if the maturity of the
ETNs is extended, five (5) scheduled Trading Days prior to the scheduled Final Valuation
Date, as extended). The daily redemption feature is intended to induce arbitrageurs
to counteract any trading of the ETNs at a premium or discount to their Indicative
Value, although there can be no assurance that arbitrageurs will employ the redemption
feature in this manner.
Indicative Value
The “Indicative Value” of the ETNs is the Intraday Indicative Value or the Closing Indicative Value of
the ETNs, as applicable.
Split or Reverse Split of the ETNs
The Calculation Agent may initiate a split or reverse split of the ETNs on any Trading
Day. If the Calculation Agent decides to initiate a split or reverse split, the Calculation
Agent will issue a notice to holders of the ETNs and a press release announcing the
split or reverse split, specifying the effective date of the split or reverse split.
The Calculation Agent will determine the ratio of such split or reverse split, as
the case may be, using relevant market indicia, and will adjust the terms of the ETNs
accordingly. Any adjustment of the closing value will be rounded to 8 decimal places.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs
(commonly referred to as “partials”) in a manner determined by the Calculation Agent
in its sole discretion. A split or reverse split of the ETNs will not affect the aggregate
stated principal amount of ETNs held by an investor, other than to the extent of any
“partial” ETNs, but it will affect the number of ETNs an investor holds, the denominations
used for trading purposes on the exchange and the trading price, and may affect the
liquidity, of the ETNs on the exchange.
Coupon Amount
On each Coupon Payment Date, for each $20.00 stated principal amount of the ETNs,
holders on the Coupon Record Date will be entitled to receive a variable cash payment
equal to the Closing Indicative Value on the Index Business Day immediately preceding
the relevant Index Distribution Date multiplied by the Coupon Percentage for that
Index Distribution Date. The Coupon will be paid on the
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Coupon Payment Date to the holder of record on the applicable Coupon Record Date.
No Coupon Amount will be due or payable in the event a holder elects to offer its
ETNs for early redemption or we accelerate the maturity of the ETNs.
The Coupon Percentage in respect of an Index Distribution Date will be the Distribution
for such Index Distribution Date divided by the Closing Level of the Index the Index Business Day immediately preceding the Index
Distribution Date. The Distribution represents the notional monthly call premium earned
on the sale of the call options written on the GLD Shares during the immediately preceding
Index Rebalancing Period pursuant to the Index methodology.
The premiums generated from the notional sales of the Options will be subtracted monthly
from the Index and paid to holders of the ETNs in the form of a Coupon Amount, the
amount of which is determined based on the notional premiums received from the sale
of the Options during the preceding Rebalancing Period as described below.
The “Index Rebalancing Period” refers to the five (5) consecutive Index Calculation Days beginning on and including
the Index Calculation Day that is ten (10) calendar days prior to the Expiry Date
(as defined below) of the relevant Options (each, a “Roll Date”). The Index will be rebalanced at the end of each Roll Date in accordance with the
following steps:
■ First, on the Index Calculation Day preceding the first Roll Date of each month, the
strike price of the new Option is determined. The strike price will be the lowest
listed strike price that is above 103% of the price per Share as of the 4:00 p.m.
New York City time on such date of determination. Then, the Index will roll its monthly
exposure over the next five (5) consecutive Index Calculation Days. The roll percentage
is the proportion of the expiring position being rolled into a new position on each
Roll Date.
■ At the end of the first Roll Date, and on each successive Roll Date of such Index
Rebalancing Period, the Index will notionally sell the new Option. Additionally, as
of the end of each such Roll Date, the Index will hypothetically close out through
repurchase 20% (or such greater amount in the event of roll disruptions) of the Options
notionally sold during the previous Index Rebalancing Period (the expiring Options);
the Index will notionally liquidate GLD Shares Units in an amount sufficient to fund
the notional repurchase.
■ Finally, on the last Roll Date of such Index Rebalancing Period, the Index will determine
the amount of the notional Option premium, which will, on the close of the last Roll
Date of the next following Index Rebalancing Period, be subtracted from the Index
as a Distribution and paid to holders of the ETNs in the form of the Coupon Amount.
An Index Distribution Date will be the date on which the Distribution is subtracted
from the level of the Index pursuant to the rules of the Index, which will occur on
the last Roll Date of a given Index Rebalancing Period.
The Coupon Amount is calculated by reference to the notional Distribution from the
Index, which will decrease the level of the Index (and therefore the value of the
ETNs), as the Distribution comes directly from the notional portfolio reflected by
the Index Components. When the Distribution is deducted from the Index on the Index
Distribution Date, the Coupon Amount will be added to the Closing Indicative Value
and the Intraday Indicative Value of the ETNs. At the market opening on the Ex-Coupon
Date, the ETNs will trade on an ex-coupon basis, adjusted for the Coupon Amount, meaning
that the Coupon Amount will no longer be included in the Closing Indicative Value
or the Intraday Indicative Value of the ETNs. For a holder to receive the upcoming
Coupon Amount, the holder must own the ETNs on the Coupon Record Date.
The “Ex-Coupon Date” means, with respect to each Coupon Amount, the first Trading Day on which the ETNs
trade without the right to receive such Coupon Amount.
Denomination
The denomination and stated principal amount of each ETN is $20.00. ETNs may be issued
at a price that is higher or lower than the stated principal amount, based on the
Indicative Value of the ETNs at that time.
Payment at Maturity
At maturity, holders of the ETNs will be entitled to receive a cash payment on February
2, 2033 (the “Maturity Date”) (or, if the maturity of the ETNs is extended, on the scheduled Maturity Date, as
extended) that is equal to the “Final Indicative Value”, which will be the arithmetic average, as determined by the Calculation Agent, of
the Closing Indicative Value on each of the immediately preceding five (5) Trading
Days to and including the Final Valuation Date (the “Final Valuation Period”). We refer to the amount of such payment as the “Maturity Redemption Amount”. If the scheduled Maturity Date is not a Business Day, the Maturity Date will be
postponed to the first Business Day following the scheduled Maturity Date. If the
scheduled Final Valuation Date is not a Trading Day, the Final Valuation Date will
be postponed to the next following Trading Day, in which case the Maturity Date will
be postponed to the third Business Day following the Final Valuation Date as so postponed.
In addition, if a Market Disruption Event occurs or is continuing on the Final Valuation
Date, the Maturity Date will be postponed until the date three (3) Business Days following
the
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Final Valuation Date, as postponed. No interest or additional payment will accrue
or be payable as a result of any postponement of the Maturity Date. Any payment on
the ETNs is subject to our ability to pay our obligations as they become due. In no
event will the payment at maturity be less than zero.
The scheduled Maturity Date is initially February 2, 2033, but may be extended at
our option for up to two (2) additional five-year periods. We may only extend the
scheduled Maturity Date for five (5) years at a time. If we exercise our option to
extend the maturity of the ETNs, we will notify DTC (the holder of the global note
for the ETNs) and the trustee at least 45 but not more than 60 calendar days prior
to the then scheduled Maturity Date. We will provide such notice to DTC and the trustee
in respect of each five-year extension of the scheduled Maturity Date that we choose
to effect.
If the Final Indicative Value is zero, the Maturity Redemption Amount will be zero.
The “Closing Indicative Value” on the Inception Date was $20.00 (the “Initial Indicative Value”). The Closing Indicative Value on each calendar day following the Inception Date
will be calculated by the Index Calculation Agent and will be equal to (1) the Current
Principal Amount for such calendar day plus (2) for any day on or after the Index Distribution Date but prior to the Ex-Coupon
Date for a given month, any accrued but unpaid Coupon Amount. The Closing Indicative
Value will never be less than zero. If the Intraday Indicative Value is equal to or
less than zero at any time or the Closing Indicative Value is equal to zero on any
Trading Day, the Closing Indicative Value of the ETNs on that day, and all future
days, will be zero. The Closing Indicative Value is not the same as the closing price
or any other trading price of the ETNs in the secondary market. The trading price
of the ETNs at any time may vary significantly from their Indicative Value at such
time. If the ETNs undergo a split or reverse split, the Closing Indicative Value of
the ETNs will be adjusted accordingly (see “Split or Reverse Split of the ETNs”).
Such adjustment may adversely affect the trading price and liquidity of the ETNs.
Even if the Closing Indicative Value or Intraday Indicative Value is equal to or less
than zero at any time, the trading price of the ETNs may remain above zero. Buying
the ETNs at such a time will lead to a complete loss of a holder’s investment.
The “Current Principal Amount” on each calendar day following the Inception Date will be equal to (1)(a) the Current
Principal Amount on the immediately preceding calendar day times (b) the Daily Index Factor on such calendar day minus (2) the Daily Investor Fee on such calendar day. The Current Principal Amount on
the Inception Date was $20.00.
A “Business Day” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking
institutions in New York City or London, England generally are authorized or obligated
by law, regulation or executive order to close.
A “Trading Day” is a day which is (i) an Index Business Day, (ii) an ETN Business Day and (iii) an Index Component Business Day for each of the Index
Components.
An “Index Business Day” is a day on which the level of the Index is calculated and published.
With respect to any Index Component, an “Index Component Business Day” is a day on which trading is generally conducted on any markets on which such Index
Component is traded.
An “ETN Business Day” is a day on which trading is generally conducted on the New York Stock Exchange,
NYSE Arca and NASDAQ.
The “Daily Index Factor” on any Index Business Day will equal (a) the Closing Level of the Index on such
Index Business Day divided by (b) the Closing Level of the Index on the immediately preceding Index Business Day.
The Daily Index Factor is deemed to be one on any day that is not an Index Business
Day.
On any calendar day, the “Daily Investor Fee” will be equal to the product of (1)(a) the Current Principal Amount on the immediately
preceding calendar day times (b) the Daily Index Factor on such calendar day times (2)(a) the Investor Fee Rate divided by (b) 365. The “Investor Fee Rate” will be equal to 0.65%.
The ETNs do not guarantee any return of a holder’s investment. If the level of the
Index decreases or does not increase sufficiently to offset the Daily Investor Fee
(and in the case of Early Redemption, the Early Redemption Charge) over the term of
the ETNs, a holder will receive less, and possibly significantly less, at maturity
or upon early redemption or acceleration of the ETNs than the amount of such holder’s
investment.
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The “Closing Level” of the Index on any Trading Day will be the Closing Level published on Bloomberg
under the ticker symbol “QGLDI <Index>” or any successor page on Bloomberg or any
successor service, as applicable; provided that in the event a Market Disruption Event
exists on a Valuation Date, the Calculation Agent will determine the Closing Level
of the Index.
Any payment holders will be entitled to receive is subject to our ability to pay our
obligations as they become due.
Payment Upon Early Redemption
Prior to maturity, holders may, subject to certain restrictions described below, offer
at least the applicable Minimum Redemption Amount or more of the ETNs to us for redemption
on an Early Redemption Date during the term of the ETNs until January 21, 2033 (or,
if the maturity of the ETNs is extended, five (5) scheduled Trading Days prior to
the scheduled Final Valuation Date, as extended). If a holder elects to offer its
ETNs for redemption, and the requirements for acceptance by us are met, such holder
will be entitled to receive a cash payment per ETN on the Early Redemption Date equal
to the Early Redemption Amount. Any payment holders will be entitled to receive on
the ETNs is subject to our ability to pay our obligations as they become due.
A holder may exercise its early redemption right by causing its broker or other person
with whom such holder holds its ETNs to deliver a Redemption Notice (as defined herein)
to Credit Suisse. If such Redemption Notice is delivered prior to 4:00 p.m., New York
City time, on any Business Day, the immediately following Trading Day will be the
applicable “Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. See “Procedures for Early Redemption”.
A holder must offer for redemption at least 50,000 ETNs or an integral multiple of
50,000 ETNs in excess thereof at one time in order to exercise its right to cause
us to redeem its ETNs on any Early Redemption Date (the “Minimum Redemption Amount”); provided that we or CSi as the Calculation Agent may from time to time reduce,
in part or in whole, the Minimum Redemption Amount. Any such reduction will be applied
on a consistent basis for all holders of the ETNs at the time the reduction becomes
effective. If the ETNs undergo a split or reverse split, the minimum number of ETNs
needed to exercise the right to cause us to redeem the ETNs will remain the same.
When a holder submits its ETNs for redemption in accordance with the redemption procedures
described herein, such ETNs may remain outstanding (and be resold by us or an affiliate)
or may be submitted by us for cancellation.
The “Early Redemption Date” is the third Business Day following an Early Redemption Valuation Date.
The “Early Redemption Charge” per ETN will equal 0.125% times the Closing Indicative Value on the Early Redemption Valuation Date.
The “Early Redemption Amount” is a cash payment per ETN equal to the greater of (A) zero and (B)(1) the Closing
Indicative Value on the applicable Early Redemption Valuation Date minus (2) the Early Redemption Charge, calculated by the Calculation Agent.
Procedures for Early Redemption
If a holder wishes to offer its ETNs to Credit Suisse for redemption, such holder’s
broker or other person with whom such holder holds its ETNs must follow the following
procedures:
■ Deliver a notice of redemption (the “Redemption Notice”), to Credit Suisse via email or other electronic delivery as requested by Credit
Suisse. If such Redemption Notice is delivered prior to 4:00 p.m., New York City time,
on any Business Day, the immediately following Trading Day will be the applicable
“Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. If Credit Suisse receives a holder’s Redemption Notice no later than
4:00 p.m., New York City time, on any Business Day, Credit Suisse will respond by
sending its broker an acknowledgment of the Redemption Notice accepting such redemption
request by 7:30 p.m., New York City time, on the Business Day prior to the applicable
Early Redemption Valuation Date. Credit Suisse or its affiliate must acknowledge to
the holder’s broker acceptance of the Redemption Notice in order for such redemption
request to be effective;
■ Notwithstanding the foregoing, Credit Suisse may, at its option, waive the requirement
that the Redemption Notice be delivered as set forth above, if confirmed by Credit
Suisse that a written indication of an offer for early redemption has otherwise been
accepted by Credit Suisse. Any such written indication that is delivered after 4:00
p.m., New York City time, on any Business Day, will be deemed to have been made on
the following Business Day. For the avoidance of doubt, a holder may choose to comply
with the procedures set forth above in lieu of the procedures in this clause, irrespective
of any waiver by Credit Suisse;
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■ Cause the holder’s DTC custodian to book a delivery versus payment trade with respect
to the ETNs on the applicable Early Redemption Valuation Date at a price equal to
the applicable Early Redemption Amount, facing us; and
■ Cause the holder’s DTC custodian to deliver the trade as booked for settlement via
DTC at or prior to 10:00 a.m. New York City time, on the applicable Early Redemption
Date (the third Business Day following the Early Redemption Valuation Date).
A holder is responsible for (i) instructing or otherwise causing its broker to provide
the Redemption Notice and (ii) its broker satisfying the additional requirements as
set forth in the second and third bullets above in order for the redemption to be
effected. Different brokerage firms may have different deadlines for accepting instructions
from their customers. Accordingly, a holder should consult the brokerage firm through
which it owns its interest in the ETNs in respect of such deadlines. If Credit Suisse
does not (i) receive the Redemption Notice from the relevant holder’s broker by 4:00
p.m. and (ii) deliver an acknowledgment of such Redemption Notice to such broker accepting
such redemption request by 7:30 p.m., on the Business Day prior to the applicable
Early Redemption Valuation Date, such notice will not be effective for such Business
Day and Credit Suisse will treat such Redemption Notice as if it was received on the
next Business Day. Any redemption instructions for which Credit Suisse receives a
valid confirmation in accordance with the procedures described above will be irrevocable
after Credit Suisse confirms a holder’s offer for early redemption.
Because the Early Redemption Amount a holder will receive for each ETN will not be
determined until the close of trading on the applicable Early Redemption Valuation
Date, a holder will not know the applicable Early Redemption Amount at the time such
holder exercises its redemption right and will bear the risk that its ETNs will decline
in value between the time of such holder’s exercise and the time at which the Early
Redemption Amount is determined.
Acceleration at Our Option or Upon an Acceleration Event
We have the right to accelerate the ETNs in whole or in part on any Business Day occurring
on or after the Inception Date (an “Optional Acceleration”). In addition, if an Acceleration Event (as defined herein) occurs at any time with
respect to the ETNs, we will have the right to accelerate all or any portion of the
outstanding ETNs (an “Event Acceleration”). Upon an acceleration of all of the outstanding ETNs, holders will be entitled
to receive a cash payment per ETN in an amount (the “Accelerated Redemption Amount”) equal to the arithmetic average, as determined by the Calculation Agent, of the
Closing Indicative Values of such ETNs during the Accelerated Valuation Period. If
fewer than all of the outstanding ETNs are accelerated, the Accelerated Redemption
Amount will be the Closing Indicative Value on the Accelerated Valuation Date. If
less than all the ETNs are to be redeemed pursuant to an Optional Acceleration or
an Event Acceleration, the trustee shall select, pro rata, by lot or in such manner
as it deems appropriate and fair, the ETNs to be redeemed pursuant to such acceleration.
ETNs may be accelerated in part in multiples of 50,000 ETNs, or an integral multiple
of 50,000 ETNs in excess thereof. We will provide at least five (5) Business Days’
notice of any ETNs to be accelerated and, in the case of any ETNs selected for partial
redemption, the stated principal amount thereof to be redeemed. All provisions relating
to the acceleration of the ETNs to be redeemed only in part, relate to the portion
of the stated principal amount of ETNs which has been or is to be redeemed pursuant
to these acceleration provisions.
In the case of an Optional Acceleration of all outstanding ETNs, the “Accelerated Valuation Period” shall be a period of five (5) consecutive Trading Days specified in our notice of
Optional Acceleration, the first Trading Day of which shall be at least two (2) Business
Days after the date on which we give notice of such Optional Acceleration. In the
case of an Event Acceleration of all outstanding ETNs, the “Accelerated Valuation
Period” shall be a period of five (5) consecutive Trading Days, the first Trading
Day of which shall be the day on which we give notice of such Event Acceleration (or,
if such day is not a Trading Day, the next following Trading Day). In the case of
an acceleration of less than all outstanding ETNs, the “Accelerated Valuation Date” will be the first Trading Day following the date of our notice of acceleration.
The Accelerated Redemption Amount will be payable on the third Business Day following
the Accelerated Valuation Date or the third Business Day following the last Trading
Day in the Accelerated Valuation Period as the case may be (such date the “Acceleration Date”). We will give notice of any acceleration of the ETNs through customary channels
used to deliver notices to holders of exchange traded notes.
Any payment holders will be entitled to receive is subject to our ability to pay our
obligations as they become due.
An “Acceleration Event” means:
(a) an amendment to or change (including any officially announced proposed change) in
the laws, regulations or rules of the United States (or any political subdivision
thereof), or any jurisdiction in which a Primary Exchange or Related Exchange (each
as defined herein) is located that (i) makes it illegal for CSi to hold, acquire or
dispose of options or futures contracts relating to the Index or the GLD Shares or
options, futures, swaps or other derivatives on the Index, the GLD Shares or the Options
(including but not limited to exchange-imposed position limits), (ii) shall materially
increase the cost to the Issuer, our affiliates, third parties with whom we transact
or similarly situated third parties in performing our or their obligations in connection
with the ETNs, (iii) shall have a material adverse effect on any of these parties’
ability to perform their obligations in connection with the ETNs or (iv) shall
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materially affect our ability to issue or transact in exchange traded notes similar
to the ETNs, each as determined by us or CSi, as the Calculation Agent;
(b) any official administrative decision, judicial decision, administrative action, regulatory
interpretation or other official pronouncement interpreting or applying those laws,
regulations or rules that is announced on or after the Inception Date that (i) makes
it illegal for CSi to hold, acquire or dispose of options or futures contracts relating
to the Index or the GLD Shares or options, futures, swaps or other derivatives on
the Index or the futures contracts relating to the Index, the GLD Shares or the Options
(including but not limited to exchange-imposed position limits), (ii) shall materially
increase the cost to the Issuer, our affiliates, third parties with whom we transact
or similarly situated third parties in performing our or their obligations in connection
with the ETNs, (iii) shall have a material adverse effect on the ability of the Issuer,
our affiliates, third parties with whom we transact or a similarly situated third
party to perform our or their obligations in connection with the ETNs or (iv) shall
materially affect our ability to issue or transact in exchange traded notes similar
to the ETNs, each as determined by us or CSi, as the Calculation Agent;
(c) any event that occurs on or after the Inception Date that makes it a violation of
any law, regulation or rule of the United States (or any political subdivision thereof),
or any jurisdiction in which a Primary Exchange or Related Exchange (each as defined
herein) is located, or of any official administrative decision, judicial decision,
administrative action, regulatory interpretation or other official pronouncement interpreting
or applying those laws, regulations or rules, (i) for CSi to hold, acquire or dispose
of options contracts relating to the Index or the GLD Shares or options, futures,
swaps or other derivatives on the Index, the GLD Shares or the Options (including
but not limited to exchange-imposed position limits), (ii) for the Issuer, our affiliates,
third parties with whom we transact or similarly situated third parties to perform
our or their obligations in connection with the ETNs or (iii) for us to issue or transact
in exchange traded notes similar to the ETNs, each as determined by us or CSi, as
the Calculation Agent;
(d) any event, as determined by us or CSi, as the Calculation Agent, that we or any of
our affiliates or a similarly situated party would, after using commercially reasonable
efforts, be unable to, or would incur a materially increased amount of tax, duty,
expense or fee (other than brokerage commissions) to, acquire, establish, re-establish,
substitute, maintain, unwind or dispose of any transaction or asset it deems necessary
to hedge the risk of the ETNs, or realize, recover or remit the proceeds of any such
transaction or asset;
(e) if at any point, the Intraday Indicative Value is equal to or less than five percent
(5%) of the prior day’s Closing Indicative Value of such ETNs; or
(f) as determined by the Calculation Agent, the primary exchange or market for trading
for the ETNs, if any, announces that pursuant to the rules of such exchange or market,
as applicable, the ETNs cease (or will cease) to be listed, traded or publicly quoted
on such exchange or market, as applicable, for any reason and are not immediately
re-listed, re-traded or re-quoted on an exchange or quotation system located in the
same country as such exchange or market, as applicable.
“Primary Exchange” means the primary exchange on which options or futures contracts relating to the
Index or the GLD Shares are traded, as determined by the Calculation Agent, which
is initially the Chicago Board Options Exchange (CBOE).
“Related Exchange” means each exchange or quotation system where trading has a material effect (as
determined by the Calculation Agent) for the overall market for futures or options
contracts relating to the Index or the GLD Shares.
Market Disruption Events
The Calculation Agent will be solely responsible for the determination and calculation
of any adjustments to any Index Component and of any related determinations and calculations
with respect to any event described below and its determinations and calculations
will be conclusive absent manifest error.
A “Market Disruption Event” is:
(a) the occurrence or existence of a suspension, absence or material limitation of trading
of the Index Components on the relevant exchange for such Index Component for more
than two hours of trading or during the one-half hour period preceding the close of
the principal trading session on such relevant exchange;
(b) a breakdown or failure in the price and trade reporting systems of the relevant exchange
for any Index Component, as a result of which the reported trading prices for the
Index Component during the last one-half hour preceding the close of the principal
trading session on such relevant exchange are materially inaccurate;
(c) the occurrence or existence of a suspension, absence or material limitation of trading
on the primary related exchange or market for trading in futures or options contracts
related to any Index Component for more than two hours of trading during, or during
the one-half hour period preceding the close of the principal trading session for
such related exchange or market;
(d) a decision to permanently discontinue trading in those related futures or options
contracts; or
(e) failure of the Index Calculation Agent to publish the level of the Index, including
as a result of any disruption of the Index Components;
39
in each case, as determined by the Calculation Agent in its sole discretion; and in
each case a determination by the Calculation Agent in its sole discretion that any
event described above materially interfered with our ability or the ability of any
of our affiliates to effect transactions in the Index Component or any instrument
related to the Index Component or to adjust or unwind all or a material portion of
any hedge position in the Index Component with respect to the ETNs.
For the purpose of determining whether a market disruption event in respect of an
Index Component has occurred:
(a) a limitation on the hours or number of days of trading will not constitute a market
disruption event if it results from an announced change in the regular business hours
of the relevant exchange for such Index Component or the primary related exchange
or market for trading in futures or options contracts related to such Index Component;
(b) limitations pursuant to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by the NYSE, any other U.S. self-regulatory organization, the SEC or
any other relevant authority of scope similar to NYSE Rule 80B) on trading during
significant market fluctuations will constitute a suspension, absence or material
limitation of trading; and
(c) a suspension of trading in futures or options contracts related to such Index Component
by the primary related exchange or market for trading in such contracts, if available,
by reason of:
(i) a price change exceeding limits set by such exchange or market;
(ii) an imbalance of orders relating to such contracts; or
(iii) a disparity in bid and ask quotes relating to such contracts;
will, in each such case, constitute a suspension, absence or material limitation of
trading in futures or options contracts related to such Index Component; and
(d) a “suspension, absence or material limitation of trading” on the primary related exchange
or market on which futures or options contracts related to such Index Component are
traded will not include any time when such exchange or market is itself closed for
trading under ordinary circumstances;
in each case, as determined by the Calculation Agent in its sole discretion.
If the Calculation Agent determines that a Market Disruption Event occurs or is continuing
on any Valuation Date (including, without limitation, the Final Valuation Date, the
Early Redemption Valuation Date, or any Valuation Date in the Accelerated Valuation
Period or Final Valuation Period), that Valuation Date will be postponed until the
first Trading Day on which no Market Disruption Event occurs or is continuing, unless
a Market Disruption Event occurs or is continuing for each of the five (5) Trading
Days following the applicable scheduled Valuation Date. In that case, the fifth Trading
Day following the applicable scheduled Valuation Date shall be deemed to be the applicable
Valuation Date, notwithstanding the fact that a Market Disruption Event occurred or
was continuing on such Trading Day, and the Calculation Agent will determine the applicable
Closing Indicative Value using an appropriate Closing Level of the Index on that deemed
Valuation Date taking into account the nature and duration of such Market Disruption
Event. If any Valuation Date in the Accelerated Valuation Period or Final Valuation
Period is postponed as described above, each subsequent Valuation Date in the Accelerated
Valuation Period or Final Valuation Period will be postponed by the same number of
Trading Days. In addition, if the Final Valuation Date, the Valuation Date corresponding
to an Early Redemption Date or the last scheduled Valuation Date in the Accelerated
Valuation Period is postponed, the Maturity Date, the corresponding Early Redemption
Date or the Acceleration Date, as the case may be, will be postponed until the date
three (3) Business Days following such Valuation Date, as postponed.
Default Amount on Acceleration
For the purpose of determining whether the holders of our senior medium-term notes,
of which the ETNs are a part, are entitled to take any action under the indenture,
we will treat the stated principal amount of each ETN outstanding as the stated principal
amount of that ETN. Although the terms of the ETNs may differ from those of the other
senior medium-term notes, holders of specified percentages in stated principal amount
of all senior medium-term notes, together in some cases with other series of our debt
securities, will be able to take action affecting all the senior medium-term notes,
including the ETNs. This action may involve changing some of the terms that apply
to the senior medium-term notes, accelerating the maturity of the senior medium-term
notes after a default or waiving some of our obligations under the indenture.
In case an event of default with respect to ETNs shall have occurred and be continuing,
the amount declared due and payable upon any acceleration of the ETNs will be determined
by the Calculation Agent, and will equal, for each ETN that a holder then holds, the
Closing Indicative Value determined by the Calculation Agent occurring on the Trading
Day following the date on which the ETNs were declared due and payable.
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Further Issuances
We may, from time to time, without notice to or the consent of the holders of the
ETNs, create and issue additional securities having the same terms and conditions
as the ETNs, and ranking on an equal basis with the ETNs in all respects.
Discontinuation or Modification of the Index
If the Index Sponsors discontinue publication of the Index and the Index Sponsors
or anyone else publishes a substitute index that the Calculation Agent determines
is comparable to the Index, then the Calculation Agent will permanently replace the
original Index with that substitute index (the “Successor Index”) for all purposes, and all provisions described herein as applying to the Index
will thereafter apply to the Successor Index instead. If the Calculation Agent replaces
the original Index with a Successor Index, then the Calculation Agent will determine
the Early Redemption Amount, Accelerated Redemption Amount or Maturity Redemption
Amount (each, a “Redemption Amount”) and the Coupon Amount, as applicable, by reference to the Successor Index.
If the Calculation Agent determines that the publication of the Index is discontinued
and there is no successor index, the Calculation Agent will determine the level of
the Index, and thus the applicable Redemption Amount, by a computation methodology
that the Calculation Agent determines will as closely as reasonably possible replicate
the Index.
If the Calculation Agent determines that the Index, the Options or the method of calculating
the Index is changed at any time in any respect, including whether the change is made
by the Index Sponsors under their existing policies or following a modification of
those policies, is due to the publication of a successor index, is due to events affecting
the GLD Shares or the Options, or is due to any other reason and is not otherwise
reflected in the level of the Index by the Index Sponsors pursuant to the Index methodology,
then the Calculation Agent will be permitted (but not required) to make such adjustments
in the Index or the method of its calculation as it believes are appropriate to ensure
that the Closing Level of the Index used to determine the applicable Redemption Amount
is equitable.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated
by holders and approved by us, or at the office of the trustee in New York City, but
only when the ETNs are surrendered to the trustee at that office. We also may make
any payment or delivery in accordance with the applicable procedures of the depositary.
Role of the Calculation Agent
Credit Suisse International (“CSi”), an affiliate of ours and the Calculation Agent, will, in its reasonable discretion,
make certain calculations and determinations that may impact the value of the ETNs,
including determination of the arithmetic average of the Closing Indicative Values
where applicable, a split or reverse split of the ETNs, calculation of default amounts,
Market Disruption Events, any Successor Index, Business Days and Trading Days, the
Current Principal Amount, the Daily Investor Fee amount, the Daily Index Factor, the
Coupon Amount, the Closing Level of the Index on any Trading Day, the Maturity Date,
any Early Redemption Dates, the Acceleration Date, the amount payable in respect of
a holder’s ETNs at maturity, upon early redemption or acceleration and any other calculations
or determinations to be made by the Calculation Agent as specified herein.
If the Calculation Agent ceases to perform its role, we will either, at our sole discretion,
perform such role, appoint another party to do so or accelerate the ETNs.
We may appoint a different Calculation Agent from time to time without consent and
without notifying holders.
Role of the Index Calculation Agent
We have initially appointed NASDAQ OMX as an Index Calculation Agent. The Index Calculation
Agent will have the sole responsibility to calculate and disseminate the Closing Indicative Value and the Intraday
Indicative Value of the ETNs. The Index Sponsors may appoint a different Index Calculation Agent from time to time
without consent and without notifying holders.
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Description of Credit Suisse X-Links Silver Shares Covered Call ETNs due April 21,
2033
Defined terms used within this subsection are defined only with respect to the ETNs
listed in the subsection heading above and described within this subsection.
General
The return on the Credit Suisse X-Links Silver Shares Covered Call ETNs due April
21, 2033 (“ETNs”) will be based on the performance of the Credit Suisse NASDAQ Silver FLOWSTM 106 Index (the “Index”), as reflected by their Indicative Value, calculated as set forth below. The Index
measures the return of a “covered call” strategy on the shares of the iShares® Silver Trust (the “SLV Shares”) by reflecting changes in the price of the SLV Shares and the notional option premiums
received from the notional sale of monthly call options on the SLV Shares less notional
transaction costs incurred in connection with the covered call strategy. The Index
strategy consists of a hypothetical notional portfolio that takes a “long” position
in SLV Shares and sells a succession of notional, approximately one-month, call options
on the SLV Shares with a strike price of approximately 106% of the price of the SLV
Shares exercisable on the option expiration date (the “Options” and together with the long position in SLV Shares, the “Index Components”). The notional sale of the Options is “covered” by the notional long position in
the SLV Shares. The long position in the SLV Shares and the “short” call options
are held in equal notional amounts (i.e., the short position in each Option is “covered”
by the long position in the SLV Shares). This strategy is intended to provide exposure
to silver through the notional positions in the SLV Shares and the Options that seeks
to (i) generate periodic cash flows that a direct long-only ownership position in
the SLV Shares would not, (ii) provide a limited offset to losses from downside market
performance in the SLV Shares via the cash flows from option premiums and (iii) provide
limited potential upside participation in the performance of the SLV Shares. The
level of the Index on any day reflects the value of the notional long position in
the SLV Shares and the notional Option premium, reduced based on the value of the
Options then outstanding. The ETNs will not participate in the potential upside of
the SLV Shares beyond the applicable strike price of the Options and notional transaction
costs. The Index is subject to the policies of CSi and Nasdaq, Inc. (the “Index Sponsors”) and is subject to the Index Sponsors’ discretion, including with respect to the
implementation of, and changes to, the rules governing the Index methodology.
Inception, Issuance and Maturity
The initial issuance of ETNs priced on April 16, 2013 (the “Inception Date”) and settled on April 19, 2013 (the “Initial Settlement Date”). The “Maturity Date” is initially April 21, 2033, but the maturity of the ETNs may be extended at our
option for up to two additional five-year periods, as described herein.
Intraday Indicative Value
The “Intraday Indicative Value” of the ETNs is designed to reflect the economic value of the ETNs at a given time.
The Intraday Indicative Value of the ETNs will be calculated and published by the
Index Calculation Agent every fifteen (15) seconds on each Trading Day during normal
trading hours so long as no Market Disruption Event has occurred or is continuing
and will be disseminated over the consolidated tape or other major market data vendor.
The Intraday Indicative Value of the ETNs at any time is based on the most recent
intraday level of the Index. It is calculated using the same formula as the Closing
Indicative Value, except that instead of using the Closing Level of the Index, the
calculation is based on the most recent reported level of the Index at the particular
time (or, if the day on which such time occurs is not a Trading Day, as determined
by the Calculation Agent).
At any time at which a Market Disruption Event has occurred and is continuing, there
shall be no Intraday Indicative Value. If the Intraday Indicative Value of the ETNs
is equal to or less than zero at any time or the Closing Indicative Value is equal
to zero on any Trading Day, the Closing Indicative Value of the ETNs on that day,
and all future days, will be zero.
Neither the Intraday Indicative Value nor the Closing Indicative Value calculation
is intended as a price or quotation, or as an offer or solicitation for the purchase,
sale, redemption, acceleration or termination of a holder’s ETNs, nor will it reflect
hedging or transaction costs, credit considerations, market liquidity or bid-offer
spreads. The Index Calculation Agent is responsible for computing and disseminating
the ETN’s Indicative Values. Published levels of the Index from the Index Calculation
Agent may occasionally be subject to delay or postponement. Any such delays or postponements
will affect the current level of the Index and therefore the Intraday Indicative Value
of the ETNs. The actual trading price of the ETNs may be different from their Intraday
Indicative Value or Closing Indicative Value.
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The actual trading price of the ETNs at any time may vary significantly from the Intraday
Indicative Value at such time. The trading price of the ETNs at any time is the price
that holders may be able to buy or sell their ETNs in the secondary market at such
time, if one exists.
The trading price of the ETNs at any time is the price at which a holder may be able
to buy or sell its ETNs in the secondary market at such time, if one exists. In the
absence of an active secondary market for the ETNs, the last reported trading price
may not reflect the actual price at which a holder may be able to buy or sell its
ETNs at a particular time. The trading price of the ETNs at any time may vary significantly
from their Indicative Value at such time due to, among other things, imbalances of
supply and demand, lack of liquidity, transaction costs, credit considerations and
bid-offer spreads.
The closing price of the ETNs will be published on each Trading Day under the ticker
symbol “SLVO”. Any premium or discount may be reduced or eliminated at any time. Paying
a premium purchase price of the ETNs over the Intraday Indicative Value or the Closing
Indicative Value of the ETNs could lead to significant losses in the event holders
sell their ETNs at a time when such premium is no longer present in the market place
or such ETNs are redeemed by us (including pursuant to an acceleration at our option),
in which case holders will be entitled to receive a cash payment based on the Closing
Indicative Value on the relevant Valuation Date(s).
The ETNs may be redeemed or accelerated at any time, subject to the conditions described
herein.
As discussed in “Payment Upon Early Redemption” below, a holder may, subject to certain
restrictions, provide a Redemption Notice on any Business Day during the term of the
ETNs beginning on April 17, 2013 through April 7, 2033 (or, if the maturity of the
ETNs is extended, five (5) scheduled Trading Days prior to the scheduled Final Valuation
Date, as extended) (for an anticipated April 8, 2033 Early Redemption Valuation Date
and an anticipated Early Redemption Date of April 13, 2033 or, if the maturity of
the ETNs is extended, an Early Redemption Valuation Date four (4) scheduled Trading
Days prior to the scheduled Final Valuation Date, as extended, and an Early Redemption
Date one scheduled Business Day prior to the scheduled Final Valuation Date, as extended).
If a holder elects to offer its ETNs to Credit Suisse for redemption, such holder
must offer at least the applicable Minimum Redemption Amount at one time for redemption
on any Early Redemption Date.
In addition, we have the right to accelerate the ETNs in whole or in part at any time
on any Business Day occurring on or after the Inception Date or upon the occurrence
of certain events described herein. Upon an acceleration of all of the outstanding
ETNs, holders will be entitled to receive a cash payment per ETN in an amount (the
“Accelerated Redemption Amount”) equal to the arithmetic average, as determined by the Calculation Agent, of the
Closing Indicative Values of such ETNs during the Accelerated Valuation Period. If
fewer than all of the outstanding ETNs are accelerated, the Accelerated Redemption
Amount will be the Closing Indicative Value on the Accelerated Valuation Date. If
less than all the ETNs are to be redeemed pursuant to an Optional Acceleration or
an Event Acceleration, the trustee shall select, pro rata, by lot or in such manner
as it deems appropriate and fair, the ETNs to be redeemed pursuant to such acceleration.
ETNs may be accelerated in part in multiples of 50,000 ETNs, or an integral multiple
of 50,000 ETNs in excess thereof.
The last date on which Credit Suisse will redeem the ETNs at a holder’s option will
be April 13, 2033 (or, if the maturity of the ETNs is extended, one scheduled Business
Day prior to the scheduled Maturity Date, as extended). As such, a holder must offer
its ETNs for redemption no later than April 7, 2033 (or, if the maturity of the ETNs
is extended, five (5) scheduled Trading Days prior to the scheduled Final Valuation
Date, as extended). The daily redemption feature is intended to induce arbitrageurs
to counteract any trading of the ETNs at a premium or discount to their Indicative
Value, although there can be no assurance that arbitrageurs will employ the redemption
feature in this manner.
Indicative Value
The Indicative Value of the ETNs is the Intraday Indicative Value or the Closing Indicative
Value of the ETNs, as applicable.
Split or Reverse Split of the ETNs
The Calculation Agent may initiate a split or reverse split of the ETNs on any Trading
Day. If the Calculation Agent decides to initiate a split or reverse split, the Calculation
Agent will issue a notice to holders of the ETNs and a press release announcing the
split or reverse split, specifying the effective date of the split or reverse split.
The Calculation Agent will determine the ratio of such split or reverse split, as
the case may be, using relevant market indicia, and will adjust the terms of the ETNs
accordingly. Any adjustment of the closing value will be rounded to 8 decimal places.
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In the case of a reverse split, we reserve the right to address odd numbers of ETNs
(commonly referred to as “partials”) in a manner determined by the Calculation Agent in its sole discretion. A split
or reverse split of the ETNs will not affect the aggregate stated principal amount
of ETNs held by an investor, other than to the extent of any “partial” ETNs, but it
will affect the number of ETNs an investor holds, the denominations used for trading
purposes on the exchange and the trading price, and may affect the liquidity, of the
ETNs on the exchange.
Coupon Amount
On each Coupon Payment Date, for each $20.00 stated principal amount ETN, holders
on the Coupon Record Date will be entitled to receive a variable cash payment equal
to the Closing Indicative Value on the Index Business Day immediately preceding the
relevant Index Distribution Date multiplied by the Coupon Percentage for that Index
Distribution Date. The Coupon will be paid on the Coupon Payment Date to the holder
of record on the applicable Coupon Record Date. No Coupon Amount will be due or payable
in the event a holder elects to offer its ETNs for early redemption or we accelerate
the maturity of the ETNs.
The Coupon Percentage in respect of an Index Distribution Date will be the Distribution
for such Index Distribution Date divided by the Closing Level of the Index the Index
Business Day immediately preceding the Index Distribution Date. The Distribution represents
the notional monthly call premium earned on the sale of the call options written on
the SLV Shares during the immediately preceding Index Rebalancing Period pursuant
to the Index methodology.
The premiums generated from the notional sales of the Options will be subtracted monthly
from the Index and paid to holders of the ETNs in the form of a Coupon Amount, the
amount of which is determined based on the notional premiums received from the sale
of the Options during the preceding Rebalancing Period as described below.
The “Index Rebalancing Period” refers to the five (5) consecutive Index Calculation Days beginning on and including
the Index Calculation Day that is ten (10) calendar days prior to the Expiry Date
(as defined below) of the relevant Options (each, a “Roll Date”). The Index will be rebalanced at the end of each Roll Date in accordance with the
following steps:
■ First, on the Index Calculation Day preceding the first Roll Date of each month, the
strike price of the new Option is determined. The strike price will be the lowest
listed strike price that is above 106% of the price per Share as of the 4:00 p.m.
New York City time on such date of determination. Then, the Index will roll its monthly
exposure over the next five (5) consecutive Index Calculation Days. The roll percentage
is the proportion of the expiring position being rolled into a new position on each
Roll Date.
■ At the end of the first Roll Date, and on each successive Roll Date of such Index
Rebalancing Period, the Index will notionally sell the new Option. Additionally, as
of the end of each such Roll Date, the Index will hypothetically close out through
repurchase 20% (or such greater amount in the event of roll disruptions) of the Options
notionally sold during the previous Index Rebalancing Period (the expiring Options);
the Index will notionally liquidate SLV Shares Units in an amount sufficient to fund
the notional repurchase.
■ Finally, on the last Roll Date of such Index Rebalancing Period, the Index will determine
the amount of the notional Option premium, which will, on the close of the last Roll
Date of the next following Index Rebalancing Period, be subtracted from the Index
as a Distribution and paid to holders of the ETNs in the form of the Coupon Amount.
An Index Distribution Date will be the date on which the Distribution is subtracted
from the level of the Index pursuant to the rules of the Index, which will occur on
the last Roll Date of a given Index Rebalancing Period.
The Coupon Amount is calculated by reference to the notional Distribution from the
Index, which will decrease the level of the Index (and therefore the value of the
ETNs), as the Distribution comes directly from the notional portfolio reflected by
the Index Components. When the Distribution is deducted from the Index on the Index
Distribution Date, the Coupon Amount will be added to the Closing Indicative Value
and the Intraday Indicative Value of the ETNs. At the market opening on the Ex-Coupon
Date, the ETNs will trade on an ex-coupon basis, adjusted for the Coupon Amount, meaning
that the Coupon Amount will no longer be included in the Closing Indicative Value
or the Intraday Indicative Value of the ETNs. For a holder to receive the upcoming
Coupon Amount, the holder must own the ETNs on the Coupon Record Date.
The “Ex-Coupon Date” means, with respect to each Coupon Amount, the first Trading Day on which the ETNs
trade without the right to receive such Coupon Amount.
Denomination
The denomination and stated principal amount of each ETN is $20.00. ETNs may be issued
at a price that is higher or lower than the stated principal amount, based on the
Indicative Value of the ETNs at that time.
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Payment at Maturity
At maturity, holders of the ETNs will be entitled to receive a cash payment on April
21, 2033 (the “Maturity Date”) (or, if the maturity of the ETNs is extended, on the scheduled Maturity Date, as
extended) that is linked to the percentage change in the Closing Level of the Index
from the Inception Date to the Closing Level calculated on the Final Valuation Date.
Such holder’s cash payment at maturity will be equal to the “Final Indicative Value”, which will be the arithmetic average, as determined by the Calculation Agent, of
the Closing Indicative Value on each of the immediately preceding five (5) Trading
Days to and including the Final Valuation Date (the “Final Valuation Period”). We refer to the amount of such payment as the “Maturity Redemption Amount”. If the scheduled Maturity Date is not a Business Day, the Maturity Date will be
postponed to the first Business Day following the scheduled Maturity Date. If the
scheduled Final Valuation Date is not a Trading Day, the Final Valuation Date will
be postponed to the next following Trading Day, in which case the Maturity Date will
be postponed to the third Business Day following the Final Valuation Date as so postponed.
In addition, if a Market Disruption Event occurs or is continuing on the Final Valuation
Date, the Maturity Date will be postponed until the date three (3) Business Days following
the Final Valuation Date, as postponed. No interest or additional payment will accrue
or be payable as a result of any postponement of the Maturity Date. Any payment on
the ETNs is subject to our ability to pay our obligations as they become due. In no
event will the payment at maturity be less than zero.
The scheduled Maturity Date is initially April 21, 2033, but may be extended at our
option for up to two (2) additional five-year periods. We may only extend the scheduled
Maturity Date for five (5) years at a time. If we exercise our option to extend the
maturity of the ETNs, we will notify DTC (the holder of the global note for the ETNs)
and the trustee at least 45 but not more than 60 calendar days prior to the then scheduled
Maturity Date. We will provide such notice to DTC and the trustee in respect of each
five-year extension of the scheduled Maturity Date that we choose to effect.
If the Final Indicative Value is zero, the Maturity Redemption Amount will be zero.
The “Closing Indicative Value” on the Inception Date was $20.00 (the “Initial Indicative Value”). The Closing Indicative Value on each calendar day following the Inception Date
will be calculated by the Index Calculation Agent and will be equal to (1) the Current
Principal Amount for such calendar day plus (2) for any day on or after the Index
Distribution Date but prior to the Ex-Coupon Date for a given month, any accrued but
unpaid Coupon Amount. The Closing Indicative Value will never be less than zero. If
the Intraday Indicative Value is equal to or less than zero at any time or the Closing
Indicative Value is equal to zero on any Trading Day, the Closing Indicative Value
on that day, and all future days, will be zero. The Closing Indicative Value is not
the same as the closing price or any other trading price of the ETNs in the secondary
market. The trading price of the ETNs at any time may vary significantly from their
Indicative Value at such time. If the ETNs undergo a split or reverse split, the Closing
Indicative Value of the ETNs will be adjusted accordingly (see “Split or Reverse Split
of the ETNs”). Such adjustment may adversely affect the trading price and liquidity
of the ETNs. Even if the Closing Indicative Value or Intraday Indicative Value is
equal to or less than zero at any time, the trading price of the ETNs may remain above
zero. Buying the ETNs at such a time will lead to a complete loss of a holder’s investment.
The “Current Principal Amount” on each calendar day following the Inception Date will be equal to (1)(a) the Current
Principal Amount on the immediately preceding calendar day times (b) the Daily Index
Factor on such calendar day minus (2) the Daily Investor Fee on such calendar day.
The Current Principal Amount on the Inception Date was $20.00.
A “Business Day” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking
institutions in New York City or London, England generally are authorized or obligated
by law, regulation or executive order to close.
A “Trading Day” is a day which is (i) an Index Business Day, (ii) an ETN Business Day and (iii) an Index Component Business Day for each of the Index
Components.
An “Index Business Day” is a day on which the level of the Index is calculated and published.
With respect to any Index Component, an “Index Component Business Day” is a day on which trading is generally conducted on any markets on which such Index
Component is traded.
An “ETN Business Day” is a day on which trading is generally conducted on the New York Stock Exchange,
NYSE Arca and Nasdaq.
The “Daily Index Factor” on any Index Business Day will equal (a) the Closing Level of the Index on such
Index Business Day divided by (b) the Closing Level of the Index on the immediately
preceding Index Business Day. The Daily Index Factor is deemed to be one on any day
that is not an Index Business Day.
45
On any calendar day, the “Daily Investor Fee” will be equal to the product of (1)(a) the Current Principal Amount on the immediately
preceding calendar day times (b) the Daily Index Factor on such calendar day times
(2)(a) the Investor Fee divided by (b) 365. The “Investor Fee” will be equal to 0.65%.
The ETNs do not guarantee any return of a holder’s investment. If the level of the
Index decreases or does not increase sufficiently to offset the Daily Investor Fee
(and in the case of Early Redemption, the Early Redemption Charge) over the term of
the ETNs, a holder will receive less, and possibly significantly less, at maturity
or upon early redemption or acceleration of the ETNs than the amount of such holder’s
investment.
The “Closing Level” of the Index on any Trading Day will be the Closing Level published on Bloomberg
under the ticker symbol “QSLVO <Index>” or any successor page on Bloomberg or any
successor service, as applicable; provided that in the event a Market Disruption Event
exists on a Valuation Date, the Calculation Agent will determine the Closing Level
of the Index.
Any payment holders will be entitled to receive is subject to our ability to pay our
obligations as they become due.
Payment Upon Early Redemption
Prior to maturity, a holder may, subject to certain restrictions described below,
offer at least the applicable Minimum Redemption Amount or more of its ETNs to us
for redemption on an Early Redemption Date during the term of the ETNs until April
7, 2033 (or, if the maturity of the ETNs is extended, five (5) scheduled Trading Days
prior to the scheduled Final Valuation Date, as extended). If a holder elects to offer
its ETNs for redemption, and the requirements for acceptance by us are met, such holder
will be entitled to receive a cash payment per ETN on the Early Redemption Date equal
to the Early Redemption Amount. Any payment holders will be entitled to receive on
the ETNs is subject to our ability to pay our obligations as they become due.
A holder may exercise its early redemption right by causing its broker or other person
with whom such holder holds its ETNs to deliver a Redemption Notice (as defined herein)
to Credit Suisse. If such Redemption Notice is delivered prior to 4:00 p.m., New York
City time, on any Business Day, the immediately following Trading Day will be the
applicable “Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. See “Procedures for Early Redemption”.
A holder must offer for redemption at least 50,000 ETNs or an integral multiple of
50,000 ETNs in excess thereof at one time in order to exercise the right to cause
us to redeem such holder’s ETNs on any Early Redemption Date (the “Minimum Redemption Amount”); provided that we or CSi as the Calculation Agent may from time to time reduce,
in part or in whole, the Minimum Redemption Amount. Any such reduction will be applied
on a consistent basis for all holders of the ETNs at the time the reduction becomes
effective. If the ETNs undergo a split or reverse split, the minimum number of ETNs
needed to exercise the right to cause us to redeem the ETNs will remain the same.
When a holder submits its ETNs for redemption in accordance with the redemption procedures
described herein, such ETNs may remain outstanding (and be resold by us or an affiliate)
or may be submitted by us for cancellation.
The “Early Redemption Date” is the third Business Day following an Early Redemption Valuation Date.
The “Early Redemption Charge” will equal up to 0.125% times the Closing Indicative Value on the Early Redemption Valuation Date.
The “Early Redemption Amount” is a cash payment per ETN equal to the greater of (A) zero and (B)(1) the Closing
Indicative Value on the applicable Early Redemption Valuation Date minus (2) the Early
Redemption Charge, if applicable, calculated by the Calculation Agent.
Procedures for Early Redemption
If a holder wishes to offer its ETNs to Credit Suisse for redemption, such holder’s
broker or other person with whom such holder holds its ETNs must follow the following
procedures:
■ Deliver a notice of redemption (the “Redemption Notice”), to Credit Suisse via email or other electronic delivery as requested by Credit
Suisse. If such Redemption Notice is delivered prior to 4:00 p.m., New York City time,
on any Business Day, the immediately following Trading Day will be the applicable
“Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. If Credit Suisse receives such Redemption Notice no later than 4:00
p.m., New York City time, on any Business Day, Credit Suisse will respond by sending
such holder’s broker an acknowledgment of
46
the Redemption Notice accepting such redemption request by 7:30 p.m., New York City
time, on the Business Day prior to the applicable Early Redemption Valuation Date.
Credit Suisse or its affiliate must acknowledge to such holder’s broker acceptance
of the Redemption Notice in order for such redemption request to be effective;
■ Notwithstanding the foregoing, Credit Suisse may, at its option, waive the requirement
that the Redemption Notice be delivered as set forth above, if confirmed by Credit
Suisse that a written indication of an offer for early redemption has otherwise been
accepted by Credit Suisse. Any such written indication that is delivered after 4:00
p.m., New York City time, on any Business Day, will be deemed to have been made on
the following Business Day. For the avoidance of doubt, a holder may choose to comply
with the procedures set forth above in lieu of the procedures in this clause, irrespective
of any waiver by Credit Suisse;
■ Cause the holder’s DTC custodian to book a delivery versus payment trade with respect
to the ETNs on the applicable Early Redemption Valuation Date at a price equal to
the applicable Early Redemption Amount, facing us; and
■ Cause the holder’s DTC custodian to deliver the trade as booked for settlement via
DTC at or prior to 10:00 a.m. New York City time, on the applicable Early Redemption
Date (the third Business Day following the Early Redemption Valuation Date).
A holder is responsible for (i) instructing or otherwise causing its broker to provide
the Redemption Notice and (ii) its broker satisfying the additional requirements as
set forth in the second and third bullets above in order for the redemption to be
effected. Different brokerage firms may have different deadlines for accepting instructions
from their customers. Accordingly, a holder should consult the brokerage firm through
which it owns its interest in the ETNs in respect of such deadlines. If Credit Suisse
does not (i) receive the Redemption Notice from the relevant holder’s broker by 4:00
p.m. and (ii) deliver an acknowledgment of such Redemption Notice to such holder’s
broker accepting such redemption request by 7:30 p.m., on the Business Day prior to
the applicable Early Redemption Valuation Date, such notice will not be effective
for such Business Day and Credit Suisse will treat such Redemption Notice as if it
was received on the next Business Day. Any redemption instructions for which Credit
Suisse receives a valid confirmation in accordance with the procedures described above
will be irrevocable after Credit Suisse confirms a holder’s offer for early redemption.
Because the Early Redemption Amount a holder will receive for each ETN will not be
determined until the close of trading on the applicable Early Redemption Valuation
Date, a holder will not know the applicable Early Redemption Amount at the time such
holder exercises its redemption right and will bear the risk that its ETNs will decline
in value between the time of such holder’s exercise and the time at which the Early
Redemption Amount is determined.
Acceleration at Our Option or Upon an Acceleration Event
We have the right to accelerate the ETNs in whole or in part on any Business Day occurring
on or after the Inception Date (an “Optional Acceleration”). In addition, if an Acceleration Event (as defined herein) occurs at any time with
respect to the ETNs, we will have the right to accelerate all or any portion of the
outstanding ETNs (an “Event Acceleration”). Upon an acceleration of all of the outstanding ETNs, holders will be entitled
to receive a cash payment per ETN in an amount (the “Accelerated Redemption Amount”) equal to the arithmetic average, as determined by the Calculation Agent, of the
Closing Indicative Values of such ETNs during the Accelerated Valuation Period. If
fewer than all of the outstanding ETNs are accelerated, the Accelerated Redemption
Amount will be the Closing Indicative Value on the Accelerated Valuation Date. If
less than all the ETNs are to be redeemed pursuant to an Optional Acceleration or
an Event Acceleration, the trustee shall select, pro rata, by lot or in such manner
as it deems appropriate and fair, the ETNs to be redeemed pursuant to such acceleration.
ETNs may be accelerated in part in multiples of 50,000 ETNs, or an integral multiple
of 50,000 ETNs in excess thereof. We will provide at least five (5) Business Days’
notice of any ETNs to be accelerated and, in the case of any ETNs selected for partial
redemption, the stated principal amount thereof to be redeemed. All provisions relating
to the acceleration of the ETNs to be redeemed only in part, relate to the portion
of the stated principal amount of ETNs which has been or is to be redeemed pursuant
to these acceleration provisions.
In the case of an Optional Acceleration of all outstanding ETNs, the “Accelerated Valuation Period” shall be a period of five (5) consecutive Trading Days specified in our notice of
Optional Acceleration, the first Trading Day of which shall be at least two (2) Business
Days after the date on which we give notice of such Optional Acceleration. In the
case of an Event Acceleration of all outstanding ETNs, the “Accelerated Valuation
Period” shall be a period of five (5) consecutive Trading Days, the first Trading
Day of which shall be the day on which we give notice of such Event Acceleration (or,
if such day is not a Trading Day, the next following Trading Day). In the case of
an acceleration of less than all outstanding ETNs, the “Accelerated Valuation Date” will be the first Trading Day following the date of our notice of acceleration.
The Accelerated Redemption Amount will be payable on the third Business Day following
the Accelerated Valuation Date or the third Business Day following the last Trading
Day in the Accelerated Valuation Period as the case may be (such date the “Acceleration Date”). We will give notice of any acceleration of the ETNs through customary channels
used to deliver notices to holders of exchange traded notes.
Any payment holders will be entitled to receive is subject to our ability to pay our
obligations as they become due.
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An “Acceleration Event” means:
(a) an amendment to or change (including any officially announced proposed change) in
the laws, regulations or rules of the United States (or any political subdivision
thereof), or any jurisdiction in which a Primary Exchange or Related Exchange (each
as defined herein) is located that (i) makes it illegal for CSi to hold, acquire or
dispose of options or futures contracts relating to the Index or the SLV Shares or
options, futures, swaps or other derivatives on the Index, the SLV Shares or the Options
(including but not limited to exchange-imposed position limits), (ii) shall materially
increase the cost to the Issuer, our affiliates, third parties with whom we transact
or similarly situated third parties in performing our or their obligations in connection
with the ETNs, (iii) shall have a material adverse effect on any of these parties’
ability to perform their obligations in connection with the ETNs or (iv) shall materially
affect our ability to issue or transact in exchange traded notes similar to the ETNs,
each as determined by us or CSi, as the Calculation Agent;
(b) any official administrative decision, judicial decision, administrative action, regulatory
interpretation or other official pronouncement interpreting or applying those laws,
regulations or rules that is announced on or after the Inception Date that (i) makes
it illegal for CSi to hold, acquire or dispose of options or futures contracts relating
to the Index or the SLV Shares or options, futures, swaps or other derivatives on
the Index or the futures contracts relating to the Index, the SLV Shares or the Options
(including but not limited to exchange-imposed position limits), (ii) shall materially
increase the cost to the Issuer, our affiliates, third parties with whom we transact
or similarly situated third parties in performing our or their obligations in connection
with the ETNs, (iii) shall have a material adverse effect on the ability of the Issuer,
our affiliates, third parties with whom we transact or a similarly situated third
party to perform our or their obligations in connection with the ETNs or (iv) shall
materially affect our ability to issue or transact in exchange traded notes similar
to the ETNs, each as determined by us or CSi, as the Calculation Agent;
(c) any event that occurs on or after the Inception Date that makes it a violation of
any law, regulation or rule of the United States (or any political subdivision thereof),
or any jurisdiction in which a Primary Exchange or Related Exchange (each as defined
herein) is located, or of any official administrative decision, judicial decision,
administrative action, regulatory interpretation or other official pronouncement interpreting
or applying those laws, regulations or rules, (i) for CSi to hold, acquire or dispose
of options contracts relating to the Index or the SLV Shares or options, futures,
swaps or other derivatives on the Index, the SLV Shares or the Options (including
but not limited to exchange-imposed position limits), (ii) for the Issuer, our affiliates,
third parties with whom we transact or similarly situated third parties to perform
our or their obligations in connection with the ETNs or (iii) for us to issue or transact
in exchange traded notes similar to the ETNs, each as determined by us or CSi, as
the Calculation Agent;
(d) any event, as determined by us or CSi, as the Calculation Agent, that we or any of
our affiliates or a similarly situated party would, after using commercially reasonable
efforts, be unable to, or would incur a materially increased amount of tax, duty,
expense or fee (other than brokerage commissions) to, acquire, establish, re-establish,
substitute, maintain, unwind or dispose of any transaction or asset it deems necessary
to hedge the risk of the ETNs, or realize, recover or remit the proceeds of any such
transaction or asset;
(e) if at any point, the Intraday Indicative Value is equal to or less than five percent
(5%) of the prior day’s Closing Indicative Value of such ETNs; or
(f) as determined by the Calculation Agent, the primary exchange or market for trading
for the ETNs, if any, announces that pursuant to the rules of such exchange or market,
as applicable, the ETNs cease (or will cease) to be listed, traded or publicly quoted
on such exchange or market, as applicable, for any reason and are not immediately
re-listed, re-traded or re-quoted on an exchange or quotation system located in the
same country as such exchange or market, as applicable.
“Primary Exchange” means the primary exchange on which options or futures contracts relating to the
Index or the SLV Shares are traded, as determined by the Calculation Agent, which
is initially the Chicago Board Options Exchange (CBOE).
“Related Exchange” means each exchange or quotation system where trading has a material effect (as
determined by the Calculation Agent) for the overall market for futures or options
contracts relating to the Index or the SLV Shares.
Any ETNs accelerated following an Acceleration Event will be cancelled on the Acceleration
Date. Consequently, as of such Acceleration Date, the ETNs will no longer be considered
outstanding.
Market Disruption Events
The Calculation Agent will be solely responsible for the determination and calculation
of any adjustments to any Index Component and of any related determinations and calculations
with respect to any event described below and its determinations and calculations
will be conclusive absent manifest error.
A “Market Disruption Event” is:
48
(a) the occurrence or existence of a suspension, absence or material limitation of trading
of the Index Components on the relevant exchange for such Index Component for more
than two hours of trading or during the one-half hour period preceding the close of
the principal trading session on such relevant exchange;
(b) a breakdown or failure in the price and trade reporting systems of the relevant exchange
for any Index Component, as a result of which the reported trading prices for the
Index Component during the last one-half hour preceding the close of the principal
trading session on such relevant exchange are materially inaccurate;
(c) the occurrence or existence of a suspension, absence or material limitation of trading
on the primary related exchange or market for trading in futures or options contracts
related to any Index Component for more than two hours of trading during, or during
the one-half hour period preceding the close of the principal trading session for
such related exchange or market;
(d) a decision to permanently discontinue trading in those related futures or options
contracts; or
(e) failure of the Index Calculation Agent to publish the level of the Index, including
as a result of any disruption of the Index Components;
in each case, as determined by the Calculation Agent in its sole discretion; and in
each case a determination by the Calculation Agent in its sole discretion that any
event described above materially interfered with our ability or the ability of any
of our affiliates to effect transactions in the Index Component or any instrument
related to the Index Component or to adjust or unwind all or a material portion of
any hedge position in the Index Component with respect to the ETNs.
For the purpose of determining whether a market disruption event in respect of an
Index Component has occurred:
(a) a limitation on the hours or number of days of trading will not constitute a market
disruption event if it results from an announced change in the regular business hours
of the relevant exchange for such Index Component or the primary related exchange
or market for trading in futures or options contracts related to such Index Component;
(b) limitations pursuant to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by the NYSE, any other U.S. self-regulatory organization, the SEC or
any other relevant authority of scope similar to NYSE Rule 80B) on trading during
significant market fluctuations will constitute a suspension, absence or material
limitation of trading; and
(c) a suspension of trading in futures or options contracts related to such Index Component
by the primary related exchange or market for trading in such contracts, if available,
by reason of:
(i) a price change exceeding limits set by such exchange or market;
(ii) an imbalance of orders relating to such contracts; or
(iii) a disparity in bid and ask quotes relating to such contracts;
will, in each such case, constitute a suspension, absence or material limitation of
trading in futures or options contracts related to such Index Component; and
(d) a “suspension, absence or material limitation of trading” on the primary related exchange
or market on which futures or options contracts related to such Index Component are
traded will not include any time when such exchange or market is itself closed for
trading under ordinary circumstances;
in each case, as determined by the Calculation Agent in its sole discretion.
If the Calculation Agent determines that a Market Disruption Event occurs or is continuing
on any Valuation Date (including, without limitation, the Final Valuation Date, the
Early Redemption Valuation Date, or any Valuation Date in the Accelerated Valuation
Period or Final Valuation Period), that Valuation Date will be postponed until the
first Trading Day on which no Market Disruption Event occurs or is continuing, unless
a Market Disruption Event occurs or is continuing for each of the five (5) Trading
Days following the applicable scheduled Valuation Date. In that case, the fifth Trading
Day following the applicable scheduled Valuation Date shall be deemed to be the applicable
Valuation Date, notwithstanding the fact that a Market Disruption Event occurred or
was continuing on such Trading Day, and the Calculation Agent will determine the applicable
Closing Indicative Value using an appropriate Closing Level of the Index on that deemed
Valuation Date taking into account the nature and duration of such Market Disruption
Event. If any Valuation Date in the Accelerated Valuation Period or Final Valuation
Period is postponed as described above, each subsequent Valuation Date in the Accelerated
Valuation Period or Final Valuation Period will be postponed by the same number of
Trading Days. In addition, if the Final Valuation Date, the Valuation Date corresponding
to an Early Redemption Date or the last scheduled Valuation Date in the Accelerated
Valuation Period is postponed, the Maturity Date, the corresponding Early Redemption
Date or the Acceleration Date, as the case may be, will be postponed until the date
three (3) Business Days following such Valuation Date, as postponed.
Default Amount on Acceleration
For the purpose of determining whether the holders of our senior medium-term notes,
of which the ETNs are a part, are entitled to take any action under the indenture,
we will treat the stated principal amount of each ETN outstanding as the stated principal
amount of that ETN. Although the terms of the ETNs may differ from those of the other
senior medium-term notes, holders of specified
49
percentages in stated principal amount of all senior medium-term notes, together in
some cases with other series of our debt securities, will be able to take action affecting
all the senior medium-term notes, including the ETNs. This action may involve changing
some of the terms that apply to the senior medium-term notes, accelerating the maturity
of the senior medium-term notes after a default or waiving some of our obligations
under the indenture.
In case an event of default with respect to ETNs shall have occurred and be continuing,
the amount declared due and payable upon any acceleration of the ETNs will be determined
by the Calculation Agent, and will equal, for each ETN that a holder then holds, the
Closing Indicative Value determined by the Calculation Agent occurring on the Trading
Day following the date on which the ETNs were declared due and payable.
Further Issuances
We may, from time to time, without notice to or the consent of the holders of the
ETNs, create and issue additional securities having the same terms and conditions
as the ETNs, and ranking on an equal basis with the ETNs in all respects.
Discontinuation or Modification of the Index
If the Index Sponsors discontinue publication of the Index and the Index Sponsors
or anyone else publishes a substitute index that the Calculation Agent determines
is comparable to the Index, then the Calculation Agent will permanently replace the
original Index with that substitute index (the “Successor Index”) for all purposes, and all provisions described herein as applying to the Index
will thereafter apply to the Successor Index instead. If the Calculation Agent replaces
the original Index with a Successor Index, then the Calculation Agent will determine
the Early Redemption Amount, Accelerated Redemption Amount or Maturity Redemption
Amount (each, a “Redemption Amount”) and the Coupon Amount, as applicable, by reference to the Successor Index.
If the Calculation Agent determines that the publication of the Index is discontinued
and there is no successor index, the Calculation Agent will determine the level of
the Index, and thus the applicable Redemption Amount, by a computation methodology
that the Calculation Agent determines will as closely as reasonably possible replicate
the Index.
If the Calculation Agent determines that the Index, the Options or the method of calculating
the Index is changed at any time in any respect, including whether the change is made
by the Index Sponsors under their existing policies or following a modification of
those policies, is due to the publication of a successor index, is due to events affecting
the SLV Shares or the Options, or is due to any other reason and is not otherwise
reflected in the level of the Index by the Index Sponsors pursuant to the Index methodology,
then the Calculation Agent will be permitted (but not required) to make such adjustments
in the Index or the method of its calculation as it believes are appropriate to ensure
that the Closing Level of the Index used to determine the applicable Redemption Amount
is equitable.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated
by holders and approved by us, or at the office of the trustee in New York City, but
only when the ETNs are surrendered to the trustee at that office. We also may make
any payment or delivery in accordance with the applicable procedures of the depositary.
Role of the Calculation Agent
Credit Suisse International (“CSi”), an affiliate of ours and the Calculation Agent, will, in its reasonable discretion,
make certain calculations and determinations that may impact the value of the ETNs,
including determination of the arithmetic average of the Closing Indicative Values
where applicable, a split or reverse split of the ETNs, calculation of default amounts,
Market Disruption Events, any Successor Index, Business Days and Trading Days, the
Current Principal Amount, the Daily Investor Fee amount, the Daily Index Factor, the
Coupon Amount, the Closing Level of the Index on any Trading Day, the Maturity Date,
any Early Redemption Dates, the Acceleration Date, the amount payable in respect of
a holder’s ETNs at maturity, upon early redemption or acceleration and any other calculations
or determinations to be made by the Calculation Agent as specified herein.
If the Calculation Agent ceases to perform its role, we will either, at our sole discretion,
perform such role, appoint another party to do so or accelerate the ETNs.
We may appoint a different Calculation Agent from time to time without consent and
without notifying holders.
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Role of the Index Calculation Agent
We have initially appointed Nasdaq, Inc. as an Index Calculation Agent. The Index
Calculation Agent will have the sole responsibility to calculate and disseminate the
Closing Indicative Value and the Intraday Indicative Value of the ETNs. The Index
Sponsors may appoint a different Index Calculation Agent from time to time without
consent and without notifying holders.
Description of Credit Suisse X-Links® Crude Oil Shares Covered Call ETNs due April 24, 2037
Defined terms used within this subsection are defined only with respect to the ETNs
listed in the subsection heading above and described within this subsection.
General
The return on the Credit Suisse X-Links® Crude Oil Shares Covered Call ETNs due April 24, 2037 (“ETNs”) will be based on the performance of the price return version of the Credit Suisse
Nasdaq WTI Crude Oil FLOWSTM 106 Index (the “Index”), as reflected by their Indicative Value, calculated as set forth below. The Index
measures the return of a “covered call” strategy on the shares of the United States
Oil Fund® (the “Oil Fund”, and such shares the “Reference Oil Shares”) by reflecting changes in the price of the Reference Oil Shares and the notional
option premiums received from the notional sale of monthly call options on the Reference
Oil Shares less notional costs incurred in connection with the implementation of the
covered call strategy (the “Notional Transaction Costs”). The Notional Transaction Costs reflect the monthly transaction costs of hypothetically
buying and selling the call options and selling the Reference Oil Shares and equal
0.03%, 0.03% and 0.01%, respectively, times the closing price of the Reference Oil Shares on the date of such notional transactions
and, which, on an annual basis, are expected to be approximately 0.84%. The actual
cost will vary depending on the value of the Reference Oil Shares on the date of such
transactions. The Index strategy consists of a hypothetical notional portfolio that
takes a “long” position in Reference Oil Shares and sells a succession of notional,
approximately one-month, call options on the Reference Oil Shares with a strike price
of approximately 106% of the price of the Reference Oil Shares exercisable on the
option expiration date (the “Options” and together with the long position in Reference Oil Shares, the “Index Components”). The notional sale of the Options is “covered” by the notional long position in
the Reference Oil Shares. The long position in the Reference Oil Shares and the “short”
call options are held in equal notional amounts (i.e., the short position in each
Option is “covered” by the long position in the Reference Oil Shares). This strategy
is intended to provide exposure to West Texas Intermediate light sweet crude oil (“WTI crude oil”) futures contract prices through the notional positions in the Reference Oil Shares
and the Options that together seek to (i) generate periodic cash flows that a direct
long-only ownership position in the Reference Oil Shares would not, (ii) provide a
limited offset to losses from downside market performance in the Reference Oil Shares
via the cash flows from option premiums and (iii) provide limited potential upside
participation in the performance of the Reference Oil Shares. The level of the Index
on any day reflects the value of (i) the notional long position in the Reference Oil
Shares; (ii) the notional Option premium; and (iii) the notional short position in
the Options then outstanding; net of the Notional Transaction Costs. The ETNs will
not participate in the potential upside of the Reference Oil Shares beyond the applicable
strike price of the Options and the level of the Index will be reduced by the Notional
Transaction Costs. The Index is subject to the policies of CSi and Nasdaq, Inc. (the
“Index Sponsors”) and is subject to the Index Sponsors’ discretion, including with respect to the
implementation of, and changes to, the rules governing the Index methodology.
Inception, Issuance and Maturity
The initial issuance of ETNs priced on April 25, 2017 (the “Inception Date”) and settled on April 28, 2017 (the “Initial Settlement Date”). The scheduled maturity date is initially April 24, 2037, but the maturity of the
ETNs may be extended at our option for up to two additional five-year periods, as
described herein.
Intraday Indicative Value
The “Intraday Indicative Value” of the ETNs is designed to reflect the economic value of the ETNs at a given time.
The Intraday Indicative Value of the ETNs will be calculated and published by the
Index Calculation Agent every fifteen (15) seconds on each Trading Day during normal
trading hours so long as no Market Disruption Event has occurred or is continuing
and will be disseminated over the consolidated tape or other major market data vendor.
The Intraday Indicative Value of the ETNs at any time is based on the
51
most recent intraday level of the Index. It is calculated using the same formula as
the Closing Indicative Value, except that instead of using the Closing Level of the
Index, the calculation is based on the most recent reported level of the Index at
the particular time (or, if the day on which such time occurs is not a Trading Day,
as determined by the Calculation Agent).
At any time at which a Market Disruption Event has occurred and is continuing, there
shall be no Intraday Indicative Value. If the Intraday Indicative Value of the ETNs
is equal to or less than zero at any time or the Closing Indicative Value is equal
to zero on any Trading Day, the Closing Indicative Value of the ETNs on that day,
and all future days, will be zero.
Neither the Intraday Indicative Value nor the Closing Indicative Value calculation
is intended as a price or quotation, or as an offer or solicitation for the purchase,
sale, redemption, acceleration or termination of a holder’s ETNs, nor will it reflect
hedging or transaction costs, credit considerations, market liquidity or bid-offer
spreads. The Index Calculation Agent is responsible for computing and disseminating
the ETN’s Indicative Values. Published levels of the Index from the Index Calculation
Agent may occasionally be subject to delay or postponement. Any such delays or postponements
will affect the current level of the Index and therefore the Intraday Indicative Value
of the ETNs. The actual trading price of the ETNs may be different from their Intraday
Indicative Value or Closing Indicative Value.
The actual trading price of the ETNs at any time may vary significantly from the Indicative
Value at such time. The trading price of the ETNs at any time is the price that holders
may be able to buy or sell their ETNs in the secondary market at such time, if one
exists.
The trading price of the ETNs at any time is the price at which holders may be able
to buy or sell their ETNs in the secondary market at such time, if one exists. In
the absence of an active secondary market for the ETNs, the last reported trading
price may not reflect the actual price at which holders may be able to buy or sell
their ETNs at a particular time. The trading price of the ETNs at any time may vary
significantly from their Indicative Value at such time due to, among other things,
imbalances of supply and demand, lack of liquidity, transaction costs, credit considerations
and bid-offer spreads.
The closing price of the ETNs will be published on each Trading Day under the ticker
symbol “USOI”. Any premium or discount may be reduced or eliminated at any time. Paying
a premium purchase price of the ETNs over the Intraday Indicative Value or the Closing
Indicative Value of the ETNs could lead to significant losses in the event holders
sell their ETNs at a time when such premium has declined or is no longer present in
the market place or at maturity or upon early redemption or acceleration, in which
case holders will be entitled to receive a cash payment based on the Closing Indicative
Value on the relevant Valuation Date(s).
The ETNs may be redeemed or accelerated at any time, subject to the conditions described
herein.
As discussed in “Payment Upon Early Redemption” below, holders may, subject to certain
restrictions, provide a Redemption Notice on any Business Day during the term of the
ETNs beginning on April 26, 2017 through April 14, 2037 (or, if the maturity of the
ETNs is extended, five (5) scheduled Trading Days prior to the scheduled Final Valuation
Date, as extended). Notwithstanding the foregoing, we will not accept a Redemption
Notice submitted to us on any day after the Trading Day preceding the start of the
Accelerated Valuation Period. If a holder elects to offer its ETNs to Credit Suisse
for redemption, such holder must offer at least the applicable Minimum Redemption
Amount at one time for redemption on any Early Redemption Date. The daily redemption
feature is intended to induce arbitrageurs to counteract any trading of the ETNs at
a premium or discount to their Indicative Value, although there can be no assurance
that arbitrageurs will employ the redemption feature in this manner.
In addition, on any Business Day on or after May 9, 2017, we have the right to accelerate
all, but not less than all, of the issued and outstanding ETNs (an “Optional Acceleration”). Upon an Optional Acceleration, holders will be entitled to receive a cash payment
per ETN in an amount (the “Accelerated Redemption Amount”) equal to the arithmetic average, as determined by the Calculation Agent, of the
Closing Indicative Values of such ETNs during the Accelerated Valuation Period. The
“Accelerated Valuation Period” shall be a period of five (5) consecutive Trading Days specified in our notice of
Optional Acceleration, the first Trading Day of which shall be at least two (2) Business
Days after the date on which we give notice of such Optional Acceleration. The Accelerated
Redemption Amount will be payable on the third Business Day following the last Trading
Day in the Accelerated Valuation Period (such payment date the “Acceleration Date”). We will give notice of any Optional Acceleration of the ETNs through customary
channels used to deliver notices to holders of exchange traded notes.
Any payment holders will be entitled to receive on the ETNs is subject to our ability
to pay our obligations as they become due.
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Indicative Value
The “Indicative Value” of the ETNs is the Intraday Indicative Value or the Closing Indicative Value of
the ETNs, as applicable.
Split or Reverse Split of the ETNs
The Calculation Agent may initiate a split or reverse split of the ETNs on any Trading
Day. If the Calculation Agent decides to initiate a split or reverse split, the Calculation
Agent will issue a notice to holders of the ETNs and a press release announcing the
split or reverse split, specifying the effective date of the split or reverse split.
The Calculation Agent will determine the ratio of such split or reverse split, as
the case may be, using relevant market indicia, and will adjust the terms of the ETNs
accordingly. Any adjustment of the closing value will be rounded to 8 decimal places.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs
(commonly referred to as “partials”) in a manner determined by the Calculation Agent in its sole discretion. A split
or reverse split of the ETNs will not affect the aggregate stated principal amount
of ETNs held by an investor, other than to the extent of any “partial” ETNs, but it
will affect the number of ETNs an investor holds, the denominations used for trading
purposes on the exchange and the trading price, and may affect the liquidity, of the
ETNs on the exchange.
Coupon Amount
On each Coupon Payment Date, for each $25.00 stated principal amount of the ETNs,
holders on the Coupon Record Date will be entitled to receive a variable cash payment
equal to the Closing Indicative Value on the Index Business Day immediately preceding
the relevant Index Distribution Date multiplied by the Coupon Percentage for that
Index Distribution Date. The Coupon will be paid on the Coupon Payment Date to the
holder of record on the applicable Coupon Record Date. No Coupon Amount will be due
or payable in the event a holder elects to offer its ETNs for early redemption or
we accelerate the maturity of the ETNs. The initial Index Distribution Date was May
15, 2017 and the initial Coupon Payment Date was May 25, 2017.
The Coupon Percentage in respect of an Index Distribution Date will be the Distribution
for such Index Distribution Date divided by the Closing Level of the Index the Index Business Day immediately preceding the Index
Distribution Date. The Distribution represents the notional monthly call premium earned
on the sale of the call options written on the Reference Oil Shares during the immediately
preceding Index Rebalancing Period pursuant to the Index methodology.
The premiums generated from the notional sales of the Options will be subtracted monthly
from the Index and paid to holders of the ETNs in the form of a Coupon Amount, the
amount of which is determined based on the notional premiums received from the sale
of the Options during the preceding Rebalancing Period as described below.
The “Index Rebalancing Period” refers to the five (5) consecutive Index Calculation Days beginning on and including
the Index Calculation Day that is ten (10) calendar days prior to the Expiry Date
(as defined below) of the relevant Options (each, a “Roll Date”). The Index will be rebalanced at the end of each Roll Date in accordance with the
following steps:
■ First, on the Index Calculation Day preceding the first Roll Date of each month, the
strike price of the new Option is determined. The strike price will be the lowest
listed strike price that is above the Target Strike multiplied by the price per Reference Oil Share as of the 4:00 p.m. New York City time on such
date of determination. Then, the Index will roll its monthly exposure over the next
five (5) consecutive Index Calculation Days. The roll percentage is the proportion
of the expiring position being rolled into a new position on each Roll Date.
■ At the end of the first Roll Date, and on each successive Roll Date of such Index
Rebalancing Period, the Index will notionally sell the new Option. Additionally, as
of the end of each such Roll Date, the Index will hypothetically close out through
repurchase 20% (or such greater amount in the event of roll disruptions) of the Options
notionally sold during the previous Index Rebalancing Period (the expiring Options);
the Index will notionally liquidate Reference Oil Shares in an amount sufficient to
fund the notional repurchase.
■ Finally, on the last Roll Date of such Index Rebalancing Period, the Index will determine
the amount of the notional Option premium, which will, on the close of the last Roll
Date of the next following Index Rebalancing Period, be subtracted from the Index
as a Distribution and paid to holders of the ETNs in the form of the Coupon Amount.
An “Index Distribution Date” will be the date on which the Distribution is subtracted from the level of the Index
pursuant to the rules of the Index, which will occur on the last Roll Date of a given
Index Rebalancing Period.
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The Coupon Amount is calculated by reference to the notional Distribution from the
Index, which will decrease the level of the Index (and, therefore, the value of the
ETNs), as the Distribution comes directly from the notional portfolio reflected by
the Index Components. When the Distribution is deducted from the Index on the Index
Distribution Date, the Coupon Amount will be added to the Closing Indicative Value
and the Intraday Indicative Value of the ETNs. At the market opening on the Ex-Coupon
Date, the ETNs will trade on an ex-coupon basis, adjusted for the Coupon Amount, meaning
that the Coupon Amount will no longer be included in the Closing Indicative Value
or the Intraday Indicative Value of the ETNs. For a holder to receive the upcoming
Coupon Amount, the holder must own the ETNs on the Coupon Record Date.
The “Ex-Coupon Date”, with respect to each Coupon Amount, will be the first Trading Day on which the
ETNs trade without the right to receive such Coupon Amount.
Denomination
The denomination and stated principal amount of each ETN is $25.00. ETNs may be issued
at a price that is higher or lower than the stated principal amount, based on the
Indicative Value of the ETNs at that time.
Payment at Maturity
At maturity, holders of the ETNs will receive a cash payment on April 24, 2037 (the
“Maturity Date”) (or, if the maturity of the ETNs is extended, on the scheduled Maturity Date, as
extended). Such holder’s Payment at Maturity will be equal to the “Final Indicative
Value”, which will be the arithmetic average, as determined by the Calculation Agent,
of the Closing Indicative Value on each of the immediately preceding five (5) Trading
Days to and including the Final Valuation Date (the “Final Valuation Period”). We refer to the amount of such payment as the “Maturity Redemption Amount”. If the scheduled Maturity Date is not a Business Day, the Maturity Date will be
postponed to the first Business Day following the scheduled Maturity Date.
The “Final Valuation Date” is initially April 21, 2037, subject to extension as described below and postponement
as a result of a Market Disruption Event as discussed under “Market Disruption Events”.
If the scheduled Final Valuation Date is not a Trading Day, the Final Valuation Date
will be postponed to the next following Trading Day, in which case the Maturity Date
will be postponed to the third Business Day following the Final Valuation Date, as
so postponed. In addition, if a Market Disruption Event occurs or is continuing on
the Final Valuation Date, the Maturity Date will be postponed until the date three
(3) Business Days following the Final Valuation Date, as postponed. No interest or
additional payment will accrue or be payable as a result of any postponement of the
Maturity Date. Any payment on the ETNs is subject to our ability to pay our obligations
as they become due. In no event will the Payment at Maturity be less than zero.
The scheduled Maturity Date is April 24, 2037, but may be extended at our option for
up to two (2) additional five-year periods. We may only extend the scheduled Maturity
Date for five (5) years at a time. If we exercise our option to extend the maturity
of the ETNs, the Final Valuation Date for the ETNs will be the third scheduled Business
Day prior to the scheduled Maturity Date, as extended. If we exercise our option to
extend the maturity of the ETNs, we will notify DTC (the holder of the global note
for the ETNs) and the trustee at least 45 but not more than 60 calendar days prior
to the then scheduled Maturity Date. We will provide such notice to DTC and the trustee
in respect of each five-year extension of the scheduled Maturity Date that we choose
to effect.
If the Final Indicative Value is zero, the Maturity Redemption Amount will be zero.
The Closing Indicative Value on the Inception Date was equal to $25.00 (the “Initial Indicative Value”). The Closing Indicative Value on each calendar day following the Inception Date
will be calculated by the Index Calculation Agent and will be equal to (1) the Current
Principal Amount for such calendar day plus (2) for any day on or after the Index Distribution Date but prior to the Ex-Coupon
Date for a given month, any accrued but unpaid Coupon Amount. The Closing Indicative
Value will never be less than zero. If the Intraday Indicative Value is equal to or
less than zero at any time or the Closing Indicative Value is equal to zero on any
Trading Day, the Closing Indicative Value of the ETNs on that day, and all future
days, will be zero. The Closing Indicative Value is not the same as the closing price or any other trading
price of the ETNs in the secondary market. The trading price of the ETNs at any time
may vary significantly from their Indicative Value at such time. If the ETNs undergo
a split or reverse split, the Closing Indicative Value of the ETNs will be adjusted
accordingly. Such adjustment may adversely affect the trading price and liquidity
of the ETNs. Even if the Closing Indicative Value or Intraday Indicative Value is
equal to or less than zero at any time, the trading price of the ETNs may remain above
zero. Buying the ETNs at such a time will lead to a complete loss of a holder’s investment.
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The “Current Principal Amount” on each calendar day following the Inception Date will be equal to (1)(a) the Current
Principal Amount on the immediately preceding calendar day times (b) the Daily Index Factor on such calendar day minus (2) the Daily Investor Fee on such calendar day. The Current Principal Amount on
the Inception Date was $25.00.
A “Business Day” is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking
institutions in New York City or London, England generally are authorized or obligated
by law, regulation or executive order to close.
A “Trading Day” is a day which is (i) an Index Business Day, (ii) an ETN Business Day and (iii) an Index Component Business Day for each of the Index
Components.
An “Index Business Day” is a day on which the level of the Index is calculated and published.
With respect to any Index Component, an “Index Component Business Day” is a day on which trading is generally conducted on any markets on which such Index
Component is traded.
An “ETN Business Day” is a day on which trading is generally conducted on the New York Stock Exchange,
NYSE Arca and NASDAQ.
The “Daily Index Factor” on any Index Business Day will equal (a) the Closing Level of the Index on such
Index Business Day divided by (b) the Closing Level of the Index on the immediately preceding Index Business Day.
The Daily Index Factor is deemed to be one on any day that is not an Index Business
Day.
On any calendar day, the “Daily Investor Fee” will be equal to the product of (1)(a) the Current Principal Amount on the immediately
preceding calendar day times (b) the Daily Index Factor on such calendar day times (2)(a) the Investor Fee Rate divided by (b) 365. The “Investor Fee Rate” will be equal to 0.85%.
The ETNs do not guarantee any return of a holder’s investment. If the level of the
Index decreases or does not increase sufficiently to offset the Daily Investor Fee
(and in the case of early redemption, the Early Redemption Charge) over the term of
the ETNs, a holder will receive less, and possibly significantly less at maturity
or upon early redemption or acceleration of the ETNs than the amount of such holder’s
investment.
The “Closing Level” of the Index on any Trading Day will be the Closing Level published on Bloomberg
under the ticker symbol “QUSOI <Index>” or any successor page on Bloomberg or any
successor service, applicable; provided that in the event a Market Disruption Event
exists on a Valuation Date (as defined below), the Calculation Agent will determine
the Closing Level of the Index, if necessary.
Payment Upon Early Redemption
Prior to maturity, a holder may, subject to certain restrictions described below,
offer at least the applicable Minimum Redemption Amount or more of its ETNs to us
for redemption on an Early Redemption Date during the term of the ETNs until April
14, 2037 (or, if the maturity of the ETNs is extended, five (5) scheduled Trading
Days prior to the scheduled Final Valuation Date, as extended). Notwithstanding the
foregoing, we will not accept a Redemption Notice submitted to us on any day after
the Trading Day preceding the start of the Accelerated Valuation Period related to
the acceleration of all outstanding ETNs. If a holder elects to offer its ETNs for
redemption, and the requirements for acceptance by us are met, such holder will be
entitled to receive a cash payment per ETN on the Early Redemption Date equal to the
Early Redemption Amount. Any payment holders will be entitled to receive on the ETNs
is subject to our ability to pay our obligations as they become due.
A holder may exercise its early redemption right by causing its broker or other person
with whom such holder holds its ETNs to deliver a Redemption Notice (as defined herein)
to Credit Suisse. If such Redemption Notice is delivered prior to 4:00 p.m., New York
City time, on any Business Day, the immediately following Trading Day will be the
applicable “Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. See “Procedures for Early Redemption”.
A holder must offer for redemption at least 50,000 ETNs at one time in order to exercise
the right to cause us to redeem such holder’s ETNs on any Early Redemption Date (the
“Minimum Redemption Amount”); provided that we or CSi as the Calculation Agent may from time to time reduce,
in part or in whole, the Minimum Redemption Amount. Any such reduction will be applied
on a consistent
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basis for all holders of the ETNs at the time the reduction becomes effective. If
the ETNs undergo a split or reverse split, the minimum number of ETNs needed to exercise
the right to cause us to redeem the ETNs will remain the same.
When a holder submits its ETNs for redemption in accordance with the redemption procedures
described below under “Procedures for Early Redemption,” such ETNs may remain outstanding
(and be resold by us or an affiliate) or may be submitted by us for cancellation.
The “Early Redemption Date” is the third Business Day following an Early Redemption Valuation Date.
The “Early Redemption Charge” per ETN will equal 0.125% times the Closing Indicative Value on the Early Redemption Valuation Date.
The “Early Redemption Amount” is a cash payment per ETN equal to the greater of (A) zero and (B)(1) the Closing
Indicative Value on the applicable Early Redemption Valuation Date minus (2) the Early Redemption Charge, calculated by the Calculation Agent.
Procedures for Early Redemption
If a holder wishes to offer its ETNs to Credit Suisse for redemption, its broker or
other person with whom such holder holds its ETNs must follow the following procedures:
■ Deliver a notice of redemption (the “Redemption Notice”), to Credit Suisse via email or other electronic delivery as requested by Credit
Suisse. If such Redemption Notice is delivered prior to 4:00 p.m., New York City time,
on any Business Day, the immediately following Trading Day will be the applicable
“Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. If Credit Suisse receives such Redemption Notice no later than 4:00
p.m., New York City time, on any Business Day, Credit Suisse will respond by sending
the relevant holder’s broker an acknowledgment of the Redemption Notice accepting
such redemption request by 7:30 p.m., New York City time, on the Business Day prior
to the applicable Early Redemption Valuation Date. Credit Suisse or its affiliate
must acknowledge to such holder’s broker acceptance of the Redemption Notice in order
for the holder’s redemption request to be effective;
■ Notwithstanding the foregoing, Credit Suisse may, at its option, waive the requirement
that the Redemption Notice be delivered as set forth above, if confirmed by Credit
Suisse that a written indication of an offer for early redemption has otherwise been
accepted by Credit Suisse. Any such written indication that is delivered after 4:00
p.m., New York City time, on any Business Day, will be deemed to have been made on
the following Business Day. For the avoidance of doubt, a holder may choose to comply
with the procedures set forth above in lieu of the procedures in this clause, irrespective
of any waiver by Credit Suisse.
■ Cause the holder’s DTC custodian to book a delivery versus payment trade with respect
to the ETNs on the applicable Early Redemption Valuation Date at a price equal to
the applicable Early Redemption Amount, facing us; and
■ Cause the holder’s DTC custodian to deliver the trade as booked for settlement via
DTC at or prior to 10:00 a.m. New York City time, on the applicable Early Redemption
Date (the third Business Day following the Early Redemption Valuation Date).
The holder is responsible for (i) instructing or otherwise causing its broker to provide
the Redemption Notice and (ii) its broker satisfying the additional requirements as
set forth in the second and third bullets above in order for the redemption to be
effected. Different brokerage firms may have different deadlines for accepting instructions
from their customers. Accordingly, a holder should consult the brokerage firm through
which it owns its interest in the ETNs in respect of such deadlines. If Credit Suisse
does not (i) receive the Redemption Notice from the holder’s broker by 4:00 p.m. and
(ii) deliver an acknowledgment of such Redemption Notice to such broker accepting
such redemption request by 7:30 p.m., on the Business Day prior to the applicable
Early Redemption Valuation Date, such notice will not be effective for such Business
Day and Credit Suisse will treat such Redemption Notice as if it was received on the
next Business Day. Any redemption instructions for which Credit Suisse receives a
valid confirmation in accordance with the procedures described above will be irrevocable
after Credit Suisse confirms a holder’s offer for early redemption.
Because the Early Redemption Amount a holder will receive for each ETN will not be
determined until the close of trading on the applicable Early Redemption Valuation
Date, a holder will not know the applicable Early Redemption Amount at the time such
holder exercises its redemption right and will bear the risk that its ETNs will decline
in value between the time of such holder’s exercise and the time at which the Early
Redemption Amount is determined.
Optional Acceleration
On any Business Day on or after May 9, 2017, we have the right to accelerate all,
but not less than all, of the issued and outstanding ETNs (an “Optional Acceleration”). Upon an Optional Acceleration, holders will be entitled to receive a cash payment
per ETN in an amount (the “Accelerated Redemption Amount”) equal to the arithmetic average, as determined by the Calculation Agent, of the
Closing Indicative Values of such ETNs during the Accelerated Valuation Period.
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The “Accelerated Valuation Period” shall be a period of five (5) consecutive Trading Days specified in our notice of
Optional Acceleration, the first Trading Day of which shall be at least two (2) Business
Days after the date on which we give notice of such Optional Acceleration. The Accelerated
Redemption Amount will be payable on the third Business Day following the last Trading
Day in the Accelerated Valuation Period (such payment date the “Acceleration Date”). We will give notice of any Optional Acceleration of the ETNs through customary
channels used to deliver notices to holders of exchange traded notes. Any payment
holders will be entitled to receive on the ETNs is subject to our ability to pay our
obligations as they become due.
Market Disruption Events
The Calculation Agent will be solely responsible for the determination and calculation
of any adjustments to any Index Component and of any related determinations and calculations
with respect to any event described below and its determinations and calculations
will be conclusive absent manifest error.
A “Market Disruption Event” is:
(a) the occurrence or existence of a suspension, absence or material limitation of trading
of the Index Components on the relevant exchange for such Index Component for more
than two hours of trading or during the one-half hour period preceding the close of
the principal trading session on such relevant exchange;
(b) a breakdown or failure in the price and trade reporting systems of the relevant exchange
for any Index Component, as a result of which the reported trading prices for the
Index Component during the last one-half hour preceding the close of the principal
trading session on such relevant exchange are materially inaccurate;
(c) the occurrence or existence of a suspension, absence or material limitation of trading
on the primary related exchange or market for trading in futures or options contracts
related to any Index Component for more than two hours of trading during, or during
the one-half hour period preceding the close of the principal trading session for
such related exchange or market;
(d) a decision to permanently discontinue trading in those related futures or options
contracts; or
(e) failure of the Index Calculation Agent to publish the level of the Index, including
as a result of any disruption of the Index Components;
in each case, as determined by the Calculation Agent in its sole discretion; and in
each case a determination by the Calculation Agent in its sole discretion that any
event described above materially interfered with our ability or the ability of any
of our affiliates to effect transactions in the Index Component or any instrument
related to the Index Component or to adjust or unwind all or a material portion of
any hedge position in the Index Component with respect to the ETNs.
For the purpose of determining whether a market disruption event in respect of an
Index Component has occurred:
(a) a limitation on the hours or number of days of trading will not constitute a market
disruption event if it results from an announced change in the regular business hours
of the relevant exchange for such Index Component or the primary related exchange
or market for trading in futures or options contracts related to such Index Component;
(b) limitations pursuant to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by the NYSE, any other U.S. self-regulatory organization, the SEC or
any other relevant authority of scope similar to NYSE Rule 80B) on trading during
significant market fluctuations will constitute a suspension, absence or material
limitation of trading; and
(c) a suspension of trading in futures or options contracts related to such Index Component
by the primary related exchange or market for trading in such contracts, if available,
by reason of:
(i) a price change exceeding limits set by such exchange or market;
(ii) an imbalance of orders relating to such contracts; or
(iii) a disparity in bid and ask quotes relating to such contracts;
will, in each such case, constitute a suspension, absence or material limitation of
trading in futures or options contracts related to such Index Component; and
(d) a “suspension, absence or material limitation of trading” on the primary related exchange
or market on which futures or options contracts related to such Index Component are
traded will not include any time when such exchange or market is itself closed for
trading under ordinary circumstances;
in each case, as determined by the Calculation Agent in its sole discretion.
If the Calculation Agent determines that a Market Disruption Event occurs or is continuing
on any Valuation Date, that Valuation Date will be postponed until the first Trading
Day on which no Market Disruption Event occurs or is continuing, unless a Market Disruption
Event occurs or is continuing for each of the five (5) Trading Days following the
applicable scheduled Valuation Date. In that case, the fifth Trading Day following
the applicable scheduled Valuation Date shall be deemed to be the applicable Valuation
Date, notwithstanding the fact that a Market Disruption Event occurred or was continuing
on such Trading Day, and the Calculation Agent will
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determine the applicable Closing Indicative Value using an appropriate Closing Level
of the Index on that deemed Valuation Date taking into account the nature and duration
of such Market Disruption Event. If any Valuation Date in the Accelerated Valuation
Period or Final Valuation Period is postponed as described above, each subsequent
Valuation Date in the Accelerated Valuation Period or Final Valuation Period will
be postponed by the same number of Trading Days. In addition, if the Final Valuation
Date, the Early Redemption Valuation Date or the last scheduled Valuation Date in
the Accelerated Valuation Period is postponed, the Maturity Date, the corresponding
Early Redemption Date or the Acceleration Date, as the case may be, will be postponed
until the date three (3) Business Days following such Valuation Date, as postponed.
“Valuation Date” is any Trading Day in the Final Valuation Period or the Accelerated Valuation Period
and any Early Redemption Valuation Date, as applicable.
Default Amount on Acceleration
For the purpose of determining whether the holders of our senior medium-term notes,
of which the ETNs are a part, are entitled to take any action under the indenture,
we will treat the stated principal amount of each ETN outstanding as the stated principal
amount of that ETN. Although the terms of the ETNs may differ from those of the other
senior medium-term notes, holders of specified percentages in stated principal amount
of all senior medium-term notes, together in some cases with other series of our debt
securities, will be able to take action affecting all the senior medium-term notes,
including the ETNs. This action may involve changing some of the terms that apply
to the senior medium-term notes, accelerating the maturity of the senior medium-term
notes after a default or waiving some of our obligations under the indenture.
In case an event of default with respect to ETNs shall have occurred and be continuing,
the amount declared due and payable upon any acceleration of the ETNs will be determined
by the Calculation Agent, and will equal, for each ETN that a holder then holds, the
Closing Indicative Value determined by the Calculation Agent occurring on the Trading
Day following the date on which the ETNs were declared due and payable.
Further Issuances
We may, from time to time, without notice to or the consent of the holders of the
ETNs, create and issue additional securities having the same terms and conditions
as the ETNs, and ranking on an equal basis with the ETNs in all respects.
Discontinuation or Modification of the Index
If the Index Sponsors discontinue publication of the Index and the Index Sponsors
or anyone else publishes a substitute index that the Calculation Agent determines
is comparable to the Index, then the Calculation Agent will permanently replace the
original Index with that substitute index (the “Successor Index”) for all purposes, and all provisions described herein as applying to the Index
will thereafter apply to the Successor Index instead. If the Calculation Agent replaces
the original Index with a Successor Index, then the Calculation Agent will determine
the Early Redemption Amount, Accelerated Redemption Amount or Maturity Redemption
Amount (each, a “Redemption Amount”) and the Coupon Amount, as applicable, by reference to the Successor Index.
If the Calculation Agent determines that the publication of the Index is discontinued
and there is no successor index, the Calculation Agent will determine the level of
the Index, and thus the applicable Redemption Amount, by a computation methodology
that the Calculation Agent determines will as closely as reasonably possible replicate
the Index.
If the Calculation Agent determines that the Index, the Options or the method of calculating
the Index is changed at any time in any respect, including whether the change is made
by the Index Sponsors under their existing policies or following a modification of
those policies, is due to the publication of a successor index, is due to events affecting
the Reference Oil Shares or the Options, or is due to any other reason and is not
otherwise reflected in the level of the Index by the Index Sponsors pursuant to the
Index methodology, then the Calculation Agent will be permitted (but not required)
to make such adjustments in the Index or the method of its calculation as it believes
are appropriate to ensure that the Closing Level of the Index used to determine the
applicable Redemption Amount is equitable.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated
by holders and approved by us, or at the office of the trustee in New York City, but
only when the ETNs are surrendered to the trustee at that office. We also may make
any payment or delivery in accordance with the applicable procedures of the depositary.
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Role of the Calculation Agent
Credit Suisse International (“CSi”), an affiliate of ours and the Calculation Agent, will, in its reasonable discretion,
make certain calculations and determinations that may impact the Closing Indicative
Value of the ETNs, including determination of the arithmetic average of the Closing
Indicative Values where applicable, a split or reverse split of the ETNs, calculation
of default amounts, Market Disruption Events, any Successor Index, Business Days and
Trading Days, the Current Principal Amount, the Daily Investor Fee amount, the Daily
Index Factor, the Coupon Amount, the Closing Level of the Index on any Trading Day,
the Maturity Date, any Early Redemption Dates, the Acceleration Date, the amount payable
in respect of a holder’s ETNs at maturity or upon early redemption or acceleration
and any other calculations or determinations to be made by the Calculation Agent as
specified herein.
If the Calculation Agent ceases to perform its role, we will either, at our sole discretion,
perform such role, appoint another party to do so or accelerate the ETNs.
We may appoint a different Calculation Agent from time to time without consent and
without notifying holders.
Role of the Index Calculation Agent
We have appointed Nasdaq, Inc. as an Index Calculation Agent. The Index Calculation
Agent will have the sole responsibility to calculate and disseminate the Closing Indicative Value and the Intraday
Indicative Value of the ETNs. The Index Sponsors may appoint a different Index Calculation Agent from time to time
without consent and without notifying holders.
Description of Credit Suisse FI Large Cap Growth Enhanced Exchange Traded Notes due
June 13, 2024 Linked to the Russell 1000® Growth Index Total Return
Defined terms used within this subsection are defined only with respect to the ETNs
listed in the subsection heading above and described within this subsection.
General
The return on the Credit Suisse FI Large Cap Growth Enhanced Exchange Traded Notes
due June 13, 2024 Linked to the Russell 1000® Growth Index Total Return ( the “ETNs”) is linked to a leveraged participation in the performance of the Russell 1000® Growth Index Total Return (the “Index”), as reflected by their Indicative Value, calculated as set forth below. The Index
seeks to track the large cap growth segment of the U.S. equity market and includes
those Russell 1000® companies (each, an “Index Component”) that are determined to have higher price-to-book ratios and higher forecasted growth
values relative to the equity universe. The intraday level and the official Closing
Level of the Index are expected to be reported by FTSE Russell (the “Index Sponsor”) on Bloomberg page “RU10GRTR <Index>”. At any time on any Trading Day that the intraday
level of the Index is not reported by the Index Sponsor on Bloomberg page “RU10GRTR
<Index>”, the intraday level of the Index will be determined by the Calculation Agent
to be (a) the Closing Level of the Index on the immediately preceding ETN Business
Day times (b) the level of the Price Return Index at that time divided by (c) the closing level of the Price Return Index on the immediately preceding ETN
Business Day. The Index is subject to the policies of the Index Sponsor and is subject
to the Index Sponsor’s discretion, including with respect to the implementation of,
and changes to, the rules governing the Index methodology.
Inception, Issuance and Maturity
The initial issuance of ETNs priced on June 10, 2014 (the “Inception Date”) and settled on June 13, 2014 (the “Initial Settlement Date”). The scheduled maturity date is June 13, 2024 (the “Maturity Date”), but the maturity of the ETNs may be extended at our option for an additional five-year
period. On April 23, 2019, Credit Suisse, at its option and in accordance with the
terms of the ETNs, extended the Maturity Date of the ETNs by five years from their
initially scheduled Maturity Date, June 13, 2019.
Intraday Indicative Value
The Intraday Indicative Value of the ETNs is designed to reflect the economic value
of the ETNs at a given time. The Intraday Indicative Value of the ETNs will be calculated
and published every 15 seconds by the IV Calculation Agent on each ETN Business Day
during
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normal trading hours so long as no Market Disruption Event has occurred or is continuing
and will be disseminated over the consolidated tape or other major market data vendor.
The Intraday Indicative Value at any time is based on the most recent intraday level
of the Index. It is calculated using the same formula as the Closing Indicative Value,
except that instead of using the Closing Level of the Index, the calculation is based
on the most recent reported level of the Index at the particular time (or, if the
day on which such time occurs is not a trading day, as determined by the Calculation
Agent).
At any time at which a Market Disruption Event has occurred and is continuing, there
shall be no Intraday Indicative Value. If the Intraday Indicative Value of the ETNs
is equal to or less than zero at any time or the Closing Indicative Value is equal
to zero on any Trading Day, the Closing Indicative Value of the ETNs on that day,
and all future days, will be zero.
Neither the Intraday Indicative Value nor the Closing Indicative Value calculation
is intended as a price or quotation, or as an offer or solicitation for the purchase,
sale, redemption, acceleration or termination of a holder’s ETNs, nor will it reflect
hedging or transaction costs, credit considerations, market liquidity or bid-offer
spreads. The IV Calculation Agent is responsible for computing and disseminating the
ETN’s Indicative Values. Published levels of the Index from the Index Sponsor may
occasionally be subject to delay or postponement. Any such delays or postponements
will affect the current level of the Index and therefore the Intraday Indicative Value
of the ETNs. The actual trading price of the ETNs may be different from their Intraday
Indicative Value or Closing Indicative Value.
The actual trading price of the ETNs at any time may vary significantly from the Indicative
Value at such time. The trading price of the ETNs at any time is the price that holders
may be able to sell their ETNs in the secondary market at such time, if one exists.
The trading price of the ETNs at any time is the price at which holders may be able
to sell their ETNs in the secondary market at such time, if one exists. In the absence
of an active secondary market for the ETNs, the last reported trading price may not
reflect the actual price at which holders may be able to sell their ETNs at a particular
time. The trading price of the ETNs at any time may vary significantly from the Intraday
Indicative Value of and the Closing Indicative Value of the ETNs at such time due
to, among other things, imbalances of supply and demand, lack of liquidity, transaction
costs, credit considerations and bid-offer spreads.
The closing price of the ETNs will be published on each Trading Day under the ticker
symbol “FLGE”. Any premium or discount may be reduced or eliminated at any time. Paying
a premium purchase price of the ETNs over the Intraday Indicative Value or the Closing
Indicative Value of the ETNs could lead to significant losses in the event holders
sell their ETNs at a time when such premium has declined or is no longer present in
the market or at maturity or upon early redemption or acceleration, in which case
holders will receive a cash payment based on the Closing Indicative Value on the relevant
Valuation Date(s).
The ETNs may be redeemed or accelerated at any time, subject to the conditions described
herein.
As discussed in “Payment Upon Early Redemption” below, a holder may, subject to certain
restrictions, provide a Redemption Notice on any Business Day through June 3, 2024
(or, if the maturity of the ETNs is extended, five scheduled Trading Days prior to
the scheduled Final Valuation Date, as extended) for an anticipated June 4, 2024 Early
Redemption Valuation Date and an anticipated Early Redemption Date of June 7, 2024
(or, if the maturity of the ETNs is extended, an Early Redemption Valuation Date four
scheduled Trading Days prior to the scheduled Final Valuation Date, as extended, and
an Early Redemption Date one scheduled Business Day prior to the scheduled Final Valuation
Date, as extended). If a holder elects to offer its ETNs to Credit Suisse for redemption,
such holder must offer at least the applicable Minimum Redemption Amount at one time
for redemption on any Early Redemption Date.
In addition, we have the right to accelerate the ETNs in whole or in part on any Business
Day occurring after the Inception Date (an “Optional Acceleration”). In addition, if an Acceleration Event (as defined herein) occurs at any time with
respect to the ETNs, all of the outstanding ETNs will be subject to automatic acceleration
(an “Automatic Acceleration”). Upon an acceleration of all of the outstanding ETNs pursuant to an Optional Acceleration,
the “Accelerated Redemption Amount” will be equal to the arithmetic average, as determined by the Calculation Agent,
of the Closing Indicative Values of such ETNs during the Accelerated Valuation Period.
If all of the outstanding ETNs are accelerated pursuant to an Automatic Acceleration,
the Accelerated Redemption Amount will be determined by the Calculation Agent, in
its sole discretion, acting in good faith and in a commercially reasonable manner,
using the latest publicly available quotations for the intraday prices of the relevant
Index Components that are available as soon as practicable following the occurrence
of an Acceleration Event. The Calculation Agent will approximate the intraday Index
Amount on the basis of such quotations and calculate, in the manner described under
“Closing Indicative Value”, a corresponding Intraday Indicative Value minus the Acceleration Fee, which shall be deemed to be the Accelerated Redemption Amount
if the ETNs are accelerated pursuant to an Automatic Acceleration.
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Upon an acceleration of less than all of the outstanding ETNs pursuant to an Optional
Acceleration, the Accelerated Redemption Amount will be equal to the Closing Indicative
Value on the applicable Valuation Date. If less than all of the ETNs are to be redeemed
pursuant to an Optional Acceleration, the trustee shall select, pro rata, by lot or
in such manner as it deems appropriate and fair, the ETNs to be redeemed pursuant
to such acceleration. ETNs accelerated in part may be accelerated in multiples of
10,000 ETNs. We will provide at least five Business Days’ notice of any ETNs to be
redeemed pursuant to an Optional Acceleration and, in the case of any ETNs selected
for partial redemption, the stated principal amount thereof to be redeemed. All provisions
relating to the acceleration of less than all of the outstanding ETNs relate to the
portion of the stated principal amount of ETNs which has been or is to be redeemed
pursuant to these acceleration provisions.
In the case of an Optional Acceleration of all of the outstanding ETNs, the “Accelerated Valuation Period” shall be a period of five consecutive Trading Days specified in our notice of Optional
Acceleration, the first Trading Day of which shall be at least two Business Days after
the date on which we give notice of such Optional Acceleration. In the case of an
Automatic Acceleration of all of the outstanding ETNs, the “Accelerated Valuation Date” will be the date of the Acceleration Event. In the case of an Optional Acceleration
of less than all of the outstanding ETNs, the Accelerated Valuation Date will be the
first Trading Day following the date of our notice of acceleration.
The Accelerated Redemption Amount will be payable on the third Business Day following
the Accelerated Valuation Date or the third Business Day following the last Trading
Day in the Accelerated Valuation Period, as the case may be (such date the “Acceleration Date”). We will give notice of any acceleration of the ETNs through customary channels
used to deliver notices to holders of exchange traded notes.
The last date on which Credit Suisse will redeem the ETNs at a holder’s option will
be June 7, 2024 (or, if the maturity of the ETNs is extended, one scheduled Business
Day prior to the scheduled Maturity Date, as extended). As such, a holder must offer
its ETNs for redemption no later than June 3, 2024 (or, if the maturity of the ETNs
is extended, five scheduled Trading Days prior to the scheduled Final Valuation Date,
as extended). The daily redemption feature is intended to induce arbitrageurs to counteract
any trading of the ETNs at a premium or discount to their Intraday Indicative Value,
although there can be no assurance that arbitrageurs will employ the redemption feature
in this manner.
Indicative Value
The “Indicative Value” for the ETNs is the Intraday Indicative Value or the Closing
Indicative Value of the ETNs, as applicable.
Split or Reverse Split of the ETNs
The Calculation Agent may initiate a split or reverse split of the ETNs on any Trading
Day. If the Calculation Agent decides to initiate a split or reverse split, the Calculation
Agent will issue a notice to holders of the ETNs and a press release announcing the
split or reverse split, specifying the effective date of the split or reverse split.
The Calculation Agent will determine the ratio of such split or reverse split, as
the case may be, using relevant market indicia, and will adjust the terms of the ETNs
accordingly. Any adjustment of the closing value will be rounded to 8 decimal places.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs
(commonly referred to as “partials”) in a manner determined by the Calculation Agent
in its sole discretion. A split or reverse split of the ETNs will not affect the aggregate
stated principal amount of ETNs held by an investor, other than to the extent of any
“partial” ETNs, but it will affect the number of ETNs an investor holds, the denominations
used for trading purposes on the exchange and the trading price, and may affect the
liquidity, of the ETNs on the exchange.
Coupon
We will not make any coupon or interest payments during the term of the ETNs.
Denomination
The denomination and stated principal amount of each ETN is $100.00. ETNs may be issued
at a price that is higher or lower than the stated principal amount, based on the
Indicative Value of the ETNs at that time.
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Payment at Maturity
If the ETNs have not previously been redeemed or accelerated, at maturity holders
will receive for each ETN a cash payment equal to the arithmetic average, as determined
by the Calculation Agent, of the Closing Indicative Value on each of the immediately
preceding five Trading Days to and including the Final Valuation Date (the “Final Valuation Period”). Any payment a holder will be entitled to receive on the ETNs is subject to our
ability to pay our obligations as they become due. In no event will the payment at
maturity be less than zero.
If not previously redeemed or accelerated, the ETNs will mature on June 13, 2024 subject
to postponement if such date is not a Business Day, in the event of a Market Disruption
Event or an extension of the Maturity Date at our option for an additional five-year
period. If we exercise our option to extend the maturity of the ETNs, we will notify
DTC (the holder of the global note for the ETNs) and the trustee at least 45 but not
more than 60 calendar days prior to the then-scheduled Maturity Date.
If the scheduled Maturity Date is not a Business Day, the Maturity Date will be postponed
to the first Business Day following the scheduled Maturity Date. If the scheduled
Final Valuation Date is not a Trading Day, the Final Valuation Date will be postponed
to the next following Trading Day, in which case the Maturity Date will be postponed
to the third Business Day following the Final Valuation Date as so postponed. In addition,
if a Market Disruption Event occurs or is continuing on any Trading Day during the
Final Valuation Period, the Maturity Date will be postponed until the date three (3)
Business Days following the Final Valuation Date, as postponed. No interest or additional
payment will accrue or be payable as a result of any postponement of the Maturity
Date.
If the Closing Indicative Value is zero, the Maturity Redemption Amount will be zero.
For each ETN, the “Closing Indicative Value” on the Inception Date was $100.00 (the “Initial Indicative Value”). The Closing Indicative Value on any ETN Business Day after the Inception Date
will be calculated and published by the IV Calculation Agent and will be equal to
(1) the Closing Indicative Value on the immediately preceding ETN Business Day plus (2) the Index Amount on the current ETN Business Day minus (3) the Investor Fee on such ETN Business Day minus (4) the Exposure Fee on such ETN Business Day minus (5) the Rebalance Fee on such ETN Business Day, if applicable; provided that if the Intraday Indicative Value of the ETNs is equal to or less than zero at
any time or the Closing Indicative Value of the ETNs is equal to zero on any Trading
Day, the Closing Indicative Value of the ETNs on that day, and all future days, will
be zero. In no event, however, will the Closing Indicative Value be less than zero.
Even if the Closing Indicative Value or Intraday Indicative Value is equal to or less
than zero at any time, the trading price of the ETNs may remain above zero. Buying
the ETNs at such a time will lead to a complete loss of a holder’s investment.
If the ETNs undergo a split or reverse split, the Closing Indicative Value, Rebalanced
Indicative Value and Intraday Indicative Value of the ETNs will be adjusted accordingly
(see “Split or Reverse Split of the ETNs” herein). Such adjustment may adversely affect
the trading price and liquidity of the ETNs. None of the Closing Indicative Value,
Rebalanced Indicative Value or the Intraday Indicative Value is the same as closing
price or any other trading price of the ETNs in the secondary market. The trading
price of the ETNs at any time may vary significantly from the Closing Indicative Value,
Rebalanced Indicative Value and Intraday Indicative Value of the ETNs at such time.
See “Intraday Indicative Value” herein.
The Closing Indicative Value will never be less than zero. If the Intraday Indicative
Value is equal to or less than zero at any time, the Closing Indicative Value of the
ETNs on that day, and all future days, will be zero. The IV Calculation Agent is responsible for computing and disseminating the Closing
Indicative Value.
The “Closing Level” of the Index on any ETN Business Day will be the closing level published on Bloomberg
under the ticker symbol “RU10GRTR <Index>” or any successor page on Bloomberg or any
successor service, as applicable; provided that if such day is not an Index Business Day, the Closing Level of the Index will
be deemed to be the Closing Level as of the immediately preceding Index Business Day,
as determined by the Calculation Agent; provided further that in the event a Market Disruption Event exists on a Valuation Date, the Calculation
Agent will determine the Closing Level of the Index according to the methodology described
below in “Market Disruption Events”.
The “Exposure Fee,” on any ETN Business Day following the Inception Date will be equal to the product
of (1) (a) the Index Units as of the previous ETN Business Day times (b) 0.5 times (2) the Financing Rate as of the most recent Quarterly Reference Date prior to the
current ETN Business Day times (3) the Closing Level of the Index as of the most recent Quarterly Reference Date
prior to the current ETN Business Day times (4) the Day Count Fraction.
The Exposure Fee is deemed to be zero on the Inception Date and any day that is not
an ETN Business Day. If the level of the Index decreases or does not increase sufficiently
to offset the Exposure Fee (including the Financing Rate and the Investor Fee), the
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Rebalance Fee and the Early Redemption Charge, over the term of the ETNs, a holder
will receive less, and possibly significantly less, at maturity or upon early redemption
or acceleration of the ETNs than the amount of such holder’s investment.
The “Investor Fee,” on any ETN Business Day following the Inception Date, will be equal to the product
of (1) the Closing Indicative Value as of the previous ETN Business Day times (2) 0.85% times (3) the Day Count Fraction.
The “Financing Rate,” on any LIBOR Business Day, will be equal to the Reference Rate applicable on the
immediately preceding Quarterly Reference Date, plus a spread of 0.44% (44 basis points).
The “Reference Rate” will be equal to the 3-month USD LIBOR, which is the London Interbank Offered Rate
for three month deposits in U.S. dollars, which is displayed on Reuters page LIBOR01
(or any successor service or page for the purpose of displaying the London interbank
offered rates of major banks, as determined by the Calculation Agent), as of 11:00
a.m., London time, on the relevant Quarterly Reference Date.
The “Intraday Indicative Value” will be calculated and published every 15 seconds by the IV Calculation Agent on
each ETN Business Day during normal trading hours so long as no Market Disruption
Event has occurred or is continuing and will be disseminated over the consolidated
tape or other major market data vendor. The Intraday Indicative Value at any time
is based on the most recent intraday level of the Index. It is calculated using the
same formula as the Closing Indicative Value, except that instead of using the Closing
Level of the Index, the calculation is based on the most recent reported level of
the Index at the particular time (or, if the day on which such time occurs is not
a trading day, as determined by the Calculation Agent). If the Intraday Indicative
Value of the ETNs is equal to or less than zero at any time or the Closing Indicative
Value is equal to zero on any Trading Day, the Closing Indicative Value of the ETNs
on that day, and all future days, will be zero.
A “Business Day” is any Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which
banking institutions in New York City or London, England generally are authorized
or obligated by law, regulation or executive order to close.
An “ETN Business Day” is a day on which trading is generally conducted on the New York Stock Exchange,
the NYSE Arca and the NASDAQ exchange.
The “Index” means the Russell 1000® Growth Index Total Return. The intraday level and the official Closing Level of the
Index are expected to be reported by the Index Sponsor on Bloomberg page “RU10GRTR
<Index>”. At any time on any Trading Day that the intraday level of the Index is not
reported by the Index Sponsor on Bloomberg page “RU10GRTR <Index>”, the intraday level
of the Index will be determined by the Calculation Agent to be (a) the Closing Level
of the Index on the immediately preceding ETN Business Day times (b) the level of the Price Return Index at that time divided by (c) the closing level of the Price Return Index on the immediately preceding ETN
Business Day.
The “Price Return Index” means the Russell 1000® Growth Index as published on the Bloomberg page “RLG <Index>” or any successor page,
or in the case of any successor thereto, the Bloomberg page or successor page for
any such successor index.
The “Index Amount” on the Inception Date was zero. On any ETN Business Day after the Inception Date,
the Index Amount will be equal to the product of (1) the Index Units as of the immediately
preceding ETN Business Day times (2) the difference between (a) the Closing Level of the Index on the current ETN
Business Day minus (b) the Closing Level of the Index on the immediately preceding ETN Business Day.
The “Index Units,” on any ETN Business Day from and including the Inception Date to but excluding
the first Rebalance Date, will be equal to the product of (1) the Leverage Factor
times (2) the Initial Indicative Value divided by (3) the Initial Index Level. The Index Units will be adjusted upon the occurrence
of a Rebalance Event. From and including each Rebalance Date, the Index Units will
equal (1) the Leverage Factor times (2) the Closing Indicative Value on the most recent Rebalance Trigger Date for which
the corresponding Rebalance Date falls on or before the current ETN Business Day divided by (3) the Closing Level of the Index on such Rebalance Trigger Date.
The “Leverage Factor” is set to 2.0.
The “Day Count Fraction,” on any ETN Business Day, will be equal to the quotient of (1) the number of calendar
days from and including the previous ETN Business Day to but excluding the current
ETN Business Day divided by (2) 360.
An “Index Business Day” is any day on which the level of the Index is calculated and published.
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With respect to any Index Component, an “Index Component Business Day” is a day on which trading is generally conducted on the primary securities exchange
on which such Index Component is traded and any exchange on which equity securities
or options contracts relating to such Index Component are traded.
A “LIBOR Business Day” is any trading day other than a day on which banking institutions in the city of
London, England are authorized or obligated by law or executive order to be closed.
The first “Quarterly Reference Date” was the Inception Date. Following the Inception Date, the “Quarterly Reference Date” will be on each January 1st, April 1st, July 1st and October 1st, beginning on October 1, 2014, or if such date is not a LIBOR Business Day and an
Index Business Day, the next succeeding day that is both a LIBOR Business Day and
an Index Business Day.
A “Trading Day” is a day which is (i) an Index Business Day, (ii) an ETN Business Day and (iii) an Index Component Business Day for each of the Index
Components.
The ETNs do not guarantee any return of a holder’s investment. If the level of the
Index decreases or does not increase sufficiently to offset the ETN Fees, a holder
will receive less, and possibly significantly less, at maturity or upon early redemption
or acceleration of the ETNs than the amount of such holder’s investment.
Any payment holders will be entitled to receive is subject to our ability to pay our
obligations as they become due.
Determination of the 3-Month USD LIBOR
For the purposes of calculating the Reference Rate, the 3-Month USD LIBOR will be
the London Interbank Offered Rate for three month deposits in U.S. dollars, which
is displayed on Reuters page LIBOR01 (or any successor service or page for the purpose
of displaying the London interbank offered rates of major banks, as determined by
the Calculation Agent), as of 11:00 a.m., London time, on the relevant Quarterly Reference
Date.
If the 3-Month USD LIBOR cannot be determined as described above as of any date of
determination, the 3-Month USD LIBOR for such date of determination will be determined
on the basis of the rates at which three month deposits in U.S. dollars are offered
by four major banks in the London interbank market (the “Reference Banks”) at approximately 11:00 a.m., London time to prime banks in the London interbank
market for a period commencing as of such date in a representative amount. The Calculation
Agent will request the principal London office of each of the Reference Banks to provide
a quotation of its rate. If at least two of those quotations are provided, the 3-Month
USD LIBOR for that date of determination will be the arithmetic mean of the quotations.
If fewer than two quotations are provided as requested, the 3-Month USD LIBOR for
such date of determination will be the arithmetic mean of the rates quoted by major
banks in New York City, selected by the Calculation Agent, at approximately 11:00
a.m., New York City time, as of such date for loans in U.S. dollars to leading European
banks for a period commencing as such date and in a representative amount. If fewer
than two banks selected by the Calculation Agent provide quotes as described above,
the 3- Month USD LIBOR for that date of determination will be determined by the Calculation
Agent.
Rebalance Event
A Rebalance Event shall occur (1) quarterly, on each Quarterly Rebalance Calculation
Date, and (2) if the Closing Indicative Value on any Trading Day is equal to or less
than 60% of the then current Rebalanced Indicative Value (each such day, a “Deleveraging Calculation Date” and, together with any Quarterly Rebalance Calculation Date, a “Rebalance Trigger Date”). The Trading Day following each Rebalance Trigger Date will be a “Rebalance Date,” subject to postponement in the event of a Market Disruption Event and the Calculation
Agent will make adjustments to the Index Amount and Exposure Fee and other relevant
terms of the ETNs, as described under “Rebalance Event.” Upon the occurrence of each
Rebalance Event, a holder will incur a Rebalance Fee on the relevant Rebalance Date.
On any ETN Business Day that is a Rebalance Date, the “Rebalance Fee” per ETN will be equal to the product of (1) the Rebalance Rate times (2) the Closing Level of the Index on such Rebalance Date times (3) the absolute value of the difference between (a) the Index Units on the Trading
Day immediately preceding the relevant Rebalance Date minus (b) the Index Units on such Rebalance Date. On any ETN Business Day that is not a
Rebalance Date, the Rebalance Fee will equal zero. The “Rebalance Rate” on any Rebalance Date following a Deleveraging Calculation Date, will equal 0.05%.
The Rebalance Rate will equal 0.02% on any other Rebalance Date. Following the Inception
Date, a “Quarterly Rebalance Calculation Date” will occur on the Trading Day immediately preceding each Quarterly Reference Date.
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Each Rebalance Event will have the effect of resetting the then-current leverage to
approximately 2.0 based on the Closing Level of the Index as of the Rebalance Trigger
Date. Each time a Rebalance Event occurs, a holder will incur a Rebalance Fee. This
fee will reduce the value of the ETNs.
The initial “Rebalanced Indicative Value” will be the Initial Indicative Value. Thereafter, the Rebalanced Indicative Value
will be the Closing Indicative Value on the Rebalance Trigger Date immediately preceding
the relevant Rebalance Date.
Payment Upon Early Redemption
Prior to maturity, a holder may, subject to certain restrictions described below,
offer at least the applicable Minimum Redemption Amount or more of the ETNs to us
for redemption on an Early Redemption Date until June 3, 2024 (or, if the maturity
of the ETNs is extended, five scheduled Trading Days prior to the scheduled Final
Valuation Date, as extended). If a holder elects to offer the ETNs for redemption,
and the requirements for acceptance by us are met, a holder will receive a cash payment
per ETN on the Early Redemption Date equal to the Early Redemption Amount. Any payment
a holder will be entitled to receive on the ETNs is subject to our ability to pay
our obligations as they become due.
A holder may exercise an early redemption right by causing the broker to deliver a
Redemption Notice (as defined herein) to Credit Suisse. If a Redemption Notice is
delivered prior to 4:00 p.m., New York City time, on any Business Day, the immediately
following Trading Day will be the applicable “Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. Credit Suisse may, at its option, waive the requirement that the Redemption
Notice be delivered as set forth above, if confirmed by Credit Suisse that a written
indication of an offer for early redemption has otherwise been accepted by Credit
Suisse. See “Procedures for Early Redemption” herein.
A holder must offer for redemption at least 10,000 ETNs at one time in order to exercise
the right to cause us to redeem the ETNs on any Early Redemption Date (the “Minimum Redemption Amount”); provided that we or the Calculation Agent may from time to time reduce, in whole or in part,
the Minimum Redemption Amount. Any such reduction will be applied on a consistent
basis for all holders of the ETNs at the time the reduction becomes effective. If
the ETNs undergo a split or reverse split, the minimum number of ETNs needed to exercise
the right to cause us to redeem the ETNs will remain the same.
When a holder submits ETNs for redemption in accordance with the redemption procedures
described herein, the ETNs may remain outstanding (and be resold by us or an affiliate)
or may be submitted by us for cancellation.
The “Early Redemption Date” is the third Business Day following an Early Redemption Valuation Date.
The “Early Redemption Amount” is a cash payment per ETN equal to the greater of (A) zero and (B)(1) the Closing
Indicative Value on the applicable Early Redemption Valuation Date minus (2) the Early Redemption Charge, calculated by the Calculation Agent.
The “Early Redemption Charge” per ETN will equal the product of (i) 0.05% times (ii) the Closing Level of the Index on the Early Redemption Valuation Date times (iii) the Index Units as of the immediately preceding Trading Day.
Procedures for Early Redemption
If a holder wishes to offer ETNs to Credit Suisse for redemption, the broker must
follow the following procedures:
■ Deliver a notice of redemption (the “Redemption Notice”), to Credit Suisse via email or other electronic delivery as requested by Credit
Suisse. If the Redemption Notice is delivered prior to 4:00 p.m., New York City time,
on any Business Day, the immediately following Trading Day will be the applicable
“Early Redemption Valuation Date”. Otherwise, the second following Trading Day will be the applicable Early Redemption
Valuation Date. If Credit Suisse receives the Redemption Notice no later than 4:00
p.m., New York City time, on any Business Day, Credit Suisse will respond by sending
the broker an acknowledgment of the Redemption Notice accepting the redemption request
by 7:30 p.m., New York City time, on the Business Day prior to the applicable Early
Redemption Valuation Date. Credit Suisse or its affiliate must acknowledge to the
broker acceptance of the Redemption Notice in order for the redemption request to
be effective;
■ Notwithstanding the foregoing, Credit Suisse may, at its option, waive the requirement
that the Redemption Notice be delivered as set forth above, if confirmed by Credit
Suisse that a written indication of an offer for early redemption has otherwise been
accepted by Credit Suisse. Any such written indication that is delivered after 4:00
p.m., New York City time, on any Business Day, will be deemed to have been made on
the following Business Day. For the avoidance of doubt, a holder may choose to comply
with the procedures set forth above in lieu of the procedures in this clause, irrespective
of any waiver by Credit Suisse;
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■ Cause the DTC custodian to book a delivery versus payment trade with respect to the
ETNs on the applicable Early Redemption Valuation Date at a price equal to the applicable
Early Redemption Amount, facing us; and
■ Cause the DTC custodian to deliver the trade as booked for settlement via DTC at or
prior to 10:00 a.m. New York City time, on the applicable Early Redemption Date (the
third Business Day following the Early Redemption Valuation Date).
A holder is responsible for (i) instructing or otherwise causing the broker to provide
the Redemption Notice and (ii) the broker satisfying the additional requirements as
set forth in the second and third bullets above in order for the redemption to be
effected. Different brokerage firms may have different deadlines for accepting instructions
from their customers. Accordingly, a holder should consult the brokerage firm through
which it owns its interest in the ETNs in respect of such deadlines. If Credit Suisse
does not (i) receive the Redemption Notice from the broker by 4:00 p.m. and (ii) deliver
an acknowledgment of such Redemption Notice to the broker accepting such redemption
request by 7:30 p.m., on the Business Day prior to the applicable Early Redemption
Valuation Date, such notice will not be effective for such Business Day and Credit
Suisse will treat such Redemption Notice as if it was received on the next Business
Day. Any redemption instructions for which Credit Suisse receives a valid confirmation
in accordance with the procedures described above will be irrevocable after Credit
Suisse confirms such offer for early redemption.
Because the Early Redemption Amount a holder will receive for each ETN will not be
determined until the close of trading on the applicable Early Redemption Valuation
Date, a holder will not know the applicable Early Redemption Amount at the time such
holder exercises its redemption right and will bear the risk that its ETNs will decline
in value between the time of such holder’s exercise and the time at which the Early
Redemption Amount is determined.
Acceleration at Our Option or Upon an Acceleration Event
We have the right to accelerate the ETNs in whole or in part on any Business Day occurring
after the Inception Date (an “Optional Acceleration”). In addition, if an Acceleration Event (as defined herein) occurs at any time with
respect to the ETNs, all of the outstanding ETNs will be subject to automatic acceleration
(an “Automatic Acceleration”).
Upon an acceleration of all of the outstanding ETNs pursuant to an Optional Acceleration,
the “Accelerated Redemption Amount” will be equal to the arithmetic average, as determined by the Calculation Agent,
of the Closing Indicative Values of such ETNs during the Accelerated Valuation Period.
If all of the outstanding ETNs are accelerated pursuant to an Automatic Acceleration,
the Accelerated Redemption Amount will be determined by the Calculation Agent, in
its sole discretion, acting in good faith and in a commercially reasonable manner,
using the latest publicly available quotations for the intraday prices of the relevant
Index Components that are available as soon as practicable following the occurrence
of an Acceleration Event. The Calculation Agent will approximate the intraday Index
Amount on the basis of such quotations and calculate, in the manner described under
“Closing Indicative Value”, a corresponding Intraday Indicative Value minus the Acceleration
Fee, which shall be deemed to be the Accelerated Redemption Amount if the ETNs are
accelerated pursuant to an Automatic Acceleration.
Upon an acceleration of less than all of the outstanding ETNs pursuant to an Optional
Acceleration, the Accelerated Redemption Amount will be equal to the Closing Indicative
Value on the applicable Valuation Date. If less than all of the ETNs are to be redeemed
pursuant to an Optional Acceleration, the trustee shall select, pro rata, by lot or
in such manner as it deems appropriate and fair, the ETNs to be redeemed pursuant
to such acceleration. ETNs accelerated in part may be accelerated in multiples of
10,000 ETNs. We will provide at least five Business Days’ notice of any ETNs to be
redeemed pursuant to an Optional Acceleration and, in the case of any ETNs selected
for partial redemption, the stated principal amount thereof to be redeemed. All provisions
relating to the acceleration of less than all of the outstanding ETNs relate to the
portion of the stated principal amount of ETNs which has been or is to be redeemed
pursuant to these acceleration provisions.
Any payment a holder will be entitled to receive on the ETNs is subject to our ability
to pay our obligations as they become due.
In the case of an Optional Acceleration of all of the outstanding ETNs, the “Accelerated Valuation Period” shall be a period of five consecutive Trading Days specified in our notice of Optional
Acceleration, the first Trading Day of which shall be at least two Business Days after
the date on which we give notice of such Optional Acceleration. In the case of an
Automatic Acceleration of all of the outstanding ETNs, the “Accelerated Valuation Date” will be the date of the Acceleration Event. In the case of an Optional Acceleration
of less than all of the outstanding ETNs, the Accelerated Valuation Date will be the
first Trading Day following the date of our notice of acceleration.
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The Accelerated Redemption Amount will be payable on the third Business Day following
the Accelerated Valuation Date or the third Business Day following the last Trading
Day in the Accelerated Valuation Period, as the case may be (such date the “Acceleration Date”). We will give notice of any acceleration of the ETNs through customary channels
used to deliver notices to holders of exchange traded notes.
If an Acceleration Event occurs, an “Acceleration Fee” equal to the product of (1) 0.05% times (2) the level of the Index used in determining the Index Amount on the Accelerated
Valuation Date times (3) the Index Units as of the immediately preceding ETN Business Day will apply.
Any payment a holder will be entitled to receive is subject to our ability to pay
our obligations as they become due.
An “Acceleration Event” will occur if the Intraday Indicative Value on any Trading Day is equal to or less
than 40% of the most recent Rebalanced Indicative Value.
Market Disruption Events
The Calculation Agent will be solely responsible for the determination and calculation
of any adjustments to the Index and of any related determinations and calculations
with respect to any event described below and its determinations and calculations
will be conclusive absent manifest error.
In respect of the Index, a “Market Disruption Event” is:
(a) the occurrence or existence of a suspension, absence or material limitation of trading
of Index Components then constituting 20% or more of the level of the Index on the
principal exchange on which the Index Components are traded for those securities for
more than two hours of trading, or during the one-half hour period preceding the close
of the principal trading session on the principal exchange on which the Index Components
are traded;
(b) a breakdown or failure in the price and trade reporting systems of the principal exchange
on which the Index Components are traded for the Index as a result of which the reported
trading prices for Index Components then constituting 20% or more of the level of
the Index during the one-half hour preceding the close of the principal trading session
on the principal exchange on which the Index Components are traded are materially
inaccurate;
(c) the occurrence or existence of a suspension, absence or material limitation of trading
on the primary related exchange or market for trading in equity securities related
to the Index, if available, during the one-half hour period preceding the close of
the principal trading session for such related exchange or market; or
(d) a decision to permanently discontinue trading in those related equity securities.
in each case, as determined by the Calculation Agent in its sole discretion; and in
each case a determination by the Calculation Agent in its sole discretion that any
event described above materially interfered with our ability or the ability of any
of our affiliates to effect transactions in the Index Components or any instrument
related to the Index Components or to adjust or unwind all or a material portion of
any hedge position in the Index with respect to the ETNs.
For the purpose of determining whether a Market Disruption Event with respect to the
Index exists at any time, if trading in a security included in the Index is materially
suspended or materially limited at that time, then the relevant percentage contribution
of that security to the level of the Index will be based on a comparison of (1) the
portion of the level of the Index attributable to that security relative to (2) the
overall level of the Index, in each case immediately before that suspension or limitation.
For the purpose of determining whether a Market Disruption Event in respect of the
Index has occurred:
(a) a limitation on the hours or number of days of trading will not constitute a Market
Disruption Event if it results from an announced change in the regular business hours
of the principal exchange on which the Index Components are traded or the primary
exchange or market for trading in equity securities related to the Index;
(b) limitations pursuant to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by the NYSE, any other U.S. self-regulatory organization, the SEC or
any other relevant authority of scope similar to NYSE Rule 80B) on trading during
significant market fluctuations will constitute a suspension, absence or material
limitation of trading; and
(c) a suspension of trading in equity securities related to the Index by the primary exchange
or market for trading in such contracts, if available, by reason of:
■ a price change exceeding limits set by such exchange or market;
■ an imbalance of orders relating to such contracts; or
■ a disparity in bid and ask quotes relating to such contracts;
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will, in each such case, constitute a suspension, absence or material limitation of
trading in equity securities related to the Index; and
(d) a “suspension, absence or material limitation of trading” on the primary related exchange
or market on which equity securities related to the Index are traded will not include
any time when such exchange or market is itself closed for trading under ordinary
circumstances;
in each case, as determined by the Calculation Agent in its sole discretion.
If the Calculation Agent determines that a Market Disruption Event exists in respect
of the Index on a Valuation Date or Rebalance Date, then that Valuation Date or Rebalance
Date will be postponed to the first succeeding Trading Day on which the Calculation
Agent determines that no Market Disruption Event exists in respect of the Index, unless
the Calculation Agent determines that a Market Disruption Event exists in respect
of the Index on each of the five Trading Days immediately following the scheduled
Valuation Date or Rebalance Date. In that case, (a) the fifth succeeding Trading Day
following the scheduled Valuation Date or Rebalance Date will be deemed to be such
Valuation Date for the Index, notwithstanding the Market Disruption Event in respect
of the Index, and (b) the Calculation Agent will determine the closing level for the
Index on that deemed Valuation Date or Rebalance Date in accordance with the formula
for and method of calculating the Index last in effect prior to the commencement of
the Market Disruption Event in respect of the Index using exchange-traded prices on
the principal exchange on which the Index Components are traded (as determined by
the Calculation Agent in its sole discretion) or, if trading in any component comprising
the Index has been materially suspended or materially limited, the Calculation Agent’s
good faith estimate of the prices that would have prevailed on the principal exchange
on which the Index Components are traded (as determined by the Calculation Agent in
its sole discretion) but for the suspension or limitation, as of the valuation time
on that deemed Valuation Date or Rebalance Date, of each component comprising the
Index.
If a Market Disruption Event exists in respect of the Index during the Accelerated
Valuation Period or Final Valuation Period, (such disrupted date, the “Disrupted Valuation Date”), all of the Valuation Dates that are scheduled to occur on consecutive Trading
Days following such Disrupted Valuation Date, if any, will be postponed by the corresponding
number of days by which such Disrupted Valuation Date is postponed as a result of
such Market Disruption Event.
If the Final Valuation Date, the Valuation Date corresponding to an Early Redemption
Date or the last scheduled Valuation Date in the Accelerated Valuation Period is postponed,
the Maturity Date, the corresponding Early Redemption Date or the Acceleration Date,
as the case may be, will be postponed until the date three Business Days following
such Final Valuation Date, Valuation Date corresponding to an Early Redemption Date
or last scheduled Valuation Date in the Accelerated Valuation Period, as postponed.
Default Amount on Acceleration
For the purpose of determining whether the holders of our senior medium-term notes,
of which the ETNs are a part, are entitled to take any action under the indenture,
we will treat the stated principal amount of each ETN outstanding as the principal
amount of that ETN. Although the terms of the ETNs may differ from those of the other
senior medium-term notes, holders of specified percentages in principal amount of
all senior medium-term notes, together in some cases with other series of our debt
securities, will be able to take action affecting all the senior medium-term notes,
including the ETNs. This action may involve changing some of the terms that apply
to the senior medium-term notes, accelerating the maturity of the senior medium-term
notes after a default or waiving some of our obligations under the indenture.
In case an event of default with respect to ETNs shall have occurred and be continuing,
the amount declared due and payable upon any acceleration of the ETNs will be determined
by the Calculation Agent, and will equal, for each ETN that a holder then holds, the
Closing Indicative Value determined by the Calculation Agent occurring on the Trading
Day following the date on which the ETNs were declared due and payable.
Further Issuances
We may, from time to time, without notice to or the consent of the holders of the
ETNs, create and issue additional securities having the same terms and conditions
as the ETNs and ranking on an equal basis with the ETNs in all respects.
Discontinuation or Modification of the Index
If the Index Sponsor discontinues publication of the Index and the Index Sponsor or
anyone else publishes a substitute index that the Calculation Agent determines is
comparable to the Index, then the Calculation Agent will permanently replace the original
Index
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with that substitute index (the “Successor Index”) for all purposes, and all provisions described herein as applying to the Index
will thereafter apply to the Successor Index instead. If the Calculation Agent replaces
the original Index with a Successor Index, then the Calculation Agent will determine
the Early Redemption Amount, Accelerated Redemption Amount or Maturity Redemption
Amount (each, a “Redemption Amount”), as applicable, by reference to the Successor Index.
If the Calculation Agent determines that the publication of the Index is discontinued
and there is no Successor Index, the Calculation Agent will determine the level of
the Index, and thus the applicable Redemption Amount, by a computation methodology
that the Calculation Agent determines will as closely as reasonably possible replicate
the Index.
If the Calculation Agent determines that the Index, the equity securities included
in the Index or the method of calculating the Index is changed at any time in any
respect, including whether the change is made by the Index Sponsor under its existing
policies or following a modification of those policies, is due to the publication
of a Successor Index, is due to events affecting the equity securities included in
the Index or is due to any other reason and is not otherwise reflected in the level
of the Index by the Index Sponsor pursuant to the Index methodology, then the Calculation
Agent will be permitted (but not required) to make such adjustments in the Index or
the method of its calculation as it believes are appropriate to ensure that the Closing
Level of the Index used to determine the applicable Redemption Amount is equitable.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated
by holders and approved by us, or at the office of the trustee in New York City, but
only when the ETNs are surrendered to the trustee at that office. We also may make
any payment or delivery in accordance with the applicable procedures of the depositary.
Role of the Calculation Agent
Credit Suisse International (“CSi”), an affiliate of ours, will serve as the Calculation Agent. The Calculation Agent
will, in its reasonable discretion, make all calculations and/or determinations regarding
the value of the ETNs, including at maturity, upon early redemption or acceleration,
Market Disruption Events (see “Market Disruption Events”), Business Days and Trading
Days, the ETN Fees, the intraday level of the Index if not published by the Index
Sponsor, the Maturity Date, any Early Redemption Dates, Rebalance Dates, the Acceleration
Date, the amount payable in respect of the ETNs at maturity, upon early redemption
or acceleration and any other calculations or determinations to be made by the Calculation
Agent as specified herein.
If the Calculation Agent ceases to perform its role as described herein, we will either,
at our sole discretion, perform such role, appoint another party to do so or accelerate
the ETNs. We may appoint a different Calculation Agent from time to time without holders’
consent and without notifying holders.
Role of the IV Calculation Agent
We have appointed ICE Data Indices, LLC, formerly the NYSE Arca, as the “IV Calculation Agent”. The IV Calculation Agent will have the sole responsibility to calculate and disseminate
the Closing Indicative Value and Intraday Indicative Value of the ETNs. We may appoint
a different IV Calculation Agent from time to time without holders’ consent and without
notifying holders.
Description of Credit Suisse FI Enhanced Europe 50 Exchange Traded Notes due May 11,
2028 Linked to the STOXX® Europe 50 USD (Gross Return) Index
Defined terms used within this subsection are defined only with respect to the ETNs
listed in the subsection heading above and described within this subsection.
General
The return on the Credit Suisse FI Enhanced Europe 50 Exchange Traded Notes due May
11, 2028 Linked to the STOXX® Europe 50 USD (Gross Return) Index (the “ETNs”) is linked to a leveraged participation in the performance of the STOXX® Europe 50 USD (Gross Return) Index (the “Index”), as reflected by their Indicative Value, calculated as set forth below. The Index
is composed of the
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equity securities of 50 “blue-chip” European companies by free-float market capitalization
(each, an “Index Component”) selected from within the STOXX® Europe 600 Index (the “Parent Index”). The Parent Index contains the 600 largest companies traded on the major exchanges
of 17 European countries: Austria, Belgium, Czech Republic, Denmark, Finland, France,
Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden,
Switzerland and the United Kingdom. The Index is calculated, maintained and published
by STOXX Limited (the “Index Sponsor”), which launched the Index on March 27, 2012. The Index is subject to the policies
of the Index Sponsor and is subject to the Index Sponsor’s discretion, including with
respect to the implementation of, and changes to, the rules governing the Index methodology.
Inception, Issuance and Maturity
The initial issuance of ETNs priced on May 10, 2018 (the “Inception Date”) and settled on May 15, 2018 (the “Initial Settlement Date”). The scheduled Maturity Date is initially May 11, 2028 (the “Maturity Date”), but the maturity of the ETNs may be extended at our option for up to two additional
five-year periods, as described herein.
Intraday Indicative Value
The “Intraday Indicative Value of the ETNs” is designed to reflect the economic value of the ETNs at a given time. The Intraday
Indicative Value of the ETNs will be calculated using the same formula as the Closing
Indicative Value, except that instead of using the Closing Level of the Index, the
calculation is based on the most recent reported level of the Index at the particular
time. During the hours on which trading is generally conducted on each ETN Business
Day, the Intraday Indicative Value will be calculated and published every 15 seconds
by the IV Calculation Agent so long as no Market Disruption Event has occurred or
is continuing and will be disseminated over the consolidated tape or other major market
data vendor. Because live Index values are not published after approximately 11:50
a.m., New York City time, subject to adjustment for daylight saving time, as applicable,
the Indicative Value is not expected to change and will likely remain static after
such time.
If the Intraday Indicative Value of the ETNs is equal to or less than zero during
Observation Trading Hours or the Closing Indicative Value is equal to zero on any
Trading Day, the Closing Indicative Value of the ETNs on that day, and all future
days, will be zero. Because the ETNs provide leveraged exposure to the Index, the
Intraday Indicative Value can equal or be less than zero during Observation Trading
Hours if the intraday level of the Index at such time has decreased by approximately
50% (or possibly less) from the Initial Index Level or, after the first Rebalance
Trigger Date, from the Closing Level of the Index on the most recent Rebalance Trigger
Date.
The Intraday Indicative Value is not the same as the closing price or any other trading
price of the ETNs in the secondary market. The trading price of the ETNs at any time
may vary significantly from the Indicative Value at such time, especially during those
U.S. trading hours when the Intraday Indicative Value is static and/or when the Closing
Indicative Value has already been determined.
Neither the Intraday Indicative Value nor the Closing Indicative Value calculation
is intended as a price or quotation, or as an offer or solicitation for the purchase,
sale, redemption, acceleration or termination of a holder’s ETNs, nor will it reflect
hedging or transaction costs, credit considerations, market liquidity or bid-offer
spreads. The IV Calculation Agent is responsible for computing and disseminating the
ETNs’ Indicative Values. Published levels of the Index from the Index Sponsor may
occasionally be subject to delay or postponement. Any such delays or postponements
will affect the current level of the Index and therefore the Intraday Indicative Value
of the ETNs. The actual trading price of the ETNs may be different from their Intraday
Indicative Value or Closing Indicative Value.
The actual trading price of the ETNs at any time may vary significantly from the Indicative
Value at such time. The trading price of the ETNs at any time is the price that holders
may be able to sell their ETNs in the secondary market at such time, if one exists.
The trading price of the ETNs at any time is the price at which holders may be able
to sell their ETNs in the secondary market at such time, if one exists. In the absence
of an active secondary market for the ETNs, the last reported trading price may not
reflect the actual price at which holders may be able to sell their ETNs at a particular
time. The trading price of the ETNs at any time may vary significantly from the Intraday
Indicative Value and the Closing Indicative Value of the ETNs at such time due to,
among other things, imbalances of supply and demand, lack of liquidity, transaction
costs, credit considerations and bid-offer spreads. The trading price of the ETNs
at any time will also vary significantly from their Indicative Value during those
U.S. trading hours when the Intraday Indicative Value is static and/or when the Closing
Indicative Value has already been determined.
The closing price of the ETNs will be published on each Trading Day under the ticker
symbol “FEUL”. Any premium or discount may be reduced or eliminated at any time. Paying
a premium purchase price of the ETNs over the Intraday Indicative Value or the Closing
Indicative Value of the ETNs could lead to significant losses in the event holders
sell their ETNs at a time when such premium has
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declined or is no longer present in the market or at maturity or upon early redemption
or acceleration, in which case holders will receive a cash payment based on the Closing
Indicative Value on the relevant Valuation Date(s).
The ETNs may be redeemed or accelerated at any time, subject to the conditions described
herein.
As discussed in “Payment Upon Early Redemption” below, a holder may submit a Redemption
Notice on any Trading Day beginning on May 10, 2018 through May 1, 2028 (or, if the
maturity of the ETNs is extended, five scheduled Trading Days prior to the scheduled
Final Valuation Date, as extended) for an anticipated May 2, 2028 Early Redemption
Valuation Date and an anticipated Early Redemption Date of May 4, 2028 (or, if the
maturity of the ETNs is extended, an Early Redemption Valuation Date four scheduled
Trading Days prior to the scheduled Final Valuation Date, as extended, and an Early
Redemption Date two Business Days after the Early Redemption Valuation Date, as extended)
to have us redeem the ETNs, in whole or in part. Notwithstanding the foregoing, we
will not accept a Redemption Notice submitted to us on any day after the fifth Trading
Day preceding the Accelerated Valuation Date in the case of an Optional Acceleration.
If a holder elects to offer its ETNs for redemption, and the requirements for acceptance
by us are met, such holder will receive a cash payment per ETN on the Early Redemption
Date equal to the Early Redemption Amount.
A holder must offer for redemption at least 10,000 ETNs at one time in order to exercise
the right to cause us to redeem such holder’s ETNs on any Early Redemption Date (the
“Minimum Redemption Amount”); provided that we or the Calculation Agent, may from time to time reduce, in whole
or in part, the Minimum Redemption Amount. Any such reduction will be applied on a
consistent basis for all holders of the ETNs at the time the reduction becomes effective.
If the ETNs undergo a split or reverse split, the minimum number of ETNs needed to
exercise the right to cause us to redeem the ETNs will remain the same.
Because the Early Redemption Amount a holder will receive for each ETN will be based
on the Closing Indicative Value of the ETNs on the applicable Early Redemption Valuation
Date, a holder will not know the Early Redemption Amount at the time such holder submits
its Redemption Notice and will bear the risk that its ETNs will decline in value between
the time of such submission and the time at which the Early Redemption Amount is determined.
On any Business Day occurring after the Inception Date, we will have the right to
issue a notice to accelerate all, but not less than all, the issued and outstanding
ETNs (an “Optional Acceleration”). In addition, if an Acceleration Event occurs at any time with respect to the ETNs,
all of the issued and outstanding ETNs will be subject to automatic acceleration (an
“Automatic Acceleration”). If the ETNs are accelerated pursuant to an Optional Acceleration, holders will
receive a cash payment on the Acceleration Date equal to the arithmetic average, as
determined on the Accelerated Valuation Date by the Calculation Agent, of the Closing
Indicative Values of such ETNs during the Accelerated Valuation Period (the “Accelerated Redemption Amount”).
If the ETNs are accelerated pursuant to an Automatic Acceleration, holders will receive
a cash payment on the Acceleration Date equal to the greater of (A) zero and (B)(1)
the Closing Indicative Value on the Accelerated Valuation Date minus (2) the Acceleration Fee on the Accelerated Valuation Date, calculated by the Calculation
Agent.
Any payment holders will be entitled to receive on the ETNs is subject to our ability
to pay our obligations as they become due. In no event will the Accelerated Redemption
Amount be less than zero. In the case of an Optional Acceleration, the “Accelerated Valuation Period” shall be the five consecutive Trading Days specified in our notice of Optional Acceleration,
the first Trading Day of which shall be at least three (3) calendar days after the
date on which we give notice of such Optional Acceleration. In the case of an Optional
Acceleration, the “Accelerated Valuation Date” will be the last Trading Day in the Accelerated Valuation Period. In the case of
an Automatic Acceleration, the Accelerated Valuation Date will be the Trading Day
immediately following the Trading Day on which the Acceleration Event occurs.
The Accelerated Redemption Amount will be payable on the third Business Day following
the Accelerated Valuation Date (the “Acceleration Date”).
The last date on which Credit Suisse will redeem the ETNs at a holder’s option will
be May 4, 2028 (or, if the maturity of the ETNs is extended, two Business Days after
the Early Redemption Valuation Date, as extended). As such, a holder must offer its
ETNs for redemption no later than May 1, 2028 (or, if the maturity of the ETNs is
extended, five scheduled Trading Days prior to the scheduled Final Valuation Date,
as extended). The daily redemption feature is intended to induce arbitrageurs to counteract
any trading of the ETNs at a premium or discount to their Intraday Indicative Value,
although there can be no assurance that arbitrageurs will employ the redemption feature
in this manner.
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Indicative Value
The “Indicative Value” for the ETNs is the Closing Indicative Value or the Intraday Indicative Value, as
applicable.
Split or Reverse Split of the ETNs
The Calculation Agent may initiate a split or reverse split of the ETNs on any Trading
Day. If the Calculation Agent decides to initiate a split or reverse split, the Calculation
Agent will issue a notice to holders of the ETNs and a press release announcing the
split or reverse split, specifying the effective date of the split or reverse split.
The Calculation Agent will determine the ratio of such split or reverse split, as
the case may be, using relevant market indicia, and will adjust the terms of the ETNs
accordingly. Any adjustment of the closing value will be rounded to 8 decimal places.
In the case of a reverse split, we reserve the right to address odd numbers of ETNs
(commonly referred to as “partials”) in a manner determined by the Calculation Agent
in its sole discretion. A split or reverse split of the ETNs will not affect the aggregate
stated principal amount of ETNs held by an investor, other than to the extent of any
“partial” ETNs, but it will affect the number of ETNs an investor holds, the denominations
used for trading purposes on the exchange and the trading price, and may affect the
liquidity, of the ETNs on the exchange.
Coupon
We will not make any coupon or interest payments during the term of the ETNs.
Denomination
The denomination and stated principal amount of each ETN is $100.00. ETNs may be issued
at a price that is higher or lower than the stated principal amount, based on the
Closing Indicative Value of the ETNs at that time.
Payment at Maturity
If the ETNs have not previously been redeemed or accelerated, on the Maturity Date
holders will receive for each ETN a cash payment equal to the arithmetic average,
as determined on the Final Valuation Date by the Calculation Agent, of the Closing
Indicative Values of the ETNs during the Final Valuation Period. Any payment holders
will be entitled to receive on the ETNs is subject to our ability to pay our obligations
as they become due. In no event will the Payment at Maturity be less than zero.
If not previously redeemed or accelerated, the ETNs will mature on May 11, 2028, or
on the Maturity Date as extended at our option for up to two additional five-year
periods, in each case subject to postponement if such date is not a Business Day or
in the event of a Market Disruption Event. We may only extend the scheduled Maturity
Date for five years at a time. If we exercise our option to extend the maturity of
the ETNs, we will notify DTC (the holder of the global note for the ETNs) and the
trustee at least 45 but not more than 60 calendar days prior to the then-scheduled
Maturity Date. We will provide such notice to DTC and the trustee in respect of each
five-year extension of the scheduled Maturity Date that we choose to effect.
If the scheduled Maturity Date is not a Business Day, the Maturity Date will be postponed
to the first Business Day following the scheduled Maturity Date. If the scheduled
Final Valuation Date is not a Trading Day, the Final Valuation Date will be postponed
to the next following Trading Day, in which case the Maturity Date will be postponed
to the third Business Day following the Final Valuation Date as so postponed. In addition,
if a Market Disruption Event occurs or is continuing on any Trading Day during the
Final Valuation Period, the Maturity Date will be postponed until the date three (3)
Business Days following the Final Valuation Date, as postponed. No interest or additional
payment will accrue or be payable as a result of any postponement of the Maturity
Date.
If the Closing Indicative Value is zero, the Payment at Maturity will be zero.
The Closing Indicative Value for the ETNs on the Inception Date was $100.00 (the “Initial Indicative Value”). The Closing Indicative Value on any ETN Business Day after the Inception Date
will be calculated and published by the IV Calculation Agent and will be equal to
(1) the Closing Indicative Value on the immediately preceding ETN Business Day plus (2) the Index Amount on the current ETN Business Day minus (3) the Investor Fee on such ETN Business Day minus (4) the Exposure Fee on such ETN Business Day minus (5) the Rebalance Fee on such ETN Business Day, if applicable. The Closing Indicative
Value will never be less than zero. If the Intraday Indicative Value of the ETNs is
equal to or less than zero during Observation Trading Hours or the Closing Indicative
Value of
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the ETNs is equal to zero on any Trading Day, the Closing Indicative Value of the
ETNs on that day, and all future days, will be zero. Even if the Closing Indicative
Value or Intraday Indicative Value is equal to or less than zero at any time, the
trading price of the ETNs may remain above zero. Buying the ETNs at such a time will
lead to a complete loss of a holder’s investment. Because the ETNs provide leveraged
exposure to the Index, the Intraday Indicative Value can equal or be less than zero
during Observation Trading Hours if the intraday level of the Index at such time has
decreased by approximately 50% (or possibly less) from the Initial Index Level or,
after the first Rebalance Trigger Date, from the Closing Level of the Index on the
most recent Rebalance Trigger Date. The IV Calculation Agent is responsible for computing
and disseminating the Closing Indicative Value.
The Closing Indicative Value on any ETN Business Day is based on the Closing Level
of the Index on that ETN Business Day. The Closing Level of the Index on each ETN
Business Day is determined based on the closing prices of the Index Components on
such day and is typically published shortly after 4:30 p.m., London time. Accordingly,
the Closing Indicative Value will be published at or around 4:50 p.m., London time,
which corresponds to approximately 11:50 a.m., New York City time, subject to adjustment
for daylight saving time, as applicable. Therefore, the Closing Indicative Value will
be determined several hours before the close of trading for the ETNs on the NYSE Arca
at 4:00 p.m., New York City time. The Closing Level of the Index is based on the closing
prices of the Index Components as of 4:30 p.m., London time. Accordingly, the real-time
calculation and publication of the intraday level of the Index will be suspended after
approximately 4:30 p.m., London time. Because the Intraday Indicative Value is based
on the intraday levels of the Index, it will reflect lags and other disruptions and
suspensions that affect the Index. For example, because the real-time calculation
and publication of the intraday level of the Index will be suspended after approximately
4:30 p.m., London time, the published Intraday Indicative Value after such time will
passively track the suspended level of the Index and, as a result, the Intraday Indicative
Value will not reflect any subsequent changes in market values or prices or any other
market factors that take place after such time. Consequently, after approximately
4:30 p.m., London time, but before trading on the NYSE Arca is closed, there could
be market developments or other events that cause or exacerbate the difference between
the trading price of the ETNs and the Indicative Value of such ETNs.
If the ETNs undergo a split or reverse split, the Closing Indicative Value, Rebalanced
Indicative Value and Intraday Indicative Value of the ETNs will be adjusted accordingly.
Such adjustment may adversely affect the trading price and liquidity of the ETNs.
None of the Closing Indicative Value, Rebalanced Indicative Value or the Intraday
Indicative Value is the same as closing price or any other trading price of the ETNs
in the secondary market. The trading price of the ETNs at any time may vary significantly
from the Closing Indicative Value, Rebalanced Indicative Value and Intraday Indicative
Value of the ETNs at such time, especially during those U.S. trading hours when the
Intraday Indicative Value is static and/or when the Closing Indicative Value has already
been determined.
The “Closing Level of the Index” on any ETN Business Day will be the official closing level of the Index published
on Bloomberg under the ticker symbol “SX5PGV <Index>” or any successor page on Bloomberg
or any successor service, as applicable; provided that if such day is not an Index Business Day, the Closing Level of the Index will
be deemed to be the Closing Level of the Index as of the immediately preceding Index
Business Day, as determined by the Calculation Agent; provided further that in the event a Market Disruption Event exists on a Valuation Date, the Calculation
Agent will determine the Closing Level of the Index according to the methodology described
below in “Market Disruption Events.”
The “Exposure Fee,” on any ETN Business Day following the Inception Date will be equal to the product
of (1) (a) the Index Units as of the previous ETN Business Day times (b) 0.5 times (2) the Financing Rate as of the most recent Quarterly Reference Date prior to the
current ETN Business Day times (3) the Closing Level of the Index as of the most recent Quarterly Reference Date
prior to the current ETN Business Day times (4) the Day Count Fraction.
The Exposure Fee was deemed to be zero on the Inception Date. If the level of the
Index decreases or does not increase sufficiently to offset the Exposure Fee, the
Investor Fee, the Rebalance Fee, the Early Redemption Charge and the Acceleration
Fee, if applicable, over the term of the ETNs, a holder will receive less, and possibly
significantly less, at maturity or upon early redemption or acceleration of the ETNs
than the amount of such holder’s investment.
The “Investor Fee,” on any ETN Business Day following the Inception Date, will be equal to the product
of (1) the Closing Indicative Value as of the previous ETN Business Day times (2) 1.00% times (3) the Day Count Fraction.
The “Financing Rate,” on any LIBOR Business Day, will be equal to the Reference Rate applicable on the
immediately preceding Quarterly Reference Date, plus a spread of 1.00% (100 basis points).
The “Reference Rate” on any Quarterly Reference Date will be equal to the 3-Month USD LIBOR, which is
the London Interbank Offered Rate for three-month deposits in U.S. dollars, which
is displayed on Reuters page LIBOR01 (or any successor service or page for the purpose
of displaying the London interbank offered rates of major banks, as determined by
the Calculation Agent), as of
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11:00 a.m., London time, on such Quarterly Reference Date. If such rate does not appear
on such page at such time on the relevant Quarterly Reference Date as described above,
the Reference Rate for such date will be determined on the basis of the rates at which
three-month deposits in U.S. dollars are offered by four major banks in the London
interbank market (the “Reference Banks”) at approximately 11:00 a.m., London time to prime banks in the London interbank
market for a period commencing as of such date in a representative amount. The Calculation
Agent will request the principal London office of each of the Reference Banks to provide
a quotation of its rate. If at least two of those quotations are provided, the Reference
Rate for that date will be the arithmetic mean of the quotations. If fewer than two
quotations are provided as requested, the Reference Rate for such date will be the
arithmetic mean of the rates quoted by major banks in New York City, selected by the
Calculation Agent, at approximately 11:00 a.m., New York City time, as of such date
for loans in U.S. dollars to leading European banks for a period of three months commencing
as of such date and in a representative amount. If fewer than two banks selected by
the Calculation Agent provide quotes as described above, the Reference Rate for that
date will be determined by the Calculation Agent in its sole discretion (acting in
good faith and in a commercially reasonable manner).
The “Intraday Indicative Value” of the ETNs will be calculated using the same formula as the Closing Indicative
Value, except that instead of using the Closing Level of the Index, the calculation
is based on the most recent reported level of the Index at the particular time. During
the hours on which trading is generally conducted on each ETN Business Day, the Intraday
Indicative Value will be calculated and published every 15 seconds by the IV Calculation
Agent so long as no Market Disruption Event has occurred or is continuing and will
be disseminated over the consolidated tape or other major market data vendor. Because
live Index values are not published after approximately 11:50 a.m., New York City
time, subject to adjustment for daylight saving time, as applicable, the Indicative
Value is not expected to change and will likely remain static after such time.
If the Intraday Indicative Value of the ETNs is equal to or less than zero during
Observation Trading Hours or the Closing Indicative Value is equal to zero on any
Trading Day, the Closing Indicative Value of the ETNs on that day, and all future
days, will be zero. Because the ETNs provide leveraged exposure to the Index, the
Intraday Indicative Value can equal or be less than zero during Observation Trading
Hours if the intraday level of the Index at such time has decreased by approximately
50% (or possibly less) from the Initial Index Level or, after the first Rebalance
Trigger Date, from the Closing Level of the Index on the most recent Rebalance Trigger
Date.
A “Business Day” is any Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which
banking institutions in New York City or London, England generally are authorized
or obligated by law, regulation or executive order to close.
An “ETN Business Day” is a day on which trading is generally conducted on the New York Stock Exchange,
the NYSE Arca and the NASDAQ exchange.
The “Index” means the STOXX® Europe 50 USD (Gross Return) Index.
The “Index Amount” on the Inception Date was zero. On any ETN Business Day after the Inception Date,
the Index Amount will be equal to the product of (1) the Index Units as of the immediately
preceding ETN Business Day times (2) the difference between (a) the Closing Level of the Index on the current ETN
Business Day minus (b) the Closing Level of the Index on the immediately preceding ETN Business Day.
The “Index Units,” on any ETN Business Day from and including the Inception Date to but excluding
the first Rebalance Date, will be equal to the product of (1) the Leverage Factor
times (2) the Initial Indicative Value divided by (3) the Initial Index Level. The Index Units will be adjusted upon the occurrence
of a Rebalance Event. From and including each Rebalance Date, the Index Units will
equal (1) the Leverage Factor times (2) the Closing Indicative Value on the most recent Rebalance Trigger Date for which
the corresponding Rebalance Date falls on or before the current ETN Business Day divided by (3) the Closing Level of the Index on such Rebalance Trigger Date.
The “Leverage Factor” is set to 2.0.
The “Day Count Fraction,” on any ETN Business Day, will be equal to the quotient of (1) the number of calendar
days from and including the previous ETN Business Day to but excluding the current
ETN Business Day divided by (2) 360.
An “Index Business Day” is any day on which the level of the Index is calculated and published.
A “LIBOR Business Day” is any trading day other than a day on which banking institutions in the city of
London, England are authorized or obligated by law or executive order to be closed.
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The first “Quarterly Reference Date” will be the Inception Date. Following the Inception Date, the “Quarterly Reference Date” will be on each January 1st, April 1st, July 1st and October 1st, beginning on July 1, 2018, or if such date is not a LIBOR Business Day and an Index
Business Day, the next succeeding day that is both a LIBOR Business Day and an Index
Business Day.
A “Trading Day” is a day which is (i) an Index Business Day and (ii) an ETN Business Day.
The “Observation Trading Hours” on any Trading Day is the time period from and including 9:30 a.m. New York City
time to and including 4:00 p.m. New York City time.
The ETNs do not guarantee any return of a holder’s investment. If the level of the
Index decreases or does not increase sufficiently to offset the ETN Fees, a holder
will receive less, and possibly significantly less, at maturity or upon early redemption
or acceleration of the ETNs than the amount of such holder’s investment.
Any payment holders will be entitled to receive is subject to our ability to pay our
obligations as they become due.
Determination of the 3-Month USD LIBOR
For the purposes of calculating the Reference Rate, the 3-Month USD LIBOR will be
the London Interbank Offered Rate for three-month deposits in U.S. dollars, which
is displayed on Reuters page LIBOR01 (or any successor service or page for the purpose
of displaying the London interbank offered rates of major banks, as determined by
the Calculation Agent), as of 11:00 a.m., London time, on the relevant Quarterly Reference
Date.
If such rate does not appear on such page at such time on the relevant Quarterly Reference
Date as described above, the Reference Rate for such date will be determined on the
basis of the rates at which three-month deposits in U.S. dollars are offered by four
major banks in the London interbank market (the “Reference Banks”) at approximately 11:00 a.m., London time to prime banks in the London interbank
market for a period commencing as of such date in a representative amount. The Calculation
Agent will request the principal London office of each of the Reference Banks to provide
a quotation of its rate. If at least two of those quotations are provided, the Reference
Rate for that date will be the arithmetic mean of the quotations. If fewer than two
quotations are provided as requested, the Reference Rate for such date will be the
arithmetic mean of the rates quoted by major banks in New York City, selected by the
Calculation Agent, at approximately 11:00 a.m., New York City time, as of such date
for loans in U.S. dollars to leading European banks for a period of three months commencing
as of such date and in a representative amount. If fewer than two banks selected by
the Calculation Agent provide quotes as described above, the Reference Rate for that
date will be determined by the Calculation Agent in its sole discretion (acting in
good faith and in a commercially reasonable manner).
Notwithstanding the foregoing, if the Calculation Agent determines that the 3-Month
USD LIBOR for purposes of determining the Reference Rate has been discontinued, then
it will determine whether to use a substitute or successor rate for purpose of determining
the Reference Rate on each relevant Quarterly Reference Date falling on or after it
has determined in its sole discretion (acting in good faith and in a commercially
reasonable manner) is most comparable to the existing rate had it not been discontinued,
provided that if the Calculation Agent determines there is an appropriate industry-accepted
successor rate, the Calculation Agent shall use such successor rate.
If the Calculation Agent has determined a substitute or successor rate in accordance
with the foregoing (such rate, the “Replacement Rate”), for purposes of determining the Reference Rate, (a) the Calculation Agent shall
in its sole discretion (acting in good faith and in a commercially reasonable manner)
determine (i) the method for obtaining the Replacement Rate (including any alternative
method for determining the Replacement Rate if such substitute or successor rate is
unavailable on the relevant Quarterly Reference Date), which method shall be consistent
with industry-accepted practices for the Replacement Rate, and (ii) any adjustment
factor as may be necessary to make the Replacement Rate comparable to the existing
rate had it not been discontinued, consistent with industry-accepted practices for
the Replacement Rate; (b) references to the Reference Rate herein shall be deemed
to be references to the Replacement Rate, including any alternative method for determining
such rate and any adjustment factor as described in sub-clause (a) above; (c) any
changes relating to the service or page for the purpose of displaying the Replacement
Rate or the time at which such rate is published on such service or page shall be
determined by the Calculation Agent in its sole discretion (acting in good faith and
in a commercially reasonably manner).
Rebalance Event
A Rebalance Event shall occur (1) quarterly, on each Quarterly Rebalance Calculation
Date, and (2) if the Closing Indicative Value on any Trading Day is equal to or less
than 60% of the then current Rebalanced Indicative Value and no Acceleration Event
has
75
occurred on such day (each such day, a “Deleveraging Calculation Date” and, together with any Quarterly Rebalance Calculation Date, a “Rebalance Trigger Date”). The Trading Day following each Rebalance Trigger Date will be a “Rebalance Date,” subject to postponement in the event of a Market Disruption Event and the Calculation
Agent will make adjustments to the Index Amount and Exposure Fee and other relevant
terms of the ETNs, as described under “Rebalance Event”. Upon the occurrence of each
Rebalance Event, holders will incur a Rebalance Fee on the relevant Rebalance Date.
On any ETN Business Day that is a Rebalance Date, the “Rebalance Fee” per ETN will be equal to the product of (1) the Rebalance Rate times (2) the Closing Level of the Index on such Rebalance Date times (3) the absolute value of the difference between (a) the Index Units on the Trading
Day immediately preceding the relevant Rebalance Date minus (b) the Index Units on such Rebalance Date. On any ETN Business Day that is not a
Rebalance Date, the Rebalance Fee will equal zero. The “Rebalance Rate” on any Rebalance Date will equal 0.05%. Following the Inception Date, a “Quarterly Rebalance Calculation Date” will occur on the Trading Day immediately preceding each Quarterly Reference Date.
Each Rebalance Event will have the effect of resetting the then-current leverage to
approximately 2.0 based on the Closing Level of the Index as of the Rebalance Trigger
Date. Each time a Rebalance Event occurs, holders will incur a Rebalance Fee. This
fee will reduce the value of the ETNs.
The initial “Rebalanced Indicative Value” will be the Initial Indicative Value. Thereafter, the Rebalanced Indicative Value
will be the Closing Indicative Value on the Rebalance Trigger Date immediately preceding
the relevant Rebalance Date.
Payment Upon Early Redemption
Subject to compliance with the procedures described below, a holder may submit a request
(the “Redemption Notice”) on any Trading Day through and including May 1, 2028 (or, if the maturity of the
ETNs is extended, five scheduled Trading Days prior to the scheduled Final Valuation
Date, as extended) to have us redeem its ETNs, in whole or in part. Notwithstanding
the foregoing, we will not accept a Redemption Notice submitted to us on any day after
the fifth Trading Day preceding the Accelerated Valuation Date in the case of an Optional
Acceleration. If a holder elects to offer its ETNs for redemption, and the requirements
for acceptance by us are met, such holder will receive a cash payment per ETN on the
Early Redemption Date equal to the Early Redemption Amount.
A holder may exercise its early redemption right by causing its broker to deliver
a Redemption Notice (as defined herein) to Credit Suisse. If such Redemption Notice
is delivered prior to 10:00 a.m., New York City time on any Business Day, the immediately
following Trading Day will be the applicable “Early Redemption Valuation Date”. Otherwise,
the second following Trading Day will be the applicable Early Redemption Valuation
Date. Credit Suisse may, at its option, waive the requirement that the Redemption
Notice be delivered as set forth above, if confirmed by Credit Suisse that a written
indication of an offer for early redemption has otherwise been accepted by Credit
Suisse.
A holder must offer for redemption at least 10,000 ETNs at one time in order to exercise
the right to cause us to redeem such holder’s ETNs on any Early Redemption Date (the
“Minimum Redemption Amount”); provided that we or the Calculation Agent may from time to time reduce, in whole or in part,
the Minimum Redemption Amount. Any such reduction will be applied on a consistent
basis for all holders of the ETNs at the time the reduction becomes effective. If
the ETNs undergo a split or reverse split, the minimum number of ETNs needed to exercise
the right to cause us to redeem the ETNs will remain the same.
When a holder submits its ETNs for redemption in accordance with the redemption procedures
described herein, such ETNs may remain outstanding (and be resold by us or an affiliate)
or may be submitted by us for cancellation.
The “Early Redemption Date” is the second Business Day following an Early Redemption Valuation Date.
The “Early Redemption Amount” is a cash payment per ETN equal to the greater of (A) zero and (B)(1) the Closing
Indicative Value on the applicable Early Redemption Valuation Date minus (2) the Early
Redemption Charge on the applicable Early Redemption Valuation Date, calculated by
the Calculation Agent. Any payment holders will be entitled to receive on the ETNs
is subject to our ability to pay our obligations as they become due. In no event will
the Early Redemption Amount be less than zero.
The “Early Redemption Charge” per ETN will equal the product of (i) 0.10% times (ii) the Closing Level of the Index on the applicable Early Redemption Valuation
Date times (iii) the Index Units as of the immediately preceding Trading Day.
Procedures for Early Redemption
If a holder wishes to offer its ETNs to Credit Suisse for redemption, such holder’s
broker must follow the following procedures:
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■ Deliver a notice of redemption (the “Redemption Notice”), to Credit Suisse via email or other electronic delivery as requested by Credit
Suisse. If such Redemption Notice is delivered prior to 10:00 a.m., New York City
time on any Business Day, the immediately following Trading Day will be the applicable
“Early Redemption Valuation Date.” Otherwise, the second following Trading Day will
be the applicable Early Redemption Valuation Date. If Credit Suisse receives such
Redemption Notice no later than 10:00 a.m., New York City time, on any Business Day,
Credit Suisse will respond by sending the relevant holder’s broker an acknowledgment
of the Redemption Notice accepting such redemption request by 7:30 p.m., New York
City time, on the Business Day prior to the applicable Early Redemption Valuation
Date. Credit Suisse or its affiliate must acknowledge to such broker acceptance of
the Redemption Notice in order for such redemption request to be effective;
■ Notwithstanding the foregoing, Credit Suisse may, at its option, waive the requirement
that the Redemption Notice be delivered as set forth above, if confirmed by Credit
Suisse that a written indication of an offer for early redemption has otherwise been
accepted by Credit Suisse. Any such written indication that is delivered after 4:00
p.m., New York City time, on any Business Day, will be deemed to have been made on
the following Business Day. For the avoidance of doubt, a holder may choose to comply
with the procedures set forth above in lieu of the procedures in this clause, irrespective
of any waiver by Credit Suisse;
■ Cause the holder’s DTC custodian to book a delivery versus payment trade with respect
to the ETNs on the applicable Early Redemption Valuation Date at a price equal to
the applicable Early Redemption Amount, facing us; and
■ Cause the holder’s DTC custodian to deliver the trade as booked for settlement via
DTC at or prior to 10:00 a.m., New York City time, on the applicable Early Redemption
Date (the second Business Day following the Early Redemption Valuation Date).
A holder is responsible for (i) instructing or otherwise causing its broker to provide
the Redemption Notice and (ii) its broker satisfying the additional requirements as
set forth in the second and third bullets above in order for the redemption to be
effected. Different brokerage firms may have different deadlines for accepting instructions
from their customers. Accordingly, a holder should consult the brokerage firm through
which it owns its interest in the ETNs in respect of such deadlines. If Credit Suisse
does not (i) receive the Redemption Notice from a holder’s broker by 10:00 a.m., and
(ii) deliver an acknowledgment of such Redemption Notice to such broker accepting
such redemption request by 7:30 p.m., on the Business Day prior to the applicable
Early Redemption Valuation Date, such notice will not be effective for such Business
Day and Credit Suisse will treat such Redemption Notice as if it was received on the
next Business Day. Any redemption instructions for which Credit Suisse receives a
valid confirmation in accordance with the procedures described above will be irrevocable
after Credit Suisse confirms a holder’s offer for early redemption.
Because the Early Redemption Amount a holder will receive for each ETN will be based
on the Closing Indicative Value of the ETNs on the applicable Early Redemption Valuation
Date, a holder will not know the Early Redemption Amount at the time such holder submits
its Redemption Notice and will bear the risk that its ETNs will decline in value between
the time of such submission and the time at which the Early Redemption Amount is determined.
Acceleration at Our Option or Upon an Acceleration Event
On any Business Day occurring after the Inception Date, we will have the right to
issue a notice to accelerate all, but not less than all, the issued and outstanding
ETNs (an “Optional Acceleration”). In addition, if an Acceleration Event occurs at any time with respect to the ETNs,
all of the issued and outstanding ETNs will be subject to automatic acceleration (an
“Automatic Acceleration”).
If the ETNs are accelerated pursuant to an Optional Acceleration, holders will receive
a cash payment on the Acceleration Date equal to the arithmetic average, as determined
on the Accelerated Valuation Date by the Calculation Agent, of the Closing Indicative
Values of such ETNs during the Accelerated Valuation Period.
If the ETNs are accelerated pursuant to an Automatic Acceleration, holders will receive
a cash payment on the Acceleration Date equal to the greater of (A) zero and (B)(1)
the Closing Indicative Value on the Accelerated Valuation Date minus (2) the Acceleration
Fee on the Accelerated Valuation Date, calculated by the Calculation Agent.
The cash payment received pursuant to either an Optional Acceleration or an Automatic
Acceleration, if any, is referred to as the “Accelerated Redemption Amount” and will be payable on the third Business Day following the Accelerated Valuation
Date (the “Acceleration Date”). In no event will the Accelerated Redemption Amount be less than zero.
In the case of an Optional Acceleration, the “Accelerated Valuation Period” shall be the five consecutive Trading Days specified in our notice of Optional Acceleration,
the first Trading Day of which shall be at least three (3) calendar days after the
date on which we give notice of such Optional Acceleration. In the case of an Optional
Acceleration, the “Accelerated Valuation Date” will be the last Trading Day in the Accelerated Valuation Period. In the case of
an Automatic Acceleration, the Accelerated Valuation Date will be the Trading Day
immediately following the Trading Day on which the Acceleration Event occurs.
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The Accelerated Redemption Amount will be payable on the third Business Day following
the Accelerated Valuation Date (the “Acceleration Date”).
If an Acceleration Event occurs, an “Acceleration Fee” equal to the product of (1) 0.10% times (2) the Closing Level of the Index on the Accelerated Valuation Date times (3) the Index Units as of the immediately preceding ETN Business Day will apply.
Any payment holders will be entitled to receive is subject to our ability to pay our
obligations as they become due.
An “Acceleration Event” will occur if the Intraday Indicative Value during Observation Trading Hours on
any Trading Day (other than a Trading Day during the Final Valuation Period or the
Accelerated Valuation Period) is equal to or less than 40% of the most recent Rebalanced
Indicative Value.
Market Disruption Events
The Calculation Agent will be solely responsible for the determination and calculation
of any adjustments to the Index and of any related determinations and calculations
with respect to any event described below and its determinations and calculations
will be conclusive absent manifest error.
In respect of the Index, a “Market Disruption Event” is:
(a) the occurrence or existence of a suspension, absence or material limitation of trading
of Index Components then constituting 20% or more of the level of the Index on the
principal exchange on which the Index Components are traded for those securities for
more than two hours of trading, or during the one-half hour period preceding the close
of the principal trading session on the principal exchange on which the Index Components
are traded;
(b) a breakdown or failure in the price and trade reporting systems of the principal exchange
on which the Index Components are traded for the Index as a result of which the reported
trading prices for Index Components then constituting 20% or more of the level of
the Index during the one-half hour preceding the close of the principal trading session
on the principal exchange on which the Index Components are traded are materially
inaccurate;
(c) the occurrence or existence of a suspension, absence or material limitation of trading
on the primary related exchange or market for trading in equity securities related
to the Index, if available, during the one-half hour period preceding the close of
the principal trading session for such related exchange or market; or
(d) a decision to permanently discontinue trading in those related equity securities.
in each case, as determined by the Calculation Agent in its sole discretion; and in
each case a determination by the Calculation Agent in its sole discretion that any
event described above materially interfered with our ability or the ability of any
of our affiliates to effect transactions in the Index Components or any instrument
related to the Index Components or to adjust or unwind all or a material portion of
any hedge position in the Index with respect to the ETNs.
For the purpose of determining whether a Market Disruption Event with respect to the
Index exists at any time, if trading in a security included in the Index is materially
suspended or materially limited at that time, then the relevant percentage contribution
of that security to the level of the Index will be based on a comparison of (1) the
portion of the level of the Index attributable to that security relative to (2) the
overall level of the Index, in each case immediately before that suspension or limitation.
For the purpose of determining whether a Market Disruption Event in respect of the
Index has occurred:
(a) a limitation on the hours or number of days of trading will not constitute a Market
Disruption Event if it results from an announced change in the regular business hours
of the principal exchange on which the Index Components are traded or the primary
exchange or market for trading in equity securities related to the Index;
(b) limitations pursuant to NYSE Rule 80B (or any applicable rule or regulation enacted
or promulgated by the NYSE, any other U.S. self-regulatory organization, the SEC or
any other relevant authority of scope similar to NYSE Rule 80B) on trading during
significant market fluctuations will constitute a suspension, absence or material
limitation of trading; and
(c) a suspension of trading in equity securities related to the Index by the primary exchange
or market for trading in such contracts, if available, by reason of:
■ a price change exceeding limits set by such exchange or market;
■ an imbalance of orders relating to such contracts; or
■ a disparity in bid and ask quotes relating to such contracts;
will, in each such case, constitute a suspension, absence or material limitation of
trading in equity securities related to the Index; and
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(d) a “suspension, absence or material limitation of trading” on the primary related exchange
or market on which equity securities related to the Index are traded will not include
any time when such exchange or market is itself closed for trading under ordinary
circumstances;
in each case, as determined by the Calculation Agent in its sole discretion.
If the Calculation Agent determines that a Market Disruption Event exists in respect
of the Index on a Valuation Date or Rebalance Date, then that Valuation Date or Rebalance
Date will be postponed to the first succeeding Trading Day on which the Calculation
Agent determines that no Market Disruption Event exists in respect of the Index, unless
the Calculation Agent determines that a Market Disruption Event exists in respect
of the Index on each of the five Trading Days immediately following the scheduled
Valuation Date or Rebalance Date. In that case, (a) the fifth succeeding Trading Day
following the scheduled Valuation Date or Rebalance Date will be deemed to be such
Valuation Date for the Index, notwithstanding the Market Disruption Event in respect
of the Index, and (b) the Calculation Agent will determine the Closing Level of the
Index on that deemed Valuation Date or Rebalance Date in accordance with the formula
for and method of calculating the Index last in effect prior to the commencement of
the Market Disruption Event in respect of the Index using exchange-traded prices on
the principal exchange on which the Index Components are traded (as determined by
the Calculation Agent in its sole discretion) or, if trading in any component comprising
the Index has been materially suspended or materially limited, the Calculation Agent’s
good faith estimate of the prices that would have prevailed on the principal exchange
on which the Index Components are traded (as determined by the Calculation Agent in
its sole discretion) but for the suspension or limitation, as of the valuation time
on that deemed Valuation Date or Rebalance Date, of each component comprising the
Index.
If a Market Disruption Event exists in respect of the Index during the Accelerated
Valuation Period or Final Valuation Period, (such disrupted date, the “Disrupted Valuation Date”), all of the Valuation Dates that are scheduled to occur on consecutive Trading
Days following such Disrupted Valuation Date, if any, will be postponed by the corresponding
number of days by which such Disrupted Valuation Date is postponed as a result of
such Market Disruption Event.
If the Final Valuation Date, the Valuation Date corresponding to an Early Redemption
Date or the last scheduled Valuation Date in the Accelerated Valuation Period is postponed,
the Maturity Date, the corresponding Early Redemption Date or the Acceleration Date,
as the case may be, will be postponed until the date three Business Days following
such Final Valuation Date, Valuation Date corresponding to an Early Redemption Date
or last scheduled Valuation Date in the Accelerated Valuation Period, as postponed.
Default Amount on Acceleration
For the purpose of determining whether the holders of our senior medium-term notes,
of which the ETNs are a part, are entitled to take any action under the indenture,
we will treat the stated principal amount of each ETN outstanding as the principal
amount of that ETN. Although the terms of the ETNs may differ from those of the other
senior medium-term notes, holders of specified percentages in principal amount of
all senior medium-term notes, together in some cases with other series of our debt
securities, will be able to take action affecting all the senior medium-term notes,
including the ETNs. This action may involve changing some of the terms that apply
to the senior medium-term notes, accelerating the maturity of the senior medium-term
notes after a default or waiving some of our obligations under the indenture.
In case an event of default with respect to ETNs shall have occurred and be continuing,
the amount declared due and payable upon any acceleration of the ETNs will be determined
by the Calculation Agent, and will equal, for each ETN that a holder then holds, the
Closing Indicative Value determined by the Calculation Agent occurring on the Trading
Day following the date on which the ETNs were declared due and payable.
Further Issuances
We may, from time to time, without notice to or the consent of the holders of the
ETNs, create and issue additional securities having the same terms and conditions
as the ETNs, and ranking on an equal basis with the ETNs in all respects.
Discontinuation or Modification of the Index
If the Index Sponsor discontinues publication of the Index and the Index Sponsor or
anyone else publishes a substitute index that the Calculation Agent determines is
comparable to the Index, then the Calculation Agent will permanently replace the original
Index with that substitute index (the “Successor Index”) for all purposes, and all provisions described herein as applying to the Index
will thereafter apply to the Successor Index instead. If the Calculation Agent replaces
the original Index with a Successor Index, then the
79
Calculation Agent will determine the Early Redemption Amount, Accelerated Redemption
Amount or Payment at Maturity (each, a “Redemption Amount”), as applicable, by reference to the Successor Index.
If the Calculation Agent determines that the publication of the Index is discontinued
and there is no Successor Index, the Calculation Agent will determine the level of
the Index, and thus the applicable Redemption Amount, by a computation methodology
that the Calculation Agent determines will as closely as reasonably possible replicate
the Index.
If the Calculation Agent determines that the Index, the equity securities included
in the Index or the method of calculating the Index is changed at any time in any
respect, including whether the change is made by the Index Sponsor under its existing
policies or following a modification of those policies, is due to the publication
of a Successor Index, is due to events affecting the equity securities included in
the Index or is due to any other reason and is not otherwise reflected in the level
of the Index by the Index Sponsor pursuant to the methodology described herein, then
the Calculation Agent will be permitted (but not required) to make such adjustments
in the Index or the method of its calculation as it believes are appropriate to ensure
that the Closing Level of the Index used to determine the applicable Redemption Amount
is equitable.
Manner of Payment and Delivery
Any payment on or delivery of the ETNs at maturity will be made to accounts designated
by holders and approved by us, or at the office of the trustee in New York City, but
only when the ETNs are surrendered to the trustee at that office. We also may make
any payment or delivery in accordance with the applicable procedures of the depositary.
Role of the Calculation Agent
Credit Suisse International (“CSi”), an affiliate of ours, will serve as the Calculation Agent. The Calculation Agent
will, in its reasonable discretion, make all calculations and/or determinations regarding
the value of the ETNs, including at maturity, upon early redemption or acceleration,
Market Disruption Events (see “Market Disruption Events”), Business Days and Trading
Days, the ETN Fees, the intraday level of the Index if not published by the Index
Sponsor, the Maturity Date, any Early Redemption Dates, Rebalance Dates, the Acceleration
Date, the amount payable in respect of a holder’s ETNs at maturity, upon early redemption
or acceleration and any other calculations or determinations to be made by the Calculation
Agent as specified herein.
If the Calculation Agent ceases to perform its role, we will either, at our sole discretion,
perform such role, appoint another party to do so or accelerate the ETNs. We may appoint
a different Calculation Agent from time to time without consent and without notifying
holders.
Role of the IV Calculation Agent
We have initially appointed ICE Data Indices, LLC as the “IV Calculation Agent”. The IV Calculation Agent will have the sole responsibility to calculate and disseminate
the Closing Indicative Value and Intraday Indicative Value of the ETNs. We may appoint
a different IV Calculation Agent from time to time without consent and without notifying
holders.
Business Days
The term “Business Day” means, unless otherwise specified in the applicable prospectus supplement, any day
that is not a Saturday or Sunday and that is not a day on which banking institutions
are generally authorized or obligated by law, regulation or executive order to close
in The City of New York and any other place of payment with respect to the applicable
series of ETNs and is a day on which dealings in deposits in any currency specified
in the applicable prospectus supplement are transacted, or with respect to any future
date are expected to be transacted, in the London interbank market.
Events of Default; Limitations on Suits
Events of Default
Unless otherwise specified in a prospectus supplement, an “event of default” with respect to a series of ETNs occurs upon:
■ a default in payment of the principal or any premium on any ETN of that series when
due;
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■ a default in payment of interest when due on any ETN of that series for 30 days;
■ a default in performing any other covenant in the Indenture for 60 days after written notice from the Trustee or from the holders of 25% in principal
amount of the outstanding ETNs of such series; or
■ certain events of bankruptcy, insolvency or reorganization of the Issuer.
Any additional or different events of default applicable to a particular series of
ETNs will be described in the prospectus supplement relating to such series.
The Trustee may withhold notice to the holders of ETNs of any default (except in the
payment of principal, premium or interest) if it considers such withholding of notice
to be in the best interests of the holders. A default is any event which is an event
of default described above or would be an event of default but for the giving of notice
or the passage of time.
Unless otherwise specified in the applicable prospectus supplement, if an event of
default occurs and continues, the Trustee or the holders of the aggregate principal
amount of the ETNs specified below may require the Issuer to repay immediately, or
accelerate:
■ the entire principal of the ETNs of such series; or
■ if the ETNs are original issue discount securities, such portion of the principal
as may be described in the applicable prospectus supplement.
Unless otherwise specified in the applicable prospectus supplement, if the event of
default occurs because of a default in a payment of principal or interest on the ETNs,
then the Trustee or the holders of at least 25% of the aggregate principal amount
of ETNs of that series can accelerate that series of ETNs. If the event of default
occurs because of a failure to perform any other covenant in the Indenture for the
benefit of one or more series of ETNs, then the Trustee or the holders of at least
25% of the aggregate principal amount of ETNs of all series affected, voting as one
class, can accelerate all of the affected series of ETNs. If the event of default
occurs because of bankruptcy proceedings, then all of the ETNs under the Indenture
will be accelerated automatically. Therefore, except in the case of a default on a
payment of principal or interest on the ETNs of your series or a default due to bankruptcy
or insolvency of the Issuer, it is possible that you may not be able to accelerate
the ETNs of your series because of the failure of holders of other series to take
action.
The holders of a majority of the aggregate principal amount of the ETNs of all affected
series, voting as one class, can rescind this accelerated payment requirement or waive
any past default or event of default or allow noncompliance with any provision of
the Indenture. However, they cannot waive a default in payment of principal of, premium,
if any, or interest on, any of the ETNs.
After an event of default, the Trustee must exercise the same degree of care a prudent
person would exercise under the circumstances in the conduct of her or his own affairs.
Subject to these requirements, the Trustee is not obligated to exercise any of its
rights or powers under the Indenture at the request, order or direction of any holders,
unless the holders offer the Trustee reasonable indemnity. If they provide this reasonable
indemnity, the holders of a majority in principal amount of all affected series of
ETNs, voting as one class, may direct the time, method and place of conducting any
proceeding or any remedy available to the Trustee, or exercising any power conferred
upon the Trustee, for any series of ETNs.
We are required to furnish to the Trustee annually a brief certificate as to our compliance
with all conditions and covenants under the Indenture.
Limitations on Suits
The holders of any ETNs may not institute any proceeding, judicial or otherwise, with
respect to the Indenture or such ETNs, or for the appointment of a receiver or trustee,
or for any other remedy, unless:
(a) such holder has previously given to the Trustee written notice of a continuing event
of default with respect to such ETNs;
(b) the holders of at least 25% in aggregate principal amount of such ETNs outstanding
and affected will have made written request to the Trustee to institute proceedings
with respect to such event of default in its own name as Trustee;
(c) such holder or holders have offered to the Trustee indemnity reasonably satisfactory
to the Trustee against any costs, liabilities or expenses to be incurred in compliance
with such request;
(d) the Trustee for 60 days after its receipt of such offer of indemnity has failed to
institute any such proceeding;
(e) during such 60-day period, the holders of a majority in aggregate principal amount
of such ETNs outstanding and affected have not given the Trustee a direction that
is inconsistent with such written request.
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Consolidation, Merger or Sale
The Issuer has agreed in the Indenture not to consolidate with or merge with or into
any other person or convey or transfer all or substantially all of its properties
and assets to any person unless:
■ it is the continuing person; or
■ the successor expressly assumes by supplemental indenture its obligations under the
Indenture.
In either case, the Issuer will also have to deliver a certificate to the Trustee
stating that after giving effect to the merger there will not be any defaults under
the Indenture and, if the Issuer is not the continuing person, an opinion of counsel
stating that the merger and the supplemental indentures comply with these provisions
and that the supplemental indentures are legal, valid and binding obligations of the
successor corporation enforceable against it.
Credit Suisse or Credit Suisse Group may issue ETNs directly or through one or more
branches and Credit Suisse may, at any time, transfer its obligations under the ETNs
from the head office to any branch of Credit Suisse or from any branch of Credit Suisse
to another branch or to its head office.
Modification of the Indenture
In general, rights and obligations of the Issuer and the holders under the Indenture
may be modified if the holders of a majority in aggregate principal amount of the
outstanding ETNs of each series affected by the modification consent to such modification.
However, the Indenture provides that, unless each affected holder agrees, an amendment
cannot:
■ make any adverse change to any payment term of an ETN such as extending the maturity
date, extending the date on which the Issuer has to pay interest or make a sinking
fund payment, reducing the interest rate, reducing the amount of principal the Issuer
has to repay, reducing the amount of principal of an ETN issued with original issue
discount that would be due and payable upon an acceleration of the maturity thereof
or the amount thereof provable in bankruptcy, insolvency or similar proceeding, changing
the currency or place in which the Issuer has to make any payment of principal, premium
or interest, modifying any redemption or repurchase right to the detriment of the
holder, modifying any right to convert or exchange the ETNs for another security to
the detriment of the holder, and impairing any right of a holder to bring suit for
payment;
■ reduce the percentage of the aggregate principal amount of ETNs needed to make any
amendment to the Indenture or to waive any covenant or default;
■ waive any payment default; or
■ make any change to the amendment provisions of the Indenture.
However, other than in the circumstances mentioned above, if the Issuer and the Trustee
agree, the Indenture may be amended without notifying any holders or seeking their
consent if the amendment does not materially and adversely affect any holder.
In particular, if the Issuer and the Trustee agree, the Indenture may be amended without
notifying any holders or seeking their consent to add a guarantee from a third party
on the outstanding and future ETNs to be issued under the Indenture.
Governing Law
Unless specified otherwise, the ETNs and Indenture will be governed by and construed
in accordance with the laws of the State of New York.
Material U.S. Federal Income Tax Considerations
Our ETNs should be treated for U.S. federal income tax purposes as prepaid forward
contracts or prepaid financial contracts that are not debt instruments. Under this
treatment, no original issue discount (“OID”) will be accrued on our ETNs. However, the Internal Revenue Service might assert
that any of our ETNs should be treated as debt instruments subject to the special
tax rules governing contingent payment debt instruments. In that event, U.S. holders
of the ETNs would be required to accrue OID over the term of the ETNs based upon the
yield at which we would issue a non-contingent fixed-rate debt instrument with other
terms and conditions similar to the applicable ETNs.
82
I, Thomas Gottstein, certify that:
1. I have reviewed this annual report on Form 20-F of Credit Suisse Group AG and Credit
Suisse AG;
2. Based on my knowledge, this report does not contain any untrue statement of a material
fact or omit to state a material fact necessary to make the statements made, in light
of the circumstances under which such statements were made, not misleading with respect
to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included
in this report, fairly present in all material respects the financial condition, results
of operations and cash flows of the registrants as of, and for, the periods presented
in this report;
4. The registrants’ other certifying officers and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Exchange Act Rules
13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined
in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrants and we have:
a) designed such disclosure controls and procedures, or caused such disclosure controls
and procedures to be designed under our supervision, to ensure that material information
relating to the registrants, including their consolidated subsidiaries, is made known
to us by others within those entities, particularly during the period in which this
report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control
over financial reporting to be designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting
principles;
c) evaluated the effectiveness of the registrants’ disclosure controls and procedures
and presented in this report our conclusions about the effectiveness of the disclosure
controls and procedures, as of the end of the period covered by this report based
on such evaluation; and
d) disclosed in this report any change in the registrants’ internal control over financial
reporting that occurred during the period covered by the annual report that has materially
affected, or is likely to materially affect, the registrants’ internal control over
financial reporting; and
5. The registrants’ other certifying officers and I have disclosed, based on our most
recent evaluation of internal control over financial reporting, to the registrants’
auditors and the audit committee of each of the registrant’s board of directors (or
persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of
internal control over financial reporting which are reasonably likely to adversely
affect the registrants’ ability to record, process, summarize and report financial
information; and
b) any fraud, whether or not material, that involves management or other employees who
have a significant role in the registrants’ internal control over financial reporting.
Dated: March 18, 2021
/s/ Thomas Gottstein
Name: Thomas Gottstein
Title: Chief Executive Officer of Credit Suisse Group AG and Credit Suisse AG
I, David R. Mathers, certify that:
1. I have reviewed this annual report on Form 20-F of Credit Suisse Group AG and Credit
Suisse AG;
2. Based on my knowledge, this report does not contain any untrue statement of a material
fact or omit to state a material fact necessary to make the statements made, in light
of the circumstances under which such statements were made, not misleading with respect
to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included
in this report, fairly present in all material respects the financial condition, results
of operations and cash flows of the registrants as of, and for, the periods presented
in this report;
4. The registrants’ other certifying officers and I are responsible for establishing
and maintaining disclosure controls and procedures (as defined in Exchange Act Rules
13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined
in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrants and we have:
a) designed such disclosure controls and procedures, or caused such disclosure controls
and procedures to be designed under our supervision, to ensure that material information
relating to the registrants, including their consolidated subsidiaries, is made known
to us by others within those entities, particularly during the period in which this
report is being prepared;
b) designed such internal control over financial reporting, or caused such internal control
over financial reporting to be designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with generally accepted accounting
principles;
c) evaluated the effectiveness of the registrants’ disclosure controls and procedures
and presented in this report our conclusions about the effectiveness of the disclosure
controls and procedures, as of the end of the period covered by this report based
on such evaluation; and
d) disclosed in this report any change in the registrants’ internal control over financial
reporting that occurred during the period covered by the annual report that has materially
affected, or is likely to materially affect, the registrants’ internal control over
financial reporting; and
5. The registrants’ other certifying officers and I have disclosed, based on our most
recent evaluation of internal control over financial reporting, to the registrants’
auditors and the audit committee of each of the registrant’s board of directors (or
persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or operation of
internal control over financial reporting which are reasonably likely to adversely
affect the registrants’ ability to record, process, summarize and report financial
information; and
b) any fraud, whether or not material, that involves management or other employees who
have a significant role in the registrants’ internal control over financial reporting.
Dated: March 18, 2021
/s/ David R. Mathers
Name: David R. Mathers
Title: Chief Financial Officer of Credit Suisse Group AG and Credit Suisse AG
Annual Certification
Pursuant to Section 906 of the Sarbanes – Oxley Act of 2002
Pursuant to subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United
States Code, each of the undersigned officers of Credit Suisse Group AG and Credit
Suisse AG, incorporated in Switzerland (the “Companies”), does hereby certify, to
such officer’s knowledge, that:
The Annual Report on Form 20-F for the year ended December 31, 2020 of the Companies
fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange
Act of 1934 and the information contained in this Annual Report fairly presents, in
all material respects, the financial condition and results of operations of the Companies
for such period presented.
Dated: March 18, 2021
/s/ Thomas Gottstein
Name: Thomas Gottstein
Title: Chief Executive Officer of Credit Suisse Group AG and Credit Suisse AG
Dated: March 18, 2021
/s/ David R. Mathers
Name: David R. Mathers
Title: Chief Financial Officer of Credit Suisse Group AG and Credit Suisse AG
Exhibit 15.1
Exhibit 15.1 CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM We hereby consent to the incorporation by reference in the Registration Statement on Form F-3 (No. 333-238458) of Credit Suisse Group AG and Credit Suisse AG and in the Registration Statements on Form S-8 (No. 333-101259, 333-208152 and 333-217856) of Credit Suisse Group AG of our report dated March 18, 2021 relating to the financial statements of Credit Suisse Group AG and its subsidiaries (the “Group”) as of and for the year ended December 31, 2020 and the Group’s effectiveness of internal control over financial reporting, which appears in this Form 20-F. /s/ PricewaterhouseCoopers AG Zurich, Switzerland March 18, 2021
Exhibit 15.2
Exhibit 15.2 CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM We hereby consent to the incorporation by reference in the Registration Statement on Form F-3 (No. 333-238458) of Credit Suisse Group AG and Credit Suisse AG of our report dated March 18, 2021 relating to the financial statements of Credit Suisse AG and its subsidiaries (the “Bank”) as of and for the year ended December 31, 2020 and the Bank’s effectiveness of internal control over financial reporting, which appears in this Form 20-F. /s/ PricewaterhouseCoopers AG Zurich, Switzerland March 18, 2021
Exhibit 15.3
Exhibit 15.3 Consent of the Independent Registered Public Accounting Firm Board of Directors Credit Suisse Group AG We consent to the incorporation by reference in the registration statement (No. 333-238458) on Form F-3 and in the registration statements (No. 333-101259, No. 333-208152, and No. 333-217856) on Form S-8 of Credit Suisse Group AG of our report dated March 25, 2020 with respect to the consolidated balance sheet of Credit Suisse Group AG and its subsidiaries (the “Group”) as of December 31, 2019, and the related consolidated statements of operations, comprehensive income, changes in equity and cash flows for each of the years in the two-year period ended December 31, 2019, and the related notes, which report appears in the December 31, 2020 annual report on Form 20-F of the Group. KPMG AG /s/ Nicholas Edmonds /s/ Corina Wipfler Nicholas Edmonds Corina Wipfler Licensed Audit Expert Licensed Audit Expert Zurich, Switzerland March 18, 2021
Exhibit 15.4
Exhibit 15.4 Consent of the Independent Registered Public Accounting Firm Board of Directors Credit Suisse AG We consent to the incorporation by reference in the registration statement (No. 333-238458) on Form F-3 of Credit Suisse AG of our report dated March 25, 2020 with respect to the consolidated balance sheet of Credit Suisse AG and its subsidiaries (the “Bank”) as of December 31, 2019, and the related consolidated statements of operations, comprehensive income, changes in equity and cash flows for each of the years in the two-year period ended December 31, 2019, and the related notes, which report appears in the December 31, 2020 annual report on Form 20-F of the Bank. KPMG AG /s/ Nicholas Edmonds /s/ Corina Wipfler Nicholas Edmonds Corina Wipfler Licensed Audit Expert Licensed Audit Expert Zurich, Switzerland March 18, 2021
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