Pricing Supplement No. U981
To the Underlying Supplement dated July 29, 2013,
Product Supplement No. U-I dated March 23, 2012,
Prospectus Supplement dated March 23, 2012 and
Prospectus dated March 23, 2012
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-180300-03
March 31, 2014
Financial
Products
 
 
$260,000
 
High/Low Coupon Callable Yield Notes due July 3, 2015
Linked to the Performance of the iShares ® MSCI Emerging Markets ETF and the iShares ® MSCI Brazil Capped ETF
General
•
The securities are designed for investors who are mildly bearish, neutral or mildly bullish on the Underlyings. Investors should be willing to lose some or all of their investment if a Knock-In Event occurs. Any payment on the securities is subject to our ability to pay our obligations as they become due.
•
Subject to Early Redemption, coupons will be paid quarterly in arrears at a rate per annum that will depend on whether a Knock-In Event occurs. If a Knock-In Event does not occur, coupons will be paid at an Applicable Rate of 9.00% per annum. If a Knock-In Event occurs during any Observation Period, the coupon for the corresponding coupon period and each subsequent coupon period will be paid at an Applicable Rate of 1.00% per annum. Coupons will be calculated on a 30/360 basis from and including the Settlement Date to and excluding the earlier of the Early Redemption Date and the Maturity Date, as applicable.
•
The Issuer may redeem the securities, in whole but not in part, on any Coupon Payment Date scheduled to occur on or after July 3, 2014. No coupons will accrue or be payable following an Early Redemption.
•
Senior unsecured obligations of Credit Suisse AG, acting through its London Branch, maturing July 3, 2015. †
•
Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
•
The securities priced on March 31, 2014 (the “Trade Date”) and are expected to settle on April 3, 2014 (the “Settlement Date”). Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
Key Terms
Issuer:
Credit Suisse AG (“Credit Suisse”), acting through its London Branch
Underlyings:
Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level and Knock-In Level:
 
Underlying
Ticker
Initial Level
Knock-In Level
 
iShares ® MSCI Emerging Markets ETF (“EEM”)
EEM UP <Equity>
$40.99
$26.6435
 
iShares ® MSCI Brazil Capped ETF (“EWZ”)
EWZ UP <Equity>
$45.02
$29.2630
Applicable Rate:
•
If a Knock-In Event does not occur, the Applicable Rate will be 9.00% per annum.
 
•
If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding coupon period and each subsequent coupon period will be 1.00% per annum.
 
Coupons will be calculated on a 30/360 basis from and including the Settlement Date to and excluding the earlier of the Early Redemption Date and the Maturity Date, as applicable.
Coupon Payment Dates:
Subject to Early Redemption, coupons will be paid quarterly in arrears at the Applicable Rate on July 3, 2014, October 3, 2014, January 5, 2015, April 3, 2015 and the Maturity Date, subject to the modified following business day convention. No coupon will accrue or be payable following an Early Redemption. Coupons will be payable to the holders of record at the close of business on the business day immediately preceding the applicable Coupon Payment Date, provided that the coupon payable on the Early Redemption Date or Maturity Date, as applicable, will be payable to the person to whom the Early Redemption Amount or the Redemption Amount, as applicable, is payable.
Redemption Amount:
At maturity, the Redemption Amount you will be entitled to receive will depend on the individual performance of each Underlying and whether a Knock-In Event occurs. Subject to Early Redemption, the Redemption Amount will be determined as follows:
 
•
If a Knock-In Event occurs, the Redemption Amount will equal the principal amount of the securities you hold multiplied by the sum of one plus the Underlying Return of the Lowest Performing Underlying. In this case, the maximum Redemption Amount will equal the principal amount of the securities. Therefore, unless the Final Level of each of the Underlyings is equal to or greater than its Initial Level, the Redemption Amount will be less than the principal amount of the securities. You could lose your entire investment.
 
•
If a Knock-In Event does not occur, the Redemption Amount will equal the principal amount of the securities you hold.
 
Any payment on the securities is subject to our ability to pay our obligations as they become due.
Early Redemption:
Prior to the Maturity Date, the Issuer may redeem the securities in whole, but not in part, on any Coupon Payment Date scheduled to occur on or after July 3, 2014, upon notice to the trustee on or before the immediately preceding Early Redemption Notice Date at 100% of the principal amount of the securities (the “Early Redemption Amount”), together with the coupon payable on that Coupon Payment Date (the “Early Redemption Date”).
Early Redemption Notice Dates:
Notice of Early Redemption will be provided prior to the relevant Coupon Payment Date on or before June 30, 2014, September 30, 2014, December 30, 2014 or March 31, 2015, as applicable.
Knock-In Event:
A Knock-In Event will occur if, on any trading day during any Observation Period, the closing level of any Underlying is equal to or less than its Knock-In Level.
Knock-In Level:
For each Underlying, as set forth in the table above.
Lowest Performing Underlying:
The Underlying with the lowest Underlying Return.
Underlying Return:
For each Underlying, the Underlying Return will be calculated as follows:
   
Final Level − Initial Level
Initial Level
, subject to a maximum of zero
Investing in the securities involves a number of risks. See “Selected Risk Considerations” in this pricing supplement and “Risk Factors” beginning on page PS-3 of the accompanying product supplement.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, the product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.
 
Price to Public (1)
Underwriting Discounts and Commissions (2)
Proceeds to Issuer
Per security
$1,000.00
$7.50
$992.50
Total
$260,000.00
$1,910.00
$258,090.00
(1) Certain fiduciary accounts may pay a purchase price of at least $992.50 per $1,000 principal amount of securities, and CSSU will forgo any fees with respect to such sales.
(2) We or one of our affiliates will pay varying discounts and commissions of up to $7.50 per $1,000 principal amount of securities, for total underwriting discounts and commissions of $1,910.00. For more detailed information, please see ‘‘Supplemental Plan of Distribution (Conflicts of Interest)’’ on the last page of this pricing supplement.
The agent for this offering, Credit Suisse Securities (USA) LLC (“CSSU”), is our affiliate. For more information, see “Supplemental Plan of Distribution (Conflicts of Interest)” on the last page of this pricing supplement.
Credit Suisse currently estimates the value of each $1,000 principal amount of the securities on the Trade Date is $972.30 (as determined by reference to our pricing models and the rate we are currently paying to borrow funds through issuance of the securities (our “internal funding rate”)). See “Selected Risk Considerations” in this pricing supplement.
The securities are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.
CALCULATION OF REGISTRATION FEE
Title of Each Class of Securities Offered
Maximum Aggregate Offering Price
Amount of Registration Fee
 Notes
$260,000.00
$33.49

Credit Suisse
March 31, 2014  
(continued on next page)

 
 
 
 
(continued from previous page)

Initial Level:
For each Underlying, as set forth in the table above.
Final Level:
For each Underlying, the closing level of such Underlying on the Valuation Date.
Observation Periods:
There are five quarterly Observation Periods. The first Observation Period will be from but excluding the Trade Date to and including the first Observation Date. Each subsequent Observation Period will be from but excluding an Observation Date to and including the next following Observation Date.
Observation Dates: †
June 30, 2014, September 30, 2014, December 30, 2014, March 31, 2015 and the Valuation Date.
Valuation Date: †
June 30, 2015
Maturity Date: †
July 3, 2015
Listing:
The securities will not be listed on any securities exchange.
CUSIP:
22547QJQ0
† The determination of the closing level for each Underlying on each Observation Date (other than the Valuation Date) is subject to postponement if such date is not a trading day for such Underlying or as a result of a market disruption event in respect of such Underlying, as described herein under “Market Disruption Events.” The Valuation Date is subject to postponement in respect of each Underlying if such date is not an underlying business day for such Underlying or as a result of a market disruption event in respect of such Underlying, as described in the accompanying product supplement under “Description of the Securities—Market disruption events.” The Coupon Payment Dates, including the Maturity Date, are subject to postponement, each as described herein, if such date is not a business day or if (a) the determination of the closing level for any Underlying on the corresponding Observation Date (other than the Valuation Date) is postponed or (b) the Valuation Date is postponed, in each case because such date is not a trading day or an underlying business day for any Underlying, as applicable, or as a result of a market disruption event in respect of any Underlying.
 
 
 
 

Additional Terms Specific to the Securities
 
You should read this pricing supplement together with the underlying supplement dated July 29, 2013, the product supplement dated March 23, 2012, the prospectus supplement dated March 23, 2012 and the prospectus dated March 23, 2012 relating to our Medium-Term Notes of which these securities are a part. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
 
 
•
Underlying supplement dated July 29, 2013:
 
 
 
•
Product supplement No. U-I dated March 23, 2012:
 
 
 
•
Prospectus supplement and Prospectus dated March 23, 2012:
 
 
Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, the “Company,” “we,” “us,” or “our” refers to Credit Suisse.
 
This pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, fact sheets, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the product supplement and “Selected Risk Considerations” in this pricing supplement, as the securities involve risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other advisors before deciding to invest in the securities.
 
 
1
 
 
Hypothetical Redemption Amounts and Total Payments on the Securities
 
The tables and examples below illustrate, for a $1,000 investment in the securities, hypothetical Redemption Amounts payable at maturity for a hypothetical range of Underlying Returns of the Lowest Performing Underlying and, in the case of the tables, total payments over the term of the securities (which include both payments at maturity and the total coupon payments on the securities), both in the event a Knock-In Event does not occur and in the event a Knock-In Event does occur. The tables and examples below reflect that the Applicable Rate is 9.00% per annum if a Knock-In Event does not occur and 1.00% per annum for the corresponding coupon period and each subsequent coupon period if a Knock-In Event occurs and assume that (i) the securities are not redeemed prior to maturity, (ii) the term of the securities is exactly 15 months and (iii) the Knock-In Level for each Underlying is 65% of the Initial Level of such Underlying. The examples are intended to illustrate hypothetical calculations of only the Redemption Amount and do not illustrate the calculation or payment of any individual coupon payment.
 
The hypothetical Redemption Amounts and total coupon payments set forth below are for illustrative purposes only. The actual Redemption Amounts and total coupon payments applicable to a purchaser of the securities will depend on whether on any trading day during any Observation Period the closing level of any Underlying is equal to or less than its Knock-In Level and on the Final Level of the Lowest Performing Underlying. It is not possible to predict whether a Knock-In Event will occur, and, in the event that there is a Knock-In Event, whether and by how much the Final Level of the Lowest Performing Underlying will decrease in comparison to its Initial Level. You should consider carefully whether the securities are suitable to your investment goals. Any payment on the securities is subject to our ability to pay our obligations as they become due. The numbers appearing in the tables and examples below have been rounded for ease of analysis.
 
TABLE 1: A Knock-In Event DOES NOT occur
 
Principal
Amount
of Securities
Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
Underlying Return of the Lowest Performing Underlying
Redemption
Amount
(Knock-In Event
does not occur)
Total Coupon
Payments
Total Payment
$1,000.00
50.00%
0.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
40.00%
0.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
30.00%
0.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
20.00%
0.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
10.00%
0.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
0.00%
0.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
−10.00%
−10.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
−20.00%
−20.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
−30.00%
−30.00%
$1,000.00
$112.50
$1,112.50
$1,000.00
−34.99%
−34.99%
$1,000.00
$112.50
$1,112.50
 
 
2
 
 
TABLE 2: A Knock-In Event OCCURS
 
Principal
Amount
of Securities
Percentage Change from the Initial Level to the Final Level of the Lowest Performing Underlying
Underlying Return of the Lowest Performing Underlying
Redemption Amount (Knock-In Event occurs)
Total Coupon Payments
$1,000.00
50.00%
0.00%
$1,000.00
(See table below)
$1,000.00
40.00%
0.00%
$1,000.00
$1,000.00
30.00%
0.00%
$1,000.00
$1,000.00
20.00%
0.00%
$1,000.00
$1,000.00
10.00%
0.00%
$1,000.00
$1,000.00
0.00%
0.00%
$1,000.00
$1,000.00
−10.00%
−10.00%
$900.00
$1,000.00
−20.00%
−20.00%
$800.00
$1,000.00
−30.00%
−30.00%
$700.00
$1,000.00
−40.00%
−40.00%
$600.00
$1,000.00
−50.00%
−50.00%
$500.00
$1,000.00
−60.00%
−60.00%
$400.00
 
$1,000.00
−70.00%
−70.00%
$300.00
 
$1,000.00
−80.00%
−80.00%
$200.00
 
$1,000.00
−90.00%
−90.00%
$100.00
 
$1,000.00
−100.00%
−100.00%
$0.00
 
 
Assuming the securities are not redeemed prior to the Maturity Date, expected total coupon payments will depend on whether and when a Knock-In Event occurs.
 
Time of First Knock-In Event
 
Total Coupon Payments
From Trade Date to first Observation Date
$12.50
From first Observation Date to second Observation Date
$32.50
From second Observation Date to third Observation Date
$52.50
From third Observation Date to fourth Observation Date
$72.50
From fourth Observation Date to the Valuation Date
$92.50
 
The total payment on the securities will be equal to the Redemption Amount applicable to an investor plus the applicable total coupon payments on the securities.
 
 
3
 
 
The following examples illustrate how the Redemption Amount is calculated.
 
Example 1: A Knock-In Event occurs because on a trading day during an Observation Period the closing level of an Underlying is equal to or less than its Knock-In Level; and the Final Level of the Lowest Performing Underlying is less than its Initial Level.
 
Underlying
Lowest closing level of the Underlying
during any Observation Period
Final Level
EEM
100% of Initial Level
110% of Initial Level
EWZ
65% of Initial Level
65% of Initial Level
 
Since the closing level of EWZ on a trading day during an Observation Period is equal to its Knock-In Level, a Knock-In Event occurs . EWZ is also the Lowest Performing Underlying.
 
Therefore, the Underlying Return of the Lowest Performing Underlying will equal:
 
Final Level of EWZ – Initial Level of EWZ
Initial Level of EWZ
; subject to a maximum of 0.00
 
= -0.35
 
The Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)
 
= $1,000 x (1 – 0.35) = $650
 
Example 2: A Knock-In Event occurs because on a trading day during an Observation Period the closing level of an Underlying is equal to or less than its Knock-In Level; the closing level of the Lowest Performing Underlying on any trading day during every Observation Period is never equal to or less than its Knock-In Level; and the Final Level of the Lowest Performing Underlying is less than its Initial Level.
 
Underlying
Lowest closing level of the Underlying
during any Observation Period
Final Level
EEM
65% of Initial Level
110% of Initial Level
EWZ
75% of Initial Level
75% of Initial Level
 
Since the closing level of EEM on a trading day during an Observation Period is equal to its Knock-In Level, a Knock-In Event occurs . EWZ is the Lowest Performing Underlying, even though its closing level on any trading day during any Observation Period is never equal to or less than its Knock-In Level.
 
Therefore, the Underlying Return of the Lowest Performing Underlying will equal:
 
Final Level of EWZ – Initial Level of EWZ
Initial Level of EWZ
; subject to a maximum of 0.00
 
= -0.25
 
The Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)
 
= $1,000 x (1 – 0.25) =  $750
 
 
4
 
 
Example 3: A Knock-In Event occurs because on a trading day during an Observation Period the closing level of an Underlying is equal to or less than its Knock-In Level; and the Final Level of the Lowest Performing Underlying is greater than its Initial Level.
 
Underlying
Lowest closing level of the Underlying
during any Observation Period
Final Level
EEM
65% of Initial Level
110% of Initial Level
EWZ
90% of Initial Level
120% of Initial Level
 
Since the closing level of EEM on a trading day during an Observation Period is equal to its Knock-In Level, a Knock-In Event occurs . EEM is also the Lowest Performing Underlying.
 
Therefore, the Underlying Return of the Lowest Performing Underlying will equal:
 
Final Level of EEM – Initial Level of EEM
Initial Level of EEM
; subject to a maximum of 0.00
 
 = 0.10
 
BUT 0.10 is greater than the maximum of 0.00, so the Underlying Return of the Lowest Performing Underlying is 0.00.
 
The Redemption Amount = principal amount of the securities × (1 + Underlying Return of the Lowest Performing Underlying)
 
= $1,000 × (1 + 0.00) = $1,000
 
Example 4: A Knock-In Event does not occur because on every trading day during every Observation Period the closing level of every Underlying is greater than its Knock-In Level.
 
Underlying
Lowest closing level of the Underlying
during any Observation Period
Final Level
EEM
80% of Initial Level
110% of Initial Level
EWZ
75% of Initial Level
110% of Initial Level
 
Since the closing level of each Underlying on any trading day during every Observation Period was never equal to or less than its Knock-In Level, a Knock-In Event does not occur.
 
Therefore, the Redemption Amount equals $1,000 .
 
 
5
 
 
Selected Risk Considerations
 
An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the Underlyings. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.
 
•
YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY  — You may receive less at maturity than you originally invested in the securities, or you may receive nothing, excluding any accrued and unpaid coupons. If a Knock-In Event occurs and the Final Level of the Lowest Performing Underlying is less than its Initial Level, you will not receive the maximum amount of coupon payable on the securities and you will be fully exposed to any depreciation in the Lowest Performing Underlying. In this case, the Redemption Amount you will be entitled to receive will be less than the principal amount of the securities and you could lose your entire investment. It is not possible to predict whether a Knock-In Event will occur and, in the event that there is a Knock-In Event, whether and by how much the Final Level of the Lowest Performing Underlying will decrease in comparison to its Initial Level. Any payment on the securities is subject to our ability to pay our obligations as they become due.
 
•
THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT, PLUS THE ACCRUED AND UNPAID COUPON AT THE APPLICABLE RATE, AT MATURITY OR UPON EARLY REDEMPTION  — The securities will not pay more than the principal amount, plus the accrued and unpaid coupon at the Applicable Rate, at maturity or upon early redemption. Even if the Final Level of each Underlying is greater than its respective Initial Level (regardless of whether a Knock-In Event has occurred), you will not participate in the appreciation of any Underlying. Assuming the securities are held to maturity and the term of the securities is exactly 15 months, the maximum amount payable with respect to the securities will not exceed $1,112.50 for each $1,000 principal amount of the securities.
 
•
THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE  — Although the return on the securities will be based on the performance of the Underlyings, the payment of any amount due on the securities, including any applicable coupon payments, early redemption payment and payment at maturity, is subject to the credit risk of Credit Suisse. Investors are dependent on our ability to pay all amounts due on the securities and, therefore, investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.
 
•
IF A KNOCK-IN EVENT OCCURS DURING ANY OBSERVATION PERIOD, THE APPLICABLE RATE FOR THE CORRESPONDING COUPON PERIOD AND EACH SUBSEQUENT COUPON PERIOD WILL BE 1.00% PER ANNUM  — If a Knock-In Event occurs during any Observation Period, the Applicable Rate for the corresponding coupon period and each subsequent coupon period will be 1.00% per annum. For example, if a Knock-In Event occurs during the period from the Trade Date to the first Observation Date, the Applicable Rate for each coupon period will be 1.00% per annum and the maximum amount of coupon payments you will be entitled to receive, assuming the term of the securities is exactly 15 months, will not exceed $12.50 per $1,000 principal amount of the securities.
 
•
THE REDEMPTION AMOUNT PAYABLE AT MATURITY WILL BE LESS THAN THE PRINCIPAL AMOUNT OF THE SECURITIES EVEN IF A KNOCK-IN EVENT OCCURS WITH RESPECT TO ONLY ONE UNDERLYING AND THE FINAL LEVEL OF ONLY ONE UNDERLYING IS LESS THAN ITS INITIAL LEVEL — Even if, on any trading day during an Observation Period, the closing level of only one Underlying is equal to or less than its Knock-In Level, a Knock-In Event will have occurred. In this case, the Redemption Amount payable at maturity will be less than the principal amount of the securities if, in addition to the occurrence of a Knock-In Event, the Final Level of at least one Underlying is less than its Initial Level. This will be true even if on every trading day during every Observation Period the closing level of the Lowest Performing Underlying is greater than its Knock-In Level.
 
 
6
 
 
•
THE SECURITIES ARE SUBJECT TO A POTENTIAL EARLY REDEMPTION, WHICH WOULD LIMIT YOUR OPPORTUNITY TO ACCRUE COUPONS OVER THE FULL TERM OF THE SECURITIES  —The securities are subject to a potential early redemption. Prior to maturity, the securities may be redeemed on any Coupon Payment Date scheduled to occur on or after July 3, 2014, upon notice to the trustee on or before the immediately preceding Early Redemption Notice Date. If the securities are redeemed prior to the Maturity Date, you will be entitled to receive the principal amount of your securities and any accrued and unpaid coupon payable at the Applicable Rate on such Coupon Payment Date. In this case, you will lose the opportunity to continue to accrue and be paid coupons from the date of Early Redemption to the scheduled Maturity Date. If the securities are redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that yield as much coupon as the securities.
 
•
YOUR RETURN WILL BE BASED ON THE INDIVIDUAL RETURN OF EACH UNDERLYING — If a Knock-In Event occurs, even with respect to only one Underlying, the Applicable Rate for the corresponding coupon period and each subsequent coupon period will be 1.00% per annum. Additionally, because the Redemption Amount will be determined based on the Underlying Return of the Lowest Performing Underlying, you will not benefit from the performance of any other Underlying. If a Knock-In Event occurs, even with respect to only one Underlying, and the Underlying Return of the Lowest Performing Underlying is less than its Initial Level, the Underlying Return of the Lowest Performing Underlying will be negative and you will receive less than the principal amount of your securities at maturity.
 
•
SINCE THE SECURITIES ARE LINKED TO THE PERFORMANCE OF MORE THAN ONE UNDERLYING, YOU WILL BE FULLY EXPOSED TO THE RISK OF FLUCTUATIONS IN THE LEVEL OF EACH UNDERLYING  — Since the securities are linked to the performance of more than one Underlying, the securities will be linked to the individual performance of each Underlying. Because the securities are not linked to a basket, in which case the risk is mitigated and diversified among all of the components of a basket, you will be exposed to the risk of fluctuations in the levels of the Underlyings to the same degree for each Underlying. For example, in the case of securities linked to a basket, the return would depend on the weighted aggregate performance of the basket components as reflected by the basket return. Thus, the depreciation of any basket component could be mitigated by the appreciation of another basket component, to the extent of the weightings of such components in the basket. However, in the case of securities linked to the lowest performing Underlying, the individual performance of each Underlying is not combined to calculate your return and the depreciation of any Underlying is not mitigated by the appreciation of any other Underlying. Instead, if a Knock-In Event occurs, the Redemption Amount payable at maturity will be based on the lowest performing of the Underlyings to which the securities are linked. Likewise, if on any trading day during an Observation Period, the closing level of any Underlying is equal to or less than its Knock-In Level, a Knock-In Event will occur, which will reduce the coupon payable on the securities.
 
•
NON-U.S. SECURITIES RISKS  — Some or all of the equity securities included in the iShares ® MSCI Emerging Markets ETF are issued by or linked to the value of foreign companies. Investments in the securities therefore involve risks associated with the securities markets in those countries, including risks of volatility in those markets, government intervention in those markets and cross shareholdings in companies in certain countries. Also, generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. These equity securities may be more volatile than domestic equity securities and may be subject to different political, market, economic, exchange rate, regulatory and other risks. These factors may adversely affect the values of the equity securities held by the iShares ® MSCI Emerging Markets ETF, and therefore the level of the iShares ® MSCI Emerging Markets ETF and the value of the securities.
 
•
EMERGING MARKETS RISK — Some or all of the equity securities held by the iShares ® MSCI Emerging Markets ETF are issued by companies based in emerging market countries. Emerging markets have often undergone significant political, economic and social upheaval. Such far-reaching changes have resulted in constitutional and social tensions and, in some cases, instability and reaction against market reforms has occurred. With respect to any emerging market country, there is the possibility of nationalization, expropriation or confiscation and government regulation. These
 
 
7
 
 
 
factors may adversely affect the values of the equity securities held by the iShares ® MSCI Emerging Markets ETF, and therefore the level of the iShares ® MSCI Emerging Markets ETF and the value of the securities.
 
•
CURRENCY EXCHANGE RISK  — Because the prices of the equity securities included in the iShares ® MSCI Emerging Markets ETF are converted into U.S. dollars for purposes of calculating the level of the iShares ® MSCI Emerging Markets ETF, investors will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities included in the iShares ® MSCI Emerging Markets ETF trade. Currency exchange rates may be highly volatile, particularly in relation to emerging or developing nations’ currencies and, in certain market conditions, also in relation to developed nations’ currencies. Significant changes in currency exchange rates, including changes in liquidity and prices, can occur within very short periods of time. Currency exchange rate risks include, but are not limited to, convertibility risk, market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or particular transactions in foreign currency. These factors may adversely affect the values of the equity securities included in the iShares ® MSCI Emerging Markets ETF the level of the iShares ® MSCI Emerging Markets ETF and the value of the securities.
 
•
THERE ARE RISKS ASSOCIATED WITH THE iSHARES ® MSCI EMERGING MARKETS ETF AND THE ISHARES ® MSCI BRAZIL CAPPED ETF —Although shares of the iShares ® MSCI Emerging Markets ETF and the iShares ® MSCI Brazil Capped ETF (each, a “Reference Fund”) are listed for trading on a national securities exchange and a number of similar products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of each Reference Fund or that there will be liquidity in the trading market. Each Reference Fund is subject to management risk, which is the risk that a fund’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Pursuant to each Reference Fund’s investment strategy or otherwise, its investment advisor may add, delete or substitute the equity securities held by such Reference Fund. Any of these actions could adversely affect the price of the shares of each Reference Fund and consequently the value of the securities. For additional information about the iShares ® MSCI Emerging Markets ETF and the iShares ® MSCI Brazil Capped ETF, see information set forth under “The Reference Funds—The iShares ® Funds—The iShares ® MSCI Emerging Markets ETF” and “The Reference Funds—The iShares ® Funds—   iShares ® MSCI Brazil Capped ETF” in the accompanying underlying supplement.
 
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THE PERFORMANCE OF THE iSHARES ® MSCI EMERGING MARKETS ETF MAY NOT CORRELATE TO THE PERFORMANCE OF ITS TRACKED INDEX  — The iShares ® MSCI Emerging Markets ETF will generally invest in all of the equity securities included in the MSCI Emerging Markets Index, the “Tracked Index” for the iShares ® MSCI Emerging Markets ETF. There may, however, be instances where BlackRock Fund Advisors (“BFA”), the iShares ® MSCI Emerging Markets ETF’s investment advisor, may choose to overweight another stock in the Tracked Index, purchase securities not included in the Tracked Index that BFA believes are appropriate to substitute for a security included in the Tracked Index or utilize various combinations of other available investment techniques. In addition, the performance of the iShares ® MSCI Emerging Markets ETF will reflect additional transaction costs and fees that are not included in the calculation of the Tracked Index. Finally, because the shares of the iShares ® MSCI Emerging Markets ETF are traded on the NYSE Arca and are subject to market supply and investor demand, the market value of one share of the iShares ® MSCI Emerging Markets ETF may differ from the net asset value per share of the iShares ® MSCI Emerging Markets ETF. For these reasons, the performance of the iShares ® MSCI Emerging Markets ETF may not correlate with the performance of the Tracked Index. For additional information about the variation between the performance of the iShares ® MSCI Emerging Markets ETF and the performance of the Tracked Index, see the information set forth under “The Reference Funds—The iShares ® Funds—The iShares ® MSCI Emerging Markets ETF” in the accompanying underlying supplement.
 
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THE PERFORMANCE OF THE ISHARES ® MSCI BRAZIL CAPPED ETF MAY NOT CORRELATE TO THE PERFORMANCE OF ITS TRACKED INDEX  — The iShares ® MSCI Brazil Capped ETF will generally invest in all of the equity securities included in the MSCI Brazil 25/50 Index, the “Tracked
 
 
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Index” for the iShares ® MSCI Brazil Capped ETF. There may, however, be instances where BlackRock Fund Advisors (“BFA”), the iShares ® MSCI Brazil Capped ETF’s investment advisor, may choose to overweight another stock in the Tracked Index, purchase securities not included in the Tracked Index that BFA believes are appropriate to substitute for a security included in the Tracked Index or utilize various combinations of other available investment techniques. In addition, the performance of the iShares ® MSCI Brazil Capped ETF will reflect additional transaction costs and fees that are not included in the calculation of the Tracked Index. Finally, because the shares of the iShares ® MSCI Brazil Capped ETF are traded on the NYSE Arca and are subject to market supply and investor demand, the market value of one share of the iShares ® MSCI Brazil Capped ETF may differ from the net asset value per share of the iShares ® MSCI Brazil Capped ETF. For these reasons, the  performance of the iShares ® MSCI Brazil Capped ETF may not correlate with the performance of the Tracked Index. For additional information about the variation between the performance of the iShares ® MSCI Brazil Capped ETF and the performance of the Tracked Index, see the information set forth under “The iShares ® MSCI Brazil Capped ETF” in the accompanying underlying supplement.
 
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THE ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE MAY BE LESS THAN THE PRICE TO PUBLIC  — The initial estimated value of your securities on the Trade Date (as determined by reference to our pricing models and our internal funding rate) may be significantly less than the original Price to Public. The Price to Public of the securities includes the agent’s discounts or commissions as well as transaction costs such as expenses incurred to create, document and market the securities and the cost of hedging our risks as issuer of the securities through one or more of our affiliates (which includes a projected profit). These costs will be effectively borne by you as an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in connection with our structuring and offering of the securities (except to the extent discounts or commissions are reallowed to other broker-dealers or any costs are paid to third parties).
 
 
On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a fixed income component valued using our internal funding rate, and individual option components valued using mid-market pricing. Our option valuation models are proprietary. They take into account factors such as interest rates, volatility and time to maturity of the securities, and they rely in part on certain assumptions about future events, which may prove to be incorrect.
 
 
Because Credit Suisse’s pricing models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value at any time may not be comparable to estimated values of similar securities of other issuers.
 
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EFFECT OF INTEREST RATE USED IN STRUCTURING THE SECURITIES   — The internal funding rate we use in structuring notes such as these securities is typically lower than the interest rate that is reflected in the yield on our conventional debt securities of similar maturity in the secondary market (our “secondary market credit spreads”).  If on the Trade Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms of the securities will generally be less favorable to you than they would have been if our secondary market credit spread had been used in structuring the securities. We will also use our internal funding rate to determine the price of the securities if we post a bid to repurchase your securities in secondary market transactions. See “—Secondary Market Prices” below.
 
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SECONDARY MARKET PRICES  — If Credit Suisse (or an affiliate) bids for your securities in secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade Date. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the securities in the secondary market (if any exists) at any time. The secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated value determined by reference to our pricing models and other factors. These other factors include our internal funding rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or improvement in our creditworthiness.  In circumstances where our internal funding rate is lower than our secondary market credit spreads, our secondary market bid for
 
 
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your securities could be more favorable than what other dealers might bid because, assuming all else equal, we use the lower internal funding rate to price the securities and other dealers might use the higher secondary market credit spread to price them.   Furthermore, assuming no change in market conditions from the Trade Date, the secondary market price of your securities will be lower than the Price to Public because it will not include the agent’s discounts or commissions and hedging and other transaction costs. If you sell your securities to a dealer in a secondary market transaction, the dealer may impose an additional discount or commission, and as a result the price you receive on your securities may be lower than the price at which we may repurchase the securities from such dealer.
 
We (or an affiliate) may initially post a bid to repurchase the securities from you at a price that will exceed the then-current estimated value of the securities. That higher price reflects our projected profit and costs that were included in the Price to Public, and that higher price may also be initially used for account statements or otherwise. We (or our affiliate) may offer to pay this higher price, for your benefit, but the amount of any excess over the then-current estimated value will be temporary and is expected to decline over a period of approximately 90 days.
 
 
The securities are not designed to be short-term trading instruments and any sale prior to maturity could result in a substantial loss to you. You should be willing and able to hold your securities to maturity.
 
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LACK OF LIQUIDITY  — The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.
 
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POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and as agent of the issuer for the offering of the securities and hedging our obligations under the securities and determining their estimated value. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the securities. Further, hedging activities may adversely affect any payment on or the value of the securities. Any profit in connection with such hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of the securities, which creates an additional incentive to sell the securities to you .
 
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES  —  In addition to the levels of the Underlyings on any trading day during any Observation Period, the value of the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including:
 
 
·
the expected volatility of the Underlyings;
 
 
·
the time to maturity of the securities;
 
 
·
the dividend rate on the equity securities comprising the Underlyings;
 
 
·
the Early Redemption feature, which would limit the value of the securities;
 
 
·
interest and yield rates in the market generally;
 
 
·
investors' expectations with respect to the rate of inflation;
 
 
·
geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the components comprising the Underlyings, or markets generally and which may affect the levels of the Underlyings;
 
 
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·
the exchange rate and the volatility of the exchange rate between the U.S. dollar and the currencies of the equity securities held by the iShares ® MSCI Emerging Market ETF and any other currency relevant to the value of the iShares ® MSCI Emerging Market ETF; and
 
 
·
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
 
Some or all of these factors may influence the price that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.
 
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NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYINGS  — Your return on the securities will not reflect the return you would realize if you actually owned the shares of the Reference Funds or the assets that comprise the Underlyings. The return on your investment, which is based on the percentage change in the Underlyings, is not the same as the total return you would receive based on the purchase of the shares of the Reference Funds or the assets that comprise the Underlyings.
 
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS  — As a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the shares of the Reference Funds or the assets that comprise the Underlyings.
 
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ANTI-DILUTION PROTECTION IS LIMITED  — The calculation agent will make anti-dilution adjustments for certain events affecting the shares of the Reference Funds. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Reference Funds. If an event occurs that does not require the calculation agent to make an adjustment, or if an adjustment is made but such adjustment does not fully reflect the economics of such event, the value of the securities may be materially and adversely affected. For additional information, see "Description of the Securities—Adjustments—For a reference fund" in the accompanying product supplement.
 
Supplemental Use of Proceeds and Hedging
 
We intend to use the proceeds of this offering for our general corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive from the sale of the securities may be used in connection with hedging our obligations under the securities through one or more of our affiliates. Such hedging or trading activities on or prior to the Trade Date and during the term of the securities (including on the Valuation Date) could adversely affect the value of the Underlyings and, as a result, could decrease the amount you may receive on the securities at maturity. For additional information, see “Supplemental Use of Proceeds and Hedging” in the accompanying product supplement.
 
 
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Historical Information
 
The following graphs set forth the historical performance of the Underlyings based on the closing level of each Underlying from January 2, 2009 through March 31, 2014. The closing level of one share of the iShares ® MSCI Emerging Markets ETF on March 31, 2014 was $40.99. The closing level of one share of the iShares ® MSCI Brazil Capped ETF on March 31, 2014 was $45.02. We obtained the historical information below from Bloomberg, without independent verification. You should not take the historical levels of the Underlyings as an indication of future performance of the Underlyings or the securities. Any historical trend in the levels of the Underlyings during any period set forth below is not an indication that the levels of the Underlyings are more or less likely to increase or decrease at any time over the term of the securities.
 
For additional information on the iShares ® MSCI Emerging Markets ETF, see "The Reference Funds—The iShares ® Funds—The iShares ® MSCI Emerging Markets ETF" in the accompanying underlying supplement and for additional information on the iShares ® MSCI Brazil Capped ETF, see "The Reference Funds— The iShares ® Funds—The iShares ® MSCI Brazil Capped ETF " in the accompanying underlying supplement.
 
 
 
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Market Disruption Events
 
If the calculation agent determines that on any Observation Date, other than the Valuation Date, a market disruption event (as defined in the accompanying product supplement under “Description of the Securities—Market disruption events—For a reference fund” with respect to each Underlying) exists in respect of any Underlying or if such day is not a trading day (as defined in the accompanying product supplement under “Description of the Securities—Certain definitions”) for any Underlying, then the determination of the closing level for such Underlying on such Observation Date will be postponed to the first succeeding trading day for such Underlying on which the calculation agent determines that no market disruption event exists in respect of such Underlying, unless the calculation agent determines that a market disruption event exists in respect of such Underlying on each of the five trading days for such Underlying immediately following such Observation Date. In that case, the closing level for such Underlying on such Observation Date will be determined as of the fifth succeeding trading day for such Underlying following such Observation Date (such fifth trading day, the “calculation date”), notwithstanding the market disruption event in respect of such Underlying, and if a market disruption event has occurred and is continuing with respect to an Underlying, the calculation agent will determine the closing level for such Underlying on that calculation date using its good faith estimate of the settlement prices that would have prevailed on the relevant exchange for such Underlying but for the occurrence of a market disruption event as of the relevant valuation time on that calculation date (subject to the provisions described under “Description of the Securities—Changes to the calculation of a reference fund” in the accompanying product supplement).
 
The determination of the closing level for any Underlying not affected by a market disruption event on an Observation Date (other than the Valuation Date) or by an Observation Date (other than the Valuation Date) not being a trading day for such Underlying will occur on such Observation Date.
 
If the determination of the closing level for any Underlying on an Observation Date (other than the Valuation Date) is postponed as a result of a market disruption event as described above, or because such Observation Date is not a trading day for any Underlying, to a date on or after the corresponding Coupon Payment Date, then such corresponding Coupon Payment Date will be postponed to the business day following the latest date to which such determination is so postponed for any Underlying.
 
If the Valuation Date for any Underlying is postponed as a result of a market disruption event as described in the accompanying product supplement or because the scheduled Valuation Date is not an underlying business day for any Underlying, then the Maturity Date will be postponed to the fifth business day following the latest Valuation Date for any Underlying. The Valuation Date for any Underlying not affected by a market disruption event or by the Valuation Date not being an underlying business day for such Underlying will be the scheduled Valuation Date.
 
 
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Material U.S. Federal Income Tax Considerations
 
The following discussion summarizes material U.S. federal income tax consequences of owning and disposing of the securities that may be relevant to holders of the securities that acquire their securities from us as part of the original issuance of the securities. This discussion applies only to holders that hold their securities as capital assets within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”). Further, this discussion does not address all of the U.S. federal income tax consequences that may be relevant to you in light of your individual circumstances or if you are subject to special rules, such as if you are:
 
 
·
a financial institution,
 
 
·
a mutual fund,
 
 
·
a tax-exempt organization,
 
 
·
a grantor trust,
 
 
·
certain U.S. expatriates,
 
 
·
an insurance company,
 
 
·
a dealer or trader in securities or foreign currencies,
 
 
·
a person (including traders in securities) using a mark-to-market method of accounting,
 
 
·
a person who holds the securities as a hedge or as part of a straddle with another position, constructive sale, conversion transaction or other integrated transaction, or
 
 
·
an entity that is treated as a partnership for U.S. federal income tax purposes.
 
The discussion is based upon the Code, law, regulations, rulings and decisions, in each case, as available and in effect as of the date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and foreign laws are not addressed herein. No ruling from the U.S. Internal Revenue Service (the “IRS”) has been or will be sought as to the U.S. federal income tax consequences of the ownership and disposition of the securities, and the following discussion is not binding on the IRS.
 
You should consult your tax advisor as to the specific tax consequences to you of owning and disposing of the securities, including the application of federal, state, local and foreign income and other tax laws based on your particular facts and circumstances.
 
Characterization of the Securities
 
There are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of your securities. Thus, the characterization of the securities is not certain. Due to the terms of the securities and the uncertainty of the tax law with respect to characterization of the securities, our special tax counsel, Orrick, Herrington & Sutcliffe LLP, is unable to opine on the characterization of the securities for U.S. federal income tax purposes. The possible alternative characterizations and risks to investors of such characterizations are discussed below. Based on the advice of our special tax counsel, we intend to treat the securities, for U.S. federal income tax purposes, as (1) a put option (the “Put Option”) that requires the holder to cash settle against the value of the reference underlying for an amount equal to the Deposit (as defined below) if the reference underlying declines to a defined floor level and ends up equal to or less than the initial level and (2) a deposit with us of cash, in an amount equal to the amount paid for a security (the “Deposit”) to secure the holder’s potential obligation to cash settle against the value of the reference underlying. In the absence of an administrative or judicial ruling to the contrary, we and, by acceptance of the securities, you agree to treat the securities as consisting of a Deposit and a Put Option with respect to the reference underlying for all U.S. federal income tax purposes. The balance of this discussion assumes that the securities will be so treated.
 
Alternative Characterizations of the Securities
 
You should be aware that the characterization of the securities as described above is not certain, nor is it
 
 
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binding on the IRS or the courts. Thus, it is possible that the IRS would seek to characterize your securities in a manner that results in tax consequences to you that are different from those described below. For example, the IRS might assert that securities with a term of more than one year constitute debt instruments that are “contingent payment debt instruments” that are subject to special tax rules under the applicable Treasury regulations governing the recognition of income over the term of your securities. If the securities were to be treated as contingent payment debt instruments, you would be required to include in income on an economic accrual basis over the term of the securities an amount of interest that is based upon the yield at which we would issue a non-contingent fixed-rate debt instrument with other terms and conditions similar to your securities, or the comparable yield. The characterization of securities as contingent payment debt instruments under these rules is likely to be adverse. However, if the securities had a term of one year or less, the rules for short-term debt obligations would apply rather than the rules for contingent payment debt instruments. Under Treasury regulations, a short-term debt obligation is treated as issued at a discount equal to the difference between all payments on the obligation and the obligation’s issue price. A cash method U.S. Holder that does not elect to accrue the discount in income currently should include the payments attributable to interest on the security as income upon receipt. Under these rules, any contingent payment would be taxable upon receipt by a cash basis taxpayer as ordinary interest income. You should consult your tax advisor regarding the possible tax consequences of characterization of the securities as contingent payment debt instruments or short-term debt obligations.
 
It is also possible that the IRS would seek to characterize a security as a notional principal contract (an “NPC”). In general, payments on an NPC are accrued ratably (as ordinary income or deduction, as the case may be) over the period to which they relate income regardless of an investor’s usual method of tax accounting. Payments made to terminate an NPC (other than perhaps a final scheduled payment) are capital in nature. Deductions for NPC payments may be limited in certain cases. Certain payments under an NPC may be treated as U.S. source income. The IRS could also seek to characterize your securities as Code section 1256 contracts in the event that they are listed on a securities exchange. In such case, the securities would be marked-to-market at the end of the year and 40% of any gain or loss would be treated as short-term capital gain or loss, and the remaining 60% of any gain or loss would be treated as long-term capital gain or loss. Alternatively, in the event that the securities have a term of more than one year and reference an equity interest in a “pass-thru entity” within the meaning of Code section 1260 (which includes shares in, among others, an exchange-traded fund, a regulated investment company, a real estate investment trust, a partnership or a trust), the IRS might assert that the securities constitute a “constructive ownership transaction.” If the securities were treated as a constructive ownership transaction, under Code section 1260, all or a portion of your gain, if any, from the securities would be recharacterized as ordinary income, and you would be required to pay additional tax calculated by reference to interest on the tax on such recharacterized income. We are not responsible for any adverse consequences that you may experience as a result of any alternative characterization of the securities for U.S. federal income tax or other tax purposes.
 
You should consult your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of your securities for U.S. federal income tax purposes.
 
U.S. Holders
 
For purposes of this discussion, the term “U.S. Holder,” for U.S. federal income tax purposes, means a beneficial owner of securities that is (1) a citizen or resident of the United States, (2) a corporation (or an entity treated as a corporation for U.S. federal income tax purposes) created or organized in or under the laws of the United States or any state thereof or the District of Columbia, (3) an estate, the income of which is subject to U.S. federal income taxation regardless of its source, or (4) a trust, if (a) a court within the United States is able to exercise primary supervision over the administration of such trust and one or more U.S. persons have the authority to control all substantial decisions of the trust or (b) such trust has in effect a valid election to be treated as a domestic trust for U.S. federal income tax purposes. If a partnership (or an entity treated as a partnership for U.S. federal income tax purposes) holds securities, the U.S. federal income tax treatment of such partnership and a partner in such partnership will generally depend upon the status of the partner and the activities of the partnership. If you are a partnership, or a partner of a partnership, holding securities, you should consult your tax advisor regarding the tax consequences to you from the partnership's purchase, ownership, and disposition of the securities.
 
 
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Payment of Coupons
 
In accordance with the agreed-upon tax treatment described above, we will treat each coupon (a “Coupon”) as comprised of a component that is stated interest on the security, which should be treated as interest on the Deposit of 0.3445%, and the balance of the Coupon should be treated as a payment of put premium received by you in respect of the Put Option to us (the “Put Premium”). The Put Premium component of each Coupon will be treated as an installment payment of the Put Premium for the Put Option. Any Put Premium paid prior to redemption or maturity of the securities should be treated as short-term capital gain when received.
 
We will treat the Deposit as a debt obligation issued by us. Consistent with this treatment, U.S. Holders should include the interest component of each Coupon in income as received or accrued, based on their method of accounting.
 
Payment at Redemption or Maturity of the Securities
 
If the redemption amount is paid in cash, a U.S. Holder should be deemed to receive all or a portion of the Deposit and any accrued but unpaid Coupons. Any Coupons deemed to be received will be taxed as described above. Ordinarily, there should be no gain or loss on the Deposit, and the remainder of this discussion assumes that this will be the case.
 
If the amount received at redemption or maturity (excluding any Coupon paid at such time) is paid in cash and is less than the amount of the Deposit, the Put Option should be deemed exercised at the time of redemption or maturity, as the case may be. In such a case, the difference between the Deposit and the amount received, less accrued but unpaid interest on the Deposit to which the U.S. Holder is entitled (taxed as described above), is deemed to have been paid to settle the Put Option. Any loss on the Put Option, calculated as (a) the Deposit, less (b) the amount received at redemption or maturity (excluding any Coupon paid at such time and less accrued but unpaid interest on the Deposit to which the U.S. Holder is entitled) plus the Put Premium (excluding any Put Premium that has been included in income), should be short-term capital loss.
 
If the amount received at redemption or maturity is paid in cash and the amount of cash paid at redemption is equal to the Deposit (excluding any Coupon paid at such time), the Put Option should be deemed to have expired unexercised and an amount equal to any accrued but unpaid Put Premium should be treated as short-term capital gain. The interest portion of any Coupon should be taxed as described above.
 
If at redemption or maturity the amount due is paid in physical shares or units of the underlying, the U.S. Holder should not recognize any gain or loss with respect to the Put Option (other than with respect to cash received in lieu of fractional shares or units, as described below). The U.S. Holder should have a tax basis in all physical shares or units received (including for this purpose any fractional shares or units) equal to the Deposit less any Put Premium received that has not been included in income. The U.S. Holder’s holding period for any physical shares or units received should start on the day after the delivery of the physical shares or units. The U.S. Holder should generally recognize short-term capital gain or loss with respect to cash received in lieu of fractional shares or units in an amount equal to the difference between the amount of such cash received and the U.S. Holder’s basis in the fractional shares or units, which should be equal to the U.S. Holder’s basis in all of the physical shares or units (including the fractional shares or units), multiplied by a fraction, the numerator of which is the fractional shares or units and the denominator of which is all of the physical shares or units (including fractional shares or units).
 
Sale or Exchange of the Securities
 
Upon a sale or exchange of a security, a U.S. Holder should allocate the sale proceeds received between the Deposit and the Put Option on the basis of their respective fair market values on the date of sale. The U.S. Holder should generally recognize gain or loss with respect to the Deposit in an amount equal to the difference between the amount of the sale proceeds allocable to the Deposit (less accrued but unpaid interest on the Deposit which will be taxed as described above under “ Payment at Redemption or Maturity
 
 
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of the Securities ”) and the U.S. Holder’s adjusted tax basis in the Deposit (which generally will equal the issue price of the security). Generally, there should be no gain or loss with respect to the Deposit.
 
A U.S. Holder should generally recognize gain or loss with respect to the Put Option in an amount equal to the difference between the amount of the sale proceeds allocable to the Put Option and the U.S. Holder’s adjusted tax basis in the Put Option. If the value of the total sale proceeds received (minus accrued but unpaid interest with respect to the Deposit) exceeds the Deposit, then the U.S. Holder should recognize short-term capital gain equal to the amount of remaining sale proceeds allocable to the Put Option. If the value of the Deposit exceeds the total sale proceeds received (minus accrued but unpaid interest with respect to the Deposit), then the U.S. Holder should be treated as having paid the buyer an amount equal to the amount of such excess in exchange for the buyer’s assumption of the U.S. Holder’s rights and obligations under the Put Option (such excess being referred to as “Deemed Payment”). In such a case, the U.S. Holder should recognize short-term capital loss in an amount equal to the Deemed Payment made by the U.S. Holder to the buyer with respect to the assumption of the Put Option.
 
Medicare Tax
 
For taxable years beginning after December 31, 2012, certain U.S. Holders that are individuals, estates, and trusts must pay a 3.8% tax (the “Medicare Tax”) on the lesser of the U.S. person’s (1) “net investment income” or “undistributed net investment income” in the case of an estate or trust and (2) the excess of modified adjusted gross income over a certain specified threshold for the taxable year. “Net investment income” generally includes income from interest, dividends, and net gains from the disposition of property (such as the securities) unless such income or net gains are derived in the ordinary course of a trade or business (other than a trade or business that is a passive activity with respect to the taxpayer or a trade or business of trading in financial instruments or commodities). Net investment income may be reduced by allowable deductions properly allocable to such gross income or net gain. Any interest earned or deemed earned on the securities and any gain on sale or other taxable disposition of the securities will be subject to the Medicare Tax. If you are an individual, estate, or trust, you are urged to consult with your tax advisor regarding application of Medicare Tax to your income and gains in respect of your investment in the securities.
 
Securities Held Through Foreign Entities
 
Under the “Hiring Incentives to Restore Employment Act” (“FATCA” or the “Act”) and recently finalized regulations, a 30% withholding tax is imposed on “withholdable payments” and certain “passthru payments” made to “foreign financial institutions” (as defined in the regulations or an applicable intergovernmental agreement) (and their more than 50% affiliates) unless the payee foreign financial institution agrees, among other things, to disclose the identity of any U.S. individual with an account at the institution (or the institution’s affiliates) and to annually report certain information about such account. The term “withholdable payments” generally includes (1) payments of fixed or determinable annual or periodical gains, profits, and income (“FDAP”), in each case, from sources within the United States, and (2) gross proceeds from the sale of any property of a type which can produce interest or dividends from sources within the United States. “Passthru payments” means any withholdable payment and any foreign passthru payment. FATCA also requires withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address, and taxpayer identification number of any substantial U.S. owners (or certify that they do not have any substantial United States owners) to withhold tax at a rate of 30%. We will treat payments on the securities as withholdable payments for these purposes.
 
Withholding under FATCA will apply to all withholdable payments and certain passthru payments without regard to whether the beneficial owner of the payment is a U.S. person, or would otherwise be entitled to an exemption from the imposition of withholding tax pursuant to an applicable tax treaty with the United States or pursuant to U.S. domestic law. Unless a foreign financial institution is the beneficial owner of a payment, it will be subject to refund or credit in accordance with the same procedures and limitations applicable to other taxes withheld on FDAP payments provided that the beneficial owner of the payment furnishes such information as the IRS determines is necessary to determine whether such beneficial owner is a United States owned foreign entity and the identity of any substantial United States owners of such entity.
 
 
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Pursuant to the recently finalized regulations described above and subject to the exceptions described below, FATCA’s withholding regime generally will apply to (i) withholdable payments (other than gross proceeds of the type described above) made after December 31, 2013 (other than certain payments made with respect to a “preexisting obligation,” as defined in the regulations); (ii) payments of gross proceeds of the type described above with respect to a sale or disposition occurring after December 31, 2016; and (iii) foreign passthru payments made after the later of December 31, 2016, or six months after the date that final regulations defining the term ”foreign passthru payment” are published. Notwithstanding the foregoing, the provisions of FATCA discussed above generally will not apply to (a) any obligation (other than an instrument that is treated as equity for U.S. tax purposes or that lacks a stated expiration or term) that is outstanding on January 1, 2014 (a “grandfathered obligation”); (b) any obligation that produces withholdable payments solely because the obligation is treated as giving rise to a dividend equivalent pursuant to Code section 871(m) and the regulations thereunder that is outstanding at any point prior to six months after the date on which obligations of its type are first treated as giving rise to dividend equivalents; and (c) any agreement requiring a secured party to make payments with respect to collateral securing one or more grandfathered obligations (even if the collateral is not itself a grandfathered obligation). Thus, if you hold your securities through a foreign financial institution or foreign entity, a portion of any of your payments made after December 31, 2013, may be subject to 30% withholding.
 
Non-U.S. Holders Generally
 
The U.S. withholding tax consequences of any Coupon payment in respect of the securities is uncertain. Given the uncertainty, we will withhold U.S. income tax at a rate of 30% on any Coupon payment. It may be possible for a holder of the securities that is not a U.S. Holder (a “Non-U.S. Holder”) to take the position that some or all of a Coupon payment is exempt from the 30% U.S. withholding tax or subject to a reduced withholding tax rate under an applicable tax treaty. Any Non-U.S. Holder taking the position that a Coupon payment is exempt from the 30% withholding tax or eligible for a reduced rate of U.S. withholding tax may seek a refund or credit of any excess amounts withheld by us by filing an appropriate claim for refund with the IRS.
 
Payment of the redemption amount by us in respect to the securities (except to the extent of the Coupons) to a Non-U.S. Holder that has no connection with the United States other than holding its securities will not be subject to U.S. withholding tax, provided that such Non-U.S. Holder complies with applicable certification requirements. Any gain realized upon the sale or other disposition of the securities by a Non-U.S. Holder generally will not be subject to U.S. federal income tax unless (1) such gain is effectively connected with a U.S. trade or business of such Non-U.S. Holder or (2) in the case of an individual, such individual is present in the United States for 183 days or more in the taxable year of the sale or other disposition and certain other conditions are met. Any effectively connected gains described in clause (1) above realized by a Non-U.S. Holder that is, or is taxable as, a corporation for U.S. federal income tax purposes may also, under certain circumstances, be subject to an additional branch profits tax at a 30% rate or such lower rate as may be specified by an applicable income tax treaty.
 
Non-U.S. Holders that are subject to U.S. federal income taxation on a net income basis with respect to their investment in the securities should refer to the discussion above relating to U.S. Holders.
 
Substitute Dividend and Dividend Equivalent Payments
 
The Act and recently proposed and temporary regulations treat a “dividend equivalent” payment as a dividend from sources within the United States. Under the Act, unless reduced by an applicable tax treaty with the United States, such payments generally will be subject to U.S. withholding tax. A “dividend equivalent” payment is (i) a substitute dividend payment made pursuant to a securities lending or a sale-repurchase transaction that (directly or indirectly) is contingent upon, or determined by reference to, the payment of a dividend from sources within the United States, (ii) a payment made pursuant to a “specified notional principal contract” that (directly or indirectly) is contingent upon, or determined by reference to, the payment of a dividend from sources within the United States, and (iii) any other payment determined by the IRS to be substantially similar to a payment described in the preceding clauses (i) and (ii). Proposed regulations provide criteria for determining whether a notional principal contract will be a specified notional principal contract, effective for payments made after December 31, 2013.
 
 
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Proposed regulations address whether a payment is a dividend equivalent. The proposed regulations provide that an equity-linked instrument that provides for a payment that is a substantially similar payment is treated as a notional principal contract for these purposes. An equity-linked instrument is a financial instrument or combination of financial instruments that references one or more underlying securities to determine its value, including a futures contract, forward contract, option, or other contractual arrangement. The proposed regulations consider any payment, including the payment of the purchase price or an adjustment to the purchase price, to be a substantially similar payment (and, therefore, a dividend equivalent payment) if made pursuant to an equity-linked instrument that is contingent upon or determined by reference to a dividend (including payments pursuant to a redemption of stock that gives rise to a dividend) from sources within the United States. The rules for equity-linked instruments under the proposed regulations will be effective for payments made after the rules are finalized. Where the securities reference an interest in a fixed basket of securities or a “customized index,” each security or component of such basket or customized index is treated as an underlying security in a separate notional principal contract for purposes of determining whether such notional principal contract is a specified notional principal contract or an amount received is a substantially similar payment.
 
We will treat any portion of a payment or deemed payment on the securities that is substantially similar to a dividend as a dividend equivalent payment, which will be subject to U.S. withholding tax unless reduced by an applicable tax treaty and a properly executed IRS Form W-8 (or other qualifying documentation) is provided. Non-U.S. Holders should consult their tax advisors regarding whether payments or deemed payments on the securities constitute dividend equivalent payments.
 
U.S. Federal Estate Tax Treatment of Non-U.S. Holders
 
The securities may be subject to U.S. federal estate tax if an individual Non-U.S. Holder holds the securities at the time of his or her death. The gross estate of a Non-U.S. Holder domiciled outside the United States includes only property situated in the United States. Individual Non-U.S. Holders should consult their tax advisors regarding the U.S. federal estate tax consequences of holding the securities at death.
 
IRS Notice and Proposed Legislation on Certain Financial Transactions
 
In Notice 2008-2, the IRS and the Treasury Department stated they are considering issuing new regulations or other guidance on whether holders of an instrument such as the securities should be required to accrue income during the term of the instrument. The IRS and Treasury Department also requested taxpayer comments on (1) the appropriate method for accruing income or expense (e.g., a mark-to-market methodology or a method resembling the noncontingent bond method), (2) whether income and gain on such an instrument should be ordinary or capital, and (3) whether foreign holders should be subject to withholding tax on any deemed income accrual. Additionally, unofficial statements made by IRS officials have indicated that they will soon be addressing the treatment of prepaid forward contracts in proposed regulations.
 
Accordingly, it is possible that regulations or other guidance may be issued that require holders of the securities to recognize income in respect of the securities prior to receipt of any payments thereunder or sale thereof.  Any regulations or other guidance that may be issued could result in income and gain (either at maturity or upon sale) in respect of the securities being treated as ordinary income.  It is also possible that a Non-U.S. Holder of the securities could be subject to U.S. withholding tax in respect of the securities under such regulations or other guidance. It is not possible to determine whether such regulations or other guidance will apply to your securities (possibly on a retroactive basis).  You are urged to consult your tax advisor regarding Notice 2008-2 and its possible impact on you.
 
 
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More recently, on January 24, 2013, the House Ways and Means Committee released in draft form certain proposed legislation relating to financial instruments. If enacted as proposed, the effect of that legislation generally would be to require instruments such as the securities acquired after December 31, 2013, to be marked to market on an annual basis with all gains and losses to be treated as ordinary, subject to certain exceptions. You are urged to consult your tax advisor regarding the draft legislation and its possible impact on you.
 
Information Reporting Regarding Specified Foreign Financial Assets
 
The Act and temporary and proposed regulations generally require individual U.S. Holders (“specified individuals”) and “specified domestic entities” with an interest in any “specified foreign financial asset” to file an annual report on IRS Form 8938 with information relating to the asset, including the maximum value thereof, for any taxable year in which the aggregate value of all such assets is greater than $50,000 on the last day of the taxable year or $75,000 at any time during the taxable year. Certain individuals are permitted to have an interest in a higher aggregate value of such assets before being required to file a report. The proposed regulations relating to specified domestic entities apply to taxable years beginning after December 31, 2011. Under the proposed regulations, “specified domestic entities” are domestic entities that are formed or used for the purposes of holding, directly or indirectly, specified foreign financial assets. Generally, specified domestic entities are certain closely held corporations and partnerships that meet passive income or passive asset tests and, with certain exceptions, domestic trusts that have a specified individual as a current beneficiary and exceed the reporting threshold. Specified foreign financial assets include any depository or custodial account held at a foreign financial institution; any debt or equity interest in a foreign financial institution if such interest is not regularly traded on an established securities market; and, if not held at a financial institution, (1) any stock or security issued by a non-U.S. person, (2) any financial instrument or contract held for investment where the issuer or counterparty is a non-U.S. person, and (3) any interest in an entity which is a non-U.S. person.
 
Depending on the aggregate value of your investment in specified foreign financial assets, you may be obligated to file an IRS Form 8938 under this provision if you are an individual U.S. Holder. Pursuant to a recent IRS Notice, reporting by domestic entities of interests in specified foreign financial assets will not be required before the date specified by final regulations, which will not be earlier than taxable years beginning after December 31, 2012. Penalties apply to any failure to file IRS Form 8938. Additionally, in the event a U.S. Holder (either a specified individual or specified domestic entity) does not file such form, the statute of limitations on the assessment and collection of U.S. federal income taxes of such U.S. Holder for the related tax year may not close before the date which is three years after the date such information is filed. You should consult your tax advisor as to the possible application to you of this information reporting requirement and related statute of limitations tolling provision.
 
Backup Withholding and Information Reporting
 
A holder of the securities (whether a U.S. Holder or a Non-U.S. Holder) may be subject to backup withholding with respect to certain amounts paid to such holder unless it provides a correct taxpayer identification number, complies with certain certification procedures establishing that it is not a U.S. Holder or establishes proof of another applicable exemption, and otherwise complies with applicable requirements of the backup withholding rules. Backup withholding is not an additional tax. You can claim a credit against your U.S. federal income tax liability for amounts withheld under the backup withholding rules, and amounts in excess of your liability are refundable if you provide the required information to the IRS in a timely fashion. A holder of the securities may also be subject to information reporting to the IRS with respect to certain amounts paid to such holder unless it (1) is a Non-U.S. Holder and provides a properly executed IRS Form W-8 (or other qualifying documentation) or (2) otherwise establishes a basis for exemption.

 
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Credit Suisse AG
 
Credit Suisse AG, London Branch (“CSLB”), was registered in England and Wales on 22 April 1993 and is, among other things, a vehicle for various funding activities of Credit Suisse AG. CSLB exists as part of Credit Suisse AG and is not a separate legal entity, although it has independent status for certain tax and regulatory purposes. CSLB is authorized and regulated by FINMA in Switzerland, is authorized by the Prudential Regulation Authority in the UK and is subject to regulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority in the UK. CSLB is located at One Cabot Square, London EC14 4QJ, Tel: +44 20 7888 8888. For additional information, see “Credit Suisse AG” in the accompanying product supplement.
 
Credit Suisse may at any time substitute another of its branches for the branch through which it acts under the securities for all purposes under the securities.
 
Supplemental Plan of Distribution (Conflicts of Interest)
 
Under the terms and subject to the conditions contained in a distribution agreement dated May 7, 2007, as amended, which we refer to as the distribution agreement, we have agreed to sell the securities to CSSU. The distribution agreement provides that CSSU is obligated to purchase all of the securities if any are purchased.
 
CSSU proposes to offer the securities at the offering price set forth on the cover page of this pricing supplement and will receive varying underwriting discounts and commissions of up to $7.50 per $1,000 principal amount of securities,   for total underwriting discounts and commissions of $1,910.00, and will forgo fees for sales to fiduciary accounts. CSSU may re-allow some or all of the discount on the principal amount per security on sales of such securities by other brokers or dealers. If all of the securities are not sold at the initial offering price, CSSU may change the public offering price and other selling terms.
 
An affiliate of Credit Suisse has paid or may pay in the future a fixed amount to broker dealers in connection with the costs of implementing systems to support these securities.
 
We expect to deliver the securities against payment for the securities on the Settlement Date indicated herein, which may be a date that is greater than three business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than three business days after the Trade Date, purchasers who wish to transact in the securities more than three business days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
 
The agent for this offering, CSSU, is our affiliate. In accordance with FINRA Rule 5121, CSSU may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer. A portion of the net proceeds from the sale of the securities will be used by CSSU or one of its affiliates in connection with hedging our obligations under the securities.
 
For further information, please refer to “Underwriting (Conflicts of Interest)” in the accompanying product supplement.
 
 
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Credit Suisse