Pricing Supplement No. F1047
To Product Supplement No. I−A
dated June 30, 2017,
Prospectus Supplement dated June 30, 2017 and
Prospectus dated June 30, 2017
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Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-218604-02
January 22, 2020
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$1,163,000
Contingent
Coupon Autocallable Reverse Convertible Securities due April 27, 2021
Linked
to the Performance of the Common Stock of Albemarle Corporation
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The securities do not guarantee any return of principal or delivery of securities at maturity and do not provide for the regular
payment of interest.
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If these securities have not been previously automatically redeemed, and if a Coupon Barrier Event has not occurred on an Observation
Date, we will pay a contingent coupon on the immediately following Contingent Coupon Payment Date in an amount of $8 (equivalent
to approximately 9.60% per annum) per $1,000 principal amount of securities. If a Coupon Barrier Event has occurred on an Observation
Date, no contingent coupon will be paid with respect to that Observation Date. Contingent coupons should not be viewed as ordinary
periodic interest payments.
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If a Trigger Event occurs, the securities will be automatically redeemed and you will receive a cash payment equal to the principal
amount of the securities you hold and the contingent coupon payable on the immediately following Contingent Coupon Payment Date.
No further payments will be made following an Automatic Redemption.
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Investors should be willing to (i) forgo dividends and the potential to participate in any appreciation of the Underlying,
(ii) accept the risks of owning equities in general and the common stock of Albemarle Corporation in particular, and (iii) if a
Knock-In Event has occurred and the Final Level is less than the Initial Level, lose some or all of their investment, excluding
contingent coupons on the securities, if any.
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Senior unsecured obligations of Credit Suisse maturing April 27, 2021. Any payment or delivery on the securities is subject
to our ability to meet our obligations as they become due.
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Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
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The offering price for the securities was determined on January 22, 2020 (the “Trade Date”) and the securities
are expected to settle on January 27, 2020 (the “Settlement Date”). Delivery of the securities in book-entry form only
will be made through The Depository Trust Company.
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The securities will not be listed on any exchange.
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Investing in the securities involves a number of risks. See
“Selected Risk Considerations” beginning on page 6 of this pricing supplement and “Risk Factors” beginning
on page PS-3 of any 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 any accompanying product supplement, the prospectus supplement and the prospectus. Any representation to the contrary
is a criminal offense.
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Price to Public(1)
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Underwriting Discounts and Commissions(2)
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Proceeds to Issuer
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Per security
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$1,000
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$22.50
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$977.50
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Total
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$1,163,000
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$26,167.50
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$1,136,832.50
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(1) Certain fiduciary accounts may pay a purchase price of at
least $977.50 per $1,000 principal amount of securities.
(2) We or one of our affiliates will pay discounts and commissions
of $22.50 per $1,000 principal amount of securities. CSSU or another broker or dealer will forgo some or all discounts and commissions
with respect to the sales of securities into certain fiduciary accounts. For more detailed information, please see “Supplemental
Plan of Distribution (Conflicts of Interest)” in 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)”
in this pricing supplement.
Credit Suisse currently estimates the value of each $1,000
principal amount of the securities on the Trade Date is $973.20 (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.
Credit Suisse
January 22, 2020
Key Terms
Issuer:
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Credit Suisse AG (“Credit Suisse”), acting through its London branch
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Reference Share Issuer:
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The issuer of the Underlying.
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Underlying:
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The securities are linked to the performance of the Underlying set forth in the table below. The Underlying, ticker symbol, Initial Level, Knock-In Level, Coupon Barrier Level and Trigger Level are set forth in the table below. For additional information on the Underlying, see “The Underlying” herein.
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Underlying
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Ticker
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Initial
Level
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Knock-In
Level
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Coupon
Barrier Level
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Trigger
Level
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Common stock of Albemarle Corporation
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ALB UN <Equity>
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$81.38
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$48.828 (60% of Initial Level)
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$48.828 (60% of Initial Level)
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$81.38 (100% of Initial Level)
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Contingent Coupons:
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If these securities have not been previously automatically
redeemed and if a Coupon Barrier Event has not occurred on an Observation Date, we will pay a contingent coupon on the immediately
following Contingent Coupon Payment Date in an amount of $8 (equivalent to approximately 9.60% per annum) per $1,000 principal
amount of securities. If a Coupon Barrier Event has occurred on an Observation Date, no contingent coupon will be paid with respect
to that Observation Date.
If any Contingent Coupon Payment Date is not a business
day, the contingent coupon will be payable on the first following business day, unless that business day falls in the next calendar
month, in which case payment will be made on the first preceding business day. The amount of any contingent coupon will not be
adjusted with respect to any postponement of a Contingent Coupon Payment Date and no interest or other payment will be payable
hereon because of any such postponement of a Contingent Coupon Payment Date. No contingent coupons will be payable following an
Automatic Redemption. Contingent coupons, if any, will be payable on the applicable Contingent Coupon Payment Date to the holder
of record at the close of business on the business day immediately preceding the applicable Contingent Coupon Payment Date, provided
that the contingent coupon payable on the Automatic Redemption Date or Maturity Date, as applicable, will be payable to the person
to whom the Automatic Redemption Amount or the Redemption Amount, as applicable, is payable.
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Coupon Barrier Event:
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A Coupon Barrier Event will occur if, on any Observation Date, the closing level of the Underlying on such Observation Date is less than the Coupon Barrier Level.
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Redemption Amount:
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If these securities have not been previously automatically redeemed, at maturity, the Redemption Amount you will receive will depend on the performance of the Underlying and whether a Knock-In Event has occurred. For each $1,000 principal amount of securities, the cash or shares to be paid or delivered will be determined as follows:
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If a Knock-In Event has not occurred, a cash payment equal to $1,000. Therefore, you will not participate in any appreciation of the Underlying.
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If a Knock-In Event has occurred and:
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• the Final Level is greater than or equal to the Initial Level, a cash payment equal to $1,000; or
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• the Final Level is less than the Initial Level, the Physical Delivery Amount, plus a cash amount in respect of any fractional share, subject to our election to pay cash instead as noted below.
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If a Knock-In Event has occurred and the Final Level is less than the Initial Level, you could receive the shares of the Underlying with a value likely to be less than $1,000. You could lose your entire investment. Any payment or delivery on the securities is subject to our ability to meet our obligations as they become due.
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Physical Delivery Amount:
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The Physical Delivery Amount per $1,000 principal amount of securities is a number of shares of the Underlying rounded down to the nearest whole number and equal to the product of (i) $1,000 divided by the Initial Level and (ii) the share adjustment factor. The share adjustment factor is initially set equal to 1.0 on the Trade Date, subject to adjustment as described under “Description of the Securities—Adjustments” in the relevant product supplement. In lieu of any fractional shares in respect of the Physical Delivery Amount we will pay a cash amount equal to such fractional share multiplied by the Final Level. If the fractional share amount to be paid in cash is a de minimis amount, as determined by the calculation agent, the holder will not receive such amount. The Physical Delivery Amount (together with any cash amount paid in lieu of fractional shares) will be determined for each $1,000 principal amount of securities you hold. At our election, you may receive cash instead of the Physical Delivery Amount, in an amount equal to the product of (i) $1,000 divided by the Initial Level and (ii) the Final Level. If we exercise our option to deliver cash, we will give notice of our election at least one business day before the Valuation Date.
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Automatic Redemption:
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If a Trigger Event occurs, the securities will be automatically redeemed and you will receive a cash payment equal to the principal amount of the securities you hold (the “Automatic Redemption Amount”) and the contingent coupon payable, if any, on the immediately following Contingent Coupon Payment Date. No further payments will be made in respect of the securities. Payment will be made with respect to such Automatic Redemption on the Contingent Coupon Payment Date immediately following the relevant Trigger Observation Date (the “Automatic Redemption Date”). Any payment or delivery on the securities is subject to our ability to meet our obligations as they become due.
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Trigger Event:
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A Trigger Event will occur if, on any Trigger Observation Date, the closing level of the Underlying on such Trigger Observation Date is equal to or greater than the Trigger Level.
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Knock-In Event:
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A Knock-In Event will occur if on, any trading day during the Observation Period, the closing level of the Underlying is less than the Knock-In Level.
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Initial Level:
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The closing level of the Underlying on the Trade Date, as set forth in the table above.
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Observation Period:
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The period from but excluding the Trade Date to and including the Valuation Date.
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Final Level:
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The closing level of the Underlying on the Valuation Date.
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Valuation Date:
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April 22, 2021, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
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Maturity Date:
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April 27, 2021, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” If the Maturity Date is not a business day, the Redemption Amount will be payable on the first following business day, unless that business day falls in the next calendar month, in which case payment will be made on the first preceding business day.
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CUSIP:
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22549J5E6
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Key Dates:
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Each Observation Date, Trigger Observation Date and Contingent Coupon Payment Date is set forth in the table below. The Key Dates are subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
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Observation Dates
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Trigger Observation Dates
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Contingent Coupon Payment Dates
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February 24, 2020
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February 27, 2020
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March 24, 2020
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March 27, 2020
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April 22, 2020
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April 27, 2020
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May 21, 2020
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May 27, 2020
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June 24, 2020
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June 29, 2020
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July 22, 2020
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July 22, 2020
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July 27, 2020
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August 24, 2020
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August 27, 2020
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September 23, 2020
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September 28, 2020
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October 22, 2020
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October 22, 2020
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October 27, 2020
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November 23, 2020
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November 27, 2020
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December 22, 2020
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December 28, 2020
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January 22, 2021
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January 22, 2021
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January 27, 2021
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February 23, 2021
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February 26, 2021
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March 24, 2021
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March 29, 2021
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Valuation Date
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Maturity Date
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Additional Terms Specific to the Securities
You should read this pricing supplement together with the product
supplement dated June 30, 2017, the prospectus supplement dated June 30, 2017 and the prospectus dated June 30, 2017, 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):
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Product Supplement No. I−A dated June 30, 2017:
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http://www.sec.gov/Archives/edgar/data/1053092/000095010317006315/dp77780_424b2-ia.htm
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Prospectus Supplement and Prospectus dated June 30, 2017:
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http://www.sec.gov/Archives/edgar/data/1053092/000104746917004364/a2232566z424b2.htm
In the event the terms of the securities described in this pricing
supplement differ from, or are inconsistent with, the terms described in any product supplement, the prospectus supplement or prospectus,
the terms described in this pricing supplement will control.
Our Central Index Key, or CIK, on the SEC website is 1053092.
As used in this pricing supplement, “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. We may, without the consent of the registered holder of the
securities and the owner of any beneficial interest in the securities, amend the securities to conform to its terms as set forth
in this pricing supplement and the documents listed above, and the trustee is authorized to enter into any such amendment without
any such consent. You should carefully consider, among other things, the matters set forth in “Selected Risk Considerations”
in this pricing supplement and “Risk Factors” in any accompanying product supplement, “Foreign Currency Risks”
in the accompanying prospectus, and any risk factors we describe in the combined Annual Report on Form 20-F of Credit Suisse Group
AG and us incorporated by reference therein, and any additional risk factors we describe in future filings we make with the SEC
under the Securities Exchange Act of 1934, as amended, 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.
Prohibition of Sales to EEA Retail Investors
The securities may not be offered, sold or otherwise made available
to any retail investor in the European Economic Area. For the purposes of this provision:
(a) the expression “retail investor” means a person
who is one (or more) of the following:
(i) a retail client as defined in point (11) of Article
4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or
(ii) a customer within the meaning of Directive 2002/92/EC,
where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or
(iii) not a qualified investor as defined in Directive
2003/71/EC; and
(b) the expression “offer” includes the communication
in any form and by any means of sufficient information on the terms of the offer and the securities offered so as to enable an
investor to decide to purchase or subscribe the securities.
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 performance of the Underlying
and, in the case of Table 3, total contingent coupons over the term of the securities, which will depend on the number of Coupon
Barrier Events that have occurred over the term of the securities. The tables and examples below assume that (i) if a Coupon Barrier
Event does not occur on an Observation Date, a contingent coupon of $8 per $1,000 principal amount of securities will be paid on
the immediately following Contingent Coupon Payment Date, (ii) the securities are not automatically redeemed prior to maturity,
(iii) the term of the securities is exactly one year and three months, (iv) the Knock-In Level is 60% of the Initial Level, (v)
the hypothetical Initial Level is $75, (vi) a share adjustment factor of 1.0 and (vii) if the Physical Delivery Amount is to be
delivered at maturity, we do not exercise our right to pay cash instead of the Physical Delivery Amount. The actual Initial Level,
contingent coupon amount and Knock-In Level are set forth in “Key Terms” herein. The examples are intended to illustrate
hypothetical calculations of only the Redemption Amount and do not illustrate the calculation or payment of any individual contingent
coupon.
The hypothetical Redemption Amounts and total contingent coupons
set forth below are for illustrative purposes only. The actual Redemption Amount and total contingent coupons applicable to a purchaser
of the securities will depend on the number of Coupon Barrier Events that have occurred over the term of the securities, whether
a Knock-In Event has occurred and on the Final Level. It is not possible to predict how many Coupon Barrier Events will occur,
if any, or whether a Knock-In Event will occur and, in the event that there is a Knock-In Event, whether and by how much the level
of the Underlying has decreased from the Initial Level to the Final Level. Furthermore, it is not possible to predict whether a
Trigger Event will occur. If a Trigger Event occurs, the securities will be automatically redeemed for a cash payment equal to
the principal amount of the securities you hold and the contingent coupon payable and no further payments will be made in respect
of the securities.
You will not participate in any appreciation in the Underlying.
You should consider carefully whether the securities are suitable to your investment goals. Any payment or delivery on the securities
is subject to our ability to meet 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 has not occurred.
Percentage
Change from the Initial Level to the Final Level
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Return
on the
Securities*
(excluding
contingent coupons)
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Redemption
Amount (excluding contingent coupons on the securities)
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Total Contingent Coupons
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100%
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0%
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$1,000
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(See
Table 3 below)
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90%
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0%
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$1,000
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80%
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0%
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$1,000
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70%
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0%
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$1,000
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60%
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0%
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$1,000
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50%
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0%
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$1,000
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40%
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0%
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$1,000
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30%
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0%
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$1,000
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20%
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0%
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$1,000
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10%
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0%
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$1,000
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0%
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0%
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$1,000
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−10%
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0%
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$1,000
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−20%
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0%
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$1,000
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−30%
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0%
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$1,000
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−40%
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0%
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$1,000
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Table 2: A Knock-In
Event HAS occurred.
Percentage
Change from the Initial Level to the Final Level
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Return
on the
Securities* (excluding contingent coupons)
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Redemption
Amount (excluding contingent coupons on the securities)
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Total
Contingent Coupons
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100%
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0%
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$1,000
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(See
Table 3 below)
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90%
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0%
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$1,000
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80%
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0%
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$1,000
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70%
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0%
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$1,000
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60%
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0%
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$1,000
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50%
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0%
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$1,000
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40%
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0%
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$1,000
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30%
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0%
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$1,000
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20%
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0%
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$1,000
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10%
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0%
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$1,000
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0%
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0%
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$1,000
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−10%
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−10%
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13 shares + $22.50
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−20%
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−20%
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13 shares + $20
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−30%
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−30%
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13 shares + $17.50
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−40%
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−40%
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13 shares + $15
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−50%
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−50%
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13 shares + $12.50
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−60%
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−60%
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13 shares + $10
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−70%
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−70%
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13 shares + $7.50
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−80%
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−80%
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13 shares + $5
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−90%
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−90%
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13 shares + $2.50
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−100%
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−100%
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$0
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*If shares are delivered,
the return on the securities will depend on the value of the shares upon delivery. Therefore the return on the securities may differ
from and may be lower than the percentage change in the level of the Underlying from the Initial Level to the Final Level. See
“Selected Risk Considerations—The value of the Physical Delivery Amount could be less on the Maturity Date than on
the Valuation Date” herein.
TABLE 3: The expected total contingent coupons will depend
on how many Coupon Barrier Events occur.
Number
of Coupon Barrier Events
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Total
Contingent Coupons
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A Coupon Barrier Event does not occur on any Observation Date
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$120
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A Coupon Barrier Event occurs on 1 Observation Date
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$112
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A Coupon Barrier Event occurs on 2 Observation Dates
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$104
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A Coupon Barrier Event occurs on 3 Observation Dates
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$96
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A Coupon Barrier Event occurs on 4 Observation Dates
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$88
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A Coupon Barrier Event occurs on 5 Observation Dates
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$80
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A Coupon Barrier Event occurs on 6 Observation Dates
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$72
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A Coupon Barrier Event occurs on 7 Observation Dates
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$64
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A Coupon Barrier Event occurs on 8 Observation Dates
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$56
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A Coupon Barrier Event occurs on 9 Observation Dates
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$48
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A Coupon Barrier Event occurs on 10 Observation Dates
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$40
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A Coupon Barrier Event occurs on 11 Observation Dates
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$32
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A Coupon Barrier Event occurs on 12 Observation Dates
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$24
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A Coupon Barrier Event occurs on 13 Observation Dates
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$16
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A Coupon Barrier Event occurs on 14 Observation Dates
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$8
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A Coupon Barrier Event occurs on 15 Observation Dates
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$0
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The total payment or delivery on the securities will be equal
to the Redemption Amount applicable to an investor plus the total contingent coupons payable on the securities.
The following examples
illustrate how the Redemption Amount (excluding contingent coupons on the securities) is calculated.
Example 1: The Final
Level of the Underlying represents an increase of 10% from the Initial Level and a Knock-In Event has not occurred. Since a
Knock-In Event has not occurred, the Redemption Amount is equal to the principal amount. The investor will receive at maturity
a payment in cash equal to $1,000 per $1,000 principal amount of securities.
Example 2: The Final
Level of the Underlying represents a decrease of 10% from the Initial Level and a Knock-In Event has not occurred. Since a
Knock-In Event has not occurred, the Redemption Amount is equal to the principal amount even though the Final Level is less than
the Initial Level. The investor will receive at maturity a payment in cash equal to $1,000 per $1,000 principal amount of securities.
Example 3: The Final
Level of the Underlying represents an increase of 10% from the Initial Level and a Knock-In Event has occurred. Although a
Knock-In Event has occurred, since the Final Level is greater than the Initial Level, the Redemption Amount is equal to the principal
amount. The investor will receive at maturity a payment in cash equal to $1,000 per $1,000 principal amount of securities.
Example 4: The Final
Level of the Underlying represents a decrease of 10% from the Initial Level and a Knock-In Event has occurred. Since a Knock-In
Event has occurred and the Final Level is less than the Initial Level, the investor will receive at maturity the Physical Delivery
Amount, calculated as follows:
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Physical Delivery Amount
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=
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$1,000/Initial Level
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=
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$1,000/$75
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=
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13 shares of the Underlying (13.3333 rounded down)
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Redemption Amount
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=
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Physical Delivery Amount + cash in lieu of fractional shares equal to approximately 0.3333 × $67.50
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=
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13 shares of the Underlying + $22.50
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In this example, at maturity
an investor would receive a Redemption Amount equal to 13 shares of the Underlying and a cash payment of $22.50. The value of the
Redemption Amount on the Valuation Date, which is the date on which the Final Level is determined, is $900, calculated as follows:
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Physical Delivery Amount
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=
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13 shares of the Underlying
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Value of Redemption Amount on the Valuation Date
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=
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(13 shares of the Underlying × $67.50) + $22.50
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=
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$877.50 + $22.50
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=
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$900
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In these circumstances,
the investor will be exposed to any depreciation in the level of the Underlying from the Initial Level to the time of delivery.
Example 5: The Final
Level of the Underlying represents a decrease of 50% from the Initial Level and a Knock-In Event has occurred. Since a Knock-In
Event has occurred and the Final Level is less than the Initial Level, the investor will receive at maturity the Physical Delivery
Amount, calculated as follows:
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Physical Delivery Amount
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=
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$1,000/Initial Level
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=
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$1,000/$75
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=
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13 shares of the Underlying (13.3333 rounded down)
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Redemption Amount
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=
|
Physical Delivery Amount + cash in lieu of fractional shares equal to approximately 0.3333 × $37.50
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=
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13 shares of the Underlying + $12.50
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In this example, at maturity
an investor would receive a Redemption Amount equal to 13 shares of the Underlying and a cash payment of $12.50. The value of the
Redemption Amount on the Valuation Date, which is the date on which the Final Level is determined, is $500, calculated as follows:
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Physical Delivery Amount
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=
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13 shares of the Underlying
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Value of Redemption Amount on the Valuation Date
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=
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(13 shares of the Underlying × $37.50) + $12.50
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=
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$487.50 + $12.50
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=
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$500
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In these circumstances,
the investor will be exposed to any depreciation in the level of the Underlying from the Initial Level to the time of delivery.
Selected Risk Considerations
An investment in the securities involves significant risks. Investing
in the securities is not equivalent to investing directly in the Underlying. These risks are explained in more detail in the “Risk
Factors” section of any accompanying product supplement.
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•
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YOU MAY RECEIVE LESS THAN THE PRINCIPAL AMOUNT AT MATURITY — If the securities are not automatically
redeemed prior to the Maturity Date, you may receive less at maturity than you originally invested in the securities, or you may
receive nothing, excluding contingent coupons, if any. If on any trading day during the Observation Period, the level of the Underlying
is less than the Knock-In Level and the Final Level is less than the Initial Level, you will be fully exposed to any depreciation
in the Underlying. In this case, the Redemption Amount you will receive is likely to 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 level of the Underlying has decreased from the Initial Level to the
Final Level. Any payment or delivery on the securities is subject to our ability to meet our obligations as they become due.
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REGARDLESS OF THE AMOUNT OF ANY PAYMENT OR DELIVERY YOU RECEIVE ON THE SECURITIES, YOUR ACTUAL YIELD MAY BE DIFFERENT IN
REAL VALUE TERMS — Inflation may cause the real value of any payment or delivery you receive on the securities to be
less at maturity than it is at the time you invest. An investment in the securities also represents a forgone opportunity to invest
in an alternative asset that generates a higher real return. You should carefully consider whether an investment that may result
in a return that is lower than the return on alternative investments is appropriate for you.
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THE SECURITIES WILL NOT PAY MORE THAN THE PRINCIPAL AMOUNT PLUS CONTINGENT COUPONS, IF ANY — The securities
will not pay more than the principal amount plus contingent coupons, if any, regardless of the performance of the Underlying. Even
if the Final Level is greater than the Initial Level (regardless of whether a Knock-In Event has occurred), you will not participate
in the appreciation of the Underlying. Therefore, the maximum amount payable with respect to the securities (excluding contingent
coupons, if any) is $1,000 for each $1,000 principal amount of the securities. This payment will not be increased to include reimbursement
for any discounts or commissions and hedging and other transaction costs, even upon an Automatic Redemption.
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THE SECURITIES DO NOT PROVIDE FOR REGULAR FIXED INTEREST PAYMENTS — Unlike
conventional debt securities, the securities do not provide for regular fixed interest payments. The number of contingent coupons
you receive over the term of the securities, if any, will depend on the performance of the Underlying during the term of the securities
and the number of Coupon Barrier Events that occur. If a Coupon Barrier Event has occurred on an Observation Date, no contingent
coupon will be paid with respect to that Observation Date. Accordingly, if a Coupon Barrier
Event occurs on every Observation Date, you will not receive any contingent coupons during the term of the securities. Thus, the
securities are not a suitable investment for investors who require regular fixed income payments, since the number of contingent
coupons is variable and may be zero.
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In
addition, if rates generally increase over the term of the securities, it is more likely that the contingent coupon, if any, could
be less than the yield one might receive based on market rates at that time. This would have the further effect of decreasing the
value of your securities both nominally in terms of below-market coupons and in real value terms. Furthermore, it is possible that
you will not receive some or all of the contingent coupons over the term of the securities, and still lose your principal amount.
Even if you do receive some or all of your principal amount at maturity, you will not be compensated for the time value of money.
These securities are not short-term investments, so you should carefully consider these risks before investing.
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CONTINGENT COUPONS, IF ANY, ARE PAID ON A PERIODIC BASIS AND ARE BASED SOLELY ON THE CLOSING LEVEL OF THE UNDERLYING ON
THE SPECIFIED OBSERVATION DATES - Whether the contingent coupon will be paid with respect to an Observation Date will be based
on the closing level of the Underlying on such date. As a result, you will not know whether you will receive the contingent coupon
until near the end of the relevant period. Moreover, because the contingent coupon is based solely on the closing level of the
Underlying on a specific Observation Date, if the closing level of the Underlying is less than the Coupon Barrier Level on an Observation
Date, you will not receive any contingent coupon with
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respect to such Observation
Date, even if the closing level of the Underlying was higher on other days during the relevant period.
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MORE FAVORABLE TERMS TO YOU ARE GENERALLY ASSOCIATED WITH AN UNDERLYING WITH GREATER
EXPECTED VOLATILITY AND THEREFORE CAN INDICATE A GREATER RISK OF LOSS — “Volatility” refers to the
frequency and magnitude of changes in the level of the Underlying. The greater the expected volatility with respect to the Underlying
on the Trade Date, the higher the expectation as of the Trade Date that the level of the Underlying could be less than (i) the
Coupon Barrier Level on any Observation Date or (ii) the Knock-In Level on any trading day during the Observation Period and less
than the Initial Level on the Valuation Date, indicating a higher expected risk of loss on the securities. This greater expected
risk will generally be reflected in a higher contingent coupon than the yield payable on our conventional debt securities with
a similar maturity, or in more favorable terms (such as a lower Coupon Barrier Level or Knock-In Level) than for similar securities
linked to the performance of an Underlying with a lower expected volatility as of the Trade Date. You should therefore understand
that a relatively higher contingent coupon may indicate an increased risk of loss. Further, a relatively lower Coupon Barrier Level
or Knock-In Level may not necessarily indicate that you will receive a contingent coupon on any Contingent Coupon Payment Date
or that the securities have a greater likelihood of a return of principal at maturity. The volatility of the Underlying can change
significantly over the term of the securities. The level of the Underlying for your securities could fall sharply, which could
result in a significant loss of principal. You should be willing to accept the downside market risk of the Underlying and the potential
to lose a significant amount of your principal at maturity.
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THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Investors are dependent on our ability
to pay all amounts due on the securities and, therefore, if we were to default on our obligations, you may not receive any amounts
owed to you under the securities. In addition, any decline in our credit ratings, any adverse changes in the market’s view
of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to
maturity.
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THE REDEMPTION AMOUNT PAYABLE AT MATURITY WILL BE AFFECTED BY THE KNOCK-IN LEVEL, THE OCCURRENCE OF A KNOCK-IN EVENT AND
THE FINAL LEVEL — If on any trading day during the Observation Period, the closing level of the Underlying is less than
the Knock-In Level, a Knock-In Event will occur. If a Knock-In Event has occurred and the Final Level is less than the Initial
Level, the Physical Delivery Amount will consist of a number of shares of the Underlying plus an amount in cash corresponding to
any fractional share, or at our election, the equivalent amount in cash, as described herein. Under these circumstances, the value
of the Physical Delivery Amount is likely to be less than the principal amount of the securities and may be zero.
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THE SECURITIES ARE SUBJECT TO A POTENTIAL AUTOMATIC REDEMPTION, WHICH EXPOSES YOU TO REINVESTMENT RISK —
The securities are subject to a potential Automatic Redemption. If the securities are automatically redeemed prior to the Maturity
Date, you may be unable to invest in other securities with a similar level of risk that provide you with the opportunity to be
paid the same coupons as the securities.
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AN AUTOMATIC REDEMPTION WOULD LIMIT YOUR OPPORTUNITY TO BE PAID CONTINGENT COUPONS OVER THE FULL TERM OF THE SECURITIES —
The securities are subject to a potential Automatic Redemption. If a Trigger Event occurs, the securities will be automatically
redeemed and you will receive a cash payment equal to the principal amount of the securities you hold and the contingent coupon
payable on that Contingent Coupon Payment Date, and no further payments will be made with respect to the securities. In this case,
you will lose the opportunity to continue to be paid contingent coupons from the Automatic Redemption Date to the scheduled Maturity
Date.
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THE VALUE OF THE PHYSICAL DELIVERY AMOUNT COULD BE LESS ON THE MATURITY DATE THAN ON THE VALUATION DATE — If
a Knock-In Event has occurred and the Final Level is less than the Initial Level, you will receive on the Maturity Date the Physical
Delivery Amount, which will consist of a whole number of shares of the Underlying plus an amount in cash corresponding to any fractional
share, subject to our election to pay cash instead. The value of the Physical Delivery Amount on the Valuation Date will be less
than $1,000 per $1,000 principal amount of securities and could fluctuate, possibly decreasing, in the period between the Valuation
Date and the Maturity Date. We will make no adjustments to the Physical Delivery
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Amount to account for any such
fluctuation and you will bear the risk of any decrease in the value of the Physical Delivery Amount between the Valuation Date
and the Maturity Date.
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NO AFFILIATION WITH THE REFERENCE SHARE ISSUER — We are not affiliated with the Reference Share Issuer. You should
make your own investigation into the Underlying and the Reference Share Issuer. In connection with the offering of the securities,
neither we nor our affiliates have participated in the preparation of any publicly available documents or made any due diligence
inquiry with respect to the Reference Share Issuer.
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HEDGING AND TRADING ACTIVITY — We or any of our affiliates may carry out hedging activities related to the securities,
including in the Underlying or instruments related to the Underlying. We or our affiliates may also trade in the Underlying or
instruments related to the Underlying from time to time. Any of these hedging or trading activities on or prior to the Trade Date
and during the term of the securities could adversely affect our payment to you at maturity.
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THE ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE IS 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) is less than the original Price to Public. The Price to Public of the securities includes any 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. As such, the
payout on the securities can be replicated using a combination of these components and the value of these components, as determined
by us using our pricing models, will impact the terms of the securities at issuance. Our option valuation models are proprietary.
Our pricing models take into account factors such as interest rates, volatility and time to maturity of the securities, and they
rely in part on certain assumptions about future events, which may prove to be incorrect.
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Because
Credit Suisse’s pricing models may differ from other issuers’ valuation models, and because funding rates taken into
account by other issuers may vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness),
our estimated value at any time may not be comparable to estimated values of similar securities of other issuers.
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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 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
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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 any 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 three months.
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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CREDIT SUISSE IS SUBJECT TO SWISS REGULATION — As a Swiss bank, Credit Suisse is subject to regulation by governmental
agencies, supervisory authorities and self-regulatory organizations in Switzerland. Such regulation is increasingly more extensive
and complex and subjects Credit Suisse to risks. For example, pursuant to Swiss banking laws, the Swiss Financial Market Supervisory
Authority (FINMA) may open resolution proceedings if there are justified concerns that Credit Suisse is over-indebted, has serious
liquidity problems or no longer fulfills capital adequacy requirements. FINMA has broad powers and discretion in the case of resolution
proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity and/or cancel
such liabilities in whole or in part. If one or more of these measures were imposed, such measures may adversely affect the terms
and market value of the securities and/or the ability of Credit Suisse to make payments thereunder and you may not receive any
amounts owed to you under the securities.
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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, 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. We and/or our affiliates may also currently or from time to time engage in business with
the Reference Share Issuer, including extending loans to, or making equity investments in, the Reference Share Issuer or providing
advisory services to the Reference Share Issuer. In addition, one or more of our affiliates may publish research reports or otherwise
express opinions with respect to the Reference Share Issuer and these reports may or may not recommend that investors buy or hold
shares of the Underlying. As a prospective purchaser of the securities, you should undertake an independent investigation of the
Reference Share Issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the securities.
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UNPREDICTABLE ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — The payout on the
securities can be replicated using a combination of the components described in “The estimated value of the securities on
the Trade Date is less than the Price to Public.” Therefore, in addition to the level of the Underlying on any trading day
during the Observation Period, the terms of the securities at issuance and the value of the securities prior to maturity may be
influenced by factors that impact the value of fixed income securities and options in general, such as:
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the expected and actual volatility of the Underlying;
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the time to maturity of the securities;
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the dividend rate on the Underlying;
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interest and yield rates in the market generally;
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investors’ expectations with respect to the rate of inflation;
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events affecting companies engaged in the industry of the Reference Share Issuer;
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Reference Share Issuer
or markets generally and which may affect the level of the Underlying; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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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 IN THE UNDERLYING — Your return on the securities will not reflect the return you
would realize if you actually owned shares of the Underlying. The return on your investment is not the same as the total return
based on a purchase of shares of the Underlying.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the securities, you will not have any ownership
interest or rights in the Underlying, such as voting rights or dividend payments. In addition, the issuer of the Underlying will
not have any obligation to consider your interests as a holder of the securities in taking any corporate action that might affect
the value of the Underlying and therefore, the value of the securities.
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ANTI-DILUTION PROTECTION IS LIMITED — The calculation agent will make anti-dilution adjustments for
certain events affecting the Underlying. However, an adjustment will not be required in response to all events that could affect
the Underlying. 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. See “Description of the Securities—Adjustments” in the relevant product supplement.
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The U.S. federal tax consequences of an investment in the SECURITIES are unclear
— There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan
to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment
of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as described in “United
States Federal Tax Considerations” below. If the IRS were successful in asserting an alternative treatment, the tax consequences
of ownership and disposition of the securities, including the timing and character of income recognized by U.S. investors and the
withholding tax consequences to non-U.S. investors, might be materially and adversely affected. Moreover, future legislation, Treasury
regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
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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 any calculation date, as defined in any accompanying product supplement) could adversely affect the value of the Underlying
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 any accompanying product supplement.
The Underlying
Companies with securities registered under the Securities Exchange
Act of 1934 (the “Exchange Act”) are required to periodically file certain financial and other information specified
by the SEC. Information provided to or filed with the SEC by the Reference Share Issuer pursuant to the Exchange Act can be located
by reference to the SEC file number provided below.
According to its publicly available filings with the SEC, Albemarle
Corporation is a developer, manufacturer and marketer of engineered chemicals for end markets including energy storage, petroleum
refining, consumer electronics, construction, automotive, lubricants, pharmaceuticals, crop protection and custom chemistry services.
The common stock of Albemarle Corporation is listed on the New York Stock Exchange. Albemarle Corporation’s SEC file number
is 001-12658 and can be accessed through www.sec.gov.
This pricing supplement relates only to the securities offered
hereby and does not relate to the Underlying or other securities of the Reference Share Issuer. We have derived all disclosures
contained in this pricing supplement regarding the Underlying and the Reference Share Issuer from the publicly available documents
described in the preceding paragraph. In connection with the offering of the securities, neither we nor our affiliates have participated
in the preparation of such documents or made any due diligence inquiry with respect to the Reference Share Issuer.
Historical Information
The following graph sets forth the historical performance of
the Underlying based on the closing level of the common stock of Albemarle Corporation from January 2, 2015 through January 22,
2020. We obtained the historical information below from Bloomberg, without independent verification.
You should not take the historical levels of the Underlying as
an indication of future performance of the Underlying or the securities. Any historical trend in the level of the Underlying during
any period set forth below is not an indication that the level of the Underlying is more or less likely to increase or decrease
at any time over the term of the securities.
For additional information on the Underlying, see the information
set forth under “The Underlying” herein.
The closing level of the common stock of Albemarle Corporation
on January 22, 2020 was $81.38.
United States Federal Tax Considerations
This discussion supplements and, to the extent inconsistent therewith,
supersedes the discussion in the accompanying product supplement under “Material United States Federal Income Tax Considerations.”
Due to the lack of any controlling legal authority, there is
substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In the opinion of our counsel,
Davis Polk & Wardwell LLP, it is reasonable under current law to treat the securities for U.S. federal income tax purposes
as prepaid financial contracts with associated coupons that will be treated as gross income to you at the time received or accrued
in accordance with your regular method of tax accounting. However, our counsel has advised us that it is unable to conclude affirmatively
that this treatment is more likely than not to be upheld, and that alternative treatments are possible that could materially affect
the timing and character of income or loss you recognize on the securities.
Assuming this treatment of the securities is respected and subject
to the discussion in “Material United States Federal Income Tax Considerations” in the accompanying product supplement,
the following U.S. federal income tax consequences should result:
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Any coupons paid on the securities should be taxable as ordinary income
to you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax purposes.
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Upon a sale or other disposition (including retirement for cash) of
a security, you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in
the security. For this purpose, the amount realized does not include any coupon paid on retirement and may not include sale proceeds
attributable to an accrued coupon, which may be treated as a coupon payment. Such gain or loss should be long-term capital gain
or loss if you held the security for more than one year.
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If you receive the underlying shares (and cash in lieu of any fractional
shares) at maturity, you should not recognize gain or loss with respect to the underlying shares received. Instead, you should
have an aggregate tax basis in the underlying shares received (including any fractional shares deemed received) equal to your tax
basis in the securities. Your holding period for any underlying shares received should start on the day after receipt. With respect
to any cash received in lieu of a fractional share, you should recognize capital loss in an amount equal to the difference between
the amount of cash received in lieu of the fractional share and the portion of your tax basis in the securities that is allocable
to the fractional share.
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We do not plan to request a ruling from the IRS regarding the
treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In particular, the securities
might be determined to be contingent payment debt instruments, in which case the tax consequences of ownership and disposition
of the securities, including the timing and character of income recognized, might be materially and adversely affected. Moreover,
the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment
of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the
subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax
treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. You should consult your tax advisor regarding possible alternative tax treatments of the securities and potential changes
in applicable law. This discussion does not address the U.S. federal tax consequences of the ownership or disposition of the underlying
shares that you may receive at maturity. You should consult your tax advisor regarding the U.S. federal tax consequences of the
ownership and disposition of the underlying shares.
Non-U.S. Holders. The U.S. federal income tax treatment
of the coupons is unclear. Except as provided below and in the accompanying product supplement under “Material United States
Federal Income Tax Considerations—Securities Held Through Foreign Entities” and “Material United States Federal
Income Tax Considerations—Non-U.S. Holders Generally—Substitute Dividend and Dividend Equivalent Payments,” we
currently do not intend to treat coupons paid to a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities
as subject to U.S. federal withholding tax, provided that the Non-U.S. Holder complies with applicable certification requirements.
However, it is possible that the IRS could assert that such payments are subject to U.S. withholding tax, or that we or another
withholding agent may otherwise determine that withholding is required, in which case we or the other withholding agent may withhold
at a rate of up to 30% on such payments.
Moreover, as discussed under “Material United States Federal
Income Tax Considerations—Non-U.S. Holders
Generally—Substitute Dividend and Dividend Equivalent Payments”
in the accompanying product supplement, Section 871(m) of the Internal Revenue Code generally imposes a 30% withholding tax on
“dividend equivalents” paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Treasury regulations under Section 871(m), as modified by an IRS notice,
exclude from their scope financial instruments issued prior to January 1, 2023 that do not have a “delta” of one with
respect to any U.S. equity. Based on the terms of the securities and representations provided by us, our counsel is of the opinion
that the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations
with respect to any U.S. equity and, therefore, should not be subject to withholding tax under Section 871(m).
A determination that the securities are not subject to Section
871(m) is not binding on the IRS, and the IRS may disagree with this determination. Moreover, Section 871(m) is complex and its
application may depend on your particular circumstances, including whether you enter into other transactions with respect to a
U.S. equity to which the securities relate. You should consult your tax advisor regarding the potential application of Section
871(m) to the securities.
We will not be required to pay any additional amounts with respect
to U.S. federal withholding taxes.
FATCA. You should review the section entitled “Material
United States Federal Income Tax Considerations—Securities Held Through Foreign Entities” in the accompanying product
supplement regarding withholding rules under the “FATCA” regime. The discussion in that section is hereby modified
to reflect regulations proposed by the U.S. Treasury Department indicating an intent to eliminate the requirement under FATCA of
withholding on gross proceeds of the disposition of affected financial instruments. The U.S. Treasury Department has indicated
that taxpayers may rely on these proposed regulations pending their finalization.
You should read the section entitled “Material United
States Federal Income Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in
combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal
tax consequences of owning and disposing of the securities.
You should also consult your tax advisor regarding all aspects
of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
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 will offer the securities at the offering price set forth
on the cover page of this pricing supplement and will receive discounts and commissions of $22.50 per $1,000 principal amount of
securities. 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. CSSU or another broker or dealer will forgo some or all discounts and commissions with respect to the sales
of securities into certain fiduciary accounts. 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 two 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 two business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than
two business days after the Trade Date, purchasers who wish to transact in the securities more than two 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 any accompanying product supplement.
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as United States
counsel to Credit Suisse, when the securities offered by this pricing supplement have been executed and issued by Credit Suisse
and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such securities will be valid
and binding obligations of Credit Suisse, enforceable against Credit Suisse in accordance with their terms, subject to (i) applicable
bankruptcy, insolvency and similar laws affecting creditors’ rights generally, (ii) possible judicial or regulatory actions
giving effect to governmental actions or foreign laws affecting creditors’ rights and (iii) concepts of reasonableness and
equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack
of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or
similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement
and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state
securities or Blue Sky laws to the securities. Insofar as this opinion involves matters governed by Swiss law, Davis Polk &
Wardwell LLP has relied, without independent inquiry or investigation, on the opinion of Homburger AG, dated January 21, 2020 and
filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on January 21, 2020. The opinion of Davis Polk & Wardwell
LLP is subject to the same assumptions, qualifications and limitations with respect to such matters as are contained in the opinion
of Homburger AG. In addition, the opinion of Davis Polk & Wardwell LLP is subject to customary assumptions about the establishment
of the terms of the securities, the trustee’s authorization, execution and delivery of the indenture and its authentication
of the securities, and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated
in the opinion of Davis Polk & Wardwell LLP dated January 21, 2020, which was filed by Credit Suisse as an exhibit to a Current
Report on Form 6-K on January 21, 2020. Davis Polk & Wardwell LLP expresses no opinion as to waivers of objections to venue,
the subject matter or personal jurisdiction of a United States federal court or the effectiveness of service of process other than
in accordance with applicable law. In addition, such counsel notes that the enforceability in the United States of Section 10.08(c)
of the indenture is subject to the limitations set forth in the United States Foreign Sovereign Immunities Act of 1976.
Credit Suisse