The
information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is
not an offer to sell these securities and it is not soliciting an offer to buy these securities in any jurisdiction where the
offer or sale is not permitted.
Subject
to completion dated February 20, 2020.
|
February
2020
Preliminary
Pricing Supplement No. U4660
Registration
Statement No. 333-218604-02
Dated
February 20, 2020
Filed
pursuant to Rule 424(b)(2)
|
Auto-Callable
Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold
Features
Based on the Performance of the Worst Performing
of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Unlike ordinary debt securities, the Auto-Callable Contingent
Income Securities due March 4, 2021 based on the Performance of the Worst Performing of the Class A Common Stock of Facebook,
Inc. and the Common Stock of Netflix, Inc. (each, an “Underlying”), which we refer to as the securities, do not provide
for the regular payment of interest or guarantee the return of any principal at maturity. Instead, the securities offer the opportunity
for investors to earn a Contingent Coupon but only if the closing level of each Underlying on the applicable Observation
Date is greater than or equal to 65% of its respective Initial Level, which we refer to as its Coupon Barrier Level. If
the closing level of any Underlying is less than its respective Coupon Barrier Level on any Observation Date, you
will not receive any Contingent Coupon for that period. As a result, investors must be willing to accept the risk of not receiving
any Contingent Coupons during the entire term of the securities. In addition, if the closing level of each Underlying is greater
than or equal to its Initial Level on any Observation Date scheduled to occur on or after May 28, 2020 (other than the Valuation
Date), the securities will be automatically redeemed for an amount per security equal to the Principal Amount plus the Contingent
Coupon payable on the immediately following Contingent Coupon Payment Date. At maturity, if the securities have not previously
been automatically redeemed and the Final Level of the Worst Performing Underlying is greater than or equal to 65% of its Initial
Level, which we refer to as its Downside Threshold Level, investors will receive the Principal Amount, and, because the Final
Level of each Underlying is greater than or equal to its respective Coupon Barrier Level, the Contingent Coupon payable with respect
to the Valuation Date. However, if the Final Level of the Worst Performing Underlying is less than its Downside Threshold
Level, investors will be fully exposed to the decline in the level of the Worst Performing Underlying over the term of the securities,
and the Redemption Amount will be less than 65% of the Principal Amount of the securities and could be zero. Accordingly, investors
may lose up to their entire initial investment in the securities. Because payments on the securities are based on the performance
of each Underlying, a decline beyond the respective Coupon Barrier Level and/or respective Downside Threshold Level, as applicable,
of any Underlying will result in few or no Contingent Coupons and/or a significant loss of your investment, as applicable,
even if any other Underlying has appreciated or has not declined as much. Investors will not participate in any appreciation of
any Underlying. These securities are for investors who seek an opportunity to earn interest at a potentially above-market rate
in exchange for the risk of losing a significant portion or all of their principal, the risk of receiving no Contingent Coupon
on a Contingent Coupon Payment Date if the closing level of any Underlying is below its respective Coupon Barrier Level on the
immediately preceding Observation Date and the risk of an Automatic Redemption of the securities.
All payments on the securities, including the repayment of
principal, are subject to the credit risk of Credit Suisse.
|
KEY
TERMS
|
|
Issuer:
|
Credit Suisse AG (“Credit Suisse”), acting through its London branch
|
|
Underlyings:
|
The Underlyings are set forth in the table below (the issuer of each Underlying, a “Reference Share Issuer” and collectively, the “Reference Share Issuers”). For more information on the Underlyings, see “Facebook, Inc. Summary” and “Netflix, Inc. Summary” herein. The Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level, Downside Threshold Level, Coupon Barrier Level and Early Redemption Level:
|
|
|
Underlying
|
Ticker
|
Initial Level
|
Downside Threshold Level
|
Coupon Barrier Level
|
Early Redemption Level
|
|
Class A common stock of Facebook, Inc.
|
FB UW
<Equity>
|
|
|
|
|
|
|
Common stock of Netflix, Inc.
|
NFLX UW <Equity>
|
|
|
|
|
|
Aggregate Principal Amount:
|
$
|
|
Principal Amount:
|
$10 per security. The securities are offered at a minimum investment of 100 securities at $10 per security (representing a $1,000 investment), and integral multiples of $10 in excess thereof.
|
|
Price to Public:
|
$10 per security (see “Commissions and Price to Public” below)
|
|
Trade Date:
|
February 28, 2020
|
|
Settlement Date:
|
March 4, 2020 (3 business days after the Trade Date). Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
|
|
Valuation Date:
|
March 1, 2021, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
|
|
Maturity Date:
|
March 4, 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.
|
|
Redemption Amount:
|
If the securities have not previously been automatically redeemed, on the Maturity Date investors will receive a Redemption Amount determined as follows:
|
|
|
· If the Final Level of the Worst Performing Underlying is greater than or equal to its Downside Threshold Level:
|
the Principal Amount, and, because the Final Level of each Underlying is greater than or equal to its respective Coupon Barrier Level, the Contingent Coupon with respect to the Valuation Date.
|
|
|
· If
the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level:
|
(i) the Principal Amount multiplied by (ii) the Underlying
Return of the Worst Performing Underlying.
In this case, the Redemption Amount will be less
than $6.50 per $10 principal amount of securities. You could lose your entire investment.
|
|
Distributor:
|
Morgan Stanley Smith Barney LLC (“MSSB”). See “Supplemental Plan of Distribution.”
|
|
Calculation Agent:
|
Credit Suisse International
|
|
Listing:
|
The securities will not be listed on any securities exchange.
|
|
|
Key Terms continued on the following page
|
Investing in the securities involves a number of risks. See
“Selected Risk Considerations” beginning on page 11 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.
|
Commissions and Price to Public
|
Price to Public
|
Underwriting Discounts and Commissions
|
Proceeds to Issuer
|
|
Per security
|
$10
|
$0.125(1)
|
|
|
|
|
$0.05(2)
|
$9.825
|
|
Total
|
$
|
$
|
$
|
(1) We or one of our affiliates may pay to MSSB varying discounts
and commissions of up to $0.175 per $10 principal amount of securities, of which $0.05 per $10 principal amount of securities
will be paid as a structuring fee. For more detailed information, please see “Supplemental Plan of Distribution (Conflicts
of Interest)” in this pricing supplement.
(2) Reflects a structuring fee payable to MSSB by Credit Suisse
Securities (USA) LLC (“CSSU”) or one of its affiliates of $0.05 for each security.
The agent for this offering, 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 $10 principal
amount of the securities on the Trade Date will be between $9.525 and $9.825 (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”)).
This range of estimated values reflects terms that are not yet fixed. A single estimated value reflecting final terms will be
determined on the Trade Date. 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
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
|
Key Terms continued from previous page:
|
|
Contingent
Coupons:
|
· Subject
to Automatic Redemption, if, on any Observation Date the closing level of each Underlying is greater than or equal to its
respective Coupon Barrier Level, we will pay a Contingent Coupon at an annual rate of 10.25% (corresponding to $0.25625 per period
per security and to be determined on the Trade Date) on the immediately following Contingent Coupon Payment Date.
· If
on any Observation Date the closing level of any Underlying is less than its respective Coupon Barrier Level, no Contingent
Coupon will be paid with respect to that Observation Date.
|
|
Automatic Redemption:
|
If an Early Redemption Event occurs, the securities will be automatically redeemed and you will receive a cash payment equal to the Principal Amount (the “Automatic Redemption Amount”) and the Contingent Coupon payable on the immediately following Contingent Coupon Payment Date (the “Automatic Redemption Date”). No further payments will be made in respect of the securities following an Automatic Redemption. Payment will be made with respect to such Automatic Redemption on the Contingent Coupon Payment Date immediately following the relevant Observation Date. Any payment on the securities is subject to our ability to pay our obligations as they become due.
|
|
Early Redemption Event:
|
An Early Redemption Event will occur on any Observation Date scheduled to occur on or after May 28, 2020 (other than the Valuation Date) if the closing level of each Underlying on such Observation Date is equal to or greater than its respective Early Redemption Level.
|
|
Early Redemption Level:
|
For each Underlying, expected to be 100% of the Initial Level of such Underlying (to be determined on the Trade Date).
|
|
Coupon Barrier Level:
|
For each Underlying, expected to be 65% of the Initial Level of such Underlying (to be determined on the Trade Date).
|
|
Downside Threshold Level:
|
For each Underlying, expected to be 65% of the Initial Level of such Underlying (to be determined on the Trade Date).
|
|
Initial Level:
|
For each Underlying, the closing level of such Underlying on the Trade Date. In the event that the closing level for any Underlying is not available on the Trade Date, the Initial Level for such Underlying will be determined on the immediately following trading day on which a closing level is available.
|
|
Final Level:
|
For each Underlying, the closing level of such Underlying on the Valuation Date.
|
|
Observation Dates:
|
May 28, 2020, August 28, 2020, November 30, 2020 and the Valuation Date, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” We also refer to the Observation Date immediately prior to the Maturity Date as the Valuation Date.
|
|
Contingent Coupon Payment Dates:
|
June 2, 2020, September 2, 2020, December 3, 2020 and the Maturity Date, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.” 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 in respect of any postponement of a Contingent Coupon Payment Date and no interest or other payment will be payable on the securities 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, if any, on the Automatic Redemption Date or Maturity Date, as applicable, will be payable to the person to whom the Automatic Redemption Amount or Redemption Amount, as applicable, is payable.
|
|
Underlying Return:
|
With respect to each Underlying, the Final Level of such Underlying divided by its Initial Level
|
|
Worst Performing Underlying:
|
The Underlying with the lowest Underlying Return
|
|
CUSIP / ISIN:
|
22550V216 / US22550V2161
|
You may revoke your offer to purchase the securities at any
time prior to the time at which we accept such offer on the date the securities are priced. We reserve the right to change the
terms of, or reject any offer to purchase the securities prior to their issuance. In the event of any changes to the terms of the
securities, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose
to reject such changes in which case we may reject your offer to purchase.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
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):
|
|
•
|
Product Supplement No. I−A dated June 30, 2017:
|
http://www.sec.gov/Archives/edgar/data/1053092/000095010317006315/dp77780_424b2-ia.htm
|
|
•
|
Prospectus Supplement and Prospectus dated June 30, 2017:
|
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 the product supplement, 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.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Supplemental Terms of the Securities
For purposes of the securities offered by this pricing supplement,
all references to the following defined term used in any accompanying product supplement will be deemed to refer to the corresponding
defined term used in this pricing supplement, as set forth in the table below:
|
Product Supplement
Defined Term
|
Pricing Supplement
Defined Term
|
|
Knock-In Level
|
Downside Threshold Level
|
|
Lowest Performing Underlying
|
Worst Performing Underlying
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Investment Summary
Auto-Callable Contingent Income Securities
Principal at Risk Securities
The Auto-Callable Contingent Income Securities due March 4, 2021
based on the Class A common stock of Facebook, Inc. and the common stock of Netflix, Inc., which we refer to as the securities,
provide an opportunity for investors to earn a Contingent Coupon at an annual rate of 10.25% (corresponding to $0.25625 per period
per security and to be determined on the Trade Date) but only if the closing level of each Underlying on the applicable
Observation Date is greater than or equal to 65% of its respective Initial Level, which we refer to as its Coupon Barrier
Level. It is possible that the closing levels of one or more Underlyings could be below their respective Coupon Barrier Levels
on most or all of the Observation Dates throughout the entire term of the securities so that you may receive few or no Contingent
Coupons during the entire term of the securities. In addition, if the closing level of each Underlying is greater than or equal
to its Initial Level on any Observation Date scheduled to occur on or after May 28, 2020 (other than the Valuation Date), the securities
will be automatically redeemed for an amount per security equal to the Principal Amount plus the Contingent Coupon payable on the
immediately following Contingent Coupon Payment Date.
If the securities have not been previously automatically redeemed
and the Final Level of the Worst Performing Underlying is greater than or equal to 65% of its Initial Level, which we refer to
as its Downside Threshold Level, the Redemption Amount will be the Principal Amount and, because the Final Level of each Underlying
is greater than or equal to its Coupon Barrier Level, the Contingent Coupon with respect to the Valuation Date. However,
if the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, investors will be fully
exposed to the decline in the Worst Performing Underlying over the term of the securities and will receive a Redemption Amount
that is significantly less than the Principal Amount, in proportion to the decline in the Worst Performing Underlying from its
Initial Level to its Final Level. In this scenario, the value of any such payment will be less than 65% of the Principal Amount
of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal
and also the risk of not receiving any Contingent Coupons. In addition, investors will not participate in any appreciation
of any Underlying.
|
Maturity:
|
Approximately one year, unless automatically redeemed earlier
|
|
Redemption Amount:
|
If the securities have not previously been automatically
redeemed, investors will receive on the Maturity Date a Redemption Amount determined as follows:
If the Final Level of the Worst Performing Underlying
is greater than or equal to its Downside Threshold Level, investors will receive the Principal Amount and, because the
Final Level of each Underlying is also greater than or equal to its Coupon Barrier Level, the Contingent Coupon with respect to
the Valuation Date.
If the Final Level of the Worst Performing Underlying
is less than its Downside Threshold Level, investors will receive a Redemption Amount that is less than 65% of the Principal
Amount of the securities and could be zero. Accordingly, investors in the securities must be willing to accept the risk of
losing their entire initial investment.
|
|
Contingent Coupons:
|
A Contingent Coupon at an annual rate of 10.25% (corresponding
to $0.25625 per period per security and to be determined on the Trade Date) will be paid on the securities on each Contingent
Coupon Payment Date but only if the closing level of each Underlying is at or above its respective Coupon Barrier Level
on the immediately preceding Observation Date.
If, on any Observation Date, the closing level of
any Underlying is less than its respective Coupon Barrier Level, we will pay no coupon for the applicable period.
|
|
Automatic Redemption:
|
If an Early Redemption Event occurs, the securities
will be automatically redeemed and you will receive a cash payment equal to the Principal Amount and the Contingent Coupon payable
on the immediately following Contingent Coupon Payment Date. No further payments will be made in respect of the securities following
an Automatic Redemption. Payment will be made in respect of such Automatic Redemption on the Contingent Coupon Payment Date immediately
following the relevant Observation Date.
An Early Redemption Event will occur on any Observation
Date scheduled to occur on or after May 28, 2020 (other than the Valuation Date) if the closing level of each Underlying on such
Observation Date is equal to or greater than its respective Early Redemption Level.
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Key Investment Rationale
The securities do not guarantee any repayment of principal at
maturity and offer investors an opportunity to earn a Contingent Coupon of 10.25% per annum (corresponding to $0.25625 per period
per security and to be determined on the Trade Date) but only if the closing level of each Underlying on the applicable
Observation Date is greater than or equal to 65% of its Initial Level, which we refer to as its Coupon Barrier Level. The securities
have been designed for investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the
risk of (i) losing a significant portion or all of their principal, (ii) receiving no Contingent Coupon on a Contingent Coupon
Payment Date if the level of any Underlying is below its respective Coupon Barrier Level on the immediately preceding Observation
Date and (iii) an Automatic Redemption of the securities. The following scenarios are for illustrative purposes only to demonstrate
how the Contingent Coupon and the Redemption Amount (if the securities have not previously been automatically redeemed) are calculated,
and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be automatically redeemed,
the Contingent Coupon may be payable in none of, or some but not all of, the periods during the term of the securities and the
Redemption Amount may be less than 65% of the Principal Amount of the securities and may be zero.
|
Scenario 1: The securities are automatically redeemed prior to maturity.
|
This scenario assumes that the securities are automatically redeemed prior to the Maturity Date on one of the Contingent Coupon Payment Dates for the Automatic Redemption Amount equal to the Principal Amount plus the Contingent Coupon payable on such Contingent Coupon Payment Date. Prior to the Automatic Redemption, each Underlying may close at or above its respective Coupon Barrier Level on some or all of the Observation Dates. In this scenario, investors receive the Contingent Coupon with respect to each Observation Date on which each Underlying closes at or above its respective Coupon Barrier Level, but not for the Observation Dates on which any Underlying closes below its respective Coupon Barrier Level. No further payments will be made on the securities once they have been automatically redeemed.
|
|
Scenario 2: The securities are not automatically redeemed prior to maturity, and investors receive principal back at maturity.
|
This scenario assumes that the securities are not automatically redeemed on any of the Contingent Coupon Payment Dates, and, as a result, investors hold the securities to maturity. During the term of the securities, each Underlying may close at or above its respective Coupon Barrier Level on some but not all of the Observation Dates. Consequently, investors receive the Contingent Coupon with respect to each Observation Date on which each Underlying closes at or above its respective Coupon Barrier Level, but not for the Observation Dates on which any Underlying closes below its respective Coupon Barrier Level. On the Valuation Date, the Worst Performing Underlying closes at or above its Downside Threshold Level. Therefore, at maturity, investors will receive the Principal Amount, and, because the Final Level of each Underlying is greater than or equal to its respective Coupon Barrier Level, the Contingent Coupon with respect to the Valuation Date.
|
|
Scenario 3: The securities are not automatically redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity.
|
This scenario assumes that the securities are not automatically redeemed on any of the Contingent Coupon Payment Dates, and, as a result, investors hold the securities to maturity. During the term of the securities, one or more Underlyings close below their respective Coupon Barrier Levels on all or nearly all of the Observation Dates. In this scenario, investors do not receive any Contingent Coupons, or receive Contingent Coupons for only a limited number of Contingent Coupon Payment Dates. On the Valuation Date, the Worst Performing Underlying closes below its Downside Threshold Level. Therefore, investors receive an amount equal to the Principal Amount multiplied by the Underlying Return of the Worst Performing Underlying at maturity. Under these 2circumstances, the Redemption Amount will be less than 65% of the Principal Amount and could be zero. No coupon will be paid at maturity in this scenario.
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Facebook, Inc. Summary
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, Facebook, Inc. builds
products that enables people to connect and share through mobile devices, personal computers and other surfaces. The Class A common
stock of Facebook, Inc. is listed on the Nasdaq Stock Market. Facebook, Inc.’s SEC file number is 001-35551 and can be accessed
through www.sec.gov.
This pricing supplement relates only to the securities offered
hereby and does not relate to the Underlyings or other securities of the Reference Share Issuers. We have derived all disclosures
contained in this pricing supplement regarding the Underlyings and the Reference Share Issuers 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 Issuers.
Information as of market close on February 19, 2020:
|
Bloomberg Ticker Symbol:
|
FB UW <Equity>
|
|
Current Closing Level:
|
$217.49
|
|
52 Weeks Ago (on 2/20/2019):
|
$162.56
|
|
52 Week High (on 1/29/2020):
|
$223.23
|
|
52 Week Low (on 2/21/2019):
|
$160.04
|
For additional historical information, see “Class A Common
Stock of Facebook, Inc. Historical Performance” below.
Netflix, Inc. Summary
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, Netflix, Inc. is
an internet entertainment service that allows members to stream TV series, documentaries and feature films across multiple genres
and languages. The common stock of Netflix, Inc. is listed on the Nasdaq Global Select Market. Netflix, Inc.’s SEC file
number is 001-35727 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.
Information as of market close on February 19, 2020:
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Bloomberg Ticker Symbol:
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NFLX UW <Equity>
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Current Closing Level:
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$386.19
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52 Weeks Ago (on 2/20/2019):
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$359.91
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52 Week High (on 2/18/2020):
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$387.78
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52 Week Low (on 9/24/2019):
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$254.59
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For additional historical information, see “Common Stock
of Netflix, Inc. Historical Performance” below.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples are for illustrative purposes
only. Whether you receive a Contingent Coupon and whether an Early Redemption Event occurs will be determined on each Observation
Date. If the securities are not automatically redeemed, the Redemption Amount will be determined by reference to the Final Level
of the Worst Performing Underlying. The actual Initial Level, Coupon Barrier Level, Downside Threshold Level and Early Redemption
Level for each Underlying will be determined on the Trade Date. All payments on the securities are subject to the credit risk of
Credit Suisse. The numbers in the hypothetical examples may be rounded for ease of analysis. The below examples are based on the
following terms:
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Hypothetical Initial Level of the Underlyings:
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Underlying A: $200
Underlying B: $380
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Hypothetical Coupon Barrier Level of the Underlyings:
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Underlying A: $130, which is 65% of the hypothetical
Initial Level
Underlying B: $247, which is 65% of the hypothetical
Initial Level
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Hypothetical Downside Threshold Level of the Underlyings:
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Underlying A: $130, which is 65% of the hypothetical
Initial Level
Underlying B: $247, which is 65% of the hypothetical
Initial Level
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Hypothetical Early Redemption Level of the Underlyings:
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Underlying A: $200, which is 100% of the hypothetical
Initial Level
Underlying B: $380, which is 100% of the hypothetical
Initial Level
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Contingent Coupons:
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10.25% per annum (corresponding
to $0.25625 per period per security)
A Contingent Coupon is paid on each Contingent Coupon
Payment Date but only if the closing level of each Underlying is at or above its respective Coupon Barrier Level on the related
Observation Date.
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Automatic Redemption:
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If on any Observation Date scheduled to occur on or after May 28, 2020 (other than the Valuation Date) the closing level of each Underlying is greater than or equal to its Initial Level, the securities will be automatically redeemed for an Automatic Redemption Amount equal to the Principal Amount plus the Contingent Coupon payable on the immediately following Contingent Coupon Payment Date.
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Redemption Amount (if the securities have not been automatically redeemed):
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If the Final Level of the Worst Performing Underlying
is greater than or equal to its Downside Threshold Level: the Principal Amount, and, because the Final Level of each Underlying
is greater than or equal to its respective Coupon Barrier Level, the Contingent Coupon with respect to the Valuation Date.
If the Final Level of the Worst Performing Underlying
is less than its Downside Threshold Level: (i) the Principal Amount multiplied by (ii) the Underlying Return of the Worst
Performing Underlying.
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Principal Amount:
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$10
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In Example 1, the securities are automatically
redeemed on one of the Contingent Coupon Payment Dates, and no further payments are made on the securities after they have been
automatically redeemed. In Examples 2, 3, and 4, the securities are not automatically redeemed prior to, and remain outstanding
until, maturity.
Example 1 — The closing level
of each Underlying is at or above its respective Early Redemption Level on the third Observation Date, but below its respective
Early Redemption Level on each prior Observation Date, so the securities are automatically redeemed on the Contingent Coupon Payment
Date immediately following the third Observation Date. The closing level of each Underlying is also at or above its respective
Coupon Barrier Level on each Observation Date prior to (and excluding) the Observation Date immediately preceding the Automatic
Redemption. Therefore, you would receive the Contingent Coupons with respect to those Observation Dates, totaling $0.25625 ×
2 = $0.5125. The closing level of each Underlying is greater than or equal to its respective Coupon Barrier Level on the Observation
Date immediately preceding the Automatic Redemption. Upon Automatic Redemption, investors receive the Automatic Redemption Amount
calculated as $10 + $0.25625 = $10.25625.
The total payment over the 9-month term of
the securities is $0.5125 + $10.25625 = $10.76875.
Example 2 — The closing level
of each Underlying is below its respective Early Redemption Level on each Observation Date prior to the Valuation Date, so the
securities are not automatically redeemed prior to maturity. The closing level of each Underlying is at or above its respective
Coupon Barrier Level on every Observation Date including the Valuation Date, and the Final Level of the Worst Performing Underlying
is above its Initial Level. Therefore, you would receive (i) the Contingent Coupons with respect to each Observation Date prior
to (and excluding) the Valuation Date, totaling $0.25625 × 3 = $0.76875 and (ii) the Redemption Amount calculated as $10
+ $0.25625 = $10.25625.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
The total payment over the 1-year term of the
securities is $0.76875 + $10.25625 = $11.025.
This example illustrates the scenario where
you receive a Contingent Coupon on every Contingent Coupon Payment Date throughout the term of the securities and receive your
principal back at maturity, resulting in an 10.25% per annum interest rate. Despite the fact that the Final Level of the Worst
Performing Underlying is greater than its Initial Level, you will not participate in any appreciation of any Underlying. This is
therefore the maximum amount payable over the term of the securities. To the extent that coupons are not paid on every Contingent
Coupon Payment Date, the effective interest rate on the securities will be less than 10.25% per annum and could be zero. If the
securities are automatically redeemed prior to maturity, you will receive no more Contingent Coupons, may be forced to invest in
a lower interest rate environment and may not be able to reinvest at comparable terms or returns.
Example 3 — The closing level
of each Underlying is below its respective Early Redemption Level on each Observation Date prior to the Valuation Date, so the
securities are not automatically redeemed prior to maturity. The closing level of each Underlying is at or above its respective
Coupon Barrier Level on two of the Observation Dates prior to the Valuation Date. The Final Level of the Worst Performing Underlying
is above its Downside Threshold Level and Coupon Barrier Level on the Valuation Date. In this scenario, you receive a Redemption
Amount equal to the Principal Amount and the Contingent Coupon with respect to the Valuation Date. Therefore, you would receive
(i) the Contingent Coupons with respect to two Observation Dates prior to the Valuation Date, totaling $0.25625 × 2 = $0.5125,
but not for the other Observation Dates prior to the Valuation Date, and (ii) the Redemption Amount calculated as $10 + $0.25625
= $10.25625.
The total payment over the 1-year term of the
securities is $0.5125 + $10.25625 = $10.76875.
Example 4 — The closing level
of each Underlying is below its respective Early Redemption Level on each Observation Date prior to the Valuation Date, so the
securities are not automatically redeemed prior to maturity. The closing levels of one or more Underlyings are below their respective
Coupon Barrier Levels on all of the Observation Dates, and the Final Level of the Worst Performing Underlying (which is Underlying
A) is $80, which is below its Downside Threshold Level. Therefore, you would receive no Contingent Coupons, and the Redemption
Amount would be calculated as $10 × $80 / $200 = $4.
The total payment over the 1-year term of the
securities is $0 + $4 = $4.
If the securities are not automatically
redeemed prior to maturity and the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, you
will lose a significant portion or all of your investment in the securities.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Selected Risk Considerations
This section describes the most significant risks relating
to the securities. For a complete list of risk factors, please see any accompanying product supplement, prospectus and prospectus
supplement. Investors should consult their financial and legal advisers as to the risks entailed by an investment in the securities
and the suitability of the securities in light of their particular circumstances.
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The securities do not guarantee the return of any principal.
The terms of the securities differ from those of ordinary
debt securities in that the securities do not guarantee the payment of regular interest or the return of any of the principal amount
at maturity. Instead, if the securities have not automatically been redeemed prior to maturity and the Final Level of the Worst
Performing Underlying is less than its Downside Threshold Level, you will be fully exposed to the decline in the Worst Performing
Underlying over the term of the securities, and you will receive for each security that you hold at maturity an amount of cash
that is significantly less than the Principal Amount, in proportion to the decline in the level of the Worst Performing Underlying
from its Initial Level to its Final Level. Under this scenario, the value of any such payment will be less than 65% of the Principal
Amount and could be zero. You may lose up to your entire initial investment in the securities. Any payment on the securities is
subject to our ability to pay our obligations as they become due.
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Regardless of the amount of any payment you receive on the securities,
your actual yield may be different in real value terms. Inflation may cause the real value
of any payment 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 any Underlying. Even if
the Final Level of each Underlying is greater than its respective Initial Level, you will not participate in the appreciation of
any Underlying. Therefore, the maximum amount payable with respect to the securities (excluding Contingent Coupons, if any) is
the Principal Amount. 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 regular fixed interest payments. Unlike conventional debt securities, the securities do
not provide for regular fixed interest payments. You will receive a Contingent Coupon with respect to a Contingent Coupon Payment
Date only if the closing level of each Underlying on the related Observation Date is greater than or equal to its respective Coupon
Barrier Level. If the closing level of any Underlying is less than its respective Coupon Barrier Level on each Observation Date,
you will not receive any Contingent Coupons. 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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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
an Underlying. The greater the expected volatility with respect to an Underlying on the Trade Date, the higher the expectation
as of the Trade Date that the closing level of such Underlying could be less than its (i) Coupon Barrier Level on any Observation
Date or (ii) Downside Threshold 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 lower Coupon Barrier Levels or Downside Threshold Levels)
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, relatively
lower Coupon Barrier Levels or Downside Threshold Levels may not necessarily indicate that you will receive a Contingent Coupon
on any Contingent Coupon Payment Date or that the securities have a
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
greater likelihood of a return of
principal at maturity. The volatility of any Underlying can change significantly over the term of the securities. The levels of
the Underlyings 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 Underlyings and the potential to lose a significant amount of your principal at maturity.
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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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The securities are subject to a potential Automatic Redemption,
which 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 an Early Redemption Event occurs, the securities will be automatically
redeemed and you will receive a cash payment equal to the Principal Amount 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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Contingent Coupons, if any, are paid on a periodic basis and are based solely on the closing levels of the Underlyings on
the specified Observation Dates. Whether the Contingent Coupon will be paid with respect to an Observation Date will be based
on the closing levels of the Underlyings 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 levels of the
Underlyings on a specific Observation Date, if the closing level of an Underlying is less than its Coupon Barrier Level on an Observation
Date, you will not receive any Contingent Coupon with respect to such Observation Date, even if the closing level of such Underlying
was higher on other days during the relevant period.
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Investors will not participate in any appreciation in the level of any of the Underlyings. Investors will not participate
in any appreciation in the level of each Underlying from its Initial Level, and the return on the securities will be limited to
the Contingent Coupons, if any, that are paid with respect to each Observation Date on which the closing level of each Underlying
is greater than or equal to its respective Coupon Barrier Level until the securities are automatically redeemed or reach maturity.
It is possible that the closing levels of one or more Underlyings could be below their respective Coupon Barrier Levels on most
or all of the Observation Dates so that you will receive few or no Contingent Coupons. If you do not earn sufficient Contingent
Coupons over the term of the securities, the overall return on the securities may be less than the amount that would be paid on
a conventional debt security of the issuer of comparable maturity.
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You will be subject to risks relating to the relationship between the Underlyings. The securities are linked to the
individual performance of each Underlying. As such, the securities will perform poorly if only one of the Underlyings performs
poorly. For example, if one Underlying appreciates from its Initial Level to its Final Level, but the Final Level of the Worst
Performing Underlying is less than its Downside Threshold Level, you will be exposed to the depreciation of the Worst Performing
Underlying and you will not benefit from the performance of any other Underlying. Each additional Underlying to which the securities
are linked increases the risk that the securities will perform poorly. By investing in the securities, you assume the risk that
(i) the Final Level of at least one of the Underlyings will be less than its Downside Threshold Level and (ii) the closing level
of at least one of the Underlyings is less than its respective Coupon Barrier Level on at least one or more Observation Dates,
regardless of the performance of any other Underlying. Because payments on the securities are based on the performance of each
Underlying, a decline beyond the respective Coupon Barrier Level and/or respective Downside Threshold Level, as applicable, of
any Underlying will result in few or no Contingent Coupons and/or a significant loss of your investment, as applicable, even if
any other Underlying has appreciated or has not declined as much.
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It
is impossible to predict the relationship between the Underlyings. If the performances of the Underlyings exhibit no relationship
to each other, it is more likely that one of the Underlyings will cause the securities to perform poorly. However, if the Reference
Share Issuers’ businesses tend to be related such that the performances of the Underlyings are correlated, then there is
less likelihood that only one Underlying will cause the securities to perform poorly. Furthermore, to the extent that each Underlying
represents a different market segment or market sector, the risk of one Underlying performing poorly is greater. As a result, you
are not only taking market risk on each Reference Share Issuer and its businesses, you are also taking a risk relating to the relationship
between each Reference Share Issuer and Underlying to others.
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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
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
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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No affiliation with the Reference Share Issuers. We are not affiliated with the Reference Share Issuers. You should
make your own investigation into the Underlyings and the Reference Share Issuers. 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 Issuers.
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Hedging and trading activity. We, any dealer or any of our or their respective affiliates may carry out hedging activities
related to the securities, including in the Underlyings or instruments related to the Underlyings. We, any dealer or our or their
respective affiliates may also trade in the Underlyings or instruments related to the Underlyings 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 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 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 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 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
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
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. For instance, as calculation agent, Credit Suisse International
will determine the Initial Level, the Coupon Barrier Level, and the Downside Threshold Level and the Early Redemption Level for
each Underlying, whether you receive a Contingent Coupon on each Contingent Coupon Payment Date and the Redemption Amount, if any.
Moreover, certain determinations made by Credit Suisse International, in its capacity as calculation agent, may require it to exercise
discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events
and the selection of a successor underlying or calculation of the closing level in the event of a market disruption event or discontinuance
of an Underlying. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. In addition,
hedging activities by us or our affiliates on or prior to the Trade Date could potentially increase the Initial Levels of the Underlyings,
and therefore, could increase the Coupon Barrier Levels, which are the respective levels at or above which each Underlying must
close in order for you to receive a Contingent Coupon, and the Downside Threshold Levels, which are the respective levels at or
above which each Underlying must close so that you are not exposed to the negative performance of the Worst Performing Underlying
on the Valuation Date. 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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We and/or our affiliates may also
currently or from time to time engage in business with the Reference Share Issuers, including extending loans to, or making equity
investments in, the Reference Share Issuers or providing advisory services to the Reference Share Issuers. In addition, one or
more of our affiliates may publish research reports or otherwise express opinions with respect to the Reference Share Issuers and
these reports may or may not recommend that investors buy or hold shares of the Underlyings. As a prospective purchaser of the
securities, you should undertake an independent investigation of the Reference Share Issuers 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
may be less than the Price to Public.” Therefore, in addition to the levels of any Underlying, the terms of the securities
at
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
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:
o the expected
and actual volatility of the Underlyings;
o the expected
and actual correlation, if any, between the Underlyings;
o the time
to maturity of the securities;
o the dividend
rate on the Underlyings;
o interest
and yield rates in the market generally;
o investors’
expectations with respect to the rate of inflation;
o events
affecting companies engaged in the respective industries of the Reference Share Issuers;
o geopolitical
conditions and economic, financial, political, regulatory or judicial events that affect the Reference Share Issuers or markets
generally and which may affect the levels of the Underlyings; and
o our creditworthiness,
including actual or anticipated downgrades in our credit ratings.
Some or all of these factors may influence the price
that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above
may enhance or offset some or all of any change resulting from another factor or factors.
|
|
§
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No ownership rights in the Underlyings. Your return on the securities will not reflect the return you would realize
if you actually owned shares of the Underlyings. The return on your investment is not the same as the total return based on a purchase
of shares of the Underlyings. For example, as a holder of the securities, you will not have any ownership interest or rights in
the Underlyings, such as voting rights or dividend payments. In addition, the issuer of the Underlyings 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 Underlyings
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 Underlyings. However, an adjustment will not be required in response to all events that could affect the Underlyings. 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—For equity securities of a reference share issuer” in any accompanying 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.
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
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 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 any accompanying product supplement.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Class A Common Stock of Facebook, Inc. Historical
Performance
The following graph sets forth
the daily closing levels of the common stock of Facebook, Inc. for the period from January 2, 2015 through February 19, 2020. The
related table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the Class A common
stock of Facebook, Inc. for each quarter in the same period. The closing level on February 19, 2020 was $217.49. We obtained the
information in the table below from Bloomberg Financial Markets, without independent verification. The historical values of the
Class A common stock of Facebook, Inc. should not be taken as an indication of future performance, and no assurance can be given
as to the level of the Class A common stock of Facebook, Inc. on any Observation Date.
|
Class A Common
Stock of Facebook, Inc. Daily Closing Levels
January 2,
2015 to February 19, 2020
|
|
|
* The solid red line in
the graph indicates the hypothetical Coupon Barrier Level and Downside Threshold Level, assuming the closing level on
February 19, 2020 was the Initial Level.
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
|
Class A Common Stock of Facebook, Inc.
|
High
|
Low
|
Period End
|
|
2015
|
|
|
|
|
First Quarter
|
$85.31
|
$74.05
|
$82.22
|
|
Second Quarter
|
$88.86
|
$77.46
|
$85.77
|
|
Third Quarter
|
$98.39
|
$82.09
|
$89.90
|
|
Fourth Quarter
|
$109.01
|
$90.95
|
$104.66
|
|
2016
|
|
|
|
|
First Quarter
|
$116.14
|
$94.16
|
$114.10
|
|
Second Quarter
|
$120.50
|
$108.76
|
$114.28
|
|
Third Quarter
|
$131.05
|
$114.00
|
$128.27
|
|
Fourth Quarter
|
$133.28
|
$115.05
|
$115.05
|
|
2017
|
|
|
|
|
First Quarter
|
$142.65
|
$116.86
|
$142.05
|
|
Second Quarter
|
$155.07
|
$139.39
|
$150.98
|
|
Third Quarter
|
$173.51
|
$148.43
|
$170.87
|
|
Fourth Quarter
|
$183.03
|
$168.42
|
$176.46
|
|
2018
|
|
|
|
|
First Quarter
|
$193.09
|
$152.22
|
$159.79
|
|
Second Quarter
|
$202.00
|
$155.10
|
$194.32
|
|
Third Quarter
|
$217.50
|
$160.30
|
$164.46
|
|
Fourth Quarter
|
$162.44
|
$124.06
|
$131.09
|
|
2019
|
|
|
|
|
First Quarter
|
$173.37
|
$131.74
|
$166.69
|
|
Second Quarter
|
$195.47
|
$164.15
|
$193.00
|
|
Third Quarter
|
$204.87
|
$177.10
|
$178.08
|
|
Fourth Quarter
|
$208.10
|
$174.60
|
$205.25
|
|
2020
|
|
|
|
|
First Quarter (through February 19, 2020)
|
$223.23
|
$201.91
|
$217.49
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Common Stock of Netflix, Inc. Historical Performance
The following graph sets forth
the daily closing levels of the common stock of Netflix, Inc. for the period from January 2, 2015 through February 19, 2020. The
related table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the common stock
of Netflix, Inc. for each quarter in the same period. The closing level on February 19, 2020 was $386.19. We obtained the information
in the table below from Bloomberg Financial Markets, without independent verification. The historical values of the common stock
of Netflix, Inc. should not be taken as an indication of future performance, and no assurance can be given as to the level of the
common stock of Netflix, Inc. on any Observation Date.
|
Common Stock
of Netflix, Inc. Daily Closing Levels
January 2,
2015 to February 19, 2020
|
|
|
* The solid red line in
the graph indicates the hypothetical Coupon Barrier Level and Downside Threshold Level, assuming the closing level on
February 19, 2020 was the Initial Level.
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
|
Common Stock of Netflix, Inc.
|
High
|
Low
|
Period End
|
|
2015
|
|
|
|
|
First Quarter
|
$69.00
|
$45.55
|
$59.53
|
|
Second Quarter
|
$97.31
|
$59.02
|
$93.85
|
|
Third Quarter
|
$126.45
|
$93.51
|
$103.26
|
|
Fourth Quarter
|
$130.93
|
$97.32
|
$114.38
|
|
2016
|
|
|
|
|
First Quarter
|
$117.68
|
$82.79
|
$102.23
|
|
Second Quarter
|
$111.51
|
$85.33
|
$91.48
|
|
Third Quarter
|
$100.09
|
$85.84
|
$98.55
|
|
Fourth Quarter
|
$128.35
|
$99.50
|
$123.80
|
|
2017
|
|
|
|
|
First Quarter
|
$148.06
|
$127.49
|
$147.81
|
|
Second Quarter
|
$165.88
|
$139.76
|
$149.41
|
|
Third Quarter
|
$189.08
|
$146.17
|
$181.35
|
|
Fourth Quarter
|
$202.68
|
$177.01
|
$191.96
|
|
2018
|
|
|
|
|
First Quarter
|
$331.44
|
$201.07
|
$295.35
|
|
Second Quarter
|
$416.76
|
$280.29
|
$391.43
|
|
Third Quarter
|
$418.97
|
$316.78
|
$374.13
|
|
Fourth Quarter
|
$381.43
|
$233.88
|
$267.66
|
|
2019
|
|
|
|
|
First Quarter
|
$377.87
|
$267.66
|
$356.56
|
|
Second Quarter
|
$385.03
|
$336.63
|
$367.32
|
|
Third Quarter
|
$381.72
|
$254.59
|
$267.62
|
|
Fourth Quarter
|
$336.90
|
$266.69
|
$323.57
|
|
2020
|
|
|
|
|
First Quarter (through February 19, 2020)
|
$387.78
|
$325.90
|
$386.19
|
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
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. Moreover, our counsel’s opinion is based on market
conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the Trade Date.
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:
|
|
·
|
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.
|
|
|
·
|
Upon a sale or other disposition (including retirement) 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 short-term capital gain or loss.
|
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.
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 as of the date of this preliminary pricing supplement,
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). However, the final determination regarding the treatment of the securities under Section 871(m) will be made
as of the Trade Date for the securities and it is possible that the securities will be subject to withholding tax under Section
871(m) based on circumstances on that date.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
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 your other transactions. 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.
Auto-Callable Contingent Income Securities due March 4, 2021
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features
Based on the Performance of the Worst Performing of the Class A Common Stock of Facebook, Inc. and the Common Stock of Netflix, Inc.
Principal at Risk Securities
Supplemental Plan of Distribution
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 may offer the securities at the offering price set forth
on the cover page of this pricing supplement and may receive varying discounts and commissions of up to $0.175 per $10 principal
amount of securities. MSSB and its financial advisors will collectively receive from CSSU varying discounts and commissions of
up to $0.175 for each security they sell, of which $0.05 per $10 principal amount of securities reflects a structuring fee. 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 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.