|
Underlying
|
Ticker
|
Initial
Level
|
Knock-In
Level
|
Coupon
Barrier Level
|
Trigger
Level
|
|
Common stock of Altria Group, Inc.
|
MO UN <Equity>
|
|
(Approximately 70% of Initial Level)
|
(Approximately 70% of Initial Level)
|
(100% of Initial Level)
|
Contingent Coupons:
|
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 expected to be $8.3333 (equivalent to approximately 10.00% per annum) (to be determined
on the Trade Date) 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.
|
Coupon Barrier Event:
|
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.
|
Redemption Amount:
|
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:
|
|
•
|
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.
|
|
•
|
If a Knock-In Event has occurred and:
|
|
|
• the Final Level is greater than or equal to the Initial Level, a cash payment equal to $1,000; or
|
|
|
• 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.
|
|
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.
|
Physical Delivery Amount:
|
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.
|
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 (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.
|
Trigger Event:
|
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.
|
Knock-In Event:
|
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.
|
Initial Level:
|
The closing level of the Underlying on the Trade Date. In the event that the closing level of the Underlying is not available on the Trade Date, the Initial Level will be determined on the immediately following trading day on which a closing level is available.
|
Observation Period:
|
The period from but excluding the Trade Date to and including the Valuation Date.
|
Final Level:
|
The closing level of the Underlying on the Valuation Date.
|
Valuation Date:
|
May 27, 2021, subject to postponement as set forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
|
Maturity Date:
|
June 2, 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.
|
CUSIP:
|
22550MBA6
|
Key Dates:
|
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.”
|
|
Observation Dates
|
Trigger Observation Dates
|
Contingent Coupon Payment Dates
|
|
March 30, 2020
|
|
April 2, 2020
|
April 29, 2020
|
|
May 4, 2020
|
May 28, 2020
|
|
June 2, 2020
|
June 29, 2020
|
|
July 2, 2020
|
July 29, 2020
|
|
August 3, 2020
|
August 28, 2020
|
August 28, 2020
|
September 2, 2020
|
September 29, 2020
|
|
October 2, 2020
|
October 28, 2020
|
|
November 2, 2020
|
November 27, 2020
|
November 27, 2020
|
December 2, 2020
|
December 29, 2020
|
|
January 4, 2021
|
January 28, 2021
|
|
February 2, 2021
|
February 25, 2021
|
February 25, 2021
|
March 2, 2021
|
March 30, 2021
|
|
April 2, 2021
|
April 28, 2021
|
|
May 3, 2021
|
Valuation Date
|
|
Maturity Date
|
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.
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 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 $8.3333 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 70% of the Initial Level, (v)
the hypothetical Initial Level is $40, (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 will be determined on the Trade Date. 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
|
Return
on the
Securities*
(excluding
contingent coupons)
|
Redemption
Amount (excluding contingent coupons on the securities)
|
Total Contingent Coupons
|
100%
|
0%
|
$1,000
|
(See
Table 3 below)
|
90%
|
0%
|
$1,000
|
80%
|
0%
|
$1,000
|
70%
|
0%
|
$1,000
|
60%
|
0%
|
$1,000
|
50%
|
0%
|
$1,000
|
40%
|
0%
|
$1,000
|
30%
|
0%
|
$1,000
|
20%
|
0%
|
$1,000
|
10%
|
0%
|
$1,000
|
0%
|
0%
|
$1,000
|
−10%
|
0%
|
$1,000
|
−20%
|
0%
|
$1,000
|
−30%
|
0%
|
$1,000
|
Table 2: A Knock-In
Event HAS occurred.
Percentage
Change from the Initial Level to the Final Level
|
Return
on the
Securities (excluding contingent coupons)
|
Redemption
Amount* (excluding contingent coupons on the securities)
|
Total
Contingent Coupons
|
100%
|
0%
|
$1,000
|
(See
Table 3 below)
|
90%
|
0%
|
$1,000
|
80%
|
0%
|
$1,000
|
70%
|
0%
|
$1,000
|
60%
|
0%
|
$1,000
|
50%
|
0%
|
$1,000
|
40%
|
0%
|
$1,000
|
30%
|
0%
|
$1,000
|
20%
|
0%
|
$1,000
|
10%
|
0%
|
$1,000
|
0%
|
0%
|
$1,000
|
−10%
|
−10%
|
25 shares
|
−20%
|
−20%
|
25 shares
|
−30%
|
−30%
|
25 shares
|
−40%
|
−40%
|
25 shares
|
−50%
|
−50%
|
25 shares
|
−60%
|
−60%
|
25 shares
|
−70%
|
−70%
|
25 shares
|
−80%
|
−80%
|
25 shares
|
−90%
|
−90%
|
25 shares
|
−100%
|
−100%
|
$0
|
*If shares are delivered,
the Redemption Amount will be comprised of a number of shares plus a cash amount in lieu of any fractional shares. The value of
the shares delivered at maturity will depend on the value of the Underlying at the time of 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
|
Total
Contingent Coupons
|
A Coupon Barrier Event does not occur on any Observation Date
|
$124.9995
|
A Coupon Barrier Event occurs on 1 Observation Date
|
$116.6662
|
A Coupon Barrier Event occurs on 2 Observation Dates
|
$108.3329
|
A Coupon Barrier Event occurs on 3 Observation Dates
|
$99.9996
|
A Coupon Barrier Event occurs on 4 Observation Dates
|
$91.6663
|
A Coupon Barrier Event occurs on 5 Observation Dates
|
$83.333
|
A Coupon Barrier Event occurs on 6 Observation Dates
|
$74.9997
|
A Coupon Barrier Event occurs on 7 Observation Dates
|
$66.6664
|
A Coupon Barrier Event occurs on 8 Observation Dates
|
$58.3331
|
A Coupon Barrier Event occurs on 9 Observation Dates
|
$49.9998
|
A Coupon Barrier Event occurs on 10 Observation Dates
|
$41.6665
|
A Coupon Barrier Event occurs on 11 Observation Dates
|
$33.3332
|
A Coupon Barrier Event occurs on 12 Observation Dates
|
$24.9999
|
A Coupon Barrier Event occurs on 13 Observation Dates
|
$16.6666
|
A Coupon Barrier Event occurs on 14 Observation Dates
|
$8.3333
|
A Coupon Barrier Event occurs on 15 Observation Dates
|
$0
|
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:
|
Physical Delivery Amount
|
=
|
$1,000/Initial Level
|
|
|
=
|
$1,000/$40
|
|
|
=
|
25 shares of the Underlying
|
|
Redemption Amount
|
=
|
Physical Delivery Amount
|
|
|
=
|
25 shares of the Underlying
|
In this example, at maturity
an investor would receive a Redemption Amount equal to 25 shares of the Underlying. 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:
|
Physical Delivery Amount
|
=
|
25 shares of the Underlying
|
|
Value of Redemption Amount on the Valuation Date
|
=
|
25 shares of the Underlying × $36
|
|
|
=
|
$900
|
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:
|
Physical Delivery Amount
|
=
|
$1,000/Initial Level
|
|
|
=
|
$1,000/$40
|
|
|
=
|
25 shares of the Underlying
|
|
Redemption Amount
|
=
|
Physical Delivery Amount
|
|
|
=
|
25 shares of the Underlying
|
In this example, at maturity
an investor would receive a Redemption Amount equal to 25 shares of the Underlying. 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:
|
Physical Delivery Amount
|
=
|
25 shares of the Underlying
|
|
Value of Redemption Amount on the Final Valuation Date
|
=
|
25 shares of the Underlying × $20
|
|
|
=
|
$500
|
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.
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
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.
|
•
|
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
|
respect to such Observation
Date, even if the closing level of the Underlying was higher on other days during the relevant period.
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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
|
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.
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
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.
|
•
|
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.
|
|
•
|
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
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.
|
•
|
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.
|
|
•
|
LACK OF LIQUIDITY — The securities will not be listed on any securities exchange. Credit Suisse (or
its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so.
Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade
your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities.
If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial
loss.
|
|
•
|
POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance
of the securities, including acting as calculation agent and 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.
|
|
•
|
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 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:
|
|
o
|
the expected and actual volatility of the Underlying;
|
|
o
|
the time to maturity of the securities;
|
|
o
|
the dividend rate on the Underlying;
|
|
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 industry of the Reference Share Issuer;
|
|
o
|
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
|
|
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.
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|
|
•
|
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.
|