Neither the Securities and Exchange Commission nor any state
securities commission has approved or disapproved of the notes 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.
|
Price to Public(1)
|
Underwriting Discounts and Commissions(2)
|
Proceeds to Issuer
|
Per note
|
$10,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
(1) Certain fiduciary accounts will pay a purchase price of $9,900
per note, and the placement agents with respect to sales made to such accounts will forgo any discounts and commissions.
(2) J.P. Morgan Securities LLC, which we refer to as JPMS LLC,
and JPMorgan Chase Bank, N.A. will act as placement agents for the notes. The placement agents will forgo discounts and commissions
for sales to fiduciary accounts. The total discounts and commissions represent the amount that the placement agents receive from
sales to accounts other than such fiduciary accounts. The placement agents will receive discounts and commissions from Credit Suisse
or one of our affiliates that will not exceed $100 per $10,000 principal amount of notes.
Credit Suisse currently estimates the value of each $10,000
principal amount of the notes on the Pricing Date will be between $9,000 and $10,000 (as determined by reference to our pricing
models and the rate we are currently paying to borrow funds through issuance of the notes (our “internal funding rate”)),
which is less than the Price to Public listed above. This range of estimated values reflects terms that are not yet fixed. A single
estimated value reflecting final terms will be determined on the Pricing Date. See “Selected Risk Considerations” in
this pricing supplement.
The notes 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.
J.P.Morgan
Placement Agent
April , 2020
Key Terms
Issuer:
|
Credit Suisse AG (“Credit Suisse”), acting through its London branch
|
Reference Share Issuer:
|
The issuer of the Underlying.
|
Underlying:
|
The notes are linked to the performance of the common stock of QUALCOMM Incorporated. For additional information about the Underlying, see the information set forth under “The Underlying” herein.
|
Payment at Maturity:
|
At maturity, you will receive a cash payment or a delivery of shares that will reflect the performance of the Underlying, as follows:
|
|
· If the Final Level is greater than or equal to the Buffer Level, your payment at maturity per $10,000 principal amount of notes will equal $10,000 plus the product of $10,000 and the Fixed Payment Percentage.
|
|
The maximum Payment at Maturity is $11,360 per $10,000 principal amount.
|
|
· If the Final Level is less than the Buffer Level, your payment at maturity per $10,000 principal amount of notes will equal 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 the Final Level is less than the Buffer Level, you could receive shares of the Underlying with a value likely to be less than $10,000 per $10,000 principal amount of notes. You could lose your entire investment. Any payment or delivery on the notes is subject to our ability to meet our obligations as they become due.
|
Physical Delivery Amount:
|
The Physical Delivery Amount per $10,000 principal amount of notes is a number of shares of the Underlying rounded down to the nearest whole number and equal to the product of (i) $10,000 divided by the Buffer Level and (ii) the share adjustment factor. The share adjustment factor is initially set equal to 1.0 on the Pricing Date, subject to adjustment as described under “Description of the Securities—Adjustments” in the relevant product supplement. In lieu of any fractional share 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. If the Physical Delivery Amount is less than one share, the Payment at Maturity will be paid in cash. Therefore, if the Buffer Level is greater than $10,000, the Payment at Maturity will be paid in cash, unless the share adjustment factor increases by an amount sufficient to result in the delivery of at least one share. The Physical Delivery Amount (together with any cash amount paid in lieu of fractional shares) will be determined for each $10,000 principal amount of notes you hold. At our election, you may receive cash instead of the Physical Delivery Amount, in an amount equal to the product of (i) $10,000 divided by the Buffer 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 first Valuation Date.
|
Fixed Payment Percentage:
|
13.60%
|
Buffer Level:
|
$59.05, which is approximately 80% of the Initial Level.
|
Initial Level:
|
$73.81, which is the closing level of the Underlying on the Strike Date.
|
Strike Date:
|
April 23, 2020
|
Final Level:
|
The arithmetic average of the closing levels of the Underlying on each of the five Valuation Dates.
|
Valuation Dates:
|
April 30, 2021, May 3, 2021, May 4, 2021, May 5, 2021 and May 6, 2021 (each, a “Valuation Date,” and May 6, 2021, the “Final Valuation Date”), subject to postponement as set forth in any accompanying product supplement under “Description of the Notes—Postponement of calculation dates” or if any Valuation Date is postponed because it is not a trading day.
|
Maturity Date:
|
May 11, 2021, subject to postponement as set forth in any accompanying product supplement under “Description of the Notes—Postponement of calculation dates” or if the Final Valuation Date is postponed for any reason. If the Maturity Date is not a business day, the Payment at Maturity will be paid or delivered 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:
|
22550MEG0
|
You may revoke your offer to purchase the notes at any time
prior to the time at which we accept such offer on the date the notes are priced. We reserve the right to change the terms of,
or reject any offer to purchase the notes prior to their issuance. In the event of any changes to the terms of the notes, 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 Notes
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 notes 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. JPM–III dated June 30, 2017:
|
http://www.sec.gov/Archives/edgar/data/1053092/000095010317006322/dp77792_424b2-jpm3.htm
|
·
|
Prospectus Supplement and Prospectus dated June 30, 2017:
|
In the event the terms of the notes 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 notes 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
notes and the owner of any beneficial interest in the notes, amend the notes 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 notes 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 notes.
Prohibition of Sales
to EEA Retail Investors
The notes 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 notes offered
so as to enable an investor to decide to purchase or subscribe the notes.
Hypothetical Payments at Maturity for Each
$10,000 Principal Amount of Notes
The following table and examples illustrate the hypothetical
Payments at Maturity for a $10,000 principal amount of notes for a hypothetical range of performance of the Underlying, assuming
(i) a Fixed Payment Percentage of 13.60%, (ii) a Buffer Level of 80% of the Initial Level, (iii) a hypothetical Initial Level of
$125, (iv) a share adjustment factor of 1.0 and (v), 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 Fixed Payment Percentage, Buffer Level and Initial
Level are set forth in “Key Terms” herein. The hypothetical results set forth below are for illustrative purposes only.
The actual payment at maturity applicable to a purchaser of the notes will be based on the arithmetic average of the closing levels
of the Underlying on the Valuation Dates. Any payment or delivery on the notes is subject to our ability to meet our obligations
as they become due. The numbers appearing in the following table and examples have been rounded for ease of analysis.
Percentage
Change
in the Level of the Underlying from the Initial Level
to the Final Level
|
Return
on the Notes
|
Payment
at Maturity*
|
100%
|
13.60%
|
$11,360
|
90%
|
13.60%
|
$11,360
|
80%
|
13.60%
|
$11,360
|
70%
|
13.60%
|
$11,360
|
60%
|
13.60%
|
$11,360
|
50%
|
13.60%
|
$11,360
|
40%
|
13.60%
|
$11,360
|
30%
|
13.60%
|
$11,360
|
20%
|
13.60%
|
$11,360
|
10%
|
13.60%
|
$11,360
|
0%
|
13.60%
|
$11,360
|
−10%
|
13.60%
|
$11,360
|
−20%
|
13.60%
|
$11,360
|
−21%
|
−1.25%
|
100 shares
|
−30%
|
−12.50%
|
100 shares
|
−40%
|
−25%
|
100 shares
|
−50%
|
−37.50%
|
100 shares
|
−60%
|
−50%
|
100 shares
|
−70%
|
−62.50%
|
100 shares
|
−80%
|
−75%
|
100 shares
|
−90%
|
−87.50%
|
100 shares
|
−100%
|
−100%
|
$0
|
*If shares are delivered, the Payment at Maturity 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 notes 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 Final Valuation Date” herein.
Hypothetical Examples of Amounts Payable at
Maturity
The following examples illustrate how the payment at maturity
is calculated.
Example 1: The level of the Underlying increases by 60% from
the Initial Level to the Final Level. Because the Final Level is greater than the Buffer Level, the investor receives a payment
at maturity of $11,360 per $10,000 principal amount of notes, calculated as follows:
Payment at maturity
|
=
|
$10,000 + ($10,000 × the Fixed Payment Percentage)
|
|
=
|
$10,000 + ($10,000 × 13.60%)
|
|
=
|
$11,360
|
Regardless of the appreciation of the Underlying, the
return on the notes will not exceed the Fixed Payment Percentage.
Example 2: The level of the Underlying decreases
by 10% from the Initial Level to the Final Level. Because the Final Level is greater than or equal to the Buffer Level, the
investor receives a payment at maturity of $11,360 per $10,000 principal amount of notes, calculated as follows:
Payment at maturity
|
=
|
$10,000 + ($10,000 × the Fixed Payment Percentage)
|
|
=
|
$10,000 + ($10,000 × 13.60%)
|
|
=
|
$11,360
|
Example 3: The level of the Underlying decreases
by 30% from the Initial Level to the Final Level. Because the Final Level is less than the Buffer Level, the investor receives
a payment at maturity equal to the Physical Delivery Amount, calculated as follows:
Physical Delivery Amount
|
=
|
$10,000 / Buffer Level
|
|
=
|
$10,000 / $100
|
|
=
|
100 shares of the Underlying
|
Payment at maturity
|
=
|
Physical Delivery Amount
|
|
=
|
100 shares of the Underlying
|
In this example, at maturity an investor would receive a Payment
at Maturity equal to 100 shares of the Underlying. The value of the Payment at Maturity based on the Final Level is $8,750, calculated
as follows:
Physical Delivery Amount
|
=
|
100 shares of the Underlying
|
Value of Payment at Maturity on the Final Valuation Date
|
=
|
100 shares of the Underlying × $87.50
|
|
=
|
$8,750
|
In this scenario, the level of the Underlying decreases
by 30% and you will lose approximately 12.50% of the principal amount at maturity; therefore the notes will provide an effective
buffer (which is the difference between the negative performance of the Underlying and the loss on the notes) of approximately
17.50%. 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 4: The level of the Underlying decreases
by 60% from the Initial Level to the Final Level. Because the Final Level is less than the Buffer Level, the investor receives
a payment at maturity equal to the Physical Delivery Amount, calculated as follows:
Physical Delivery Amount
|
=
|
$10,000 / Buffer Level
|
|
=
|
$10,000 / $100
|
|
=
|
100 shares of the Underlying
|
Payment at maturity
|
=
|
Physical Delivery Amount
|
|
=
|
100 shares of the Underlying
|
In this example, at maturity an investor would receive a Payment
at Maturity equal to 100 shares of the Underlying. The value of the Payment at Maturity based on the Final Level is $5,000, calculated
as follows:
Physical Delivery Amount
|
=
|
100 shares of the Underlying
|
Value of Payment at Maturity on the Final Valuation Date
|
=
|
100 shares of the Underlying × $50
|
|
=
|
$5,000
|
In this scenario, the level of the Underlying decreases by 60%
and you will lose approximately 50% of the principal amount at maturity; therefore the notes will provide an effective buffer (which
is the difference between the negative performance of the Underlying and the loss on the notes) of approximately 10%. 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. A comparison of this example with the previous example illustrates the diminishing benefit of the effective buffer
as the level of the Underlying decreases.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Underlying or other instruments linked to the Underlying. These risks
are explained in more detail in the “Risk Factors” section of any accompanying product supplement.
|
•
|
YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of your principal amount.
You could lose up to $10,000 per $10,000 principal amount of notes. The return on the notes at maturity is linked to the performance
of the Underlying and will depend on whether, and the extent to which the level of the Underlying has increased or decreased over
the term of the notes. As of the Valuation Date, if the Final Level is less than the Buffer Level, you will be fully exposed to
such negative performance on a leveraged basis of $10,000 divided by the Buffer Level. In this case, the Payment at Maturity you
will receive will likely be less than the principal amount of the notes, and you could lose your entire investment. Any payment
or delivery on the notes is subject to our ability to meet our obligations as they become due.
|
|
•
|
REGARDLESS OF THE AMOUNT OF ANY PAYMENT YOU RECEIVE ON THE NOTES, YOUR ACTUAL YIELD MAY BE DIFFERENT IN REAL VALUE TERMS — Inflation
may cause the real value of any payment you receive on the notes to be less at maturity than it is at the time you invest. An investment
in the notes 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 NOTES DO NOT PAY INTEREST — We will not pay interest on the notes. You may receive less at maturity
than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities,
since the Payment at Maturity is based on the performance of the Underlying. Because the payment due at maturity may be less than
the amount originally invested in the notes, the return on the notes (the effective yield to maturity) may be negative. Even if
it is positive, the return payable on the notes may not be enough to compensate you for any loss in value due to inflation and
other factors relating to the value of money over time.
|
|
·
|
THE NOTES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Investors
are dependent on our ability to pay all amounts due on the notes and, therefore, if we were to default on our obligations, you
may not receive any amounts owed to you under the notes. 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 notes prior to maturity.
|
|
·
|
THE AVERAGING CONVENTION USED TO CALCULATE THE FINAL LEVEL COULD
LIMIT RETURNS — Your investment in the notes may not perform as well as an investment in an instrument that measures
the point-to-point performance of the Underlying from the Strike Date to the Final Valuation Date (subject to the Fixed Payment
Percentage). Your ability to receive a return equal to the Fixed Payment Percentage may be limited by the 5-day-end-of-term averaging
used to calculate the Final Level, especially if there is a significant increase in the closing level of the Underlying on the
Final Valuation Date. Accordingly, you may not receive the benefit of the full appreciation of the Underlying, if any, between
the Strike Date and the Final Valuation Date.
|
|
·
|
THE PROBABILITY
THAT THE FINAL LEVEL WILL BE LESS THAN THE BUFFER LEVEL WILL DEPEND ON THE VOLATILITY OF THE UNDERLYING — “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 Pricing Date, the higher the expectation as of the Pricing Date that the Final Level could be less than
the Buffer Level, indicating a higher expected risk of loss on the notes. The terms of the notes are set, in part, based on expectations
about the volatility of the Underlying as of the Pricing Date. The volatility of the Underlying can change significantly over the
term of the notes. The level of the Underlying 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.
|
|
·
|
YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED
TO THE FIXED PAYMENT PERCENTAGE —If the Final Level is greater than or equal to the Buffer Level, for each $10,000 principal
amount of notes, you will receive at maturity $10,000 plus an additional amount that will equal a predetermined percentage of the
principal amount, regardless of the appreciation in the Underlying, which may be significant. We refer to this percentage as the
Fixed Payment Percentage, which will be set on the Pricing Date. Accordingly, the maximum Payment at Maturity per $10,000 principal
amount of notes is expected to be
|
$10,000 plus
$10,000 multiplied by the Fixed Payment Percentage. Any payment or delivery on the notes is subject to our ability to meet
our obligations as they become due.
|
·
|
THE VALUE OF THE PHYSICAL DELIVERY AMOUNT COULD BE LESS ON THE MATURITY
DATE THAN ON THE FINAL VALUATION DATE — If the Final Level is less than the Buffer 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 Final Valuation Date will be less than $10,000 per $10,000 principal amount of notes and could fluctuate, possibly
decreasing, in the period between the Final 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 Final Valuation Date and the Maturity Date. If the Physical Delivery Amount is less than one share, the Payment at
Maturity will be paid in cash. Therefore, if the Buffer Level is greater than $10,000, the Payment at Maturity will be paid in
cash, unless the share adjustment factor increases by an amount sufficient to result in the delivery of at least one share.
|
|
·
|
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 notes, 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, any dealer or any of
our or their respective affiliates may carry out hedging activities related to the notes, including in the Underlying or instruments
related to the Underlying. We, any dealer or our or their respective 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 Pricing Date and during
the term of the notes could adversely affect our payment to you at maturity.
|
|
·
|
THE ESTIMATED VALUE OF THE NOTES ON THE PRICING DATE MAY BE LESS
THAN THE PRICE TO PUBLIC — The initial estimated value of your notes on the Pricing 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 notes includes any discounts or commissions as well as transaction costs such as expenses incurred to create,
document and market the notes and the cost of hedging our risks as issuer of the notes 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 notes. These amounts will be retained
by Credit Suisse or our affiliates in connection with our structuring and offering of the notes (except to the extent discounts
or commissions are reallowed to other broker-dealers or any costs are paid to third parties).
On the Pricing Date, we value the components of the notes 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 notes 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 notes 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 notes, 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 notes of other issuers.
|
·
|
EFFECT OF INTEREST
RATE USED IN STRUCTURING THE notes — The
internal funding rate we use in structuring securities such as these notes 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 Pricing Date our internal funding rate is lower than our secondary market credit spreads, we expect
that the economic terms of the notes will generally be less favorable to you than they would have been if our secondary market
credit spread had been used in structuring the notes. We will also use our internal funding rate to determine the price of the
notes if we post a bid to repurchase your notes in secondary market transactions. See “—Secondary Market Prices”
below.
|
|
•
|
SECONDARY MARKET PRICES — If Credit Suisse (or an affiliate) bids for your notes 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 notes on the Pricing Date. The estimated value of the notes on
the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the notes in the secondary
market (if any exists) at any time. The secondary market price of your notes 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 notes 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 notes and other dealers might use the higher secondary market credit
spread to price them. Furthermore, assuming no change in market conditions from the Pricing Date, the secondary market price of
your notes 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 notes 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 notes may be lower than the price at which we may repurchase the notes
from such dealer.
We (or an affiliate) may initially post a bid to repurchase the notes from you at a price that will exceed the then-current estimated
value of the notes. 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 notes 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 notes to maturity.
|
|
•
|
POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes,
including acting as calculation agent, hedging our obligations under the notes 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 notes.
Further, hedging activities may adversely affect any payment on or the value of the notes. 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 notes, which creates
an additional incentive to sell the notes 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
the Underlying. As a prospective purchaser of the notes, 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 notes.
|
|
·
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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 notes and/or the ability of Credit
Suisse to make payments thereunder and you may not receive any amounts owed to you under the notes.
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LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. Credit Suisse (or its affiliates)
intends to offer to purchase the notes 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 notes when you wish to do so. Because other dealers are not
likely to make a secondary market for the notes,
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the price at which you may be able
to trade your notes is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the
notes. If you have to sell your notes 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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UNPREDICTABLE ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE
OF THE NOTES — The payout on the notes can be replicated using a combination of the components described in “The
estimated value of the notes on the Pricing Date may be less than the Price to Public.” Therefore, in addition to the level
of the Underlying, the terms of the notes at issuance and the value of the notes prior to maturity may be influenced by factors
that impact the value of fixed income securities and options in general, such as:
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the expected and actual volatility of the Underlying;
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the time to maturity of the notes;
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the dividend rate on the Underlying;
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interest and yield rates in the market generally;
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investors’ expectations with respect to the rate of inflation;
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events affecting companies engaged in the industry of the Reference Share Issuer;
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Underlying or markets
generally and which may affect the level of the Underlying; and
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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Some or all of these factors
may influence the price that you will receive if you choose to sell your notes prior to maturity. The impact of any of the factors
set forth above may enhance or offset some or all of any change resulting from another factor or factors.
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NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYING — Your return on the notes will not reflect the return
you would realize if you actually owned shares of the Underlying. The return on your investment is not the same as the total return
based on a purchase of shares of the Underlying.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, 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 notes in taking any corporate action that might affect the value of
the Underlying and therefore, the value of the notes.
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ANTI-DILUTION PROTECTION IS LIMITED — The calculation agent will make anti-dilution adjustments for
certain events affecting the Underlying. However, an adjustment will not be required in response to all events that could affect
the Underlying. If an event occurs that does not require the calculation agent to make an adjustment, or if an adjustment is made
but such adjustment does not fully reflect the economics of such event, the value of the notes may be materially and adversely
affected. See “Description of the Notes—Adjustments—For equity securities of a reference share issuer”
in the relevant product supplement.
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THE U.S. FEDERAL TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCLEAR — There is no direct legal authority
regarding the proper U.S. federal tax treatment of the notes, 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 notes are uncertain, and the IRS
or a court might not agree with the treatment of the notes as prepaid financial contracts that are treated as “open transactions.”
If the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and disposition
of the notes, 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 notes, possibly retroactively.
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Supplemental
Use of Proceeds and Hedging
We intend to use the proceeds of this offering for our general
corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive
from the sale of the notes may be used in connection with hedging our obligations under the notes through one or more of our affiliates.
Such hedging or trading activities on or prior to the Pricing Date and during the term of the notes (including on any calculation
date, as defined in any accompanying product supplement) could adversely affect the value of the Underlying and, as a result, could
decrease the amount you may receive on the notes at maturity. For additional information, see “Supplemental Use of Proceeds
and Hedging” in any accompanying product supplement.
The Underlying
Companies with securities registered under the Securities Exchange
Act of 1934 (the “Exchange Act”) are required to periodically file certain financial and other information specified
by the SEC. Information provided to or filed with the SEC by the Reference Share Issuer pursuant to the Exchange Act can be located
by reference to the SEC file number provided below.
According to its publicly available filings with the SEC, QUALCOMM
Incorporated develops and commercializes technologies and products used in mobile devices and other wireless products, including
network equipment, broadband gateway equipment, consumer electronic devices and other connected devices. The common stock of QUALCOMM
Incorporated is listed on the Nasdaq Stock Market. QUALCOMM Incorporated’s SEC file number is 000-19528 and can be accessed
through www.sec.gov.
This pricing supplement relates only to the notes 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 notes, neither we nor our affiliates have participated in the
preparation of such documents or made any due diligence inquiry with respect to the Reference Share Issuer.
Historical Information
The following graph sets forth the historical performance of
the Underlying based on the closing levels of the Underlying from January 2, 2015 through April 23, 2020. We obtained the historical
information below from Bloomberg, without independent verification. The price source for determining the Final Level will be the
Bloomberg page “QCOM UW <Equity>” or any successor page.
The historical levels of the Underlying should not be taken as
an indication of future performance, and no assurance can be given as to the closing level of the Underlying on any of the Valuation
Dates. We cannot give you assurance that the performance of the Underlying will result in the return of any of your initial investment.
For additional information about the Underlying, see “The
Underlying” herein.
The closing level of the Underlying on April 23, 2020 was $73.81.
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.”
There are no statutory, judicial or administrative authorities
that address the U.S. federal income tax treatment of the notes or instruments that are similar to the notes. In the opinion of
our counsel, Davis Polk & Wardwell LLP, a note should be treated as a prepaid financial contract that is an “open transaction”
for U.S. federal income tax purposes. However, there is uncertainty regarding this treatment. 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 Pricing
Date.
Assuming this treatment of the notes is respected and subject
to the discussion in “Material United States Federal Income Tax Considerations” in the accompanying product supplement,
the following U.S. federal income tax consequences should result:
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You should not recognize taxable income over the term of the notes
prior to maturity, other than pursuant to a sale or other disposition.
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Upon a sale or other disposition (including retirement) of a note,
you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in the note. Such
gain or loss should be long-term capital gain or loss if you held the note for more than one year.
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If you receive the underlying shares (and cash in lieu of any fractional
shares) at maturity, you should not recognize gain or loss with respect to the underlying shares received. Instead, you should
have an aggregate tax basis in the underlying shares received (including any fractional shares deemed received) equal to your tax
basis in the notes. Your holding period for any underlying shares received should start on the day after receipt. With respect
to any cash received in lieu of a fractional share, you should recognize capital loss in an amount equal to the difference between
the amount of cash received in lieu of the fractional share and the portion of your tax basis in the notes that is allocable to
the fractional share.
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We do not plan to request a ruling from the IRS regarding the
treatment of the notes, and the IRS or a court might not agree with the treatment described herein. In particular, the IRS could
treat the notes as contingent payment debt instruments, in which case the tax consequences of ownership and disposition of the
notes, including the timing and character of income recognized, could 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 notes, possibly with retroactive effect. You should consult your
tax advisor regarding possible alternative tax treatments of the notes and potential changes in applicable law.
Non-U.S. Holders. Subject to the discussions in the next
paragraph and in “Material United States Federal Income Tax Considerations” in the accompanying product supplement,
if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the notes, you generally should not be subject
to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the notes, provided that (i) income
in respect of the notes is not effectively connected with your conduct of a trade or business in the United States, and (ii) you
comply with the applicable certification requirements.
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 notes and representations provided by us as of the date of this preliminary pricing supplement, our counsel is of the opinion
that the notes 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 notes under Section 871(m) will be made as of the Pricing Date for the notes and it
is possible that the notes will be subject to withholding tax under Section 871(m) based on circumstances on that date.
A determination that the notes 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 notes.
If withholding tax applies to the notes, we will not be required
to pay any additional amounts with respect to amounts withheld.
FATCA. You should review the section entitled “Material
United States Federal Income Tax Considerations—Notes 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 notes.
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 notes and any tax consequences arising under the
laws of any state, local or non-U.S. taxing jurisdiction.