The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement is not an offer to sell these securities and it is not soliciting an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.

Subject to completion dated February 1, 2019 PRELIMINARY PRICING SUPPLEMENT No. U3593 (To the Underlying Supplement dated April 19, 2018, Product Supplement No. I–B dated June 30, 2017, Product Supplement No. I–C dated June 30, 2017, Prospectus Supplement dated June 30, 2017 and Prospectus dated June 30, 2017) Equity Index and ETF Linked Securities   Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-218604-02
February 1, 2019

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022 

n  Linked to the lowest performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF (each referred to as a “Market Measure”)

n  Unlike ordinary debt securities, the securities do not provide for fixed payments of interest, do not repay a fixed amount of principal at stated maturity and are subject to potential automatic call prior to stated maturity upon the terms described below. Whether the securities pay a contingent coupon, whether the securities are automatically called prior to stated maturity and, if they are not automatically called, whether you are repaid the original offering price of your securities at stated maturity will depend in each case on the closing value of the lowest performing Market Measure on the relevant calculation day. The lowest performing Market Measure on any calculation day is the Market Measure that has the lowest closing value on that calculation day as a percentage of its starting value

n  Contingent Coupon. The securities will pay a contingent coupon on a quarterly basis until the earlier of stated maturity or automatic call if, and only if, the closing value of the lowest performing Market Measure on the calculation day for that quarter is greater than or equal to its threshold value. However, if the closing value of the lowest performing Market Measure on a calculation day is less than its threshold value, you will not receive any contingent coupon for the relevant quarter. If the closing value of the lowest performing Market Measure is less than its threshold value on every calculation day, you will not receive any contingent coupons throughout the entire term of the securities. The contingent coupon rate will be determined on the pricing date and will be within the range of 7.30% to 8.30% per annum

n  Automatic Call. If the closing value of the lowest performing Market Measure on any of the quarterly calculation days from August 2019 to November 2021, inclusive, is greater than or equal to its starting value, we will automatically call the securities for the original offering price plus a final contingent coupon

n  Potential Loss of Principal. If the securities are not automatically called prior to stated maturity, you will receive the original offering price at stated maturity if, and only if, the ending value of the lowest performing Market Measure is greater than or equal to its threshold value. If the ending value of the lowest performing Market Measure is less than its threshold value, you will lose more than 30%, and possibly all, of the original offering price of your securities

n  The threshold value for each Market Measure is equal to 70% of its starting value

n  If the securities are not automatically called prior to stated maturity, you will have full downside exposure to the lowest performing Market Measure from its starting value to its ending value if its ending value is less than its threshold value, but you will not participate in any appreciation of any Market Measure and will not receive any dividends on any Market Measure or on securities included in any Market Measure

n  Your return on the securities will depend solely on the performance of the Market Measure that is the lowest performing Market Measure on each calculation day. You will not benefit in any way from the performance of the better performing Market Measures. Therefore, you will be adversely affected if any Market Measure performs poorly, even if the other Market Measures perform favorably

n  All payments on the securities are subject to the credit risk of Credit Suisse; if Credit Suisse defaults on its obligations, you could lose some or all of your investment

n  No exchange listing; you should be willing and able to hold your securities to stated maturity.

The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See “Selected Risk Considerations” beginning on page PRS-13 of this pricing supplement and “Risk Factors” beginning on page PS-3 of any accompanying product supplement.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, the accompanying product supplements, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.

	Original Offering Price	Agent Discount(1)	Proceeds to Issuer
Per Security	$1,000.00	$24.00	$976.00
Total

⁽¹⁾ Wells Fargo Securities, LLC (“WFS”) is the agent for the distribution of the securities. WFS will receive an agent discount of up to $24.00 per security. The agent may resell the securities to other securities dealers at the original offering price less a concession not in excess of $15.00 per security. Such securities dealers may include those using the trade name Wells Fargo Advisors (“WFA”) (the trade name of the retail brokerage business of WFS affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC). In addition to the selling concession allowed to WFA, the agent will pay $0.75 per security of the agent discount to WFA as a distribution expense fee for each security sold by WFA. See “Supplemental Plan of Distribution” in this pricing supplement for further information.

Credit Suisse AG (“Credit Suisse”) currently estimates the value of each $1,000 original offering price of the securities on the pricing date will be between $930 and $960 (as determined by reference to our pricing models and the rate we are currently paying to borrow funds through issuance of the securities (our “internal funding rate”)). This range of estimated values reflects terms that are not yet fixed. A single estimated value reflecting final terms will be determined on the pricing date. See “Selected Risk Considerations” in this pricing supplement.

The securities are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.

Wells Fargo Securities

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Investment Description

The Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022 are senior unsecured debt securities of Credit Suisse that do not provide for fixed payments of interest, do not repay a fixed amount of principal at stated maturity and are subject to potential automatic call upon the terms described in this pricing supplement. Whether the securities pay a quarterly contingent coupon, whether the securities are automatically called prior to stated maturity and, if they are not automatically called, whether you are repaid the original offering price of your securities at stated maturity will depend in each case upon the closing value of the lowest performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF (each referred to as a “Market Measure” and collectively as the “Market Measures”) on the relevant calculation day. The lowest performing Market Measure on any calculation day is the Market Measure that has the lowest closing value on that calculation day as a percentage of its starting value. The securities provide:

(i) quarterly contingent coupons at a rate of 7.30% to 8.30% per annum (to be determined on the pricing date) until the earlier of stated maturity or automatic call if, and only if, the closing value of the lowest performing Market Measure on the applicable quarterly calculation day is greater than or equal to 70% of its starting value;

(ii) the possibility of an automatic early call of the securities for an amount equal to the original offering price plus a final contingent coupon if the closing value of the lowest performing Market Measure on any of the quarterly calculation days from August 2019 to November 2021, inclusive, is greater than or equal to its starting value; and

(iii) if the securities are not automatically called prior to stated maturity:

(a) repayment of the original offering price if, and only if, the ending value of the lowest performing Market Measure is greater than or equal to its threshold value; and

(b) full exposure to the decline in the value of the lowest performing Market Measure from its starting value to its ending value if the ending value of the lowest performing Market Measure is less than its threshold value.

If the closing value of the lowest performing Market Measure on any quarterly calculation day is less than 70% of its starting value, you will not receive any contingent coupon for that quarter. If the securities are not automatically called prior to stated maturity and the ending value of the lowest performing Market Measure is less than its threshold value, you will lose more than 30%, and possibly all, of the original offering price of your securities at stated maturity. Accordingly, you will not receive any protection if the ending value of the lowest performing Market Measure is less than its threshold value.

Any return on the securities will be limited to the sum of your contingent coupons, if any. You will not participate in any appreciation of any Market Measure, but you will be fully exposed to the decline in the lowest performing Market Measure on the final calculation day if the securities are not automatically called prior to stated maturity and the ending value of the lowest performing Market Measure is less than its threshold value.

All payments on the securities are subject to the credit risk of Credit Suisse.

Your return on the securities will depend solely on the performance of the Market Measure that is the lowest performing Market Measure on each calculation day. You will not benefit in any way from the performance of the better performing Market Measures. Therefore, you will be adversely affected if any Market Measure performs poorly, even if the other Market Measures perform favorably.

The securities are riskier than alternative investments linked to only one of the Market Measures or linked to a basket composed of each Market Measure. Unlike those alternative investments, the securities will be subject to the full risks of each Market Measure, with no offsetting benefit from the better performing Market Measures. The securities are designed for investors who understand and are willing to bear this additional risk in exchange for the potential contingent coupons that the securities offer. Because the securities may be adversely affected by poor performance by any Market Measure, you should not invest in the securities unless you understand and are willing to accept the full downside risks of each Market Measure.

PRS-2

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms Specific to the Securities

The S&P 500^® Index is an equity index that is intended to provide an indication of the pattern of common stock price movement in the large capitalization segment of the United States equity market. The Russell 2000^® Index is an equity index that is designed to reflect the performance of the small capitalization segment of the United States equity market. The iShares^® MSCI Emerging Markets ETF is an exchange-traded fund that seeks to track the investment results of the MSCI Emerging Markets Index, which is designed to measure equity market performance in the global emerging markets.

You should read this pricing supplement together with the underlying supplement dated April 19, 2018, the product supplements 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):

• Underlying Supplement dated April 19, 2018:

https://www.sec.gov/Archives/edgar/data/1053092/000095010318004962/dp89590_424b2-underlying.htm

• Product Supplement No. I–B dated June 30, 2017:

http://www.sec.gov/Archives/edgar/data/1053092/000095010317006316/dp77781_424b2-ib.htm

• Product Supplement No. I−C dated June 30, 2017:

http://www.sec.gov/Archives/edgar/data/1053092/000095010317006317/dp77785_424b2-ic.htm

• Prospectus Supplement and Prospectus dated June 30, 2017:

http://www.sec.gov/Archives/edgar/data/1053092/000104746917004364/a2232566z424b2.htm

In the event the terms of the securities described in this pricing supplement differ from, or are inconsistent with, the terms described in the underlying supplement, any accompanying 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

PRS-3

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms Specific to the Securities

(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.

PRS-4

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Terms of the Securities

We have designed the securities for investors who:

§ seek an investment with contingent quarterly coupon payments at a rate of 7.30% to 8.30% per annum (to be determined on the pricing date) until the earlier of stated maturity or automatic call, if, and only if, the closing value of the lowest performing Market Measure on the applicable quarterly calculation day is greater than or equal to 70% of its starting value;

§ understand that if the ending value of the lowest performing Market Measure is less than its threshold value, they will be fully exposed to the decline in the lowest performing Market Measure from its starting value to its ending value and will lose more than 30%, and possibly all, of the original offering price at stated maturity;

§ are willing to accept the risk that they may not receive any contingent coupon on one or more, or any, quarterly contingent coupon payment dates over the term of the securities and may lose all of the original offering price per security at stated maturity;

§ understand that the securities may be automatically called prior to stated maturity and that the term of the securities may be as short as approximately six months;

§ understand that the return on the securities will depend solely on the performance of the Market Measure that is the lowest performing Market Measure on each calculation day and that they will not benefit in any way from the performance of the better performing Market Measures;

§ understand that the securities are riskier than alternative investments linked to only one of the Market Measures or linked to a basket composed of each Market Measure;

§ understand and are willing to accept the full downside risks of each Market Measure;

§ are willing to forgo participation in any appreciation of any Market Measure and dividends on the Fund or the securities included in the Market Measures; and

§ are willing to hold the securities to stated maturity.

The securities are not designed for, and may not be a suitable investment for, investors who:

§ seek a liquid investment or are unable or unwilling to hold the securities to stated maturity;

§ require full payment of the original offering price of the securities at stated maturity;

§ seek a security with a fixed term;

§ are unwilling to purchase securities with an estimated value as of the pricing date that is lower than the original offering price and that may be as low as the lower estimated value set forth on the cover page;

§ are unwilling to accept the risk that the ending value of the lowest performing Market Measure may be less than its threshold value;

§ seek certainty of current income over the term of the securities;

§ seek exposure to the upside performance of any or each Market Measure;

§ seek exposure to a basket composed of each Market Measure or a similar investment in which the overall return is based on a blend of the performances of the Market Measures, rather than solely on the lowest performing Market Measure;

§ are unwilling to accept the risk of exposure to the United States equity market and the Eurozone equity market;

§ are unwilling to accept the credit risk of Credit Suisse; or

§ prefer the lower risk of conventional fixed income investments with comparable maturities issued by companies with comparable credit ratings.

PRS-5

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Terms of the Securities

Market Measures:	The S&P 500® Index, the Russell 2000® Index and the iShares® MSCI Emerging Markets ETF (each referred to as a “Market Measure,” and collectively as the “Market Measures”). The S&P 500® Index and the Russell 2000® Index are sometimes collectively referred to herein as the “Indices” and individually as an “Index” and the iShares® MSCI Emerging Markets ETF is sometimes referred to herein as the “Fund.”
Pricing Date:	February 27, 2019
Issue Date:	March 4, 2019 (T+3)
Original Offering Price:	$1,000 per security. References in this pricing supplement to a “security” are to a security with an original offering price of $1,000.
Contingent Coupon:	On each contingent coupon payment date, you will receive a contingent coupon at a per annum rate equal to the contingent coupon rate if, and only if, the closing value of the lowest performing Market Measure on the immediately preceding calculation day is greater than or equal to its threshold value. Each quarterly contingent coupon, if any, will be calculated per security as follows: $1,000 x contingent coupon rate / 4. Any contingent coupons will be rounded to the nearest cent, with one-half cent rounded upward. If the closing value of the lowest performing Market Measure on any calculation day is less than its threshold value, you will not receive any contingent coupon on the related contingent coupon payment date. If the closing value of the lowest performing Market Measure is less than its threshold value on all quarterly calculation days, you will not receive any contingent coupons over the term of the securities.
Contingent Coupon Payment Dates:	Quarterly, on the third business day following each calculation day. Each calculation day may be postponed pursuant to “—Postponement of a Calculation Day” below, if applicable, provided that the contingent coupon payment date with respect to the final calculation day will be the stated maturity. If a calculation day is postponed with respect to one or more Market Measures, the related contingent coupon date will be three business days after the last calculation day as postponed. No further contingent coupons will be payable following the call settlement date related to an automatic call. Contingent coupons will be payable to the holders 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 call settlement date or stated maturity, as applicable, will be payable to the person to whom the automatic call amount or the redemption amount, as applicable, is payable. The amount of any contingent coupon will not be adjusted in respect of any postponement of a contingent coupon payment date and no interest or other payment will be payable hereon because of any such postponement of a contingent coupon payment date.
Contingent Coupon Rate:	The “contingent coupon rate” will be determined on the pricing date and will be within the range of 7.30% to 8.30% per annum.
Automatic Call:	If the closing value of the lowest performing Market Measure on any of the quarterly calculation days from August 2019 to November 2021, inclusive, is greater than or equal to its starting value, the securities will be automatically called, and on the related call settlement date you will be entitled to receive a cash payment per security in U.S. dollars equal to the original offering price per security plus a final contingent coupon (the “automatic call amount”). The securities will not be subject to automatic call until the second quarterly calculation day, which is approximately six months after the issue date. If the securities are automatically called, they will cease to be outstanding on the related call settlement date and you will have no further rights under the securities after such call settlement date. You will not receive any notice from us if the securities are automatically called.

PRS-6

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Terms of the Securities

Calculation Days:	Quarterly, on the 24th day of each February, May, August and November, commencing May 2019 and ending on the final calculation day, each subject to postponement as described below under “—Postponement of a Calculation Day.” We refer to February 24, 2022 as the “final calculation day.” To the extent that we make any change to the expected pricing date or expected issue date, the calculation days may also be changed in our discretion to ensure that the term of the securities remains the same.
Call Settlement Date:	Three business days after the applicable calculation day. Each calculation day may be postponed pursuant to “—Postponement of a Calculation Day” below, if applicable. If a calculation day is postponed with respect to one or more Market Measures, the related call settlement date will be three business days after the last calculation day as postponed.
Stated Maturity:	March 1, 2022. If the final calculation day is postponed for any Market Measure, the stated maturity will be the later of (i) March 1, 2022 and (ii) three business days after the last final calculation day as postponed. See “—Postponement of a Calculation Day” below. To the extent that we make any change to the expected pricing date or expected issue date, stated maturity may also be changed in our discretion to ensure that the term of the securities remains the same. If the stated maturity is not a business day, the payment to be made at stated maturity will be made on the next succeeding business day with the same force and effect as if it had been made at stated maturity. The securities are not subject to repayment at the option of any holder of the securities prior to the stated maturity. The amount of any contingent coupon will not be adjusted in respect of any postponement of the stated maturity and no interest or other payment will be payable hereon because of any such postponement of the stated maturity.
Payment at Stated Maturity:	If the securities are not automatically called prior to stated maturity, you will be entitled to receive at stated maturity a cash payment per security in U.S. dollars equal to the redemption amount (in addition to the final contingent coupon, if any). The “redemption amount” per security will equal: • if the ending value of the lowest performing Market Measure is greater than or equal to its threshold value: $1,000; or • if the ending value of the lowest performing Market Measure is less than its threshold value:
	$1,000 × performance factor of the lowest performing Market Measure on the final calculation day
	If the securities are not automatically called prior to stated maturity and the ending value of the lowest performing Market Measure is less than its threshold value, you will lose more than 30%, and possibly all, of the original offering price of your securities at stated maturity. Any return on the securities will be limited to the sum of your contingent coupons, if any. You will not participate in any appreciation of any Market Measure, but you will have full downside exposure to the lowest performing Market Measure on the final calculation day if the ending value of that Market Measure is less than its threshold value. All calculations with respect to the redemption amount will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded upward (e.g., 0.000005 would be rounded to 0.00001); and the redemption amount will be rounded to the nearest cent, with one-half cent rounded upward. All payments on the securities are subject to the credit risk of Credit Suisse; if Credit Suisse defaults on its obligations, you could lose some or all of your investment.
Lowest Performing Market Measure:	On any calculation day, the “lowest performing Market Measure” will be the Market Measure with the lowest performance factor on that calculation day (as such calculation day may be postponed for one or more Market Measures pursuant to “—Postponement of a Calculation Day” below, if applicable).

PRS-7

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Terms of the Securities

Performance Factor:	With respect to a Market Measure on any calculation day, its closing value on such calculation day divided by its starting value (expressed as a percentage).
Closing Value:	With respect to either Index on any trading day, its closing level on that trading day; and with respect to the Fund on any trading day, its fund closing price on that trading day.
Closing Level:	With respect to each Index, the “closing level” of that Index on any trading day means the official closing level of that Index reported by the relevant index sponsor on such trading day, as obtained by the calculation agent on such trading day. The foregoing provisions of this definition of “closing level” are subject to the provisions set forth below under “Additional Terms of the Securities—Market Disruption Events,” “—Adjustments to an Index” and “—Discontinuance of an Index.”
Fund Closing Price:	The “fund closing price” with respect to the Fund (or one unit of any other security for which a fund closing price must be determined) on any trading day means the product of (i) the closing price of one share of the Fund (or one unit of any other security for which a fund closing price must be determined) on such trading day and (ii) the adjustment factor on such trading day.
Closing Price:	The “closing price” with respect to a share of the Fund (or one unit of any other security for which a closing price must be determined) on any trading day means the price, at the scheduled weekday closing time, without regard to after hours or any other trading outside the regular trading session hours, of the share on the principal United States securities exchange registered under the Securities Exchange Act of 1934, as amended, on which the share (or any such other security) is listed or admitted to trading.
Adjustment Factor:	The “adjustment factor” means, with respect to a share of the Fund (or one unit of any other security for which a fund closing price must be determined), 1.0, subject to adjustment in the event of certain events affecting the shares of the Fund. See “Additional Terms of the Securities—Anti-dilution Adjustments Relating to the Fund; Alternate Calculation” below.
Starting Value:	With respect to the S&P 500® Index: , its closing value on the pricing date. With respect to the Russell 2000® Index: , its closing value on the pricing date. With respect to the iShares® MSCI Emerging Markets ETF: , its closing value on the pricing date. In the event that the closing value for any Market Measure is not available on the pricing date, the starting value for such Market Measure will be determined on the immediately following trading day on which a closing value is available.
Ending Value:	The “ending value” of a Market Measure will be its closing value on the final calculation day.
Threshold Value:	With respect to the S&P 500® Index: , which is equal to 70% of its starting value. With respect to the Russell 2000® Index: , which is equal to 70% of its starting value. With respect to the iShares® MSCI Emerging Markets ETF: , which is equal to 70% of its starting value.
Postponement of a Calculation Day:	If any calculation day is not a trading day with respect to any Market Measure, such calculation day for each Market Measure will be postponed to the next succeeding day that is a trading day with respect to each Market Measure.  A calculation day for a Market Measure is also subject to postponement due to the occurrence of a market disruption event with respect to such Market Measure on such calculation day.  See “Additional Terms of the Securities—Market Disruption Events.”
Calculation Agent:	Credit Suisse International

PRS-8

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Terms of the Securities

No Listing:	The securities will not be listed on any securities exchange or automated quotation system.
Material Tax Consequences:	For a discussion of the material U.S. federal income and certain estate tax consequences of the ownership and disposition of the securities, see “Material U.S. Federal Income Tax Considerations” herein.
Supplemental Plan of Distribution:	Under the terms of the distributor accession confirmation with WFS dated as of August 1, 2016, WFS will act as agent for the securities and will receive an agent discount of up to $24.00 per security. The agent may resell the securities to other securities dealers at the original offering price of the securities less a concession not in excess of $15.00 per security. Such securities dealers may include WFA (the trade name of the retail brokerage business of WFS affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC). WFS will pay $0.75 per security of the agent’s discount to WFA as a distribution expense fee for each security sold by WFA. We expect to deliver the securities against payment for the securities on the issue date indicated herein, which may be a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the settlement date is more than two business days after the pricing date, purchasers who wish to transact in the securities more than two business days prior to the issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.
Denominations:	$1,000 and any integral multiple of $1,000.
CUSIP:	22551LVV9

PRS-9

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Supplemental Terms of the Securities

For purposes of the securities offered by this pricing supplement, all references to each of the following terms used in any accompanying product supplement will be deemed to refer to the corresponding term used in this pricing supplement, as set forth in the table below:

Product Supplement Term	Pricing Supplement Term
Underlying	Market Measure
Trade date	Pricing date
Principal amount	Original offering price
Valuation date	Final calculation day
Maturity date	Stated maturity
Early redemption	Automatic call
Lowest performing underlying	Lowest performing Market Measure
Observation date	Calculation day
Early redemption date	Call settlement date
Initial level	Starting value
Final level	Ending value
Knock-in level	Threshold value
Closing level	Closing level, closing price, fund closing price and/or closing value, as the context indicates

PRS-10

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Hypothetical Payout Profile

If the securities have not been previously automatically called, on each quarterly contingent coupon payment date, you will either receive a contingent coupon or you will not receive a contingent coupon, depending on the closing value of the lowest performing Market Measure on the related quarterly calculation day.

Step 1: Determine which Market Measure is the lowest performing Market Measure on the relevant calculation day. The lowest performing Market Measure on any calculation day is the Market Measure with the lowest performance factor on that calculation day. The performance factor of a Market Measure on a calculation day is its closing value on that calculation day as a percentage of its starting value (i.e., its closing value on that calculation day divided by its starting value).

Step 2: Determine whether a contingent coupon is paid on the applicable contingent coupon payment date based on the closing value of the lowest performing Market Measure on the relevant calculation day, as follows:

On stated maturity, if the securities have not been automatically called prior to stated maturity, you will receive (in addition to the final contingent coupon, if any) a cash payment per security (the redemption amount) calculated as follows:

Step 1: Determine which Market Measure is the lowest performing Market Measure on the final calculation day. The lowest performing Market Measure on the final calculation day is the Market Measure with the lowest performance factor on the final calculation day. The performance factor of a Market Measure on the final calculation day is its ending value as a percentage of its starting value (i.e., its ending value divided by its starting value).

Step 2: Calculate the redemption amount based on the ending value of the lowest performing Market Measure, as follows:

PRS-11

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Hypothetical Payout Profile (Continued)

The following profile illustrates the potential payment at stated maturity on the securities (excluding the final contingent coupon, if any) for a range of hypothetical performances of the lowest performing Market Measure on the final calculation day from its starting value to its ending value, assuming the securities have not been automatically called prior to the stated maturity. This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual ending value of the lowest performing Market Measure on the final calculation day and whether you hold your securities to stated maturity. The performance of the better performing Market Measures is not relevant to your return on the securities.

PRS-12

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Selected Risk Considerations

The securities have complex features and investing in the securities will involve risks not associated with an investment in conventional debt securities. You should carefully consider the risk factors set forth below as well as the other information contained in this pricing supplement and any accompanying product supplement, the prospectus supplement and prospectus, including the documents they incorporate by reference. An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the Market Measures. The index tracked by the Fund is referred to below as the “tracked index.”

If The Securities Are Not Automatically Called Prior To Stated Maturity, You May Lose Some Or All Of The Original Offering Price Of Your Securities At Stated Maturity.

If the securities are not automatically called prior to stated maturity, you may receive less at stated maturity than you originally invested in the securities, or you may receive nothing, excluding contingent coupons, if any. If the ending value of the lowest performing Market Measure is less than its threshold value, you will be fully exposed to any depreciation in the lowest performing Market Measure. In this case, the payment at stated maturity you will be entitled to receive will be less than the original offering price of your securities, and you could lose your entire investment. It is not possible to predict whether the ending value of the lowest performing Market Measure will be less than its threshold value and, in such case, by how much the value of the lowest performing Market Measure has decreased from its starting value to its ending value. Any payment on the securities is subject to our ability to pay our obligations as they become due.

Regardless Of The Amount Of Any Payment You Receive On The Securities, Your Actual Yield May Be Different In Real Value Terms.

Inflation may cause the real value of any payment you receive on the securities to be less at stated 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 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 Market Measures during the term of the securities. On each quarterly contingent coupon payment date you will receive a contingent coupon if, and only if, the closing value of the lowest performing Market Measure on the immediately preceding calculation day is greater than or equal to its threshold value. If the closing value of the lowest performing Market Measure on any calculation day is less than its threshold value, you will not receive any contingent coupon on the related contingent coupon payment date, and if the closing value of the lowest performing Market Measure is less than its threshold value on each calculation day over the term of the securities, 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 interest 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 initial investment. Even if you do receive some or all of your initial investment at stated 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.

The Securities Are Subject To The Full Risks Of Each Market Measure And Will Be Negatively Affected If Any Market Measure Performs Poorly, Even If The Other Market Measures Perform Favorably.

You are subject to the full risks of each Market Measure. If any Market Measure performs poorly, you will be negatively affected, even if the other Market Measures perform favorably. The securities are not linked to a basket composed of the Market Measures, where the better performance of some Market Measures could offset the poor performance of others. Instead, you are subject to the full risks of whichever Market Measure is the lowest performing Market Measure on each calculation day. For example, if one Market Measure appreciates from its starting value to its ending value, but the ending value of the lowest performing Market Measure is less than its threshold value, you will be exposed to the depreciation of the lowest performing Market Measure and you will not benefit from the performance of any other Market Measure. As a result, the securities are riskier than an alternative investment linked to only one of the Market Measures or linked to a basket composed of each Market Measure. Each additional Market Measure to which the securities are linked increases the risk that the securities will perform poorly. You should not invest in the securities unless you understand and are willing to accept the full downside risks of each Market Measure.

It is impossible to predict the relationship between the Market Measures. If the performances of the Market Measures exhibit no correlation to each other, it is more likely that one of the Market Measures will cause the securities to perform poorly. However, if the

PRS-13

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Selected Risk Considerations (Continued)

performances of the equity securities included in each Market Measure are related such that the performances of the Market Measures are correlated, then there is less likelihood that only one Market Measure will cause the securities to perform poorly. Furthermore, to the extent that each Market Measure represents a different market segment or market sector, the risk of one Market Measure performing poorly is greater. As a result, you are not only taking market risk on each Market Measure, you are also taking a risk relating to the relationship among the Market Measures.

Your Return On The Securities Will Depend Solely On The Performance Of The Market Measure That Is The Lowest Performing Market Measure On Each Calculation Day, And You Will Not Benefit In Any Way From The Performance Of The Better Performing Market Measures.

Your return on the securities will depend solely on the performance of the Market Measure that is the lowest performing Market Measure on each calculation day. Although it is necessary for each Market Measure to close above its respective threshold value on the relevant calculation day in order for you to receive a quarterly contingent coupon and for you to be repaid the original offering price of your securities at stated maturity, you will not benefit in any way from the performance of the better performing Market Measures. The securities may underperform an alternative investment linked to a basket composed of the Market Measures, since in such case the performance of the better performing Market Measures would be blended with the performance of the lowest performing Market Measure, resulting in a better return than the return of the lowest performing Market Measure alone.

The Starting Value of Any Market Measure May Be Determined On A Date Later Than The Pricing Date.

The starting value of any Market Measure may be determined after the pricing date. In the event that the closing value for any Market Measure is not available on the pricing date, the starting value for such Market Measure will be determined on the immediately following trading day on which a closing value is available. Under these circumstances, you will not know the starting value of such Market Measure until a date later than the pricing date.

More Favorable Terms Are Generally Associated With Greater Expected Volatility, And Can Indicate A Greater Risk Of Loss.

“Volatility” refers to the frequency and magnitude of changes in the value of a Market Measure. The greater the expected volatility with respect to a Market Measure on the pricing date, the higher the expectation as of the pricing date that the closing value of such Market Measure could be less than its threshold value on any calculation day, indicating a higher expected risk of loss on the securities. This greater expected risk will generally be reflected in a higher contingent coupon rate than the yield payable on our conventional debt securities with a similar stated maturity, or in more favorable terms (such as lower threshold values) than for similar securities linked to the performance of a Market Measure with a lower expected volatility as of the pricing date. You should therefore understand that a relatively higher contingent coupon rate may indicate an increased risk of loss. Further, relatively lower threshold values 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 stated maturity. The volatility of any Market Measure can change significantly over the term of the securities. The values of the Market Measures 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 Market Measures and the potential to lose a significant portion, and possibly all, of the original offering price per security at stated maturity.

At Stated Maturity Or Upon Automatic Call, The Securities Will Not Pay More Than The Original Offering Price Of Your Securities, Plus The Final Contingent Coupon, If Any.

At stated maturity or upon automatic call, the securities will not pay more than the original offering price of your securities, plus the final contingent coupon, if any, regardless of the performance of any Market Measure. Even if the ending value of each Market Measure is greater than its respective starting value, you will not participate in the appreciation of any Market Measure. The maximum amount payable with respect to the securities (excluding contingent coupons, if any) is $1,000 for each $1,000 original offering price.

The Securities Are Subject To A Potential Automatic Call, Which Would Limit Your Opportunity To Be Paid Contingent Coupons Over The Full Term Of The Securities.

The securities are subject to a potential automatic call. If the closing value of the lowest performing Market Measure on any of the quarterly calculation days is greater than or equal to its starting value, the securities will be automatically called and you will be entitled to receive a cash payment equal to the original offering price of the securities you hold and the contingent coupon payable on that contingent coupon payment date, and no further payments will be made in respect of the securities. In this case, you will lose the opportunity to continue to be paid contingent coupons from the call settlement date to the scheduled stated maturity.

PRS-14

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Selected Risk Considerations (Continued)

The Securities Are Subject To A Potential Automatic Call, Which Exposes You To Reinvestment Risk.

The securities are subject to a potential automatic call. If the securities are automatically called prior to the stated maturity, 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.

Historical Performance Of Any Market Measure Is Not Indicative Of Future Performance.

The future performance of any Market Measure cannot be predicted based on its historical performance. We cannot guarantee that the closing value or ending value of any Market Measure will be at a level that would result in a positive return on your overall investment in the securities.

We Cannot Control The Actions Of Any Issuers Whose Equity Securities Are Included In Or Held By Any Market Measure.

We cannot control the actions of any issuers of the equity securities included in or held by any Market Measure. Actions by such issuers may have an adverse effect on the value of the Market Measure and, consequently, on the value of the securities.

We And Our Affiliates Generally Do Not Have Any Affiliation With Any Index Or Index Sponsor Or The Fund Or The Sponsor Of The Tracked Index And Are Not Responsible For Their Public Disclosure of Information.

We and our affiliates generally are not affiliated with any Index or index sponsor or the Fund or the sponsor of the tracked index in any way (except for licensing arrangements) and have no ability to control or predict their actions, including any errors in or discontinuance of disclosure regarding their methods or policies.

Neither we nor any of our affiliates assumes any responsibility for the adequacy or accuracy of the information about a Market Measure contained in any public disclosure of information. You, as an investor in the securities, should make your own investigation into the Market Measures.

Changes To Any Index Could Adversely Affect The Securities.

The index sponsor can add, delete or substitute the components included in any Index, make other methodological changes that could change the value of any Index, or discontinue or suspend calculation or dissemination of any Index at any time. If one or more of these events occurs, the calculation of the redemption amount payable at stated maturity will be adjusted to reflect such event or events. Please refer to “Additional Terms of the Securities—Adjustments to an Index” and “Additional Terms of the Securities—Discontinuance of an Index” herein. Any of these actions could adversely affect the amount payable in respect of the securities and/or the value of the securities.

The Securities Are Linked To The Russell 2000^® Index And Are Subject To The Risks Associated With Small-Capitalization Companies.

The Russell 2000^® Index is composed of equity securities issued by companies with relatively small market capitalization. These equity securities often have greater stock price volatility, lower trading volume and less liquidity than the equity securities of large-capitalization companies, and are more vulnerable to adverse business and economic developments than those of large-capitalization companies. In addition, small-capitalization companies are typically less established and less stable financially than large-capitalization companies. These companies may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products. Therefore, the Russell 2000^® Index may be more volatile than it would be if it were composed of equity securities issued by large-capitalization companies.

Foreign Securities Markets Risk.

Some or all of the assets included in the Fund are issued by foreign companies and trade in foreign securities markets. Investments in the securities therefore involve risks associated with the securities markets in those countries, including risks of volatility in those markets, government intervention in those markets and cross shareholdings in companies in certain countries. Also, foreign companies are generally subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The equity securities included in the Fund may be more volatile than domestic equity securities and may be subject to different political, market, economic, exchange rate, regulatory and other risks, including changes in foreign governments, economic and fiscal policies, currency exchange laws or other laws or restrictions. Moreover, the economies of foreign countries may differ favorably or unfavorably from the economy of the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. These factors may adversely affect the values of the equity securities included in the Fund, and therefore the performance of the Fund and the value of the securities.

PRS-15

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Selected Risk Considerations (Continued)

Emerging Markets Risk

The Fund is exposed to the political and economic risks of emerging market countries. In recent years, some emerging markets have undergone significant political, economic and social upheaval. Such far-reaching changes have resulted in constitutional and social tensions and, in some cases, instability and reaction against market reforms has occurred. With respect to any emerging market nation, there is the possibility of nationalization, expropriation or confiscation, political changes, government regulation and social instability. There can be no assurance that future political changes will not adversely affect the economic conditions of an emerging market nation. Political or economic instability could have an adverse effect on the performance of the securities.

There Are Risks Associated With The Fund.

Although shares of the Fund are listed for trading on a national securities exchange and a number of similar products have been traded on various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Fund or that there will be liquidity in the trading market. The Fund is subject to management risk, which is the risk that an Fund’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Pursuant to the Fund’s investment strategy or otherwise, its investment advisor may add, delete or substitute the assets held by the Fund. Any of these actions could adversely affect the price of the shares of the Fund and consequently the value of the securities. For additional information on the Fund, see “The iShares^® MSCI Emerging Markets ETF” herein.

Under continuous listing standards adopted by the NYSE Arca, the Fund will be required to confirm on an ongoing basis that the securities included in the tracked index satisfy the applicable listing requirements. In the event that the tracked index does not comply with the applicable listing requirements, the Fund would be required to rectify such non-compliance by requesting that the tracked index sponsor modify such tracked index, transitioning to a new tracked index or obtaining relief from the SEC. There can be no assurance that the tracked index sponsor would modify the tracked index or that relief would be obtained from the SEC and, therefore, non-compliance with the continuous listing standards may result in the Fund being delisted by the NYSE Arca.

The Performance And Market Value Of The Fund, Particularly During Periods Of Market Volatility, May Not Correlate To The Performance Of The Tracked Index.

The Fund will generally invest in all of the equity securities included in the tracked index, but may not fully replicate such tracked index. There may be instances where the Fund’s investment advisor may choose to overweight another stock in the Fund’s tracked index, purchase securities not included in the Fund’s tracked index that the investment advisor believes are appropriate to substitute for a security included in the tracked index or utilize various combinations of other available investment techniques. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of the Fund’s tracked index. Finally, because the shares of the Fund are traded on a national securities exchange and are subject to market supply and investor demand, the market value of one share of the Fund may differ from the net asset value per share of the Fund.

During periods of market volatility, securities held by the Fund may be unavailable in the secondary market, market participants may be unable to calculate accurately the net asset value per share of the Fund and the liquidity of the Fund may be adversely affected. This kind of market volatility may also disrupt the ability of market participants to create and redeem shares in the Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares of the Fund. As a result, under these circumstances, the market value of shares of the Fund may vary substantially from the net asset value per share of the Fund. For all the foregoing reasons, the performance of the Fund may not correlate with the performance of the tracked index. For additional information on the Fund, see “The iShares^® MSCI Emerging Markets ETF” herein.

Anti-Dilution Protection Is Limited.

The calculation agent will make anti-dilution adjustments for certain events affecting the Fund. However, an adjustment will not be required in response to all events that could affect the Fund. 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 “Additional Terms of the Securities—Anti-dilution Adjustments Relating to the Fund; Alternate Calculation” herein.

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 stated maturity.

Hedging And Trading Activity Could Adversely Affect Our Payment To You At Stated Maturity.

PRS-16

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Selected Risk Considerations (Continued)

Credit Suisse (or any of its affiliates) or WFS (or any of its affiliates) may carry out hedging activities related to the securities, including in instruments related to the Market Measures. Credit Suisse (or any of its affiliates) or WFS (or any of its affiliates) may also trade instruments related to the Market Measures from time to time. Any of these hedging or trading activities on or prior to the pricing date and during the term of the securities could adversely affect our payment to you at stated maturity.

The Estimated Value Of The Securities On The Pricing Date May Be Less Than The Original Offering Price.

The initial estimated value of your securities on the pricing date (as determined by reference to our pricing models and our internal funding rate) may be significantly less than the original offering price. The original offering price 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 pricing 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 stated 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 securities 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 pricing 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 “The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which Credit Suisse Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market” below.

The Estimated Value Of The Securities Is Not An Indication Of The Price, If Any, At Which Credit Suisse Or Any Other Person May Be Willing To Buy The Securities From You In The Secondary Market.

If Credit Suisse (or any of its affiliates) or WFS (or any of its affiliates) bid for your securities in secondary market transactions, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the original offering price and the estimated value of the securities on the pricing date. Neither Credit Suisse (or any of its affiliates) nor WFS (or any of its affiliates) is obligated to make a secondary market. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum price at which Credit Suisse or WFS 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 pricing date, the secondary market price of your securities will be lower than the original offering price 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.

Credit Suisse (or any of its affiliates) or WFS (or any of its affiliates) 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 original offering price, and that higher price may also be initially used for account statements or otherwise. Credit

PRS-17

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Selected Risk Considerations (Continued)

Suisse (or any of its affiliates) or WFS (or any of its affiliates) 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 stated maturity could result in a substantial loss to you. You should be willing and able to hold your securities to stated maturity.

A Contingent Coupon Payment Date, A Call Settlement Date And The Stated Maturity May Be Postponed If A Calculation Day Is Postponed.

A calculation day (including the final calculation day) with respect to a Market Measure will be postponed if the applicable originally scheduled calculation day is not a trading day with respect to any Market Measure or if the calculation agent determines that a market disruption event has occurred or is continuing with respect to such Market Measure on that calculation day. If such a postponement occurs with respect to a calculation day other than the final calculation day, then the related contingent coupon payment date or call settlement date, as applicable, will be postponed. If such a postponement occurs with respect to the final calculation day for any Market Measure, the stated maturity will be the later of (i) the initial stated maturity and (ii) three business days after the last final calculation day as postponed.

Postponement Of Certain Dates May Adversely Affect Your Return.

If the calculation agent determines that a market disruption event has occurred or that any calculation day is not a trading day, it is possible that one or more calculation days, contingent coupon payment dates and stated maturity will be postponed, and your return could be adversely affected. No coupon payments or other payment will be payable as a result of such postponement. For additional information, see “Additional Terms of the Securities—Market Disruption Events” and “Terms of the Securities—Postponement of a Calculation Day” herein.

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.

The Securities Will Not Be Listed On Any Securities Exchange And A Trading Market For The Securities May Not Develop.

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 stated maturity, you may not be able to do so or you may have to sell them at a substantial loss.

Our Economic Interests Are Potentially Adverse To Your Interests.

We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent 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.

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 Pricing Date May Be Less Than The Original Offering Price.” Therefore, in addition to the values of any Market Measure, the terms of the securities at issuance and the value of the securities prior to stated 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 Market Measures;

PRS-18

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Selected Risk Considerations (Continued)

o the expected and actual correlation, if any, between the Market Measures;

o the time to stated maturity of the securities;

o the dividend rate on the equity securities included in the Market Measures;

o interest and yield rates in the market generally;

o investors’ expectations with respect to the rate of inflation;

o geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the components included in the Market Measures or markets generally and which may affect the values of the Market Measures; 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 stated 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 Relating To The Market Measures.

Your return on the securities will not reflect the return you would realize if you actually owned the assets that comprise the Market Measures. The return on your investment is not the same as the total return you would receive based on the purchase of the equity securities that comprise the Market Measures.

No Dividend Payments Or Voting Rights.

As a holder of the securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to the equity securities that comprise the Market Measures.

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.

PRS-19

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Supplemental Use of Proceeds and Hedging

We intend to use the proceeds of this offering for our general corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive from the sale of the securities may be used in connection with hedging our obligations under the securities through one or more of our affiliates. Such hedging or trading activities on or prior to the pricing date and during the term of the securities (including on any calculation day) could adversely affect the value of the Market Measures and, as a result, could decrease the amount you may receive on the securities at stated maturity. For additional information, see “Supplemental Use of Proceeds and Hedging” in the accompanying product supplements.

PRS-20

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Hypothetical Returns

If the securities are automatically called:

If the securities are automatically called prior to stated maturity, you will receive the original offering price of your securities plus a final contingent coupon on the call settlement date. In the event the securities are automatically called, your total return on the securities will equal any contingent coupons received prior to the call settlement date and the contingent coupon received on the call settlement date.

If the securities are not automatically called:

If the securities are not automatically called prior to stated maturity, the following table illustrates, for a range of hypothetical performance factors of the lowest performing Market Measure on the final calculation day, the hypothetical redemption amount payable at stated maturity per security (excluding the final contingent coupon, if any). The performance factor of the lowest performing Market Measure on the final calculation day is its ending value expressed as a percentage of its starting value (i.e., its ending value divided by its starting value).

Hypothetical performance factor of lowest performing Market Measure on final calculation day	Hypothetical payment at stated maturity per security
200%	$1,000
175%	$1,000
160%	$1,000
150%	$1,000
140%	$1,000
130%	$1,000
120%	$1,000
110%	$1,000
100%	$1,000
90%	$1,000
80%	$1,000
70%	$1,000
69%	$690
60%	$600
50%	$500
40%	$400
30%	$300
25%	$250
0%	$0

The above figures do not take into account contingent coupons, if any, received during the term of the securities. As evidenced above, in no event will you have a positive rate of return based solely on the redemption amount received at stated maturity; any positive return will be based solely on the contingent coupons, if any, received during the term of the securities.

The above figures are for purposes of illustration only and may have been rounded for ease of analysis. If the securities are not automatically called prior to stated maturity, the actual amount you will receive at stated maturity will depend on the actual ending value of the lowest performing Market Measure. The performance of the better performing Market Measures is not relevant to your return on the securities.

PRS-21

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Hypothetical Contingent Coupons

Set forth below are three examples that illustrate how to determine whether a contingent coupon will be paid and whether the securities will be automatically called on a quarterly contingent coupon payment date prior to stated maturity. The examples do not reflect any specific quarterly contingent coupon payment date. The following examples reflect a hypothetical contingent coupon rate of 7.30% per annum (the bottom of the specified range for the contingent coupon rate) and assume the hypothetical starting value, threshold value and closing values for each Market Measure indicated in the examples. The actual contingent coupon rate will be determined on the pricing date. The terms used for purposes of these hypothetical examples do not represent any actual starting value or threshold value. The hypothetical starting value of 100 for each Market Measure has been chosen for illustrative purposes only and does not represent the actual starting value for any Market Measure. The actual starting value and threshold value for each Market Measure will be determined on the pricing date and will be set forth under “Terms of the Securities” above. For historical data regarding the actual closing values of the Market Measures, see the historical information set forth herein. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.

Example 1. The closing value of the lowest performing Market Measure on the relevant calculation day is greater than or equal to its threshold value and less than its starting value. As a result, investors receive a contingent coupon on the applicable quarterly contingent coupon payment date and the securities are not automatically called.

	S&P 500® Index	Russell 2000® Index	iShares® MSCI Emerging Markets ETF
Hypothetical starting value:	100	100	100
Hypothetical closing value on relevant calculation day:	90	95	80
Hypothetical threshold value:	70	70	70
Performance factor (closing value on calculation day divided by starting value):	90%	95%	80%

Step 1: Determine which Market Measure is the lowest performing Market Measure on the relevant calculation day.

In this example, the iShares^® MSCI Emerging Markets ETF has the lowest performance factor and is, therefore, the lowest performing Market Measure on the relevant calculation day.

Step 2: Determine whether a contingent coupon will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon payment date.

Since the hypothetical closing value of the lowest performing Market Measure on the relevant calculation day is greater than or equal to its threshold value, but less than its starting value, you would receive a contingent coupon on the applicable contingent coupon payment date and the securities would not be automatically called. The contingent coupon would be equal to $18.25 per security, which is the product of $1,000 × 7.30% per annum / 4.

PRS-22

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Hypothetical Contingent Coupons (Continued)

Example 2. The closing value of the lowest performing Market Measure on the relevant calculation day is less than its threshold value. As a result, investors do not receive a contingent coupon on the applicable quarterly contingent coupon payment date and the securities are not automatically called.

	S&P 500® Index	Russell 2000® Index	iShares® MSCI Emerging Markets ETF
Hypothetical starting value:	100	100	100
Hypothetical closing value on relevant calculation day:	60	125	105
Hypothetical threshold value:	70	70	70
Performance factor (closing value on calculation day divided by starting value):	60%	125%	105%

Step 1: Determine which Market Measure is the lowest performing Market Measure on the relevant calculation day.

In this example, the S&P 500^® Index has the lowest performance factor and is, therefore, the lowest performing Market Measure on the relevant calculation day.

Step 2: Determine whether a contingent coupon will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon payment date.

Since the hypothetical closing value of the lowest performing Market Measure on the relevant calculation day is less than its threshold value, you would not receive a contingent coupon on the applicable contingent coupon payment date. In addition, the securities would not be automatically called, even though the closing values of the better performing Market Measures on the relevant calculation day are greater than their starting values. As this example illustrates, whether you receive a contingent coupon and whether the securities are automatically called on a quarterly contingent coupon payment date will depend solely on the closing value of the lowest performing Market Measure on the relevant calculation day. The performance of the better performing Market Measures is not relevant to your return on the securities.

Example 3. The closing value of the lowest performing Market Measure on the relevant calculation day is greater than or equal to its starting value. As a result, the securities are automatically called on the applicable quarterly contingent coupon payment date for the original offering price plus a final contingent coupon.

	S&P 500® Index	Russell 2000® Index	iShares® MSCI Emerging Markets ETF
Hypothetical starting value:	100	100	100
Hypothetical closing value on relevant calculation day:	115	105	130
Hypothetical threshold value:	70	70	70
Performance factor (closing value on calculation day divided by starting value):	115%	105%	130%

Step 1: Determine which Market Measure is the lowest performing Market Measure on the relevant calculation day.

In this example, the Russell 2000^® Index has the lowest performance factor and is, therefore, the lowest performing Market Measure on the relevant calculation day.

Step 2: Determine whether a contingent coupon will be paid and whether the securities will be automatically called on the applicable quarterly contingent coupon payment date.

Since the hypothetical closing value of the lowest performing Market Measure on the relevant calculation day is greater than or equal to its starting value, the securities would be automatically called and you would receive the original offering price plus a final contingent coupon on the applicable contingent coupon payment date, which is also referred to as the call settlement date. On the call settlement date, you would receive $1,018.25 per security.

If the securities are automatically called prior to stated maturity, you will not receive any further payments after the call settlement date.

PRS-23

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Hypothetical Payments at Stated Maturity

Set forth below are three examples of calculations of the redemption amount payable at stated maturity, assuming that the securities have not been automatically called prior to stated maturity and assuming the hypothetical starting value, threshold value and ending values for each Market Measure indicated in the examples. The terms used for purposes of these hypothetical examples do not represent any actual starting value or threshold value. The hypothetical starting value of 100 for each Market Measure has been chosen for illustrative purposes only and does not represent the actual starting value for any Market Measure. The actual starting value and threshold value for each Market Measure will be determined on the pricing date and will be set forth under “Terms of the Securities” above. For historical data regarding the actual closing values of the Market Measures, see the historical information set forth herein. These examples are for purposes of illustration only and the values used in the examples may have been rounded for ease of analysis.

Example 1. The ending value of the lowest performing Market Measure is greater than its starting value, the redemption amount is equal to the original offering price of your securities at stated maturity and you receive a final contingent coupon:

	S&P 500® Index	Russell 2000® Index	iShares® MSCI Emerging Markets ETF
Hypothetical starting value:	100	100	100
Hypothetical ending value:	145	135	125
Hypothetical threshold value:	70	70	70
Performance factor (ending value divided by starting value):	145%	135%	125%

Step 1: Determine which Market Measure is the lowest performing Market Measure on the final calculation day.

In this example, the iShares^® MSCI Emerging Markets ETF has the lowest performance factor and is, therefore, the lowest performing Market Measure on the final calculation day.

Step 2: Determine the redemption amount based on the ending value of the lowest performing Market Measure.

Since the hypothetical ending value of the lowest performing Market Measure is greater than its hypothetical threshold value, the redemption amount would equal the original offering price. Although the hypothetical ending value of the lowest performing Market Measure is significantly greater than its hypothetical starting value in this scenario, the redemption amount will not exceed the original offering price.

In addition to any contingent coupons received during the term of the securities, at stated maturity you would receive $1,000 per security as well as a final contingent coupon.

Example 2. The ending value of the lowest performing Market Measure is less than its starting value but greater than its threshold value, the redemption amount is equal to the original offering price of your securities at stated maturity and you receive a final contingent coupon:

	S&P 500® Index	Russell 2000® Index	iShares® MSCI Emerging Markets ETF
Hypothetical starting value:	100	100	100
Hypothetical ending value:	85	115	110
Hypothetical threshold value:	70	70	70
Performance factor (ending value divided by starting value):	85%	115%	110%

Step 1: Determine which Market Measure is the lowest performing Market Measure on the final calculation day.

In this example, the S&P 500^® Index has the lowest performance factor and is, therefore, the lowest performing Market Measure on the final calculation day.

Step 2: Determine the redemption amount based on the ending value of the lowest performing Market Measure.

Since the hypothetical ending value of the lowest performing Market Measure is less than its hypothetical starting value, but greater than or equal to its threshold value, you would be repaid the original offering price of your securities at stated maturity.

In addition to any contingent coupons received during the term of the securities, at stated maturity you would receive $1,000 per security as well as a final contingent coupon.

PRS-24

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Hypothetical Payments at Stated Maturity (Continued)

Example 3. The ending value of the lowest performing Market Measure is less than its threshold value, the redemption amount is less than the original offering price of your securities at stated maturity and you do not receive a final contingent coupon:

	S&P 500® Index	Russell 2000® Index	iShares® MSCI Emerging Markets ETF
Hypothetical starting value:	100	100	100
Hypothetical ending value:	120	45	90
Hypothetical threshold value:	70	70	70
Performance factor (ending value divided by starting value):	120%	45%	90%

Step 1: Determine which Market Measure is the lowest performing Market Measure on the final calculation day.

In this example, the Russell 2000^® Index has the lowest performance factor and is, therefore, the lowest performing Market Measure on the final calculation day.

Step 2: Determine the redemption amount based on the ending value of the lowest performing Market Measure.

Since the hypothetical ending value of the lowest performing Market Measure is less than its threshold value, you would lose a portion of the original offering price of your securities and receive the redemption amount equal to $450 per security, calculated as follows:

= $1,000 × performance factor of the lowest performing Market Measure on the final calculation day

= $1,000 × 45%

= $450

In addition to any contingent coupons received during the term of the securities, at stated maturity you would receive $450 per security, but no final contingent coupon.

These examples illustrate that you will not participate in any appreciation of any Market Measure, but will be fully exposed to a decrease in the lowest performing Market Measure from its starting value to its ending value if the ending value of the lowest performing Market Measure is less than its threshold value, even if the ending values of the other Market Measures have appreciated or have not declined below their respective threshold value.

To the extent that the starting value, threshold value and ending value of the lowest performing Market Measure differ from the values assumed above, the results indicated above would be different.

PRS-25

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms of the Securities

The securities are senior unsecured Medium-Term Notes issued by Credit Suisse. In the event the terms of the securities described in this pricing supplement differ from, or are inconsistent with, the terms described in the underlying supplement, the accompanying product supplements, the prospectus supplement or prospectus, the terms described in this pricing supplement will control.

Certain Definitions

A “trading day” with respect to the S&P 500^® Index or the Russell 2000^® Index means a day, as determined by the calculation agent, on which (i) the relevant stock exchanges with respect to each security underlying such Index are scheduled to be open for trading for their respective regular trading sessions and (ii) each related futures or options exchange is scheduled to be open for trading for its regular trading session.

A “trading day” with respect to the Fund means a day, as determined by the calculation agent, on which the relevant stock exchange and each related futures or options exchange with respect to the Fund (or other relevant security for which a closing price must be determined) or any successor thereto, if applicable, are scheduled to be open for trading for their respective regular trading sessions.

The “relevant stock exchange” for any security underlying an Index means the primary exchange or quotation system on which such security is traded, as determined by the calculation agent.

The “relevant stock exchange” for the Fund means the primary exchange or quotation system on which shares (or other applicable securities) of the Fund are traded, as determined by the calculation agent.

The “related futures or options exchange” for an Index means an exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the overall market for futures or options contracts relating to such Index.

The “related futures or options exchange” for the Fund means each exchange or quotation system where trading has a material effect (as determined by the calculation agent) on the overall market for futures or options contracts (or other applicable securities) relating to the Fund.

Calculation Agent

Credit Suisse International, one of our subsidiaries, will act as calculation agent for the securities and may appoint agents to assist it in the performance of its duties. Pursuant to a calculation agent agreement, we may appoint a different calculation agent without your consent and without notifying you.

The calculation agent will determine whether the securities are automatically called prior to stated maturity, the amount of the payment you receive upon automatic call or at stated maturity and the contingent coupons, if any. In addition, the calculation agent will, among other things:

· determine whether a market disruption event has occurred;

· determine the closing values of the Market Measures under certain circumstances;

· determine if adjustments are required to the closing value of a Market Measure under various circumstances;

· if publication of an Index is discontinued, select a successor equity index (as defined below) or, if no successor index is available, determine the closing value of such Index; and

· if the Fund undergoes a liquidation event, select a successor fund (as defined below) or, if no successor fund is available, determine the closing value of the Fund.

All determinations made by the calculation agent will be at the sole discretion of the calculation agent and, in the absence of manifest error, will be conclusive for all purposes and binding on us and you. The calculation agent will have no liability for its determinations.

Market Disruption Events

A “market disruption event” with respect to the S&P 500^® Index or the Russell 2000^® Index means any of the following events as determined by the calculation agent in its sole discretion:

(A) The occurrence or existence of a material suspension of or limitation imposed on trading by the relevant stock exchanges or otherwise relating to securities which then comprise 20% or more of the level of such Index or any successor equity index at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by those relevant stock exchanges or otherwise.

(B) The occurrence or existence of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating to such Index or any successor equity index on any related

PRS-26

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms of the Securities (Continued)

futures or options exchange at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise.

(C) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, securities that then comprise 20% or more of the level of such Index or any successor equity index on their relevant stock exchanges at any time during the one-hour period that ends at the close of trading on that day.

(D) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures or options contracts relating to such Index or any successor equity index on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day.

(E) The closure on any exchange business day of the relevant stock exchanges on which securities that then comprise 20% or more of the level of such Index or any successor equity index are traded or any related futures or options exchange with respect to such Index or any successor equity index prior to its scheduled closing time unless the earlier closing time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or related futures or options exchange, as applicable, system for execution at such actual closing time on that day.

(F) The failure to open during any regular trading session of (i) the relevant stock exchange(s) on which securities that then comprise 20% or more of the level of such Index or any successor equity index are traded or (ii) any related futures or options exchange with respect to such Index or successor equity index.

For purposes of determining whether a market disruption event has occurred with respect to the S&P 500^® Index or the Russell 2000^® Index:

(1) the relevant percentage contribution of a security to the level of such Index or any successor equity index will be based on a comparison of (x) the portion of the level of such Index attributable to that security and (y) the overall level of such Index or successor equity index, in each case immediately before the occurrence of the market disruption event;

(2) the “close of trading” on any trading day for such Index or any successor equity index means the scheduled closing time of the relevant stock exchanges with respect to the securities underlying such Index or successor equity index on such trading day; provided that, if the actual closing time of the regular trading session of any such relevant stock exchange is earlier than its scheduled closing time on such trading day, then (x) for purposes of clauses (A) and (C) of the definition of “market disruption event” above, with respect to any security underlying such Index or successor equity index for which such relevant stock exchange is its relevant stock exchange, the “close of trading” means such actual closing time and (y) for purposes of clauses (B) and (D) of the definition of “market disruption event” above, with respect to any futures or options contract relating to such Index or successor equity index, the “close of trading” means the latest actual closing time of the regular trading session of any of the relevant stock exchanges, but in no event later than the scheduled closing time of the relevant stock exchanges;

(3) the “scheduled closing time” of any relevant stock exchange or related futures or options exchange on any trading day for such Index or any successor equity index means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside the regular trading session hours; and

(4) an “exchange business day” means any trading day for such Index or any successor equity index on which each relevant stock exchange for the securities underlying such Index or any successor equity index and each related futures or options exchange with respect to such Index or any successor equity index are open for trading during their respective regular trading sessions, notwithstanding any such relevant stock exchange or related futures or options exchange closing prior to its scheduled closing time.

A “market disruption event” with respect to the iShares^® MSCI Emerging Markets ETF means any of the following events as determined by the calculation agent in its sole discretion:

(A) The occurrence or existence of a material suspension of or limitation imposed on trading by the relevant stock exchange or otherwise relating to the shares (or other applicable securities) of the Fund or any successor fund on the relevant stock exchange at any time during the one-hour period that ends at the close of trading on such day, whether by reason of movements in price exceeding limits permitted by such relevant stock exchange or otherwise.

PRS-27

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms of the Securities (Continued)

(B) The occurrence or existence of a material suspension of or limitation imposed on trading by any related futures or options exchange or otherwise in futures or options contracts relating to the shares (or other applicable securities) of the Fund or any successor fund on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day, whether by reason of movements in price exceeding limits permitted by the related futures or options exchange or otherwise.

(C) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, shares (or other applicable securities) of the Fund or any successor fund on the relevant stock exchange at any time during the one-hour period that ends at the close of trading on that day.

(D) The occurrence or existence of any event, other than an early closure, that materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures or options contracts relating to shares (or other applicable securities) of the Fund or any successor fund on any related futures or options exchange at any time during the one-hour period that ends at the close of trading on that day.

(E) The closure of the relevant stock exchange or any related futures or options exchange with respect to the Fund or any successor fund prior to its scheduled closing time unless the earlier closing time is announced by the relevant stock exchange or related futures or options exchange, as applicable, at least one hour prior to the earlier of (1) the actual closing time for the regular trading session on such relevant stock exchange or related futures or options exchange, as applicable, and (2) the submission deadline for orders to be entered into the relevant stock exchange or related futures or options exchange, as applicable, system for execution at the close of trading on that day.

(F) The relevant stock exchange or any related futures or options exchange with respect to the Fund or any successor fund fails to open for trading during its regular trading session.  

For purposes of determining whether a market disruption event has occurred with respect to the iShares^® MSCI Emerging Markets ETF:

(1) “close of trading” means the scheduled closing time of the relevant stock exchange with respect to the Fund or any successor fund; and

(2) the “scheduled closing time” of the relevant stock exchange or any related futures or options exchange on any trading day for the Fund or any successor fund means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange on such trading day, without regard to after hours or any other trading outside the regular trading session hours.

If a market disruption event occurs or is continuing with respect to any Market Measure on any calculation day, then such calculation day for such Market Measure will be postponed to the first succeeding trading day for such Market Measure on which a market disruption event for such Market Measure has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day for such Market Measure after the originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation day for such Market Measure. If a calculation day has been postponed eight trading days for a Market Measure after the originally scheduled calculation day and a market disruption event occurs or is continuing with respect to such Market Measure on such eighth trading day, the calculation agent will determine the closing value of such Market Measure on such eighth trading day (i) in the case of an Index, in accordance with the formula for and method of calculating the closing level of such Index last in effect prior to commencement of the market disruption event, using the closing price (or, with respect to any relevant security, if a market disruption event has occurred with respect to such security, its good faith estimate of the value of such security at (i) with respect to the S&P 500^® Index or the Russell 2000^® Index, the scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange and (ii) in the case of the Fund, based on its good faith estimate of the value of the shares (or other applicable securities) of the Fund as of the close of trading on such date. As used in clause (i) of the immediately preceding sentence, “closing price” means, with respect to any security on any date, the relevant stock exchange traded or quoted price of such security as of (a) with respect to the S&P 500^® Index or the Russell 2000^® Index, the scheduled closing time of the relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange. Notwithstanding the postponement of a calculation day for a Market Measure due to a market disruption event with respect to such Market Measure on such calculation day, the originally

PRS-28

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms of the Securities (Continued)

scheduled calculation day will remain the calculation day for any Market Measure not affected by a market disruption event on such day.

Adjustments to an Index

If at any time the method of calculating an Index or a successor equity index, or the closing level thereof, is changed in a material respect, or if an Index or a successor equity index is in any other way modified so that such index does not, in the opinion of the calculation agent, fairly represent the level of such index had those changes or modifications not been made, then the calculation agent will, at the close of business in New York, New York, on each date that the closing level of such index is to be calculated, make such calculations and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a level of an index comparable to such Index or successor equity index as if those changes or modifications had not been made, and the calculation agent will calculate the closing level of such Index or successor equity index with reference to such index, as so adjusted. Accordingly, if the method of calculating an Index or successor equity index is modified so that the level of such index is a fraction or a multiple of what it would have been if it had not been modified (e.g., due to a split or reverse split in such equity index), then the calculation agent will adjust such Index or successor equity index in order to arrive at a level of such index as if it had not been modified (e.g., as if the split or reverse split had not occurred).

Discontinuance of an Index

If a sponsor or publisher of an Index (each, an “index sponsor”) discontinues publication of an Index, and such index sponsor or another entity publishes a successor or substitute equity index that the calculation agent determines, in its sole discretion, to be comparable to such Index (a “successor equity index”), then, upon the calculation agent’s notification of that determination to the trustee and Credit Suisse, the calculation agent will substitute the successor equity index as calculated by the relevant index sponsor or any other entity for purposes of calculating the closing level of such Index on any date of determination. Upon any selection by the calculation agent of a successor equity index, Credit Suisse will cause notice to be given to holders of the securities.

In the event that an index sponsor discontinues publication of an Index prior to, and the discontinuance is continuing on, a calculation day and the calculation agent determines that no successor equity index is available at such time, the calculation agent will calculate a substitute closing level for such Index in accordance with the formula for and method of calculating such Index last in effect prior to the discontinuance, but using only those securities that comprised such Index immediately prior to that discontinuance. If a successor equity index is selected or the calculation agent calculates a level as a substitute for such Index, the successor equity index or level will be used as a substitute for such Index for all purposes, including the purpose of determining whether a market disruption event exists.

If on a calculation day an index sponsor fails to calculate and announce the level of an Index, the calculation agent will calculate a substitute closing level of such Index in accordance with the formula for and method of calculating such Index last in effect prior to the failure, but using only those securities that comprised such Index immediately prior to that failure; provided that, if a market disruption event occurs or is continuing on such day with respect to such Index, then the provisions set forth above under “—Market Disruption Events” shall apply in lieu of the foregoing.

Notwithstanding these alternative arrangements, discontinuance of the publication of, or the failure by the relevant index sponsor to calculate and announce the level of, an Index may adversely affect the value of the securities.

Anti-dilution Adjustments Relating to the Fund; Alternate Calculation

Anti-dilution Adjustments

The calculation agent will adjust the adjustment factor as specified below if any of the events specified below occurs with respect to the Fund and the effective date or ex-dividend date, as applicable, for such event is after the pricing date and on or prior to the final calculation day.

The adjustments specified below do not cover all events that could affect the Fund, and there may be other events that could affect the Fund for which the calculation agent will not make any such adjustments, including, without limitation, an ordinary cash dividend. Nevertheless, the calculation agent may, in its sole discretion, make additional adjustments to any terms of the securities upon the occurrence of other events that affect or could potentially affect the market price of, or shareholder rights in, the Fund, with a view to offsetting, to the extent practical, any such change, and preserving the relative investment risks of the securities. In addition, the calculation agent may, in its sole discretion, make adjustments or a series of adjustments that differ from those described herein if the calculation agent determines that such adjustments do not properly reflect the economic consequences of the events specified in this pricing supplement or would not preserve the relative investment risks of the securities. All determinations made by the calculation agent in making any adjustments to the terms of the securities, including adjustments that are in addition to, or that differ from, those

PRS-29

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms of the Securities (Continued)

described in this pricing supplement, will be made in good faith and a commercially reasonable manner, with the aim of ensuring an equitable result. In determining whether to make any adjustment to the terms of the securities, the calculation agent may consider any adjustment made by the Options Clearing Corporation or any other equity derivatives clearing organization on options contracts on the Fund.

For any event described below, the calculation agent will not be required to adjust the adjustment factor unless the adjustment would result in a change to the adjustment factor then in effect of at least 0.10%. The adjustment factor resulting from any adjustment will be rounded up or down, as appropriate, to the nearest one-hundred thousandth.

(A) Stock Splits and Reverse Stock Splits

If a stock split or reverse stock split has occurred, then once such split has become effective, the adjustment factor will be adjusted to equal the product of the prior adjustment factor and the number of securities which a holder of one share (or other applicable security) of the Fund before the effective date of such stock split or reverse stock split would have owned or been entitled to receive immediately following the applicable effective date.

(B) Stock Dividends

If a dividend or distribution of shares (or other applicable securities) to which the securities are linked has been made by the Fund ratably to all holders of record of such shares (or other applicable security), then the adjustment factor will be adjusted on the ex-dividend date to equal the prior adjustment factor plus the product of the prior adjustment factor and the number of shares (or other applicable security) of the Fund which a holder of one share (or other applicable security) of the Fund before the ex-dividend date would have owned or been entitled to receive immediately following that date; provided, however, that no adjustment will be made for a distribution for which the number of securities of the Fund paid or distributed is based on a fixed cash equivalent value.

(C) Extraordinary Dividends

If an extraordinary dividend (as defined below) has occurred, then the adjustment factor will be adjusted on the ex-dividend date to equal the product of the prior adjustment factor and a fraction, the numerator of which is the closing price per share (or other applicable security) of the Fund on the trading day preceding the ex-dividend date, and the denominator of which is the amount by which the closing price per share (or other applicable security) of the Fund on the trading day preceding the ex-dividend date exceeds the extraordinary dividend amount (as defined below).

For purposes of determining whether an extraordinary dividend has occurred:

(1) “extraordinary dividend” means any cash dividend or distribution (or portion thereof) that the calculation agent determines, in its sole discretion, is extraordinary or special; and

(2) “extraordinary dividend amount” with respect to an extraordinary dividend for the securities of the Fund will equal the amount per share (or other applicable security) of the Fund of the applicable cash dividend or distribution that is attributable to the extraordinary dividend, as determined by the calculation agent in its sole discretion.

A distribution on the securities of the Fund described below under the section entitled “—Reorganization Events” below that also constitutes an extraordinary dividend will only cause an adjustment pursuant to that “—Reorganization Events” section.

(D) Other Distributions

If the Fund declares or makes a distribution to all holders of the shares (or other applicable security) of the Fund of any non-cash assets, excluding dividends or distributions described under the section entitled “—Stock Dividends” above, then the calculation agent may, in its sole discretion, make such adjustment (if any) to the adjustment factor as it deems appropriate in the circumstances. If the calculation agent determines to make an adjustment pursuant to this paragraph, it will do so with a view to offsetting, to the extent practical, any change in the economic position of a holder of the securities that results solely from the applicable event.

(E) Reorganization Events

If the Fund, or any successor fund, is subject to a merger, combination, consolidation or statutory exchange of securities with another exchange traded fund, and the Fund is not the surviving entity (a “reorganization event”), then, on or after the date of such event, the calculation agent shall, in its sole discretion, make an adjustment to the adjustment factor or the method of determining the payment at maturity, whether the securities are automatically called prior to stated maturity, whether a contingent coupon will be paid or any other terms of the securities as the calculation agent determines appropriate to account for the economic effect on the securities of such

PRS-30

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

Additional Terms of the Securities (Continued)

event, and determine the effective date of that adjustment. If the calculation agent determines that no adjustment that it could make will produce a commercially reasonable result, then the calculation agent may deem such event a liquidation event (as defined below).

Liquidation Events

If the Fund is de-listed, liquidated or otherwise terminated (a “liquidation event”), and a successor or substitute exchange traded fund exists that the calculation agent determines, in its sole discretion, to be comparable to the Fund, then, upon the calculation agent’s notification of that determination to the trustee and us, any subsequent fund closing price for the Fund will be determined by reference to the fund closing price of such successor or substitute exchange traded fund (such exchange traded fund being referred to herein as a “successor fund”), with such adjustments as the calculation agent determines are appropriate to account for the economic effect of such substitution on holders of the securities.

If the Fund undergoes a liquidation event prior to, and such liquidation event is continuing on, the date that any fund closing price of the Fund is to be determined and the calculation agent determines that no successor fund is available at such time, then the calculation agent will, in its discretion, calculate the fund closing price for the Fund on such date by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the Fund, provided that if the calculation agent determines in its discretion that it is not practicable to replicate the Fund (including but not limited to the instance in which the tracked index sponsor discontinues publication of the tracked index), then the calculation agent will calculate the fund closing price for the Fund in accordance with the formula last used to calculate such fund closing price before such liquidation event, but using only those securities that were held by the Fund immediately prior to such liquidation event without any rebalancing or substitution of such securities following such liquidation event.

If a successor fund is selected or the calculation agent calculates the fund closing price as a substitute for the Fund, such successor fund or fund closing price will be used as a substitute for the Fund for all purposes, including for purposes of determining whether a market disruption event exists. Notwithstanding these alternative arrangements, a liquidation event with respect to the Fund may adversely affect the value of the securities.

If any event is both a reorganization event and a liquidation event, such event will be treated as a reorganization event for purposes of the securities unless the calculation agent makes the determination referenced in the last sentence of the section entitled “—Anti-dilution Adjustments—Reorganization Events” above.

Alternate Calculation

If at any time the method of calculating the Fund or a successor fund, or the tracked index, is changed in a material respect, or if the Fund or a successor fund is in any other way modified so that the Fund does not, in the opinion of the calculation agent, fairly represent the price of the securities of the Fund or such successor fund had such changes or modifications not been made, then the calculation agent may, at the close of business in New York City on the date that any fund closing price is to be determined, make such calculations and adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a closing price of the Fund comparable to the Fund or such successor fund, as the case may be, as if such changes or modifications had not been made, and calculate the fund closing price and the redemption amount and determine whether the securities are automatically called prior to stated maturity and whether a contingent coupon will be paid with reference to such adjusted closing price of the Fund or such successor fund, as applicable.

Events of Default and Acceleration

See “Description of the Securities—Events of default and acceleration” in the accompanying product supplements.

PRS-31

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

The S&P 500^® Index

The S&P 500^® Index is an equity index that is intended to provide an indication of the pattern of common stock price movement in the large capitalization segment of the United States equity market. See “The Reference Indices—The S&P Dow Jones Indices—The S&P 500^® Index” in the accompanying underlying supplement for additional information about the S&P 500^® Index.

Historical Information

We obtained the closing values listed below from Bloomberg Financial Markets, without independent verification.

The following graph sets forth daily closing values of the S&P 500^® Index for the period from January 2, 2014 to January 25, 2019. The closing value on January 25, 2019 was 2664.76. The historical performance of the S&P 500^® Index should not be taken as an indication of the future performance of the S&P 500^® Index during the term of the securities.

PRS-32

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

The Russell 2000^® Index

The Russell 2000^® Index is an equity index that is designed to track the performance of the small capitalization segment of the United States equity market. See “The Reference Indices—The FTSE Russell Indices—The Russell 2000^® Index” in the accompanying underlying supplement for additional information about the Russell 2000^® Index.

Historical Information

We obtained the closing levels of the Russell 2000^® Index listed below from Bloomberg Financial Markets, without independent verification.

The following graph sets forth daily closing values of the Russell 2000^® Index for the period from January 2, 2014 to January 25, 2019. The closing value on January 25, 2019 was 1482.853. The historical performance of the Russell 2000^® Index should not be taken as an indication of the future performance of the Russell 2000^® Index during the term of the securities.

PRS-33

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

The iShares^® MSCI Emerging Markets ETF

We have derived all information contained herein regarding the iShares^® MSCI Emerging Markets ETF from publicly available information. Such information reflects the policies of, and is subject to change by, BlackRock Fund Advisors, which maintains and manages the iShares^® MSCI Emerging Markets ETF and acts as investment advisor to the iShares^® MSCI Emerging Markets ETF. We have not conducted any independent review or due diligence of any publicly available information with respect to the iShares^® MSCI Emerging Markets ETF.

The iShares^® MSCI Emerging Markets ETF is an exchange-traded fund that seeks to track the investment results of the MSCI Emerging Markets Index, which is designed to measure equity market performance in the global emerging markets.

iShares, Inc. is a registered investment company that consists of numerous separate investment portfolios, including the iShares^® MSCI Emerging Markets ETF. Information filed by iShares, Inc. with the SEC under the Securities Exchange Act and the Investment Company Act can be found by reference to its SEC file numbers: 033-97598 and 811-09102. Shares of the iShares^® MSCI Emerging Markets ETF are listed on the NYSE Arca under ticker symbol “EEM.” Information from outside sources is not incorporated by reference in, and should not be considered part of, this pricing supplement or the accompanying underlying supplement, the product supplements, the prospectus supplement and the prospectus.

Historical Information

We obtained the closing values listed below from Bloomberg Financial Markets, without independent verification.

The following graph sets forth daily closing values of the iShares^® MSCI Emerging Markets ETF for the period from January 2, 2014 to January 25, 2019. The closing value on January 25, 2019 was $42.20. The historical performance of the iShares^® MSCI Emerging Markets ETF should not be taken as an indication of the future performance of the iShares^® MSCI Emerging Markets ETF during the term of the securities.

PRS-34

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

United States Federal Tax Considerations

This discussion supplements and, to the extent inconsistent therewith, supersedes the discussion in the accompanying product supplement under “Material United States Federal Income Tax Considerations.”

Due to the lack of any controlling legal authority, there is substantial uncertainty regarding the U.S. federal tax consequences of an investment in the securities. In the opinion of our counsel, Davis Polk & Wardwell LLP, it is reasonable under current law to treat the securities for U.S. federal income tax purposes as prepaid financial contracts with associated coupons that will be treated as gross income to you at the time received or accrued in accordance with your regular method of tax accounting. However, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are possible that could materially affect the timing and character of income or loss you recognize on the securities. Moreover, our counsel’s opinion is based on market conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date.

Assuming this treatment of the securities is respected and subject to the discussion in “Material United States Federal Income Tax Considerations” in the accompanying product supplement, the following U.S. federal income tax consequences should result:

· Any coupons paid on the securities should be taxable as ordinary income to you at the time received or accrued in accordance with your regular method of accounting for U.S. federal income tax purposes.

· Upon a sale or other disposition (including retirement) of a security, you should recognize capital gain or loss equal to the difference between the amount realized and your tax basis in the security. For this purpose, the amount realized does not include any coupon paid on retirement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. Such gain or loss should be long-term capital gain or loss if you held the security for more than one year.

We do not plan to request a ruling from the IRS regarding the treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In particular, the securities might be determined to be contingent payment debt instruments, in which case the tax consequences of ownership and disposition of the securities, including the timing and character of income recognized, might be materially and adversely affected. Moreover, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should consult your tax advisor regarding possible alternative tax treatments of the securities and potential changes in applicable law.

Non-U.S. Holders. The U.S. federal income tax treatment of the coupons is unclear. Except as provided below and in the accompanying product supplement under “Material United States Federal Income Tax Considerations—Securities Held Through Foreign Entities” and “Material United States Federal Income Tax Considerations—Non-U.S. Holders Generally—Substitute Dividend and Dividend Equivalent Payments,” we currently do not intend to treat coupons paid to a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities as subject to U.S. federal withholding tax, provided that the Non-U.S. Holder complies with applicable certification requirements. However, it is possible that the IRS could assert that such payments are subject to U.S. withholding tax, or that we or another withholding agent may otherwise determine that withholding is required, in which case we or the other withholding agent may withhold at a rate of up to 30% on such payments.

Moreover, as discussed under “Material United States Federal Income Tax Considerations—Non-U.S. Holders Generally—Substitute Dividend and Dividend Equivalent Payments” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code generally imposes a 30% withholding tax on “dividend equivalents” paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Treasury regulations under Section 871(m), as modified by an IRS notice, exclude from their scope financial instruments issued prior to January 1, 2021 that do not have a “delta” of one with respect to any U.S. equity. Based on the terms of the securities and representations provided by us as of the date of this preliminary pricing supplement, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. equity and, therefore, should not be subject to withholding tax under Section 871(m). However, the final determination regarding the treatment of the securities under Section 871(m) will be made as of the pricing date for the securities and it is possible that the securities will be subject to withholding tax under Section 871(m) based on circumstances on that date.

PRS-35

Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside 

Principal at Risk Securities Linked to the Lowest Performing of the S&P 500^® Index, the Russell 2000^® Index and the iShares^® MSCI Emerging Markets ETF due March 1, 2022

United States Federal Tax Considerations (Continued)

A determination that the securities are not subject to Section 871(m) is not binding on the IRS, and the IRS may disagree with this determination. Moreover, Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to a U.S. equity to which the securities relate. You should consult your tax advisor regarding the potential application of Section 871(m) to the securities.

We will not be required to pay any additional amounts with respect to U.S. federal withholding taxes.

FATCA. You should review the section entitled “Material United States Federal Income Tax Considerations—Securities Held Through Foreign Entities” in the accompanying product supplement regarding withholding rules under the “FATCA” regime. The discussion in that section is hereby modified to reflect regulations proposed by the U.S. Treasury Department indicating an intent to eliminate the requirement under FATCA of withholding on gross proceeds of the disposition of affected financial instruments. The U.S. Treasury Department has indicated that taxpayers may rely on these proposed regulations pending their finalization.

You should read the section entitled “Material United States Federal Income Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of owning and disposing of the securities.

You should also consult your tax advisor regarding all aspects of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

PRS-36