424B2 1 dp103051_424b2-u3594.htm FORM 424B2

PRICING SUPPLEMENT No. U3594

(To the Underlying Supplement dated April 19, 2018, 

Product Supplement No. I–C dated June 30, 2017,

Prospectus Supplement dated June 30, 2017 and 

Prospectus dated June 30, 2017)

 

Equity Fund Linked Securities

 

 

Filed Pursuant to Rule 424(b)(2)

Registration Statement No. 333-218604-02

February 27, 2019

   
 

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021 

n  Linked to the iShares® MSCI Brazil ETF

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 price on the relevant calculation day  

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 fund closing price on the calculation day for that quarter is greater than or equal to the threshold price. However, if the fund closing price on a calculation day is less than the threshold price, you will not receive any contingent coupon for the relevant quarter. If the fund closing price is less than the threshold price on every calculation day, you will not receive any contingent coupons throughout the entire term of the securities. The contingent coupon rate is 12.50% per annum

n  Automatic Call. If the fund closing price on any of the quarterly calculation days from August 2019 to November 2020, inclusive, is greater than or equal to the starting price, 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 price is greater than or equal to the threshold price. If the ending price is less than the threshold price, you will lose more than 25%, and possibly all, of the original offering price of your securities

n  The threshold price is equal to 75% of the starting price 

n  If the securities are not automatically called prior to stated maturity, you will have full downside exposure to the Fund from the starting price to the ending price if the ending price is less than the threshold price, but you will not participate in any appreciation of the Fund and will not receive any dividends on securities included in the Fund.

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-12 of this pricing supplement and “Risk Factors” beginning on page PS-3 of the 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, any product supplement, 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 $22.50 $977.50
Total $6,295,000 $141,637.50 $6,153,362.50
(1)Wells Fargo Securities, LLC (“WFS”) is the agent for the distribution of the securities. WFS will receive an agent discount of $22.50 per security. The agent may resell the securities to other securities dealers at the original offering price less a concession of $12.50 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 is $975 (as determined by reference to our pricing models and the rate we are currently paying to borrow funds through issuance of the securities (our “internal funding rate”)). See “Selected Risk Considerations” in this pricing supplement.

 

The securities are unsecured obligations of Credit Suisse, and all payments on the securities are subject to the credit risk of Credit Suisse.

 

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 iShares® MSCI Brazil ETF due March 1, 2021

 

Supplemental Terms of the Securities

 

The Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021 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 fund closing price of the iShares® MSCI Brazil ETF (referred to as the “Fund”) on the relevant calculation day.

 

The securities provide:

 

(i)quarterly contingent coupons at a rate of 12.50% per annum until the earlier of stated maturity or automatic call if, and only if, the fund closing price on the applicable quarterly calculation day is greater than or equal to 75% of the starting price;

 

(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 fund closing price on any of the quarterly calculation days from August 2019 to November 2020, inclusive, is greater than or equal to the starting price; 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 price is greater than or equal to the threshold price; and

 

(b)full exposure to the decline in the price of the Fund from the starting price to the ending price if the ending price is less than the threshold price.

 

If the fund closing price on any quarterly calculation day is less than 75% of the starting price, you will not receive any contingent coupon for that quarter. If the securities are not automatically called prior to stated maturity and the ending price is less than the threshold price, you will lose more than 25%, and possibly all, of the original offering price of your securities at stated maturity. Accordingly, you will not receive any protection if the ending price is less than the threshold price.

 

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 the Fund, but you will be fully exposed to the decline in the Fund on the final calculation day if the securities are not automatically called prior to stated maturity and the ending price is less than the threshold price.

 

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

 

Prohibition of Sales to EEA Retail Investors

 

The securities may not be offered, sold or otherwise made available to any retail investor in the European Economic Area. For the purposes of this provision:

 

(a) the expression “retail investor” means a person who is one (or more) of the following:

 

(i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or

 

(ii) a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or

 

(iii) not a qualified investor as defined in Directive 2003/71/EC; and

 

(b) the expression “offer” includes the communication in any form and by any means of sufficient information on the terms of the offer and the securities offered so as to enable an investor to decide to purchase or subscribe the securities.

 

PRS-2

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Supplemental Terms of the Securities (continued)

 

You should read this pricing supplement together with the underlying supplement dated April 19, 2018, the product supplement dated June 30, 2017, the prospectus supplement dated June 30, 2017 and the prospectus dated June 30, 2017, relating to our Medium-Term Notes of which these securities are a part. You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

 

·Underlying Supplement dated April 19, 2018:
https://www.sec.gov/Archives/edgar/data/1053092/000095010318004962/dp89590_424b2-underlying.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.

 

PRS-3

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Investor Considerations

 

We have designed the securities for investors who:

 

§seek an investment with contingent quarterly coupon payments at a rate of 12.50% per annum until the earlier of stated maturity or automatic call, if, and only if, the fund closing price on the applicable quarterly calculation day is greater than or equal to 75% of the starting price;

 

§understand that if the ending price is less than the threshold price, they will be fully exposed to the decline in the Fund from the starting price to the ending price and will lose more than 25%, 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;

 

§are willing to forgo participation in any appreciation of the Fund and dividends on shares of the Fund; 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, as set forth on the cover page;

 

§are unwilling to accept the risk that the ending price may be less than the threshold price;

 

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

 

§seek exposure to the upside performance of the Fund;

 

§are unwilling to accept the risk of exposure to Brazilian equity securities;

 

§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-4

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Terms of the Securities

 

                 
Market Measure: The iShares® MSCI Brazil ETF (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 fund closing price on the immediately preceding calculation day is greater than or equal to the threshold price.

 

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 fund closing price on any calculation day is less than the threshold price, you will not receive any contingent coupon on the related contingent coupon payment date. If the fund closing price is less than the threshold price 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.

 

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” is 12.50% per annum.
Automatic Call:

If the fund closing price on any of the quarterly calculation days from August 2019 to November 2020, inclusive, is greater than or equal to the starting price, 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 (the “automatic call amount”) plus a final contingent coupon. 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-5

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Terms Of the Securities (continued)

 

Calculation Days: Quarterly, on the 24th day of each February, May, August and November, commencing May 2019 and ending February 2021, each subject to postponement as described below under “—Postponement of a Calculation Day.” We refer to February 24, 2021 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.

 

Stated Maturity: March 1, 2021. If the final calculation day is postponed, the stated maturity will be the later of (i) March 1, 2021 and (ii) three business days after such 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 price on the final calculation day is greater than or equal to the threshold price: $1,000; or

 

•     if the ending price on the final calculation day is less than the threshold price: $1,000 minus:

 

 
 

If the securities are not automatically called prior to stated maturity and the ending price is less than the threshold price, you will lose more than 25%, 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 the Fund, but you will have full downside exposure to the Fund if the ending price is less than the threshold price.

 

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.

 

Starting Price:

$44.16, which is the fund closing price on the pricing date.

 


In the event that the closing price is not available on the pricing date, the starting price will be determined on the immediately following trading day on which a closing price is available.

 

Ending Price: The “ending price” will be the fund closing price on the final calculation day.

PRS-6

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Terms Of the Securities (continued)

 

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 such other security on such trading day and (ii) the adjustment factor applicable to the Fund 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.

Threshold

 

Price:

 

$33.12, which is equal to 75% of the starting price.

 

Postponement of a Calculation Day: If any calculation day is not a trading day, such calculation day will be postponed to the next succeeding day.  A calculation day is also subject to postponement due to the occurrence of a market disruption event with respect to the Fund.  See “Additional Terms of the Securities—Market Disruption Events.”
Calculation Agent: Credit Suisse International
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 $22.50 per security. The agent may resell the securities to other securities dealers at the original offering price of the securities less a concession of $12.50 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.

 

Notice to Prospective Investors in Taiwan

 

The securities may be made available outside Taiwan for purchase by Taiwan residents outside Taiwan but may not be offered or sold in Taiwan.

 

Notice to Prospective Investors in Argentina

 

The securities are not and will not be marketed in Argentina by means of a public offer, as such term is defined under Section 2 of Law Number 26,831, as amended. No application has been or will be made with the Argentine Comisión Nacional de Valores, the Argentine securities governmental authority, to offer the securities in Argentina.

 

PRS-7

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Terms Of the Securities (continued)

 

 

Notice to Prospective Investors in Brazil

 

The securities have not been and will not be issued nor publicly placed, distributed, offered or negotiated in the Brazilian capital markets and, as a result, have not been and will not be registered with the Comissão de Valores Mobiliáros (“CVM”). Any public offering or distribution, as defined under Brazilian laws and regulations, of the securities in Brazil is not legal without prior registration under Law 6,385/76, and CVM applicable regulation. Documents relating to the offering of the securities, as well as information contained therein, may not be supplied to the public in Brazil (as the offering of the securities is not a public offering of notes in Brazil), nor be used in connection with any offer for subscription or sale of the securities to the public in Brazil. Persons wishing to offer or acquire the securities within Brazil should consult with their own counsel as to the applicability of registration requirements or any exemption therefrom.

 

Notice to Prospective Investors in Chile

 

The securities have not been registered with the Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offers, sales or deliveries of the securities, or distribution of this pricing supplement and the accompanying underlying supplement, product supplement, prospectus supplement and prospectus may be made in or from Chile except in circumstances which will result in compliance with any applicable Chilean laws and regulations. Neither this pricing supplement nor the accompanying underlying supplement, product supplement, prospectus supplement and prospectus constitute an offer of, or an invitation to subscribe for or purchase, the securities in the Republic of Chile, other than to individually identified buyers pursuant to a private offering within the meaning of article 4 of the Ley de Mercado de Valores (an offer that is not addressed to the public at large or to a certain sector or specific group of the public).

 

Notice to Prospective Investors in Mexico

 

The securities have not been registered with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly in Mexico. This pricing supplement and the accompanying underlying supplement, product supplement, prospectus supplement and prospectus may not be publicly distributed in Mexico. The securities may only be offered in a private offering pursuant to Article 8 of the Securities Market Law.

 

Prohibition of Sales to EEA Retail Investors

 

The securities may not be offered, sold or otherwise made available to any retail investor in the European Economic Area. For the purposes of this provision:

 

(a) the expression “retail investor” means a person who is one (or more) of the following:

 

(i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “MiFID II”); or

 

(ii) a customer within the meaning of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or

 

(iii) not a qualified investor as defined in Directive 2003/71/EC; and

 

(b) the expression “offer” includes the communication in any form and by any means of sufficient information on the terms of the offer and the securities offered so as to enable an investor to decide to purchase or subscribe the securities.

 

Denominations: $1,000 and any integral multiple of $1,000.
CUSIP: 22551LVW7

PRS-8

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Terms Of the Securities (continued)

 

For purposes of the securities offered by this pricing supplement, all references to each of the following terms used in the accompanying underlying supplement, any 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 Fund
Trade date Pricing date
Principal amount Original offering price
Valuation date Final calculation day
Maturity date Stated maturity
Early redemption Automatic call
Observation date Calculation day
Early redemption date Call settlement date
Initial level Starting price
Final level Ending price
Closing level Fund closing price
Knock-in level Threshold price

PRS-9

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Hypothetical Payout Profile

 

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 price on the related quarterly calculation day.

 

 

PRS-10

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

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 ending prices on the final calculation day, 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 price on the final calculation day and whether you hold your securities to stated maturity.

 

 

PRS-11

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

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 the accompanying underlying supplement, any product supplement, 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 Fund.

 

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 price is less than the threshold price, you will be fully exposed to any depreciation in the Fund. 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 price will be less than the threshold price and, in such case, by how much the price will decrease from the starting price to the ending price. 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 Fund during the term of the securities. On each quarterly contingent coupon payment date you will receive a contingent coupon if, and only if, the fund closing price on the immediately preceding calculation day is greater than or equal to the threshold price. If the fund closing price on any calculation day is less than the threshold price, you will not receive any contingent coupon on the related contingent coupon payment date, and if the fund closing price is less than the threshold price 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 Starting Price May Be Determined On A Date Later Than The Pricing Date.

 

The starting price may be determined after the pricing date. In the event that the closing price is not available on the pricing date, the starting price will be determined on the immediately following trading day on which a closing price is available. Under these circumstances, you will not know the starting price 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 price of the Fund. The greater the expected volatility with respect to the Fund on the pricing date, the higher the expectation as of the pricing date that the fund closing price could be less than the threshold price 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 a lower threshold price) than for similar securities linked to the performance of a fund 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, a relatively lower threshold price 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 the Fund can change significantly over the term of the securities. The fund closing price of the Fund

 

PRS-12

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Selected Risk Considerations (Continued)

 

could fall sharply, which could result in a significant loss of principal. You should be willing to accept the downside market risk of the Fund 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 the Fund. Even if the ending price is greater than the starting price, you will not participate in the appreciation of the Fund. 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 fund closing price on any of the quarterly calculation days is greater than or equal to the starting price, 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.

 

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 The Fund Is Not Indicative Of Future Performance.

 

The future performance of the Fund cannot be predicted based on its historical performance. We cannot guarantee that the fund closing price or ending price will be at a price 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 The Fund.

 

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

 

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.

 

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 Brazil 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.

 

PRS-13

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Selected Risk Considerations (Continued)

 

The Fund will generally invest in all of the equity securities included in the index tracked by the Fund (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 Brazil ETF” herein.

 

Emerging Markets Risk.

 

The Fund and the Tracked Index are exposed to the political and economic risks of an emerging market country. 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.

 

Currency Exchange Risk.

 

Because the prices of the equity securities included in the Fund are converted into U.S. dollars for purposes of calculating the closing price of the Fund, investors will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities included in the Fund trade. Currency exchange rates may be highly volatile, particularly in relation to emerging nations’ currencies. Significant changes in currency exchange rates, including changes in liquidity and prices, can occur within very short periods of time. Currency exchange rate risks include, but are not limited to, convertibility risk, market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or particular transactions in foreign currency. These factors may adversely affect the values of the equity securities included in the Fund, the closing price of the Fund and the value of the securities.

 

Risks Associated With Investments In Securities Linked To The Performance of Foreign Equity Securities.

 

The Fund includes the stocks of foreign companies and you should be aware that investments in securities linked to the value of foreign equity securities involve particular risks. Foreign securities markets may have less liquidity and may be more volatile than the U.S. securities markets, and market developments may affect foreign markets differently than U.S. securities markets. Direct or indirect government intervention to stabilize a foreign securities market, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in those markets. Also, there is generally less publicly available information about non-U.S. companies that are not subject to the reporting requirements of the Securities and Exchange Commission, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.

 

The prices and performance of securities of non-U.S. companies are subject to political, economic, financial, military and social factors which could negatively affect foreign securities markets, including the possibility of recent or future changes in a foreign government’s economic, monetary and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities, the possibility of imposition of withholding taxes on dividend income, the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility or political instability and the possibility of natural disaster or adverse public health developments. Moreover, the relevant non-U.S. economies may differ favorably or unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of inflation, trade surpluses or deficits, capital reinvestment, resources and self-sufficiency.

 

PRS-14

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Selected Risk Considerations (Continued)

 

The securities included in the Fund may be listed on a foreign stock exchange. A foreign stock exchange may impose trading limitations intended to prevent extreme fluctuations in individual security prices and may suspend trading in certain circumstances. These actions could limit variations in the closing price of the Fund which could, in turn, adversely affect the value of the securities.

 

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

 

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 Fund. Credit Suisse (or any of its affiliates) or WFS (or any of its affiliates) may also trade instruments related to the Fund 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 Is 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) is 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.

 

PRS-15

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Selected Risk Considerations (Continued)

 

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 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) will be postponed if the applicable originally scheduled calculation day is not a trading day or if the calculation agent determines that a market disruption event has occurred or is continuing 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, the stated maturity will be the later of (i) the initial stated maturity and (ii) three business days after such 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 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 Is Less Than The Original Offering Price.” Therefore, in addition to the fund closing price of the Fund, 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:

 

othe expected and actual volatility of the Fund;

 

PRS-16

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Selected Risk Considerations (Continued)

 

othe time to stated maturity of the securities;

 

othe dividend rate on the equity securities included in the Fund;

 

ointerest and yield rates in the market generally;

 

oinvestors’ expectations with respect to the rate of inflation;

 

ogeopolitical conditions and economic, financial, political, regulatory or judicial events that affect the components included in the Fund or markets generally and which may affect the price of the Fund; and

 

oour 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 Fund.

 

Your return on the securities will not reflect the return you would realize if you actually owned the assets that comprise the Fund. 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 Fund.

 

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 Fund.

 

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 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-17

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

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 price of the Fund 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 supplement.

 

PRS-18

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

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 ending prices on the final calculation day, the hypothetical redemption amount payable at stated maturity per security (excluding the final contingent coupon, if any).

 

Hypothetical ending price as percentage of starting price 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
75% $1,000
74% $740
70% $700
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 price on the final calculation day.

 

PRS-19

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

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 assume the hypothetical starting price, threshold price and closing price indicated in the examples. The starting price, threshold price and actual contingent coupon rate are set forth in “Terms of the Securities” 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 fund closing price on the relevant calculation day is greater than or equal to the threshold price and less than the starting price. As a result, investors receive a contingent coupon on the applicable quarterly contingent coupon payment date and the securities are not automatically called.

 

  iShares® MSCI Brazil ETF
Hypothetical starting price: 100
Hypothetical fund closing price on relevant calculation day: 90
Hypothetical threshold price: 75

 

Since the hypothetical fund closing price on the relevant calculation day is greater than or equal to the threshold price, but less than the starting price, 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 $31.25 per security, which is the product of $1,000 × 12.50% per annum / 4.

 

Example 2. The fund closing price of on the relevant calculation day is less than the threshold price. 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.

 

  iShares® MSCI Brazil ETF
Hypothetical starting price: 100
Hypothetical fund closing price on relevant calculation day: 60
Hypothetical threshold price: 75

 

Since the hypothetical fund closing price on the relevant calculation day is less than the threshold price, you would not receive a contingent coupon on the applicable contingent coupon payment date.

 

Example 3. The fund closing price on the relevant calculation day is greater than or equal to the starting price. 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.

 

  iShares® MSCI Brazil ETF
Hypothetical starting price: 100
Hypothetical fund closing price on relevant calculation day: 115
Hypothetical threshold price: 75

 

Since the hypothetical fund closing price on the relevant calculation day is greater than or equal to the starting price, 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 $1,031.25 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-20

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

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 price, threshold price and ending price indicated in the examples. The actual starting price and threshold price are set forth in “Terms of the Securities” 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 price is greater than the starting price, the redemption amount is equal to the original offering price of your securities at stated maturity and you receive a final contingent coupon:

 

  iShares® MSCI Brazil ETF
Hypothetical starting price: 100
Hypothetical ending price: 145
Hypothetical threshold price: 75

 

Since the hypothetical ending price is greater than the hypothetical threshold price, the redemption amount would equal the original offering price. Although the hypothetical ending price is significantly greater than the hypothetical starting price 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 price is less than the starting price but greater than the threshold price, the redemption amount is equal to the original offering price of your securities at stated maturity and you receive a final contingent coupon:

 

  iShares® MSCI Brazil ETF
Hypothetical starting price: 100
Hypothetical ending price: 85
Hypothetical threshold price: 75

 

Since the hypothetical ending price is less than the hypothetical starting price, but greater than or equal to the threshold price, 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.

 

Example 3. The ending price is less than the threshold price, 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:

 

  iShares® MSCI Brazil ETF
Hypothetical starting price: 100
Hypothetical ending price: 45
Hypothetical threshold price: 75

 

Since the hypothetical ending price is less than the threshold price, 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:

 

=

 

=

 

=

 

=

 

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.

 

To the extent that the starting price, threshold price and ending price differ from the values assumed above, the results indicated above would be different.

 

PRS-21

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

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, any product supplement, prospectus supplement or prospectus, the terms described in this pricing supplement will control.

 

Certain Definitions

 

A “trading day” 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 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 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 maturity and 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 fund closing price of the Fund under certain circumstances;
  •   determine if adjustments are required to the fund closing price of the Fund under various circumstances; and
  •  

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

 

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” 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.
     
  (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.

PRS-22

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Additional Terms of the Securities (Continued)

 

  (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:

 

  (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 on any calculation day, then such calculation day will be postponed to the first succeeding trading day on which a market disruption event has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day after the originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation day. If the calculation day has been postponed eight trading days after the originally scheduled calculation day and a market disruption event occurs or is continuing with respect to the Fund on such eighth trading day, the calculation agent will determine the closing price of the Fund on such eighth trading day 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 eighth trading day.

 

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 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.

 

PRS-23

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Additional Terms of the Securities (Continued)

 

  (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 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 Wells Fargo, 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

 

PRS-24

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Additional Terms of the Securities (Continued)

 

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 supplement.

 

PRS-25

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

The iShares® MSCI Brazil ETF

 

The Fund is issued by iShares Inc., a registered open-end management investment company. The Fund seeks to track the investment results of the MSCI Brazil 25/50 Index, an equity index that is designed to measure the performance of the large- and mid-capitalization segments of the equity market in Brazil.

 

Information provided to or filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 033-97598 and 811-09102 and can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC’s website at www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. None of such publicly available information is incorporated by reference into this pricing supplement. The Fund is listed on the NYSE Arca, Inc. under the ticker symbol “EWZ.”

 

This pricing supplement relates only to the securities offered hereby and does not relate to the Fund. We have derived all disclosures contained in this pricing supplement regarding the Fund from the publicly available documents described in the preceding paragraph. In connection with the offering of the securities, neither we nor any agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the Fund. Neither we nor any agent has independently verified the accuracy or completeness of any information with respect to the Fund in connection with the offer and sale of securities. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading price of the Fund (and therefore the price of the Fund at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Fund could affect the payment at maturity, if any, with respect to the securities and therefore the trading prices of the securities.

 

We and/or our affiliates may presently or from time to time engage in business with the Fund. In the course of such business, we and/or our affiliates may acquire non-public information with respect to the Fund, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to the Fund. The statements in the preceding two sentences are not intended to affect the rights of investors in the securities under the securities laws.

 

For additional information on the MSCI Brazil 25/50 Index, please see “The Reference Indices—The MSCI Indices—The MSCI Brazil 25/50 Index” in the accompanying underlying supplement.

 

Historical Information

 

We obtained the closing price of the Fund from Bloomberg Financial Markets, without independent verification.

 

The following graph sets forth daily closing price of the iShares® MSCI Brazil ETF for the period from January 2, 2014 to February 27, 2019. The closing price on February 27, 2019 was $44.16. The historical performance of the iShares® MSCI Brazil ETF should not be taken as an indication of the future performance of the iShares® MSCI Brazil ETF during the term of the securities.

 

 

PRS-26

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

United States Federal Tax Considerations

 

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

 

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

 

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

 

·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, our counsel is of the opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning of the regulations with respect to any U.S. equity and, therefore, should not be subject to withholding tax under Section 871(m).

 

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

 

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

 

PRS-27

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

United States Federal Tax Considerations (continued)

 

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-28

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

Principal at Risk Securities Linked to the iShares® MSCI Brazil ETF due March 1, 2021

 

Validity of the Securities

 

In the opinion of Davis Polk & Wardwell LLP, as United States counsel to Credit Suisse, when the notes offered by this pricing supplement have been executed and issued by Credit Suisse and authenticated by the trustee pursuant to the indenture, and delivered against payment therefor, such securities will be valid and binding obligations of Credit Suisse, enforceable against Credit Suisse in accordance with their terms, subject to (i) applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, (ii) possible judicial or regulatory actions giving effect to governmental actions or foreign laws affecting creditors’ rights and (iii) concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date of this pricing supplement and is limited to the laws of the State of New York, except that such counsel expresses no opinion as to the application of state securities or Blue Sky laws to the securities. Insofar as this opinion involves matters governed by Swiss law, Davis Polk & Wardwell LLP has relied, without independent inquiry or investigation, on the opinion of Homburger AG, dated February 28, 2019 and filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on February 28, 2019. The opinion of Davis Polk & Wardwell LLP is subject to the same assumptions, qualifications and limitations with respect to such matters as are contained in the opinion of Homburger AG. In addition, the opinion of Davis Polk & Wardwell LLP is subject to customary assumptions about the establishment of the terms of the securities, the trustee’s authorization, execution and delivery of the indenture and its authentication of the securities, and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP dated February 28, 2019, which was filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on February 28, 2019. Davis Polk & Wardwell LLP expresses no opinion as to waivers of objections to venue, the subject matter or personal jurisdiction of a United States federal court or the effectiveness of service of process other than in accordance with applicable law. In addition, such counsel notes that the enforceability in the United States of Section 10.08(c) of the indenture is subject to the limitations set forth in the United States Foreign Sovereign Immunities Act of 1976.

 

PRS-29