424B2 1 dp117744_424b2-t1736.htm FORM 424B2

 

  December 2019
Pricing Supplement No. T1736
Registration Statement No. 333-218604-02
Dated December 13, 2019
Filed pursuant to Rule 424(b)(2)

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings

Principal at Risk Securities

Unlike ordinary debt securities, the Auto-Callable Securities due December 18, 2023 based on the performance of the worst performing of three Underlyings, which we refer to as the “securities,” do not provide for the regular payment of interest or guarantee the return of any principal at maturity. The securities will be automatically redeemed if the closing level of each Underlying on any Trigger Observation Date is greater than or equal to its Trigger Level, and for each security you hold you will receive a cash payment equal to $10 plus the Automatic Redemption Premium applicable to that Trigger Observation Date, as set forth below. No further payments will be made on the securities once they have been redeemed. At maturity, if the securities have not previously been redeemed and the Final Level of the Worst Performing Underlying is greater than or equal to its Downside Threshold Level, per security you will receive $10 plus the Contingent Return of $3.82. However, if the securities are not automatically redeemed prior to maturity and the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, meaning that the Worst Performing Underlying has depreciated by more than 40% from its Initial Level, the payment due at maturity per security will be significantly less than $10 by an amount that is proportionate to the full percentage decline in the level of the Worst Performing Underlying from its Initial Level to its Final Level. Under these circumstances, the Redemption Amount per security will be less than $6 and could be zero. Accordingly, you may lose your entire initial investment in the securities. All payments on the securities, including any repayment of principal, are subject to the credit risk of Credit Suisse.

KEY TERMS
Issuer: Credit Suisse AG (“Credit Suisse”), acting through its London branch
Underlyings: The Underlyings are set forth in the table below. For more information on the Underlyings, see “The Underlyings” herein. Each Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial Level, Downside Threshold Level and Trigger Level:
  Underlying Ticker Initial Level Downside Threshold Level Trigger Level
  S&P 500® Index SPX <Index> 3168.80 1901.28  (60% of Initial Level) 3168.80 (100% of Initial Level)
  Russell 2000® Index RTY <Index> 1637.976 982.786 (Approximately 60% of Initial Level) 1637.976 (100% of Initial Level)
  EURO STOXX® Banks Index SX7E <Index> 96.18 57.71 (Approximately 60% of Initial Level) 96.18 (100% of Initial Level)
Aggregate Principal Amount: $11,020,000
Principal Amount: $10 per security. The securities are offered at a minimum investment of 100 securities at $10.00 per security (representing a $1,000 investment), and integral multiples of $10.00 in excess thereof.
Price to Public: $10 per security (see “Commissions and Price to Public” below)
Trade Date: December 13, 2019
Settlement Date: December 18, 2019 (3 business days after the Trade Date).  Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
Valuation Date: December 13, 2023, subject to postponement as set forth in the accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
Maturity Date: December 18, 2023, subject to postponement as set forth in the accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
Listing: The securities will not be listed on any securities exchange.
  Key Terms continued on the following page

Investing in the securities involves a number of risks. See “Selected Risk Considerations” beginning on page 2 of this pricing supplement and “Risk Factors” beginning on page PS-3 of any accompanying product supplement.

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

Commissions and Price to Public Price to Public Underwriting Discounts and Commissions Proceeds to Issuer
Per security $10 $0.25(1)  
    $0.05(2) $9.70
Total $11,020,000 $330,600 $10,689,400

(1) We or one of our affiliates will pay to Morgan Stanley Smith Barney LLC (“MSSB”) discounts and commissions of $0.30 per $10 principal amount of securities, of which $0.05 per $10 principal amount of securities will be paid as a structuring fee. For more detailed information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.

(2) Reflects a structuring fee payable to MSSB by Credit Suisse Securities (USA) LLC (“CSSU”) or one of its affiliates of $0.05 for each security.

The agent for this offering, CSSU, is our affiliate. For more information, see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.

Credit Suisse currently estimates the value of each $10 principal amount of the securities on the Trade Date is $9.687 (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 not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.

Credit Suisse

 

 

 

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Key Terms continued from previous page:

Automatic Redemption: If a Trigger Event occurs on any Trigger Observation Date, the securities will be automatically redeemed on the immediately following Automatic Redemption Date and you will receive a cash payment equal to the principal amount of the securities you hold plus the Automatic Redemption Premium applicable to that Trigger Observation Date (such payment, the “Automatic Redemption Amount”). No further payments will be made in respect of the securities following an Automatic Redemption. Any payment on the securities is subject to our ability to pay our obligations as they become due.
Trigger Event: A Trigger Event will occur if, on any Trigger Observation Date, the closing level of each Underlying on such Trigger Observation Date is equal to or greater than its respective Trigger Level.
Trigger Level: For each Underlying, 100% of the Initial Level of such Underlying, as set forth in the table above.
Trigger Observation Dates: December 21, 2020, March 15, 2021, June 14, 2021, September 13, 2021, December 13, 2021, March 14, 2022, June 13, 2022, September 13, 2022, December 13, 2022, March 13, 2023, June 13, 2023 and September 13, 2023, subject to postponement as set forth in the accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
Automatic Redemption Dates: December 24, 2020, March 18, 2021, June 17, 2021, September 16, 2021, December 16, 2021, March 17, 2022, June 16, 2022, September 16, 2022, December 16, 2022, March 16, 2023, June 16, 2023 and September 18, 2023, subject to postponement as set forth in the accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
Automatic Redemption Premiums: For each $10 principal amount of securities you hold:

·         $0.955 if a Trigger Event occurs on the First Trigger Observation Date

·         $1.194 if a Trigger Event occurs on the Second Trigger Observation Date

·         $1.433 if a Trigger Event occurs on the Third Trigger Observation Date

·         $1.671 if a Trigger Event occurs on the Fourth Trigger Observation Date

·         $1.91 if a Trigger Event occurs on the Fifth Trigger Observation Date

·         $2.149 if a Trigger Event occurs on the Sixth Trigger Observation Date

·         $2.388 if a Trigger Event occurs on the Seventh Trigger Observation Date

·         $2.626 if a Trigger Event occurs on the Eighth Trigger Observation Date

·         $2.865 if a Trigger Event occurs on the Ninth Trigger Observation Date

·         $3.104 if a Trigger Event occurs on the Tenth Trigger Observation Date

·         $3.343 if a Trigger Event occurs on the Eleventh Trigger Observation Date

·         $3.581 if a Trigger Event occurs on the Twelfth Trigger Observation Date

Redemption Amount: On the Maturity Date, for each $10 principal amount of securities you hold, determined as follows:

·   If the Final Level of the Worst Performing Underlying is greater than or equal to its Downside Threshold Level, an amount calculated as follows:

$10 + the Contingent Return

·   If the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, an amount calculated as follows: 

$10 × Underlying Return of the Worst Performing Underlying

Under these circumstances, the Redemption Amount will be significantly less than the stated principal amount of $10, and will represent a loss of more than 40%, and possibly all, of your investment.

Contingent Return: $3.82 per security (38.20% of the stated principal amount)
Downside Threshold Level: For each Underlying, approximately 60% of the Initial Level of such Underlying, as set forth in the table above.
Distributor: MSSB.  See “Supplemental Plan of Distribution.”
Calculation Agent: Credit Suisse International
Initial Level: For each Underlying, the closing level of such Underlying on the Trade Date, as set forth in the table above.
Final Level: For each Underlying, the closing level of such Underlying on the Valuation Date
Underlying Return: For each Underlying, the Final Level of such Underlying divided by its Initial Level
Worst Performing Underlying: The Underlying with the lowest Underlying Return
CUSIP / ISIN: 22550K756/US22550K7569
   

 

 

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Additional Terms Specific to the Securities

 

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–B dated June 30, 2017:

 

http://www.sec.gov/Archives/edgar/data/1053092/000095010317006316/dp77781_424b2-ib.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 product supplement, the prospectus supplement or prospectus, the terms described in this pricing supplement will control.

 

Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, “we,” “us,” or “our” refers to Credit Suisse.

 

This pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, fact sheets, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. We may, without the consent of the registered holder of the securities and the owner of any beneficial interest in the securities, amend the securities to conform to its terms as set forth in this pricing supplement and the documents listed above, and the trustee is authorized to enter into any such amendment without any such consent. You should carefully consider, among other things, the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in any accompanying product supplement, “Foreign Currency Risks” in the accompanying prospectus, and any risk factors we describe in the combined Annual Report on Form 20-F of Credit Suisse Group AG and us incorporated by reference therein, and any additional risk factors we describe in future filings we make with the SEC under the Securities Exchange Act of 1934, as amended, as the securities involve risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other advisors before deciding to invest in the securities.

 

Prohibition of Sales to EEA Retail Investors

 

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

 

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

 

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

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

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

 

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

 

December 2019Page 3

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Supplemental Terms of the Securities

 

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

 

Product Supplement Defined Term 

Pricing Supplement Defined Term 

Knock-In Level Downside Threshold Level
Lowest Performing Underlying Worst Performing Underlying

December 2019Page 4

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Investment Summary

Auto-Callable Securities

Principal at Risk Securities

 

The Auto-Callable Securities due December 18, 2023 based on the worst performing of three Underlyings do not provide for the regular payment of interest or guarantee the return of any principal at maturity. The securities will be automatically redeemed if the closing level of each Underlying on any Trigger Observation Date is greater than or equal to its respective Trigger Level, and for each security you hold you will receive a cash payment equal to $10 plus the Automatic Redemption Premium applicable to such Trigger Observation Date. No further payments will be made on the securities once they have been redeemed. At maturity, if the securities have not previously been redeemed and the Final Level of the Worst Performing Underlying is greater than or equal to its Downside Threshold Level, you will receive per security $10 plus the Contingent Return of $3.82. However, if the securities are not automatically redeemed prior to maturity and the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, meaning that the Worst Performing Underlying has depreciated by more than 40% from its Initial Level, the payment due at maturity per security will be significantly less than $10 by an amount that is proportionate to the full percentage decline in the level of the Worst Performing Underlying from its Initial Level to its Final Level. Under these circumstances, the Redemption Amount per security will be less than $6 and could be zero. Accordingly, you may lose your entire initial investment in the securities.

 

Maturity: Approximately four years
Automatic Redemption: If, on any Trigger Observation Date, the closing level of each Underlying is greater than or equal to its respective Trigger Level, the securities will be automatically redeemed and you will receive the applicable Automatic Redemption Amount on the related Automatic Redemption Date.

Automatic Redemption Amount:

The Automatic Redemption Amount per security will equal $10 plus the Automatic Redemption Premium applicable to that Trigger Observation Date, as set forth below:

  ·      1st Trigger Observation Date: $0.955
  ·      2nd Trigger Observation Date: $1.194
  ·      3rd  Trigger Observation Date: $1.433
  ·      4th  Trigger Observation Date: $1.671
  ·      5th  Trigger Observation Date: $1.91
  ·      6th  Trigger Observation Date: $2.149
  ·      7th  Trigger Observation Date: $2.388
  ·      8th  Trigger Observation Date: $2.626
  ·      9th  Trigger Observation Date: $2.865
  ·      10th  Trigger Observation Date: $3.104
  ·      11th  Trigger Observation Date: $3.343
  ·      12th  Trigger Observation Date: $3.581

  No further payments will be made on the securities once they have been redeemed.

Redemption Amount:

If the securities have not previously been redeemed, you will receive at maturity a cash payment per security as follows:

 

·  If the Final Level of the Worst Performing Underlying is greater than or equal to its Downside Threshold Level, an amount calculated as follows:

 

 

December 2019Page 5

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

 

$10 + Contingent Return

 

·  If the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, an amount calculated as follows:

 

$10 × Underlying Return of the Worst Performing Underlying

 

If the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, investors will be fully exposed to the negative performance of the Worst Performing Underlying and will receive a Redemption Amount that is less than 60% of the stated principal amount of the securities and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment.

 

December 2019Page 6

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Key Investment Rationale

 

The securities do not provide for the regular payment of interest. Instead, if the closing level of each Underlying on any Trigger Observation Date is greater than or equal to its respective Trigger Level, for each security you hold you will receive a cash payment equal to $10 plus the Automatic Redemption Premium applicable to such Trigger Observation Date.

 

The following scenarios are for illustrative purposes only to demonstrate how an Automatic Redemption Amount or the Redemption Amount (if the securities have not previously been redeemed) is calculated, and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed prior to maturity and the Redemption Amount may be less than $10 and may be zero.

 

Scenario 1: The securities are redeemed prior to maturity When each Underlying closes at or above its respective Trigger Level on any Trigger Observation Dates, the securities will be automatically redeemed for a cash payment equal to $10 plus the Automatic Redemption Premium applicable to such Trigger Observation Date.  Investors do not participate in any appreciation of any Underlying.
Scenario 2: The securities are not redeemed prior to maturity, and investors receive a fixed positive return at maturity This scenario assumes that each Underlying closes below its respective Trigger Level on each Trigger Observation Date.  Consequently, the securities are not redeemed prior to maturity.  On the Valuation Date, the Worst Performing Underlying closes at or above its Downside Threshold Level.  At maturity, investors will receive a cash payment equal to $10 plus the Contingent Return of $3.82.
Scenario 3: The securities are not redeemed prior to maturity, and investors suffer a significant loss of principal at maturity This scenario assumes that each Underlying closes below its respective Trigger Level on each Trigger Observation Date.  Consequently, the securities are not redeemed prior to maturity.  On the Valuation Date, the Worst Performing Underlying closes below its Downside Threshold Level.  At maturity, investors will receive an amount equal to $10 multiplied by the Underlying Return of the Worst Performing Underlying.  Under these circumstances, the Redemption Amount will be significantly less than $10 and could be zero.

December 2019Page 7

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Hypothetical Examples

 

The following hypothetical examples are for illustrative purposes only. Whether the securities are redeemed prior to maturity will be determined by reference to the closing level of each Underlying on each Trigger Observation Date, and the Redemption Amount will be determined by reference to the closing level of the Worst Performing Underlying on the Valuation Date. The actual Initial Levels, Downside Threshold Levels and Trigger Levels are set forth in “Key Terms” herein. Some numbers appearing in the examples below have been rounded for ease of analysis. All payments on the securities are subject to our credit risk. The below examples are based on the following terms:

 

Hypothetical Worst Performing Underlying: EURO STOXX® Banks Index
Hypothetical Initial Level of the Worst Performing Underlying: 93
Hypothetical Downside Threshold Level of the Worst Performing Underlying: 55.80, which is 60% of its hypothetical Initial Level

Early Redemption Payment:

The Automatic Redemption Amount per security will equal $10 plus the Automatic Redemption Premium applicable to each Trigger Observation Date, as set forth below:

  ·      1st Trigger Observation Date: $0.955
  ·      2nd Trigger Observation Date: $1.194
  ·      3rd Trigger Observation Date: $1.433
  ·      4th Trigger Observation Date: $1.671
  ·      5th Trigger Observation Date: $1.91
  ·      6th Trigger Observation Date: $2.149
  ·      7th Trigger Observation Date: $2.388
  ·      8th Trigger Observation Date: $2.626
  ·      9th Trigger Observation Date: $2.865
  ·      10th Trigger Observation Date: $3.104
  ·      11th Trigger Observation Date: $3.343
  ·     12th Trigger Observation Date: $3.581
  No further payments will be made on the securities once they have been redeemed.

Contingent Return: $3.82
Redemption Amount:

If the securities have not previously been redeemed, you will receive at maturity a cash payment per security as follows:

 

·  If the Final Level of the Worst Performing Underlying is greater than or equal to its Downside Threshold Level, an amount calculated as follows:

 

$10 + the Contingent Return

 

·  If the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, an amount calculated as follows:

 

$10 × Underlying Return of the Worst Performing Underlying

 

 Under these circumstances, you will lose a significant portion or all of your investment.

Stated Principal Amount: $10

 

December 2019Page 8

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Automatic Redemption Amount:

 

Table 1 — A Trigger Event Occurs on a Trigger Observation Date

 

Date Payment (per Security)
1st Trigger Observation Date $10.955
2nd Trigger Observation Date $11.194
3rd Trigger Observation Date $11.433
4th  Trigger Observation Date $11.671
5th  Trigger Observation Date $11.91
6th  Trigger Observation Date  $12.149
7th  Trigger Observation Date  $12.388
8th  Trigger Observation Date  $12.626
9th  Trigger Observation Date  $12.865
10th  Trigger Observation Date  $13.104
11th  Trigger Observation Date  $13.343
12th Trigger Observation Date  $13.581

 

If a Trigger Event occurs on a Trigger Observation Date, investors will receive an amount on the related Automatic Redemption Date corresponding to $10 plus the Automatic Redemption Premimum applicable to such Automatic Redemption Date. No further payments will be made on the securities once they have been redeemed, and investors do not participate in any appreciation of any Underlying.

 

Redemption Amount

 

In the following examples, the closing level of each Underlying on each Trigger Observation Date is less than its respective Trigger Level, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.

 

Example 1 — The Final Level of the Worst Performing Underlying is at or above its Downside Threshold Level

 

Final Level of the Worst Performing Underlying Redemption Amount (per Security)
60 $10 + $3.82 = $13.82

 

In this example, the closing level of each Underlying is below its respective Initial Level on each Trigger Observation Date, and therefore the securities are not redeemed prior to maturity. The Final Level of the Worst Performing Underlying is greater than or equal to its Downside Threshold Level. At maturity, investors receive $13.82 per security, corresponding to $10 plus the Contingent Return of $3.82. However, investors do not participate in any appreciation of any Underlying over the term of the securities.

 

December 2019Page 9

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Example 2 — The Final Level of the Worst Performing Underlying is below its Downside Threshold Level

 

Final Level of the Worst Performing Underlying Redemption Amount (per Security)
46.50 $10 × 0.50 = $5

 

In this example, the closing level of each Underlying is below its respective Initial Level on each Trigger Observation Date, and therefore the securities are not redeemed prior to maturity. The Final Level of the Worst Performing Underlying is below its Downside Threshold Level, and accordingly, investors are fully exposed to the negative performance of the Worst Performing Underlying over the term of the securities, and will receive a Redemption Amount that is significantly less than the stated principal amount of the securities. The Redemption Amount is $5 per security, representing a loss of 50% on your investment.

 

If the securities are not redeemed prior to maturity and the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, you will lose a significant portion or all of your investment in the securities.

 

December 2019Page 10

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Selected Risk Considerations

 

This section describes the most significant risks relating to the securities. For a complete list of risk factors, please see the accompanying underlying supplement, any product supplement, the prospectus and prospectus supplement. Investors should consult their financial and legal advisers as to the risks entailed by an investment in the securities and the suitability of the securities in light of their particular circumstances.

 

§The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the payment of regular interest or the return of any of the principal amount at maturity. Instead, if the securities have not been subject to an Automatic Redemption and the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, you will be fully exposed to the decline in the level of the Worst Performing Underlying over the term of the securities, and you will receive for each security that you hold at maturity an amount of cash that is significantly less than the Principal Amount, in proportion to the decline in the level of the Worst Performing Underlying from its Initial Level to its Final Level. Under this scenario, the value of any such payment will be less than 60% of the Principal Amount and could be zero. You may lose up to your entire initial investment in the securities. Any payment on the securities is subject to our ability to pay our obligations as they become due.

 

§Regardless of the amount of any payment you receive on the securities, your actual yield may be different in real value terms. Inflation may cause the real value of any payment you receive on the securities to be less at maturity than it is at the time you invest. An investment in the securities also represents a forgone opportunity to invest in an alternative asset that generates a higher real return. You should carefully consider whether an investment that may result in a return that is lower than the return on alternative investments is appropriate for you.

 

§The probability that the Final Level of the Worst Performing Underlying will be less than its Downside Threshold Level will depend on the volatility of such Underlying. “Volatility” refers to the frequency and magnitude of changes in the level of an Underlying. The greater the expected volatility with respect to an Underlying on the Trade Date, the higher the expectation as of the Trade Date that the Final Level of such Underlying could be less than its Downside Threshold Level, indicating a higher expected risk of loss on the securities. The terms of the securities are set, in part, based on expectations about the volatility of the Underlyings as of the Trade Date. The volatility of any Underlying can change significantly over the term of the securities. The levels of any Underlying could fall sharply, which could result in a significant loss of principal. You should be willing to accept the downside market risk of the Underlyings and the potential to lose a significant amount of your principal at maturity.

 

§The securities do not pay interest. We will not pay interest on the securities. You may receive less at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since the Redemption Amount at maturity is based on the performance of the Underlyings. Because the Redemption Amount due at maturity may be less than the amount originally invested in the securities, the return on the securities (the effective yield to maturity) may be negative. Even if it is positive, the return payable on each security may not be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time.

 

§Limited appreciation potential. If a Trigger Event occurs or the Final Level of every Underlying is greater than or equal to its respective Downside Threshold Level, the appreciation potential of the securities will be limited to (i) the Automatic Redemption Premium applicable to the relevant Trigger Observation Date or (ii) the Contingent Return, as set forth in “Key Terms” herein, regardless of any appreciation in the Underlying, which may be significant. Any payment on the securities is subject to our ability to pay our obligations as they become due.

 

§Automatic Redemption risk. The securities are subject to a potential Automatic Redemption, which exposes you to reinvestment risk. If the securities are automatically redeemed prior to maturity, you may not be able to invest in other securities with a similar level of risk that offer the same return as the securities.

 

§You will be subject to risks relating to the relationship between the Underlyings. The securities are linked to the individual performance of each Underlying. As such, the securities will perform poorly if only one of the Underlyings performs poorly. For example, if one Underlying appreciates from its Initial Level to its Final Level, but the Final Level of the Worst Performing Underlying is less than its Downside Threshold Level, you will be exposed to the depreciation of the Worst Performing Underlying and you will not benefit from the performance of any other Underlying. Each additional Underlying to

 

December 2019Page 11

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

which the securities are linked increases the risk that the securities will perform poorly. By investing in the securities, you assume the risk that the Final Level of at least one of the Underlyings will be less than its Downside Threshold Level, regardless of the performance of any other Underlying.

 

It is impossible to predict the relationship between the Underlyings. If the performances of the Underlyings exhibit no relationship to each other, it is more likely that one of the Underlyings will cause the securities to perform poorly. However, if the performances of the equity securities included in each Underlying are related such that the performances of the Underlyings are correlated, then there is less likelihood that only one Underlying will cause the securities to perform poorly. Furthermore, to the extent that each Underlying represents a different market segment or market sector, the risk of one Underlying performing poorly is greater. As a result, you are not only taking market risk on each Underlying, you are also taking a risk relating to the relationship among the Underlyings.

 

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

 

§The stocks included in the EURO STOXX® Banks Index are concentrated in one particular sector. All of the stocks included in the EURO STOXX® Banks Index are issued by companies in a single sector. As a result, the stocks that will determine the performance of the EURO STOXX® Banks Index are concentrated in a single sector. Although an investment in the securities will not give holders any ownership or other direct interests in the stocks held by the EURO STOXX® Banks Index, the return on an investment in the securities will be subject to certain risks associated with a direct equity investment in companies in a single sector. Accordingly, by investing in the securities, you will not benefit from the diversification which could result from an investment linked to companies that operate in a broader range of sectors.

 

§The closing level of the EURO STOXX® Banks Index will not be adjusted for changes in exchange rates relative to the U.S. Dollar even though the equity securities included in the EURO STOXX® Banks Index are traded in a foreign currency and the securities are denominated in U.S. Dollars. The value of your securities will not be adjusted for exchange rate fluctuations between the U.S. Dollar and the currencies in which the equity securities included in the EURO STOXX® Banks Index are based. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. Dollar over the term of the securities, you will not receive any additional payment or incur any reduction in your return, if any, at maturity.

 

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

 

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under the securities. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the securities prior to maturity.

 

§Hedging and trading activity. We, any dealer or any of our or their respective affiliates may carry out hedging activities related to the securities, including in instruments related to the Underlyings. We, any dealer or our or their respective affiliates may also trade instruments related to the Underlyings from time to time. Any of these hedging or trading activities on or prior to the Trade Date and during the term of the securities could adversely affect our payment to you at maturity.

 

§The estimated value of the securities on the Trade Date is less than the Price to Public. The initial estimated value of your securities on the Trade Date (as determined by reference to our pricing models and our internal funding rate) is less than the original Price to Public. The Price to Public of the securities includes any discounts or commissions as well as transaction costs such as expenses incurred to create, document and market the securities and the cost of hedging our risks as issuer of the securities through one or more of our affiliates (which includes a projected profit). These costs will be effectively borne by you as an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in connection with our structuring and offering of the securities (except to the extent discounts or commissions are reallowed to other broker-dealers or any costs are paid to third parties).

On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a fixed income component valued using our internal funding rate, and individual option components valued using mid-market pricing. As such, the payout on the securities can be replicated using a combination of these components and the value of these components, as determined by us using our pricing models, will impact the terms of the securities at issuance. Our option valuation models are proprietary. Our pricing models take into account factors such as interest rates, volatility and time to maturity of the securities, and they rely in part on certain assumptions about future events, which may prove to be incorrect.

 

Because Credit Suisse’s pricing models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value at any time may not be comparable to estimated values of similar securities of other issuers.

 

§Effect of interest rate in structuring the securities. The internal funding rate we use in structuring notes such as these securities is typically lower than the interest rate that is reflected in the yield on our conventional debt securities of similar maturity in the secondary market (our “secondary market credit spreads”).  If on the Trade Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms of the securities will generally be less favorable to you than they would have been if our secondary market credit spread had been used in structuring the securities. We will also use our internal funding rate to determine the price of the securities if we post a bid to repurchase your securities in secondary market transactions. See “—Secondary Market Prices” below.

 

§Secondary market prices. If Credit Suisse (or an affiliate) bids for your securities in secondary market transactions, which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade Date. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the securities in the secondary market (if any exists) at any time. The secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated value determined by reference to our pricing models and other factors. These other factors include our internal funding rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or improvement in our creditworthiness. In circumstances where our internal funding rate is lower than our secondary market credit spreads, our secondary market bid for your securities could be more favorable than what other dealers might bid because, assuming all else equal, we use the lower internal funding rate to price the securities and other dealers might use the higher secondary market credit spread to price them. Furthermore, assuming no change in market conditions from the Trade Date, the secondary market price of your securities will be lower than the Price to Public because it will not include any discounts or commissions and hedging and other transaction costs. If you sell your securities to a dealer in a secondary market transaction, the dealer may impose an additional discount or commission, and as a result the price you receive on your securities may be lower than the price at which we may repurchase the securities from such dealer.

 

We (or an affiliate) may initially post a bid to repurchase the securities from you at a price that will exceed the then-current estimated value of the securities. That higher price reflects our projected profit and costs that were included in the Price to Public, and that higher price may also be initially used for account statements or otherwise. We (or our affiliate) may offer to pay this higher price, for your benefit, but the amount of any excess over the then-current estimated value will be temporary and is expected to decline over a period of approximately three months.

 

December 2019Page 13

 

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Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

The securities are not designed to be short-term trading instruments and any sale prior to maturity could result in a substantial loss to you. You should be willing and able to hold your securities to maturity.

 

§Credit Suisse is subject to Swiss regulation. As a Swiss bank, Credit Suisse is subject to regulation by governmental agencies, supervisory authorities and self-regulatory organizations in Switzerland. Such regulation is increasingly more extensive and complex and subjects Credit Suisse to risks. For example, pursuant to Swiss banking laws, the Swiss Financial Market Supervisory Authority (FINMA) may open resolution proceedings if there are justified concerns that Credit Suisse is over-indebted, has serious liquidity problems or no longer fulfills capital adequacy requirements. FINMA has broad powers and discretion in the case of resolution proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity and/or cancel such liabilities in whole or in part. If one or more of these measures were imposed, such measures may adversely affect the terms and market value of the securities and/or the ability of Credit Suisse to make payments thereunder and you may not receive any amounts owed to you under the securities.

 

§Lack of liquidity. The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.

 

§Potential conflicts. We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent and as agent of the issuer for the offering of the securities, hedging our obligations under the securities and determining their estimated value. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the securities. For instance, as calculation agent, Credit Suisse International will determine the Initial Level, the Downside Threshold Level and the Trigger Level for each Underlying, whether on any Trigger Observation Date and the Redemption Amount, if any. Moreover, certain determinations made by Credit Suisse International, in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor underlying or calculation of the closing level in the event of a market disruption event or discontinuance of an Underlying. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. In addition, hedging activities by us or our affiliates on or prior to the Trade Date could potentially increase the Initial Levels of the Underlyings, and therefore, could increase the Downside Threshold Levels, which are the respective levels at or above which each Underlying must close in order for you to receive the Contingent Return and so that you are not exposed to the negative performance of the Worst Performing Underlying on the Valuation Date, and Trigger Levels, which are the respective levels at or above which each Underlying must close in order for you to receive the Automatic Redemption Amount applicable to an Automatic Redemption Date. Further, hedging activities may adversely affect any payment on or the value of the securities. Any profit in connection with such hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of the securities, which creates an additional incentive to sell the securities to you.

 

§Unpredictable economic and market factors will affect the value of the securities. The payout on the securities can be replicated using a combination of the components described in “The estimated value of the securities on the Trade Date is less than the Price to Public.” Therefore, in addition to the levels of any Underlying, the terms of the securities at issuance and the value of the securities prior to maturity may be influenced by factors that impact the value of fixed income securities and options in general such as:

 

o       the expected and actual volatility of the Underlyings;

 

o       the expected and actual correlation, if any, between the Underlyings;

 

o       the time to maturity of the securities;

 

o        the dividend rate on the equity securities included in the Underlyings;

 

o       interest and yield rates in the market generally;

 

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

 

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Principal at Risk Securities

 

o       events affecting companies engaged in the industry tracked by the EURO STOXX® Banks Index;

 

o       geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the components included in the Underlyings or markets generally and which may affect the levels of the Underlyings; and

 

o       our creditworthiness, including actual or anticipated downgrades in our credit ratings.

 

Some or all of these factors may influence the price that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.

 

§No ownership rights relating to the Underlyings. Your return on the securities will not reflect the return you would realize if you actually owned the equity securities that comprise the Underlyings. 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 Underlyings. For example, 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 Underlyings.

 

§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 shares of the Underlyings.

 

§Adjustments to the Underlyings could adversely affect the value of the securities. The publisher of each Underlying may add, delete or substitute the component stocks of such Underlying or make other methodological changes that could change the value of such Underlying. Any of these actions could adversely affect the value of the securities. The publisher of each Underlying may also discontinue or suspend calculation or publication of such Underlying at any time. In these circumstances, Credit Suisse International, as the calculation agent, will have the sole discretion to substitute a successor underlying that is comparable to the discontinued Underlying. Credit Suisse International could have an economic interest that is different than that of investors in the securities insofar as, for example, Credit Suisse International is permitted to consider Underlyings that are calculated and published by Credit Suisse International or any of its affiliates. If Credit Suisse International determines that there is no appropriate successor underlying on the Valuation Date, the amount payable at maturity will be based on the value of such Underlying, based on the closing prices of the stocks constituting such Underlying at the time of such discontinuance, without rebalancing or substitution, computed by Credit Suisse International as calculation agent in accordance with the formula for calculating such Underlying last in effect prior to such discontinuance, as compared to the Initial Level.

 

§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 prepaid financial contracts that are treated as “open transactions.” If the IRS were successful in asserting an alternative treatment of the securities, the tax consequences of the 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.

 

Supplemental Use of Proceeds and Hedging

 

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

 

December 2019Page 15

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

S&P 500® Index Summary

 

The S&P 500® Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC, consists of stocks of 500 component companies selected to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based on the relative value of the float-adjusted aggregate market capitalization of the 500 component companies as of a particular time as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through 1943.

 

Information as of market close on December 13, 2019:

 

Bloomberg Ticker Symbol: SPX
Current Closing Level: 3168.80
52 Weeks Ago (on 12/14/2018): 2599.95
52 Week High (on 12/13/2019): 3168.80
52 Week Low (on 12/24/2018): 2351.10

 

For additional information about the S&P 500® Index, see “S&P 500® Index” in the accompanying underlying supplement. Furthermore, for additional historical information, see “S&P 500® Index Historical Performance” below.

 

Russell 2000® Index Summary

 

The Russell 2000® Index, which is calculated, maintained and published by Russell Investments, is designed to track the performance of the small capitalization segment of the U.S. equity market. As a subset of the Russell 3000® Index (the “Russell 3000”), the Russell 2000® Index consists of approximately 2,000 of the smallest companies (based on a combination of their market capitalization and current index membership) included in the Russell 3000.

 

Information as of market close on December 13, 2019:

 

Bloomberg Ticker Symbol: RTY
Current Closing Level: 1637.976
52 Weeks Ago (on 12/14/2018): 1410.813
52 Week High (on 12/12/2019): 1644.813
52 Week Low (on 12/24/2018): 1266.925

 

For additional information about the Russell 2000® Index, see “Russell 2000® Index” in the accompanying underlying supplement. Furthermore, for additional historical information, see “Russell 2000® Index Historical Performance” below.

 

EURO STOXX® Banks Index Summary

 

The EURO STOXX® Banks Index is a free-float market capitalization index that currently includes 25 stocks of banks market sector leaders from 11 Eurozone countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. Not all 11 countries are represented in the EURO STOXX® Banks Index at any given time.

 

Information as of market close on December 13, 2019:

 

Bloomberg Ticker Symbol: SX7E
Current Closing Level: 96.18
52 Weeks Ago (on 12/14/2018): 92.04
52 Week High (on 4/17/2019): 103.60
52 Week Low (on 8/15/2019): 77.45

 

For additional information about the EURO STOXX® Banks Index, see “EURO STOXX® Banks Index” in the accompanying underlying supplement. Furthermore, for additional historical information, see “EURO STOXX® Banks Index Historical Performance” below.

 

December 2019Page 16

 

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Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

S&P 500® Index Historical Performance

 

The following graph sets forth the daily closing levels of the S&P 500® Index for the period from January 2, 2014 through December 13, 2019. The related table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the S&P 500® Index for each quarter in the same period. The closing level on December 13, 2019 was 3168.80. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical values of the S&P 500® Index should not be taken as an indication of future performance, and no assurance can be given as to the level of the S&P 500® Index on any Trigger Observation Date.

 

S&P 500® Index Daily Closing Levels 

January 2, 2014 to December 13, 2019

* The solid red line in the graph indicates the Downside Threshold Level.

December 2019Page 17

 

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Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

S&P 500® Index High Low Period End
2014      
First Quarter 1878.04 1741.89 1872.34
Second Quarter 1962.87 1815.69 1960.23
Third Quarter 2011.36 1909.57 1972.29
Fourth Quarter 2090.57 1862.49 2058.90
2015      
First Quarter 2117.39 1992.67 2067.89
Second Quarter 2130.82 2057.64 2063.11
Third Quarter 2128.28 1867.61 1920.03
Fourth Quarter 2109.79 1923.82 2043.94
2016      
First Quarter 2063.95 1829.08 2059.74
Second Quarter 2119.12 2000.54 2098.86
Third Quarter 2190.15 2088.55 2168.27
Fourth Quarter 2271.72 2085.18 2238.83
2017      
First Quarter 2395.96 2257.83 2362.72
Second Quarter 2453.46 2328.95 2423.41
Third Quarter 2519.36 2409.75 2519.36
Fourth Quarter 2690.16 2529.12 2673.61
2018      
First Quarter 2872.87 2581.00 2640.87
Second Quarter 2786.85 2581.88 2718.37
Third Quarter 2930.75 2713.22 2913.98
Fourth Quarter 2925.51 2351.10 2506.85
2019      
First Quarter 2854.88 2447.89 2834.40
Second Quarter 2954.18 2744.45 2941.76
Third Quarter 3025.86 2840.60 2976.74
Fourth Quarter (through December 13, 2019) 3168.80 2887.61 3168.80

December 2019Page 18

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Russell 2000® Index Historical Performance

 

The following graph sets forth the daily closing levels of the Russell 2000® Index for the period from January 2, 2014 through December 13, 2019. The related table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the Russell 2000® Index for each quarter in the same period. The closing level on December 13, 2019 was 1637.976. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical values of the Russell 2000® Index should not be taken as an indication of future performance, and no assurance can be given as to the level of the Russell 2000® Index on any Observation Date.

 

Russell 2000® Index Daily Closing Levels

January 2, 2014 to December 13, 2019

* The solid red line in the graph indicates the Downside Threshold Level.

December 2019Page 19

 

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Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Russell 2000® Index High Low Period End
2014      
First Quarter 1208.651 1093.594 1173.038
Second Quarter 1192.964 1095.986 1192.964
Third Quarter 1208.150 1101.676 1101.676
Fourth Quarter 1219.109 1049.303 1204.696
2015      
First Quarter 1266.373 1154.709 1252.772
Second Quarter 1295.799 1215.417 1253.947
Third Quarter 1273.328 1083.907 1100.688
Fourth Quarter 1204.159 1097.552 1135.889
2016      
First Quarter 1114.028 953.715 1114.028
Second Quarter 1188.954 1089.646 1151.923
Third Quarter 1263.438 1139.453 1251.646
Fourth Quarter 1388.073 1156.885 1357.130
2017      
First Quarter 1413.635 1345.598 1385.920
Second Quarter 1425.985 1345.244 1415.359
Third Quarter 1490.861 1356.905 1490.861
Fourth Quarter 1548.926 1464.095 1535.511
2018      
First Quarter 1610.706 1463.793 1529.427
Second Quarter 1706.985 1492.531 1643.069
Third Quarter 1740.753 1653.132 1696.571
Fourth Quarter 1672.992 1266.925 1348.559
2019      
First Quarter 1590.062 1330.831 1539.739
Second Quarter 1614.976 1465.487 1566.572
Third Quarter 1585.599 1456.039 1523.373
Fourth Quarter (through December 13, 2019) 1644.813 1472.598 1637.976

December 2019Page 20

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

EURO STOXX® Banks Index Historical Performance

 

The following graph sets forth the daily closing levels of the EURO STOXX® Banks Index for the period from January 2, 2014 through December 13, 2019. The related table sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the EURO STOXX® Banks Index for each quarter in the same period. The closing level on December 13, 2019 was 96.18. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical values of the EURO STOXX® Banks Index should not be taken as an indication of future performance, and no assurance can be given as to the level of the EURO STOXX® Banks Index on any Observation Date.

 

EURO STOXX® Banks Index Daily Closing Levels 

January 2, 2014 to December 13, 2019

* The solid red line in the graph indicates the Downside Threshold Level.

December 2019Page 21

 

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Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

EURO STOXX® Banks Index High Low Period End
2014      
First Quarter 156.58 139.31 155.26
Second Quarter 162.81 145.66 146.52
Third Quarter 154.60 135.67 149.21
Fourth Quarter 149.39 129.86 134.51
2015      
First Quarter 158.53 124.29 157.65
Second Quarter 161.70 148.38 149.91
Third Quarter 161.45 128.04 131.34
Fourth Quarter 141.12 123.03 127.87
2016      
First Quarter 125.04 89.65 101.38
Second Quarter 111.28 79.03 83.25
Third Quarter 99.11 78.37 92.54
Fourth Quarter 120.34 91.84 117.67
2017      
First Quarter 127.52 111.98 127.52
Second Quarter 139.87 118.94 131.16
Third Quarter 139.91 127.83 138.38
Fourth Quarter 137.82 129.98 130.48
2018      
First Quarter 143.05 123.72 125.69
Second Quarter 131.97 109.41 110.45
Third Quarter 116.73 104.16 106.55
Fourth Quarter 106.08 84.80 87.04
2019      
First Quarter 98.51 86.61 93.25
Second Quarter 103.60 85.57 88.14
Third Quarter 92.04 77.45 87.70
Fourth Quarter (through December 13, 2019) 96.75 82.90 96.18

December 2019Page 22

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

United States Federal Tax Considerations

 

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

 

There are no statutory, judicial or administrative authorities that address the U.S. federal income tax treatment of the securities or instruments that are similar to the securities. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a security should be treated as a prepaid financial contract that is an “open transaction” for U.S. federal income tax purposes. However, there is uncertainty regarding this treatment.

 

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:

 

·You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or other disposition.

 

·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. 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 IRS could treat the securities as 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, could be materially and adversely affected. Moreover, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the 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. Subject to the discussions in the next paragraph and in “Material United States Federal Income Tax Considerations” in the accompanying product supplement, if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should not be subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United States, and (ii) you comply with the applicable certification requirements.

 

As discussed under “Material United States Federal Income Tax Considerations—Non-U.S. Holders Generally—Substitute Dividend and Dividend Equivalent Payments” in the accompanying product supplement, Section 871(m) of the Internal Revenue Code generally imposes a 30% withholding tax on “dividend equivalents” paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Treasury regulations under Section 871(m), as modified by an IRS notice, exclude from their scope financial instruments issued prior to January 1, 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.

 

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Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

If withholding tax applies to the securities, we will not be required to pay any additional amounts with respect to amounts withheld.

 

FATCA.  You should review the section entitled “Material United States Federal Income Tax Considerations—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.

 

December 2019Page 24

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Supplemental Plan of Distribution

 

Under the terms and subject to the conditions contained in a distribution agreement dated May 7, 2007, as amended, which we refer to as the distribution agreement, we have agreed to sell the securities to CSSU. The distribution agreement provides that CSSU is obligated to purchase all of the securities if any are purchased.

 

CSSU will offer the securities at the offering price set forth on the cover page of this pricing supplement and will receive underwriting discounts and commissions of $0.30 per $10.00 principal amount of securities. MSSB and its financial advisors will collectively receive from CSSU discounts and commissions of $0.30 for each security they sell, of which $0.05 per $10.00 principal amount of securities reflects a structuring fee. CSSU may re-allow some or all of the discount on the principal amount per security on sales of such securities by other brokers or dealers. If all of the securities are not sold at the initial offering price, CSSU may change the public offering price and other selling terms.

 

An affiliate of Credit Suisse has paid or may pay in the future a fixed amount to broker-dealers in connection with the costs of implementing systems to support these securities.

 

We expect to deliver the securities against payment for the securities on the Settlement Date indicated herein, which may be a date that is greater than two business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than two business days after the Trade Date, purchasers who wish to transact in the securities more than two business days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.

 

The agent for this offering, CSSU, is our affiliate. In accordance with FINRA Rule 5121, CSSU may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer. A portion of the net proceeds from the sale of the securities will be used by CSSU or one of its affiliates in connection with hedging our obligations under the securities.

 

For further information, please refer to “Underwriting (Conflicts of Interest)” in any accompanying product supplement.

 

December 2019Page 25

 

Auto-Callable Securities due December 18, 2023

Based on the Performance of the Worst Performing of Three Underlyings
Principal at Risk Securities

 

Validity of the Securities

 

In the opinion of Davis Polk & Wardwell LLP, as United States counsel to Credit Suisse, when the securities 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 December 6, 2019 and filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on December 6, 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 December 6, 2019, which was filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on December 6, 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.

 

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