Obbligazione Swiss Credit 0% ( US22546VCP94 ) in USD

Emittente Swiss Credit
Prezzo di mercato 98.614 USD  ⇌ 
Paese  Svizzera
Codice isin  US22546VCP94 ( in USD )
Tasso d'interesse 0%
Scadenza 01/05/2025 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Credit Suisse US22546VCP94 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 50 000 000 USD
Cusip 22546VCP9
Standard & Poor's ( S&P ) rating N/A
Moody's rating NR
Descrizione dettagliata Credit Suisse è stata una grande banca svizzera, fallita nel marzo 2023 e acquisita da UBS.

The Obbligazione issued by Swiss Credit ( Switzerland ) , in USD, with the ISIN code US22546VCP94, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 01/05/2025

The Obbligazione issued by Swiss Credit ( Switzerland ) , in USD, with the ISIN code US22546VCP94, was rated NR by Moody's credit rating agency.







424B2 1 dp56132_424b2-csdrnmf1.htm FORM 424B2
Pricing Supplement No. CSDRNMF1
Filed Pursuant to Rule 424(b)(2)
To the Underlying Supplement dated May 11, 2015,
Registration Statement Nos. 333-202913 and 333-180300-03
Product Supplement No. RN-I dated May 4, 2015,
May 7, 2015
Prospectus Supplement dated May 4, 2015 and
Prospectus dated May 4, 2015

50,000* Daily Redeemable Notes ("DRNs") due May 7, 2025
General
·
The DRNs are senior, unsecured debt securities issued by Credit Suisse AG ("Credit Suisse"), acting through its Nassau branch, that are
designed for investors who seek exposure to the performance of the Credit Suisse Managed Futures Liquid Index (the "Index"). The Index is
designed to gain broad exposure that simulates a "managed futures" strategy using a quantitative allocation methodology to track a basket of
currency futures, sovereign bond futures, equity index futures and commodity indices, which we refer to collectively as the "index
components." The Index is not actively managed in any way, and is composed and calculated in a purely formulaic manner based on
objective quantitative criteria. Investors seeking an actively managed investment strategy should not purchase the DRNs. The DRNs should
be purchased only by knowledgeable investors who understand the objectives and risks associated with the Index and the potential consequences
of investing in the DRNs. The Index is published by one of our affiliates and has limited history. For a description of the Index see "Summary of
the Index" in this pricing supplement and the accompanying underlying supplement.

·
Investors should understand that the DRNs do not pay interest and, if the Index declines or does not increase sufficiently to offset the impact of
fees and charges (as described below), be willing to lose up to 100% of their investment. Any payment on the DRNs is subject to our ability to
pay our obligations as they become due.

·
The DRNs are senior medium-term notes of Credit Suisse AG, acting through its Nassau branch, maturing May 7, 2025, subject to postponement
in certain circumstances.

·
The DRNs priced on May 7, 2015 (the "inception date") and are expected to settle on May 12, 2015 (the "initial settlement date"). Delivery of
the DRNs in book-entry form only will be made through The Depository Trust Company ("DTC").

·
The denomination and stated principal amount of each DRN is $1,000. After the inception date, additional DRNs may be offered and sold from
time to time at a price higher or lower than the stated principal amount, based on the most recent closing indicative value of the DRNs.

·
An investment in the DRNs involves significant risks and is not appropriate for every investor. Investing in the DRNs is not equivalent to
investing directly in the Index. Accordingly, the DRNs should be purchased only by knowledgeable investors who understand the terms
of the investment in the DRNs and are familiar with the behavior of the Index. Investors should consider potential transaction costs when
evaluating an investment in the DRNs and should regularly monitor their holdings of the DRNs to ensure that they remain consistent
with their investment strategies.

·
The DRNs are subject to early redemption at your option (subject to the applicable early redemption charge) and at our option, in each case
subject to the requirements specified below and in the accompanying product supplement.

·
The DRNs are subject to a daily investor fee specified below.

·
The level of the Index will be reduced by the notional transaction cost and holding cost for each index component as described in the section "The
Index" in the accompanying underlying supplement.

Investing in the DRNs involves a number of risks. See "Selected Risk Considerations" beginning on page PS-8 of this pricing supplement and
"Risk Factors beginning on US-2 of the accompanying underlying supplement and PS-4 of the accompanying product supplement.

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

*We issued 5,200 DRNs on the inception date at an offering price equal to 100% of the stated principal amount of $1,000 per DRN. Additional DRNs
may be issued and sold from time to time at prices based on the most recent closing indicative value of the DRNs at the time of sale. For the initial
public offering of the DRNs, we paid no underwriting discounts and commissions, and received proceeds equal to 100% of the offering price of the
DRNs sold. After the inception date, the public offering price, concession and discount of such DRNs, including discounts and commissions paid to
third-party broker-dealers acting as custodians, may be changed. In exchange for providing certain services relating to the distribution of the DRNs,
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Credit Suisse Securities (USA) LLC ("CSSU"), a member of the Financial Industry Regulatory Authority ("FINRA"), or another member may
receive all or a portion of the investor fee. In addition, CSSU will charge investors the applicable early redemption charge as specified herein. Please
see "Supplemental Plan of Distribution (Conflicts of Interest)" on page PS-24 of this pricing supplement.

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

The DRNs 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
May 7, 2015



TABLE OF CONTENTS


PAGE


Summary of the DRNs
PS-1
Summary of the Index
PS-4
Hypothetical Examples
PS-6
Selected Risk Considerations
PS-9
Supplemental Use of Proceeds and Hedging
PS-15
Supplemental Description of the DRNs
PS-16
Historical Information
PS-18
Material U.S. Federal Income Tax Considerations
PS-19
Supplemental Plan of Distribution (Conflicts of Interest)
PS-24
Split or Reverse Split of the DRNs
PS-25
Annex A
A-1
You should read this pricing supplement together with the accompanying underlying supplement dated May 11, 2015, the product supplement dated
May 4, 2015, the prospectus supplement dated May 4, 2015 and the prospectus dated May 4, 2015, relating to our Medium-Term Notes of which these
DRNs 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 May 11, 2015:


https://www.sec.gov/Archives/edgar/data/1053092/000095010315003790/dp56123_424b2-mfus.htm


·
Product supplement No. RN-I dated May 4, 2015:


http://www.sec.gov/Archives/edgar/data/1053092/000095010315003521/dp55841_424b2-rni.htm


·
Prospectus supplement and Prospectus dated May 4, 2015:

http://www.sec.gov/Archives/edgar/data/1053092/000104746915004333/a2224570z424b2.htm
Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, the "Company," "we," "us," or "our" refer to
Credit Suisse, and "Daily Redeemable Notes" and "DRNs" refer to the "Redeemable Notes" and "RNs", respectively, in the accompanying product
supplement.
This pricing supplement, together with the documents listed above, contains the terms of the DRNs 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,
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structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things,
the matters set forth in " Selected Risk Considerations" in this pricing supplement and "Risk Factors" in the 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 DRNs 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 DRNs.



PS­ Please DO NOT DELETE used for page numbering.

SUMMARY OF THE DRNS

Issuer:
Credit Suisse AG ("Credit Suisse"), acting through its Nassau branch
CUSIP/ISIN:
22546VCP9/ US22546VCP94
Index:
The return on the DRNs will be based on the performance of the Index during the term of the DRNs. The Index is reported on
Bloomberg under ticker symbol "CSLABMF <Index>." The Index is designed to gain broad exposure that simulates a
"managed futures" strategy using a quantitative allocation methodology to track a basket of currency futures, sovereign bond
futures, equity index futures and commodity indices. The Index is not actively managed in any way, and is composed and
calculated in a purely formulaic manner based on objective quantitative criteria. Investors seeking an actively managed
investment strategy should not purchase the DRNs.
For more information on the Index, see "Summary of the Index" below and the "The Index" in the accompanying underlying
supplement.
Redemption
If your DRNs have not previously been redeemed by Credit Suisse, at maturity you will receive, for each DRN you hold, a
Amount:
cash payment equal to the closing indicative value of your DRNs on the final valuation date. Any payment on the DRNs is
subject to our ability to pay our obligations as they become due.
Closing Indicative
The closing indicative value for the DRNs on the inception date will equal the $1,000 stated principal amount. The closing
Value:
indicative value of the DRNs on each calendar day following the inception date will be equal to (1)(a) the closing indicative
value on the calendar day immediately preceding such calendar day times (b) the daily index factor on such calendar day
minus (2) the daily investor fee on such calendar day. The closing indicative value will never be less than zero. If the closing
indicative value is equal to zero on any DRN trading day, the closing indicative value on that day, and on all future
days, will be zero. If the DRNs undergo a split or reverse split, the closing indicative value will be adjusted accordingly. See
"Split or Reverse Split of the DRNs" in this pricing supplement.
Listing:
The DRNs will not be listed on any securities exchange. The DRNs may be redeemed pursuant to the early redemption
right at your option or our option, as set forth below, but we will not purchase the DRNs in the secondary market.
Daily Index Factor:
The daily index factor on any DRN trading day will be equal to (1) the closing level of the Index on such DRN trading day
divided by (2) the closing level of the Index on the immediately preceding DRN trading day. The daily index factor is deemed
to be one (1.00) on any day that is not a DRN trading day.
Daily Investor Fee:
On any calendar day (each a "calculation day"), the daily investor fee will be equal to the product of (1) the closing
indicative value on the immediately preceding calendar day times (2) the daily index factor on such calculation day times
(3)(a) the investor fee factor divided by (b) 365.
Because the daily investor fee reduces the amount of your return at maturity or upon early redemption, the level of the Index
must increase by an amount sufficient to offset the impact of the daily investor fee (and the applicable early redemption
charge for DRNs redeemed at your option, if you elect to have Credit Suisse redeem your DRNs prior to maturity, as
described herein) in order for you to receive at least the amount of your initial investment at maturity or upon early
redemption. If the level of the Index decreases or does not increase sufficiently, you will receive less, and possibly
significantly less, than the amount of your initial investment at maturity or upon early redemption.
Investor Fee Factor:
The investor fee factor is 1.00%.

PS-1
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Early Redemption of Subject to the requirements described below and in the accompanying product supplement, you may offer at least the
the DRNs at Your
applicable minimum early redemption quantity to Credit Suisse for early redemption on any business day during the term of
Option:
the DRNs until April 30, 2025 (each such day, an "election date"). The "applicable minimum early redemption quantity"
will be 100 DRNs ($100,000 aggregate stated principal amount of DRNs, subject to adjustment in the event of a split or
reverse split of the DRNs) on any business day other than a Wednesday and 1 DRN ($1,000 aggregate stated principal
amount of DRNs, subject to adjustment in the event of a split or reverse split of the DRNs) on any business day that is a
Wednesday. The DRN trading day immediately succeeding the applicable election date will be the valuation date applicable
to such early redemption. If you elect to offer your DRNs for early redemption and the requirements for acceptance by Credit
Suisse, as described in "Description of the RNs--Early Redemption Procedures--Early Redemption at Your Option" in the
accompanying product supplement, are met, you will receive, for each DRN you redeem, a cash payment on the third
business day following the applicable valuation date (the "early redemption date") in an amount equal to the daily early
redemption value, less the early redemption charge. However, if we receive your offer for early redemption after 4:00 p.m.,
New York City time, on a business day, you will be deemed to have made the applicable offer for early redemption on the
following business day. If the DRNs undergo a split or reverse split, the minimum number of DRNs needed to exercise your
right to redeem will remain the same and the aggregate stated principal amount of DRNs needed to exercise your right to
redeem will be adjusted.
Unless the scheduled early redemption date is postponed because it is not a business day or because there is a market
disruption event on the scheduled valuation date, the final day on which Credit Suisse will redeem your DRNs at your option
will be May 6, 2025. As such, you must offer your DRNs for early redemption no later than April 30, 2025.
Because the daily early redemption value with respect to an early redemption of the DRNs at your option will not be
calculated until the close of trading on the DRN trading day immediately following the applicable election date, you will not
know the applicable daily early redemption value at the time you exercise your redemption right. Accordingly, you will bear
the risk that your DRNs will decline in value between the time of your offer for early redemption and the time at which the
daily early redemption value is determined.
Please see "Description of the RNs--Early Redemption Procedures--Early Redemption at Your Option" in the
accompanying product supplement for more information. We may, at our option, waive the requirement that the completed
irrevocable Offer for Early Redemption be delivered, if we confirm that we have accepted a written indication of an
irrevocable offer for early redemption delivered by or on behalf of the beneficial owner of an interest in the DRNs.
Early Redemption
On any valuation date, the early redemption charge will be equal to the product of (1) daily early redemption value times (2)
Charge:
0.125%. If you elect to offer your DRNs for early redemption and the requirements for acceptance by Credit Suisse
are met, you will be charged the early redemption charge.
Early Redemption of We will have the right to redeem the DRNs, in whole but not in part, on any business day during the term of the DRNs. The
the DRNs at Our
DRN trading day immediately succeeding the date of our notice of early redemption will be the valuation date applicable to
Option:
such early redemption. Upon such early redemption, you will receive, for each DRN you hold, a cash payment on the
applicable early redemption date in an amount equal to the daily early redemption value.
The final day on which we can deliver an early redemption notice is April 29, 2025.
Please see "Description of the RNs--Early Redemption Procedures--Early Redemption at Our Option" in the accompanying
product supplement for more information.
Daily Early
With respect to any early redemption, for each DRN you hold, the daily early redemption value is the closing indicative value
Redemption Value:
of the DRNs on the applicable valuation date.
Valuation Date:
May 2, 2025 or, if such date is not a DRN trading day, the next following DRN trading day (the "final valuation date"), and
any valuation date for an early redemption of the DRNs. Each valuation date (including the final valuation date) is subject to
postponement if a market disruption event occurs on such date, as described in "Supplemental Description of the DRNs--
Postponement of a Valuation Date" below.

PS-2

DRN Trading Day:
With respect to the DRNs, each day that is an "index business day" and a "trading day", each as defined in the section "The
Index" in the accompanying underlying supplement.
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Maturity Date:
May 7, 2025. The maturity date is subject to postponement if such date is not a business day or if the scheduled final
valuation date is postponed because it is not a DRN trading day or because a market disruption event occurs or is continuing
on such scheduled final valuation date, as described in "Supplemental Description of the DRNs--Postponement of a
Valuation Date" below. If the scheduled final valuation date is postponed, the maturity date will be postponed by the same
number of business days. No interest will accrue or be payable as a result of any delay in payment.
Early Redemption
An early redemption date is the third business day following the applicable valuation date. Any applicable early redemption
Date:
date is subject to postponement if such date is not a business day or if a market disruption event occurs or is continuing on the
applicable valuation date. No interest will accrue or be payable as a result of any delay in payment.
Further Issuances:
We may, without your consent, issue and sell additional DRNs after the inception date at our sole discretion. Any further
issuances of DRNs will form a single tranche with the offered DRNs, will have the same CUSIP number and will be fungible
with the offered DRNs of such tranche upon settlement. Additional DRNs may be issued and sold from time to time through
CSSU and one or more dealers at a price that is higher or lower than the stated principal amount, based on the most recent
closing indicative value of the DRNs. Any further issuances will increase the outstanding aggregate principal amount of the
DRNs. If there is a substantial demand for the DRNs, we may issue additional DRNs frequently. However, we are under no
obligation to issue or sell additional DRNs at any time, and if we do sell additional DRNs, we may limit or restrict such sales,
and we may stop and subsequently resume selling additional DRNs at any time.
Calculation Agent:
Credit Suisse International, except that the closing indicative value will be calculated by the NYSE Arca, Inc. The calculation
agent will make certain calculations and determinations described in this pricing supplement, including with respect to the
value of the DRNs, a split or reverse split of the DRNs, market disruption events and any successor index.

PS-3

SUMMARY OF THE INDEX

The Index is designed to gain broad exposure that simulates a "managed futures" strategy using a quantitative allocation methodology to track a
basket of currency futures, sovereign bond futures, equity index futures and commodity indices, which we refer to collectively as the "index
components." The composition of the Index at any time is determined solely by such allocation methodology, and is not actively managed by Credit
Suisse Asset Management, LLC, the sponsor of the Index (the "Index Sponsor") or any other asset manager. The Index does not track any
managed futures hedge funds or any other actively managed investment vehicles. There can be no assurance that the performance of the
Index over time will approximate the return of a managed futures strategy or any other actively managed investment strategy.

The Index rebalances on each index business day (as defined under "The Index" in the accompanying underlying supplement) by adjusting the
allocation of the Index to each of sixteen "tranches" of each index component based on historical trends in the levels of that index component. We
refer to the allocation of the Index to each tranche of an index component as the "factor share" of that tranche of that index component. Each
"tranche" of an index component represents a portion of the overall allocation of the Index to that index component that is based on the trend in the
levels of that index component over a different prior period ranging from 3 to 18 months. The result of these allocations is that, at any time, the Index
will tend to be "long" the index components with positive average historical trends over the past eighteen months, and will tend to be "short" the
index components with negative average historical trends over the past eighteen months. The more pronounced the trends are, the larger the position
(long or short) will likely be. For each daily rebalancing, the Index also applies a gross exposure limit, and seeks to achieve an annualized target
volatility of 10% and to limit the annualized volatility of the Index to under 15%.

There is no guarantee that the allocation methodology or the volatility targeting strategy of the Index will be successful. The Index determines its
notional exposure to each index component based on historical trends in the levels of that index component. However, a historical trend may not
predict any future trend accurately. For example, even if the level of an index component has been trending upwards over a particular prior period, the
level of that index component may not continue increasing and may start decreasing at any time. The allocation methodology may not adjust to such
reverse in trends immediately, and as a result the Index may reflect an overly "short" position in the index components that have just started trending
positively and may reflect an overly "long" position in the index components that have just started trending negatively. Any delay by the Index to
reflect the changes in the historical trends in the level of each index component may reduce the Index level. Furthermore, the Index seeks to achieve
an annualized target volatility of 10% and to limit the annualized volatility of the Index to under 15% via its volatility targeting strategy. However,
because the Index makes the relevant volatility calculations and adjustments to the index component weights based on historical volatilities and
assumptions of the correlations among the index components, the actual realized annualized volatility of the Index after these adjustments may be
greater or less than the target volatility, and may be greater than the volatility limit of 15%.

The Index was launched on January 31, 2011 and the closing level of the Index was set to 1,000 on that date. The Index is published by one of
our affiliates and has limited history. Investors should not invest in the DRNs if the they do not understand the objectives and risks associated with the
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Index.

We refer to each index component that is a currency futures contract as a "currency futures component," each index component that is a
sovereign bond futures contract as a "bond futures component," each index component that is an equity index futures contract as an "equity index
futures component" and each index component that is a commodity index as a "commodity index component." The commodity index components
are the excess-return versions of the relevant sub-indices of the Bloomberg Commodity Index, which only track the price returns of the relevant
underlying commodity futures contracts, without taking into account the additional returns that would be earned from interest accruals on cash
deposits in connection with a fully funded investment in those contracts.

The level of the Index will be reduced by the notional transaction cost and holding cost for each index component. The calculation of the
transaction cost for any index component depends on the bid-ask spread (as specified in "The Index" in the accompanying underlying supplement) for
that index component and the size of the change from the old position to the new position in that index component. The larger the change (either
positively or negatively), the greater the notional transaction cost will be.

Likewise, the holding cost for each index component reflects the notional cost that would be incurred to hold the positions in that index
component from one index business day to the next index business day. For any index business day, the calculation of the holding cost for any index
component depends on the long annual holding rate and short annual holding


PS-4

rate (each as specified in "The Index" in the accompanying underlying supplement) for that index component and the size of the positions (long or
short) in that index component. The larger the absolute value of the sum of the positions for any index component, the larger the holding cost will be
for that index component.

The notional transaction cost and the holding cost for each index component will reduce the level of the index, and as a result, the value of and
payment on the DRNs at maturity or upon early redemption. The bid-ask spread and holding rates for each index component are subject to adjustment
by the Index Sponsor from time to time to reflect prevailing bid-ask spreads and holding rates in the relevant market. For more information, please
refer to "The Index" in the accompanying underlying supplement.

For more information on the Index, please see the section "The Index" in the accompanying underlying supplement.


PS-5

HYPOTHETICAL EXAMPLES

The following examples show how the DRNs would perform in hypothetical circumstances, assuming a closing level of the Index on the
inception date of 1,000 and reflecting the $1,000 stated principal amount of each DRN. The hypothetical closing level of 1,000 assumed for the Index
on the inception date is for the calculation of these examples only, and may be greater than or less than the actual closing level of the Index on the
inception date. For information relating to the historical performance of the Index, please refer to "Historical Information" below in this pricing
supplement.

We have included five examples: (1) an example in which the level of the Index increases at a constant rate of 10% each year, (2) an example in
which the level of the Index increases at an accelerating rate, (3) an example in which the level of the Index decreases at an accelerating rate, (4) an
example in which the level of the Index increases and then decreases over the term of the DRNs and (5) an example in which the level of the Index
fluctuates between negative and positive annualized Index returns during the term of the DRNs. These examples highlight the behavior of the closing
indicative value of the DRNs at the end of each year in different circumstances. The figures in these examples have been rounded for
convenience. The closing indicative values and returns of the DRNs shown in these examples are for illustrative purposes only and are not actual
historical results. The actual closing indicative values of the DRNs and your payment at maturity or upon early redemption will be calculated based
on the actual closing levels and returns of the Index.

The examples below assume that you hold the DRNs to the maturity date and that your payment at maturity is based on the closing indicative
value on the final valuation date. However, you may offer to redeem your DRNs prior to the maturity date and, if the conditions to an early
redemption at your option are satisfied, we will redeem your DRNs early on the applicable early redemption date based on the closing indicative value
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on the applicable early valuation date. Although your payment upon early redemption would be based on the closing indicative value of the DRNs on
the applicable valuation date, which is calculated in the same manner illustrated in the examples below, you should be aware that CSSU, our agent for
any early redemption at your option, will charge the applicable early redemption charge for DRNs redeemed at the request of an investor prior to
maturity. Any payment on the DRNs is subject to our ability to pay our obligations as they become due.

For purposes of the calculations in these tables, each year is assumed to have 365 days. The rate of return on your investment in the DRNs will
depend on the price at which you purchased the DRNs.

The examples below, and particularly the Annualized Index Return and Annualized Product Return, assume you purchased the DRNs on the
inception date at a closing indicative value of 1,000 and a purchase price of the DRNs of $1,000. However, we may, without your consent, issue and
sell additional DRNs after the inception date and use this pricing supplement in connection with those sales. If you purchase the DRNs at levels
higher or lower than $1,000 or when the closing indicative value of the Index is higher or lower than 1,000, then the returns on the DRNs will be
different than the examples set forth and could be significantly worse.

Example 1. This example assumes that the level of the Index has increased by approximately 159.37% over the term of the DRNs.

A
B
C
D
E
F

Index
Closing
Annualized

Annualized
Year
Level
Indicative Value
Index Return
Investor Fee
Product Return
0
1000.00
$1,000.00
n/a
n/a
n/a
1
1100.00
$1,089.11
10.00%
1.09%
8.91%
2
1210.00
$1,186.17
10.00%
1.09%
8.91%
3
1331.00
$1,291.87
10.00%
1.09%
8.91%
4
1464.10
$1,407.00
10.00%
1.09%
8.91%
5
1610.51
$1,532.38
10.00%
1.09%
8.91%
6
1771.56
$1,668.94
10.00%
1.09%
8.91%
7
1948.72
$1,817.67
10.00%
1.09%
8.91%
8
2143.59
$1,979.65
10.00%
1.09%
8.91%
9
2357.95
$2,156.06
10.00%
1.09%
8.91%
10
2593.74
$2,348.20
10.00%
1.09%
8.91%

PS-6

Example 2. This example assumes that the level of the Index has increased by approximately 70.18% over the term of the DRNs.

A
B
C
D
E
F

Index
Closing
Annualized

Annualized
Year
Level
Indicative Value
Index Return
Investor Fee
Product Return
0
1000.00
$1,000.00
n/a
n/a
n/a
1
1010.00
$1,000.00
1.00%
1.00%
0.00%
2
1030.20
$1,009.91
2.00%
1.01%
0.99%
3
1061.11
$1,029.91
3.00%
1.02%
1.98%
4
1103.55
$1,060.51
4.00%
1.03%
2.97%
5
1158.73
$1,102.52
5.00%
1.04%
3.96%
6
1228.25
$1,157.10
6.00%
1.05%
4.95%
7
1314.23
$1,225.85
7.00%
1.06%
5.94%
8
1419.37
$1,310.81
8.00%
1.07%
6.93%
9
1547.11
$1,414.65
9.00%
1.08%
7.92%
10
1701.82
$1,540.71
10.00%
1.09%
8.91%
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Example 3. This example assumes that the level of the Index has decreased by approximately 43.47% over the term of the DRNs.

A
B
C
D
E
F

Index
Closing
Annualized

Annualized
Year
Level
Indicative Value
Index Return
Investor Fee
Product Return
0
1000.00
$1,000.00
n/a
n/a
n/a
1
990.00
$980.20
-1.00%
0.98%
-1.98%
2
970.20
$951.09
-2.00%
0.97%
-2.97%
3
941.09
$913.43
-3.00%
0.96%
-3.96%
4
903.45
$868.21
-4.00%
0.95%
-4.95%
5
858.28
$816.64
-5.00%
0.94%
-5.94%
6
806.78
$760.05
-6.00%
0.93%
-6.93%
7
750.31
$699.85
-7.00%
0.92%
-7.92%
8
690.28
$637.49
-8.00%
0.91%
-8.91%
9
628.16
$574.37
-9.00%
0.90%
-9.90%
10
565.34
$511.82
-10.00%
0.89%
-10.89%

Example 4. This example assumes that the level of the Index has decreased by approximately 0.55% over the term of the DRNs.

A
B
C
D
E
F

Index
Closing
Annualized

Annualized
Year
Level
Indicative Value
Index Return
Investor Fee
Product Return
0
1000.00
$1,000.00
n/a
n/a
n/a
1
1050.00
$1,039.61
5.00%
1.04%
3.96%
2
1092.00
$1,070.49
4.00%
1.03%
2.97%
3
1124.76
$1,091.70
3.00%
1.02%
1.98%
4
1147.26
$1,102.51
2.00%
1.01%
0.99%
5
1158.73
$1,102.52
1.00%
1.00%
0.00%
6
1147.14
$1,080.69
-1.00%
0.98%
-1.98%
7
1124.20
$1,048.60
-2.00%
0.97%
-2.97%
8
1090.47
$1,007.07
-3.00%
0.96%
-3.96%
9
1046.85
$957.22
-4.00%
0.95%
-4.95%
10
994.51
$900.36
-5.00%
0.94%
-5.94%
Example 5. This example assumes that the level of the Index has decreased by approximately 0.58% over the term of the DRNs.


PS-7


A
B
C
D
E
F

Index
Closing
Annualized

Annualized
Year
Level
Indicative Value
Index Return
Investor Fee
Product Return
0
1000.00
$1,000.00
n/a
n/a
n/a
1
980.00
$970.30
-2.00%
0.97%
-2.97%
2
999.60
$979.91
2.00%
1.01%
0.99%
3
969.61
$941.11
-3.00%
0.96%
-3.96%
http://www.sec.gov/Archives/edgar/data/1053092/000095010315003801/dp56132_424b2-csdrnmf1.htm[5/11/2015 4:47:10 PM]


4
998.70
$959.75
3.00%
1.02%
1.98%
5
978.73
$931.25
-2.00%
0.97%
-2.97%
6
998.30
$940.47
2.00%
1.01%
0.99%
7
958.37
$893.92
-4.00%
0.95%
-4.95%
8
996.70
$920.47
4.00%
1.03%
2.97%
9
946.87
$865.80
-5.00%
0.94%
-5.94%
10
994.21
$900.09
5.00%
1.04%
3.96%

PS-8


SELECTED RISK CONSIDERATIONS

The DRNs are senior unsecured debt obligations of Credit Suisse. The DRNs are senior medium-term notes as described in the accompanying
prospectus supplement and prospectus and are riskier than ordinary unsecured debt securities. The return on the DRNs is linked to the performance of
the Index. Investing in the DRNs is not equivalent to investing directly in the Index or any instrument tracked by the Index. See "The Index" in the
accompanying underlying supplement for more information.

This section describes some of the most significant risks relating to an investment in the DRNs. In addition, please see the accompanying
underlying supplement for a description of the risks relating to the Index and the accompanying product supplement for the risks related to DRNs
generally. We urge you to read the following information about these risks, together with the other information in this pricing supplement and the
accompanying underlying supplement, product supplement, prospectus supplement and prospectus, including information incorporated by reference,
before investing in the DRNs.

The DRNs are subject to the risks relating to the Index

Because the DRNs are linked to the Index, the DRNs are subject to the risks relating to the Index. These include, without limitation:


·
The Index has limited history, therefore it has not been tested through all economic and market conditions and may perform in
unexpected ways;


·
There can be no assurance that the performance of the Index over time will approximate the return of a managed futures strategy or any
other actively managed investment strategy;


·
The allocation methodology of the Index may not be successful. The Index determines its notional exposure to each index component
based on historical trends in the levels of that index component, but a historical trend may not predict any future trend
accurately. Furthermore, the allocation of Index weights to each index component is calculated by comparing a short-term 5-day
moving average level of that index component with longer-term historical moving averages of that index component over various
periods of time. This particular method of measuring the historical trend in the level of an index component is only one of many
potential methods--each no less valid than any other--that could have been used. The particular method of measuring the historical
trend in the level of an index component used by the allocation methodology may be less predictive of any future trend in the level of an
index component than other methods that could have been used, or may not be predictive at all;


·
The Index may not achieve its target volatility and may exceed its volatility limit, because the Index makes the relevant volatility
calculations and adjustments to the index component weights based on historical volatilities and assumptions of the correlations among
the index components, which may be different from the actual volatilities of, and correlations among, the index components;


·
The level of the Index will be reduced by the notional transaction cost and holding cost for each index component. The calculation of
the transaction cost and holding cost for any index component depends, respectively, on the bid-ask spread and the long annual holding
rate and short annual holding rate (each as specified in "The Index" in the accompanying underlying supplement), respectively, for that
index component, which are subject to adjustment by the Index Sponsor from time to time to reflect prevailing bid-ask spreads and
holding rates in the relevant market;


·
Exposures to short positions in the Index components may adversely affect your return on the DRNs;


·
Higher future prices or levels, as applicable, of currencies, sovereign bonds, equity indices or commodities relative to their current prices
or levels, as applicable, or "contango," may lead to a decrease in the level of the Index and the amount payable on the DRNs;
http://www.sec.gov/Archives/edgar/data/1053092/000095010315003801/dp56132_424b2-csdrnmf1.htm[5/11/2015 4:47:10 PM]




·
Lower future prices or levels, as applicable, of currencies, sovereign bonds, equity indices or commodities relative to their current prices
or levels, as applicable, or "backwardation," may lead to a decrease in the level of the Index and the amount payable on the DRNs;


PS-9


·
Suspension or disruptions of market trading in futures contracts may adversely affect the level of the Index and therefore the value of the
DRNs; and


·
Adjustments to the Index by the Index Sponsor or to the commodity index components by their sponsor could adversely affect the DRNs.

For more information on these and other risks relating to the Index, please see "Risk Factors" in the accompanying underlying supplement.

The DRNs do not have a minimum redemption amount or daily early redemption value and you may lose all or a significant portion of your
investment in the DRNs

The DRNs do not have a minimum redemption amount or daily early redemption value. You may receive less, and possibly significantly less, at
maturity or upon early redemption than the amount you originally invested. Our cash payment on your DRNs at maturity or upon early redemption
will be based primarily on any increase or decrease in the closing levels of the Index, and will be reduced by the daily investor fee (and the early
redemption charge of 0.125% times the daily early redemption value per DRN if you offer your DRNs for early redemption). You may lose some or all
of your investment in the DRNs if the level of the Index decreases or does not increase sufficiently to offset the impact of the daily investor fee (and
the early redemption charge for any DRNs redeemed at your option). Any payment on the DRNs is subject to our ability to pay our obligations as they
become due.

You will not receive coupon payments on the DRNs

We will not make coupon payments on the DRNs. You may receive less at maturity or upon early redemption than you could have earned on
ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since the redemption amount and the daily early
redemption value are based on the appreciation or depreciation of the Index. Because the payment due at maturity and the daily early redemption value
may be less than the amount originally invested in the DRNs, the return on the DRNs (the effective yield to maturity) may be negative. Even if it is
positive, the return payable on the DRNs may not be enough to compensate you for any loss in value due to inflation and other factors relating to the
value of money over time.

The DRNs are subject to the credit risk of Credit Suisse

Although the return on the DRNs will be based on the performance of the Index, the payment of any amount due on the DRNs, including at
maturity or upon early redemption, is subject to the credit risk of Credit Suisse. Investors are dependent on Credit Suisse's ability to pay all amounts
due on the DRNs, and therefore investors are subject to our credit risk. 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 DRNs prior to maturity.

Your return at maturity or upon early redemption will be reduced by the daily investor fee

The daily investor fee reduces the amount of your return at maturity or upon early redemption by Credit Suisse, and therefore the level of the
Index must increase by an amount sufficient to offset the impact of the daily investor fee (and the applicable early redemption charge of 0.125% times
the daily early redemption value per DRN if you offer your DRNs for early redemption) in order for you to receive at least the amount of your initial
investment at maturity or upon early redemption. If the level of the Index decreases or does not increase sufficiently to offset the impact of these
adjustments, you will receive less, and possibly significantly less, than the amount of your initial investment at maturity or upon early redemption of
the DRNs.

If the closing indicative value is equal to zero on any DRN trading day, you will lose all of your investment

If the closing indicative value is equal to zero on any DRN trading day, the closing indicative value on that day, and on all future days, will be
zero and you will lose all of your investment in the DRNs. Due to the application of the daily investor fee, among other factors, the closing indicative
value may be equal to zero on any DRN trading day when the level of the Index is above zero on that day.

An early redemption charge will be charged upon an early redemption at your option

http://www.sec.gov/Archives/edgar/data/1053092/000095010315003801/dp56132_424b2-csdrnmf1.htm[5/11/2015 4:47:10 PM]


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