Obbligazione Swiss Credit 0% ( US22548QXV21 ) in USD

Swiss Credit

100 USD ⇌

Svizzera

US22548QXV21 ( in USD )

01/04/2022 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Credit Suisse US22548QXV21 in USD 0%, scaduta

1 000 USD

5 848 000 USD

22548QXV2

N/A

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 US22548QXV21, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 01/04/2022

424B2 1 dp74644_424b2-t988.htm FORM 424B2

Pric ing Supple m e nt N o. T 9 8 8
Filed Pursuant to Rule 424(b)(2)
To the Underlying Supplement dated December 2, 2016,
Registration Statement Nos. 333-202913 and 333-180300-03
Product Supplement No. I dated May 4, 2015,
March 29, 2017
Prospectus Supplement dated May 4, 2015 and
Prospectus dated May 4, 2015
Fina nc ia l
Produc t s
$ 5 ,8 4 8 ,0 0 0
Absolut e Re t urn Ba rrie r Se c urit ie s due April 1 , 2 0 2 2
Link e d t o t he Pe rform a nc e of t he S& P 5 0 0 ® I nde x

·
Investors will not receive any interest or dividend payments. The securities do not guarantee any return of principal at maturity.
·
If the Final Level is greater than or equal to the Initial Level, investors will benefit from an Upside Participation Rate of 113%. If
the Final Level is less than the Initial Level and a Knock-In Event has not occurred, investors will receive the principal amount
of their securities multiplied by the sum of one plus the absolute value of the Underlying Return. If the Final Level is less than
the Initial Level and a Knock-In Event occurs, investors will lose 1% of their principal for each 1% decline in the level
Underlying from the Initial Level to the Final Level. You could lose your entire investment.
·
Senior unsecured obligations of Credit Suisse maturing April 1, 2022. Any payment on the securities is subject to our ability to
pay our obligations as they become due.
·
Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
·
The securities priced on March 29, 2017 (the "Trade Date") and are expected to settle on April 3, 2017 (the "Settlement Date").
Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
·
The securities will not be listed on any exchange.

I nve st ing in t he se c urit ie s involve s a num be r of risk s. Se e "Se le c t e d Risk Conside ra t ions" be ginning on
pa ge 5 of t his pric ing supple m e nt a nd "Risk Fa c t ors" be ginning on pa ge PS-3 of t he a c c om pa nying produc t
supple m e nt .

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

Pric e t o Public (1)
U nde rw rit ing Disc ount s a nd Com m issions(2)
Proc e e ds t o I ssue r
Pe r se c urit y
$ 1 ,0 0 0 .0 0
$ 3 7 .5 0
$ 9 6 2 .5 0
T ot a l
$ 5 ,8 4 8 ,0 0 0 .0 0
$ 2 1 9 ,3 0 0 .0 0
$ 5 ,6 2 8 ,7 0 0 .0 0
(1) Certain fiduciary accounts may pay a purchase price of at least $962.50 per $1,000 principal amount of securities, and CSSU
will forgo any fees with respect to such sales.
(2) We or one of our affiliates will pay discounts and commissions of $37.50 per $1,000 principal amount of securities. For more
detailed information, please see "Supplemental Plan of Distribution (Conflicts of Interest)" in this pricing supplement.

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

Cre dit Suisse c urre nt ly e st im a t e s t he va lue of e a c h $ 1 ,0 0 0 princ ipa l a m ount of t he se c urit ie s on t he T ra de
Da t e is $ 9 4 9 .6 0 (a s de t e rm ine d by re fe re nc e t o our pric ing m ode ls a nd t he ra t e w e a re c urre nt ly pa ying t o
borrow funds t hrough issua nc e of t he se c urit ie s (our "int e rna l funding ra t e ")). Se e "Se le c t e d Risk
Conside ra t ions" in t his pric ing supple m e nt .

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.

Cre dit Suisse

March 29, 2017

https://www.sec.gov/Archives/edgar/data/1053092/000095010317003052/dp74644_424b2-t988.htm[4/3/2017 10:17:01 AM]

K e y T e rm s

Issuer:
Credit Suisse AG ("Credit Suisse"), acting through its London branch
Underlying: The securities are linked to the performance of the Underlying set forth in the table below. For more information on the
Underlying, see "The Reference Indices--The S&P Dow Jones Indices--The S&P 500® Index" in the accompanying
underlying supplement. The Underlying is identified in the table below, together with its Bloomberg ticker symbol, Initial
Level and Knock-In Level:

U nde rlying
T ic k e r
I nit ia l Le ve l
K noc k -I n Le ve l

S& P 5 0 0 ® I nde x
SPX <I nde x >
2 3 6 1 .1 3
1 6 5 2 .7 9 1
Redemption At maturity, you will be entitled to receive a Redemption Amount in cash that will depend on the performance of the
Amount:
Underlying and whether a Knock-In Event has occurred. For each $1,000 principal amount of securities, the
Redemption Amount will be determined as follows:

·If the Final Level is greater than or equal to the Initial Level, $1,000 multiplied by the sum of one plus the product of
(a) the Upside Participation Rate and (b) the Underlying Return.

·If the Final Level is less than the Initial Level, and:

· if a Knock-In Event has not occurred, $1,000 multiplied by the sum of one plus the a bsolut e va lue of the
Underlying Return.

· if a Knock-In Event has occurred, $1,000 multiplied by the sum of one plus the Underlying Return. I n t his c a se ,
t he Re de m pt ion Am ount w ill be le ss t ha n t he princ ipa l a m ount of your se c urit ie s, a nd m a y be
ze ro. Y ou c ould lose your e nt ire inve st m e nt .

I f t he Fina l Le ve l is le ss t ha n t he I nit ia l Le ve l but a K noc k -I n Eve nt ha s not oc c urre d, t he
m a x im um Re de m pt ion Am ount is $ 1 ,2 9 9 .9 9 for e ve ry $ 1 ,0 0 0 princ ipa l a m ount of t he se c urit ie s.

Any payment on the securities is subject to our ability to pay our obligations as they become due.
Underlying
Return:
The Underlying Return is expressed as a percentage and is calculated as follows:

Final Level Initial Level
Initial Level
Upside
Participation
Rate:
113%
Knock-In
Event:
A Knock-In Event will occur if the Final Level is equal to or less than the Knock-In Level.
Knock-In
Level:
70% of the Initial Level, as set forth in the table above.
Initial Level: The closing level of the Underlying on the Trade Date, as set forth in the table above.
Final Level: The closing level of the Underlying on the Valuation Date.
Valuation
March 29, 2022, subject to postponement as set forth in the accompanying product supplement under "Description of
Date:
the Securities--Postponement of calculation dates."
Maturity
April 1, 2022, subject to postponement as set forth in the accompanying product supplement under "Description of the
Date:
Securities--Postponement of calculation dates."
CUSIP:
22548QXV2

1

Addit iona l T e rm s Spe c ific t o t he Se c urit ie s

You should read this pricing supplement together with the underlying supplement dated December 2, 2016, 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 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 December 2, 2016:

http://www.sec.gov/Archives/edgar/data/1053092/000095010316018406/dp70262_424b2-underlying.htm

·
Product supplement No. I dated May 4, 2015:
https://www.sec.gov/Archives/edgar/data/1053092/000095010317003052/dp74644_424b2-t988.htm[4/3/2017 10:17:01 AM]

http://www.sec.gov/Archives/edgar/data/1053092/000095010315003534/dp55815_424b2-psno1.htm

·
Prospectus supplement and Prospectus dated May 4, 2015:

http://www.sec.gov/Archives/edgar/data/1053092/000104746915004333/a2224570z424b2.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, product supplement, 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 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 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.

2

H ypot he t ic a l Re de m pt ion Am ount s a t M a t urit y

The table and examples below illustrate hypothetical Redemption Amounts payable at maturity on a $1,000 investment in the
securities for a hypothetical range of performance of the Underlying. The table and examples below assume that (i) the Knock-In
Level is 70% of the Initial Level and (ii) the Upside Participation Rate is 113%. The actual Knock-In Level and Upside Participation
Rate are set forth in "Key Terms" herein. The hypothetical Redemption Amounts set forth below are provided for illustration
purposes only. The actual Redemption Amount applicable to a purchaser of the securities will depend on whether the Final Level is
equal to or less than the Knock-In Level and on the Final Level. It is not possible to predict whether a Knock-In Event will occur,
and in the event that there is a Knock-In Event, by how much the level of the Underlying has decreased from the Initial Level to the
Final Level. You should consider carefully whether the securities are suited to your investment goals. Any payment on the
securities is subject to our ability to pay our obligations as they become due. The numbers appearing in the table and examples
below have been rounded for ease of analysis.

T ABLE: Hypothetical Redemption Amounts

Pe rc e nt a ge Cha nge
from t he I nit ia l Le ve l
Re t urn on t he
Re de m pt ion
t o t he Fina l Le ve l
Se c urit ie s
Am ount
100.00%
113.00%
$2,130.00
90.00%
101.70%
$2,017.00
80.00%
90.40%
$1,904.00
70.00%
79.10%
$1,791.00
60.00%
67.80%
$1,678.00
50.00%
56.50%
$1,565.00
40.00%
45.20%
$1,452.00
30.00%
33.90%
$1,339.00
20.00%
22.60%
$1,226.00
10.00%
11.30%
$1,113.00
0 .0 0 %
0 .0 0 %
$ 1 ,0 0 0 .0 0
-10.00%
10.00%
$1,100.00
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-20.00%
20.00%
$1,200.00
-29.00%
29.00%
$1,290.00
-3 0 .0 0 %
-3 0 .0 0 %
$ 7 0 0 .0 0
-40.00%
-40.00%
$600.00
-50.00%
-50.00%
$500.00
-60.00%
-60.00%
$400.00
-70.00%
-70.00%
$300.00
-80.00%
-80.00%
$200.00
-90.00%
-90.00%
$100.00
-100.00%
-100.00%
$0.00

3

The following examples illustrate how the Redemption Amount is calculated.

Ex a m ple 1 : T he Fina l Le ve l is gre a t e r t ha n t he I nit ia l Le ve l.

U nde rlying
Fina l Le ve l
SPX
110% of Initial Level

Since the Final Level is greater than or equal to the Initial Level, the Underlying Return and the Redemption Amount are
determined as follows:

Final Level ? Initial Level
=

Initial Level

=
10%
Redemption Amount
=
$1,000 × [1 + (Upside Participation Rate × Underlying Return)]

=
$1,000 × [1 + (113% × 10%)]

=
$1,000 × (1 + 0.113)

=
$ 1 ,1 1 3

In this example, at maturity you would be entitled to receive a Redemption Amount equal to $1,113 per $1,000 principal amount of
securities based on a leveraged return linked to the appreciation in the level of the Underlying.

Ex a m ple 2 : T he Fina l Le ve l is le ss t ha n t he I nit ia l Le ve l but gre a t e r t ha n t he K noc k -I n Le ve l.

U nde rlying
Fina l Le ve l
SPX
80% of Initial Level

Even though the Final Level is below the Initial Level, a K noc k -I n Eve nt ha s not oc c urre d be c a use t he Fina l Le ve l is
a bove t he K noc k -I n Le ve l .

Therefore, the Underlying Return and the Redemption Amount are determined as follows:

Underlying Return
Final Level ? Initial Level
=

Initial Level

=
-20%
Redemption Amount
=
$1,000 × (1 + ¦Underlying Return¦)

=
$1,000 × (1 + ¦-0.20¦)

=
$ 1 ,2 0 0

In this example, at maturity you would be entitled to receive a Redemption Amount equal to $1,200 per $1,000 principal amount of
securities, which is equal to the principal amount of the securities multiplied by the sum of one plus the a bsolut e va lue of the
Underlying Return.

Ex a m ple 3 : T he Fina l Le ve l is e qua l t o or le ss t ha n t he K noc k -I n Le ve l.

U nde rlying
Fina l Le ve l
SPX
40% of Initial Level
https://www.sec.gov/Archives/edgar/data/1053092/000095010317003052/dp74644_424b2-t988.htm[4/3/2017 10:17:01 AM]

Since the Final Level is equal to or less than the Knock-In Level, a K noc k -I n Eve nt ha s oc c urre d.

Therefore, the Underlying Return and the Redemption Amount are determined as follows:

Underlying Return
Final Level ? Initial Level
=

Initial Level

=
-60%
Redemption Amount
=
$1,000 × (1 + Underlying Return)

=
$1,000 × (1 0.60)

=
$ 4 0 0

In this example, at maturity you would be entitled to receive a Redemption Amount equal to $400 per $1,000 principal amount of
securities based on the percentage change of the Underlying from the Initial Level to the Final Level and you will be exposed to
the depreciation in the level of the Underlying from the Initial Level to the Final Level.

4

Se le c t e d Risk Conside ra t ions

An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the
Underlying. These risks are explained in more detail in the "Risk Factors" section of the accompanying product supplement.

·
Y OU R I N V EST M EN T I N T H E SECU RI T I ES M AY RESU LT I N A LOSS -- You may receive less at maturity
than you originally invested in the securities, or you may receive nothing. If the Final Level of the Underlying is equal
to or less than the Knock-In Level, you will be fully exposed to any depreciation in the Underlying. In this case, the
Redemption Amount you will be entitled to receive will be less than the principal amount of the securities, and you will
lose your entire investment if the Final Level of the Underlying falls to zero. It is not possible to predict whether a
Knock-In Event will occur, and in the event that there is a Knock-In Event, by how much the level of the Underlying
has decreased from the Initial Level to the Final Level. Any payment on the securities is subject to our ability to pay our
obligations as they become due.

·
REGARDLESS OF T H E AM OU N T OF AN Y PAY M EN T Y OU RECEI V E ON T H E SECU RI T I ES, Y OU R
ACT U AL Y I ELD M AY BE DI FFEREN T I N REAL V ALU E T ERM S -- 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.

· T H E PROBABI LI T Y T H AT T H E FI N AL LEV EL WI LL BE LESS T H AN OR EQU AL T O T H E K N OCK -I N
LEV EL WI LL DEPEN D ON T H E V OLAT I LI T Y OF T H E U N DERLY I N G -- "Volatility" refers to the frequency
and magnitude of changes in the level of the Underlying. The greater the expected volatility with respect to the
Underlying on the Trade Date, the higher the expectation as of the Trade Date that the Final Level could be less than
or equal to the Knock-In 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 Underlying as of the Trade Date. The volatility of the
Underlying can change significantly over the term of the securities. The level of the Underlying could fall sharply, which
could result in a significant loss of principal. You should be willing to accept the downside market risk of the Underlying
and the potential to lose a significant amount of your principal at maturity.

·
T H E SECU RI T I ES ARE SU BJ ECT T O T H E CREDI T RI SK OF CREDI T SU I SSE -- Investors are dependent
on our ability to pay all amounts due on the securities and, therefore, if we were to default on our obligations, you may
not receive any amounts owed to you under the securities. In addition, any decline in our credit ratings, any adverse
changes in the market's view of our creditworthiness or any increase in our credit spreads is likely to adversely affect
the value of the securities prior to maturity.

·
T H E SECU RI T I ES DO N OT PAY I N T EREST -- 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 Underlying.
Because the Redemption Amount due at maturity may be less than the amount originally invested in the securities, the
https://www.sec.gov/Archives/edgar/data/1053092/000095010317003052/dp74644_424b2-t988.htm[4/3/2017 10:17:01 AM]

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.

·
I F T H E FI N AL LEV EL I S LESS T H AN T H E I N I T I AL LEV EL AN D A K N OCK -I N EV EN T H AS N OT
OCCU RRED, T H E REDEM PT I ON AM OU N T WI LL BE SU BJ ECT T O AN EM BEDDED CAP -- If the Final
Level is less than the Initial Level and a Knock-In Event has not occurred, the Redemption Amount payable at maturity
will equal the principal amount of the securities you hold multiplied by the sum of one plus the absolute value of the
Underlying Return. However, because a Knock-In Event will occur if the Final Level is equal to or less than the Knock-
In Level, if the Final Level is less than the Initial Level and a Knock-In Event has not occurred, the maximum possible
Redemption Amount of the securities is $1,299.99 (assuming no rounding) per $1,000 principal amount of securities.
Any payment on the securities is subject to our ability to pay our obligations as they become due.

5

·
T H E EST I M AT ED V ALU E OF T H E SECU RI T I ES ON T H E T RADE DAT E I S LESS T H AN T H E PRI CE T O
PU BLI C -- 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 I N T EREST RAT E U SED I N ST RU CT U RI N G T H E SECU RI T I ES -- 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.

·
SECON DARY M ARK ET PRI CES -- 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
https://www.sec.gov/Archives/edgar/data/1053092/000095010317003052/dp74644_424b2-t988.htm[4/3/2017 10:17:01 AM]

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.

6

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 90 days.
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.

·
CREDI T SU I SSE I S SU BJ ECT T O SWI SS REGU LAT I ON -- 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 LI QU I DI T Y -- 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.

·
POT EN T I AL CON FLI CT S -- 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. 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.

·
U N PREDI CT ABLE ECON OM I C AN D M ARK ET FACT ORS WI LL AFFECT T H E V ALU E OF T H E
SECU RI T I ES -- 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
level of the 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 Underlying;

o
the time to maturity of the securities;

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

o
interest and yield rates in the market generally;

o
investors' expectations with respect to the rate of inflation;
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7

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

·
N O OWN ERSH I P RI GH T S RELAT I N G T O T H E U N DERLY I N G -- Your return on the securities will not reflect
the return you would realize if you actually owned the equity securities that comprise the Underlying. The return on
your investment is not the same as the total return based on the purchase of the equity securities that comprise the
Underlying.

·
N O DI V I DEN D PAY M EN T S OR V OT I N G RI GH T S -- 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 Underlying.

·
T H E U .S. FEDERAL I N COM E T AX CON SEQU EN CES OF T H E SECU RI T I ES ARE N OT CERT AI N --
There are no statutory provisions, regulations, published rulings, or judicial decisions addressing the characterization,
for U.S. federal income tax purposes, of instruments with terms that are substantially the same as those of the
securities. No ruling from the U.S. Internal Revenue Service (the "IRS") has been sought as to the U.S. federal income
tax consequences of the ownership and disposition of the securities, and the tax treatment described under "Material
U.S. Federal Income Tax Considerations" is not binding on the IRS or any court. Thus, the U.S. federal income tax
consequences of the securities are not certain.

Supple m e nt a l U se of Proc e e ds a nd H e dging

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) could adversely affect the value of the
Underlying 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.

8

H ist oric a l I nform a t ion

The following graph sets forth the historical performance of the Underlying based on the closing levels of the Underlying from
January 3, 2012 through March 29, 2017. The closing level of the S&P 500® Index on March 29, 2017 was 2361.13. We obtained
the historical information below from Bloomberg, without independent verification.

You should not take the historical levels of the Underlying as an indication of future performance of the Underlying or the
securities. Any historical trend in the level of the Underlying during any period set forth below is not an indication that the level of
the Underlying is more or less likely to increase or decrease at any time over the term of the securities.

For additional information on the S&P 500® Index, see "The Reference Indices--The S&P Dow Jones Indices--The S&P 500 ®
Index" in the accompanying underlying supplement.

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M a t e ria l U .S. Fe de ra l I nc om e T a x Conside ra t ions

The following discussion summarizes material U.S. federal income tax consequences of owning and disposing of the securities that
may be relevant to holders of the securities that acquire their securities from us as part of the original issuance of the securities.
This discussion applies only to holders that hold their securities as capital assets within the meaning of the Internal Revenue Code
of 1986, as amended (the "Code"). Further, this discussion does not address all of the U.S. federal income tax consequences that
may be relevant to you in light of your individual circumstances or if you are subject to special rules, such as if you are:

·
a financial institution,

·
a mutual fund,

·
a tax-exempt organization,

·
a grantor trust,

·
certain U.S. expatriates,

·
an insurance company,

·
a dealer or trader in securities or foreign currencies,

·
a person (including traders in securities) using a mark-to-market method of accounting,

·
a person who holds the securities as a hedge or as part of a straddle with another position, constructive sale,
conversion transaction or other integrated transaction, or

·
an entity that is treated as a partnership for U.S. federal income tax purposes.

The discussion is based upon the Code, law, regulations, rulings and decisions, in each case, as available and in effect as of the
date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and foreign
laws are not addressed herein. No ruling from the U.S. Internal Revenue Service (the "IRS") has been sought as to the U.S. federal
income tax consequences of the ownership and disposition of the securities, and the following discussion is not binding on the IRS.

Y ou should c onsult your t a x a dvisor a s t o t he spe c ific t a x c onse que nc e s t o you of ow ning a nd disposing of
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t he se c urit ie s, inc luding t he a pplic a t ion of fe de ra l, st a t e , loc a l a nd fore ign inc om e a nd ot he r t a x la w s
ba se d on your pa rt ic ula r fa c t s a nd c irc um st a nc e s.

Cha ra c t e riza t ion of t he Se c urit ie s

There are no statutory provisions, regulations, published rulings, or judicial decisions addressing the characterization for U.S.
federal income tax purposes of securities with terms that are substantially the same as those of your securities. Thus, the
characterization of the securities is not certain. Our special tax counsel, Orrick, Herrington & Sutcliffe LLP, has advised that the
securities should be treated, for U.S. federal income tax purposes, as prepaid financial contracts, with respect to the Underlying
that are eligible for open transaction treatment. In the absence of an administrative or judicial ruling to the contrary, we and, by
acceptance of the securities, you agree to treat the securities for all tax purposes in accordance with such characterization. In light
of the fact that we agree to treat the securities as prepaid financial contracts, the balance of this discussion assumes that the
securities will be so treated.

You should be aware that the characterization of the securities as described above is not certain, nor is it binding on the IRS or the
courts. Thus, it is possible that the IRS would seek to characterize your securities in a manner that results in tax consequences to
you that are different from those described below. For example, the IRS might assert that securities are debt instruments, which
may result in adverse tax consequences. You should consult your tax advisor regarding the possible tax consequences of
characterization of the securities as debt instruments. The securities are not, and we do not expect that the securities will be, listed
on a securities exchange. In the event the securities are listed on a securities exchange and the IRS seeks to characterize your
securities as options, the securities would be characterized as Code section 1256 contracts. In such case, the securities would be
marked-to-market at the end of the year and 40% of any gain or loss would be treated as short-term capital gain or loss, and the
remaining 60% of any gain or loss would be treated as long-term capital gain or loss. We are not responsible for any adverse
consequences that you may experience as a result of any alternative characterization of the securities for U.S. federal income tax or
other tax purposes.

10

Y ou should c onsult your t a x a dvisor a s t o t he t a x c onse que nc e s of suc h c ha ra c t e riza t ion a nd a ny possible
a lt e rna t ive c ha ra c t e riza t ions of your se c urit ie s for U .S. fe de ra l inc om e t a x purpose s.

U .S. H olde rs

For purposes of this discussion, the term "U.S. Holder," for U.S. federal income tax purposes, means a beneficial owner of
securities that is (1) a citizen or resident of the United States, (2) a corporation (or an entity treated as a corporation for U.S.
federal income tax purposes) created or organized in or under the laws of the United States or any state thereof or the District of
Columbia, (3) an estate, the income of which is subject to U.S. federal income taxation regardless of its source, or (4) a trust, if (a)
a court within the United States is able to exercise primary supervision over the administration of such trust and one or more U.S.
persons have the authority to control all substantial decisions of the trust or (b) such trust has in effect a valid election to be treated
as a domestic trust for U.S. federal income tax purposes. If a partnership (or an entity treated as a partnership for U.S. federal
income tax purposes) holds securities, the U.S. federal income tax treatment of such partnership and a partner in such partnership
will generally depend upon the status of the partner and the activities of the partnership. If you are a partnership, or a partner of a
partnership, holding securities, you should consult your tax advisor regarding the tax consequences to you from the partnership's
purchase, ownership and disposition of the securities.

In accordance with the agreed-upon tax treatment described above, if the security provides for the payment of the redemption
amount in cash based on the return of the Underlying, upon receipt of the redemption amount of the security from us, a U.S.
Holder will recognize gain or loss equal to the difference between the amount of cash received from us and the U.S. Holder's tax
basis in the security at that time. Such gain or loss will be long-term capital gain or loss in the case of a U.S. Holder that has held
the security for more than one year at maturity (excluding the look back observation period, if applicable) and short-term capital
gain or loss otherwise. If the security provides for the payment of the redemption amount in physical shares or units of the
Underlying, the U.S. Holder should not recognize any gain or loss with respect to the security (other than with respect to cash
received in lieu of fractional shares or units, as described below). A U.S. Holder should have a tax basis in all physical shares or
units received (including for this purpose any fractional shares or units) equal to its tax basis in the security. A U.S. Holder's holding
period for any physical shares or units received should start on the day after the delivery of the physical shares or units. A U.S.
Holder should generally recognize short-term capital gain or loss with respect to cash received in lieu of fractional shares or units
in an amount equal to the difference between the amount of such cash received and the U.S. Holder's basis in the fractional
shares or units, which should be equal to the U.S. Holder's basis in all of the physical shares or units (including the fractional
shares or units), multiplied by a fraction, the numerator of which is the fractional shares or units and the denominator of which is all
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