PRICING SUPPLEMENT No. A395
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-238458-02
Dated November 24, 2021 |
Credit Suisse AG $8,891,000 Capped GEARS
Linked to the Performance of the iShares® MSCI Emerging
Markets ETF due January 31, 2023
Principal at Risk Securities
| Investment Description |
| These Capped GEARS (the “Securities”) are senior, unsecured obligations of Credit Suisse AG, acting through its London branch (“Credit Suisse” or the “Issuer”) linked to the performance of the iShares® MSCI Emerging Markets ETF (the “Underlying”). The Securities will rank pari passu with all of our other senior unsecured obligations. If the Underlying Return is greater than or equal to zero, Credit Suisse will pay the Principal Amount at maturity plus a return equal to the lesser of (i) the Maximum Gain of 20.10% and (ii) the Underlying Return multiplied by the Upside Gearing of 3. If the Underlying Return is less than zero, Credit Suisse will pay less than the full Principal Amount at maturity, if anything, resulting in a loss of principal that is proportionate to the full depreciation of the Underlying. In that case, you will lose some and possibly all of your investment. Investing in the Securities involves significant risks. You will not receive interest or dividend payments during the term of the Securities. You will have full downside exposure to the Underlying and may lose some or all of your Principal Amount at maturity. Any payment on the Securities, including any repayment of principal, is subject to the ability of Credit Suisse to pay its obligations as they become due. If Credit Suisse were to default on its obligations, you may not receive any amounts owed to you under the Securities. |
| Features |
|
q
Enhanced Growth Potential up to the Maximum Gain: If the Underlying Return is greater than or equal to zero, Credit Suisse
will pay the Principal Amount at maturity plus a return equal to the lesser of (i) the Maximum Gain and (ii) the Underlying Return multiplied
by the Upside Gearing. If the Underlying Return is less than zero, investors will be exposed to the negative Underlying Return at maturity.
q
Full Downside Market Exposure at Maturity: If the Underlying Return is less than zero, Credit Suisse will pay you less than
your full Principal Amount, if anything, resulting in a loss of your principal that is proportionate to the full depreciation of the Underlying.
You will have full downside market exposure to the Underlying at maturity. Any payment on the Securities, including any repayment of principal,
is subject to the ability of Credit Suisse to pay its obligations as they become due. |
| Key Dates |
| Trade Date |
November 24, 2021 |
| Settlement Date |
November 30, 2021 |
| Final Valuation Date* |
January 26, 2023 |
| Maturity Date** |
January 31, 2023 |
|
* Subject to postponement as set
forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
** Subject to postponement as set
forth in any accompanying product supplement under “Description of the Securities—Postponement of calculation dates.”
If the Maturity Date is not a business day, the Payment at Maturity will be payable on the first following business day, unless that business
day falls in the next calendar month, in which case payment will be made on the first preceding business day. |
|
NOTICE TO INVESTORS: THE
SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. THE ISSUER IS NOT NECESSARILY OBLIGATED TO PAY THE FULL PRINCIPAL
AMOUNT OF THE SECURITIES AT MATURITY, AND THE SECURITIES CAN EXPOSE YOUR INVESTMENT TO THE FULL DEPRECIATION OF THE UNDERLYING FROM THE
INITIAL UNDERLYING LEVEL TO THE FINAL UNDERLYING LEVEL. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT
OBLIGATION OF CREDIT SUISSE. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT
RISKS INVOLVED IN INVESTING IN THE SECURITIES. YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING
ON PAGE 6 AND UNDER “RISK FACTORS” BEGINNING ON PAGE PS-3 OF ANY ACCOMPANYING PRODUCT SUPPLEMENT BEFORE PURCHASING ANY SECURITIES.
EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON,
YOUR SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY EXCHANGE.
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 any
accompanying product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense. |
|
This pricing supplement relates to Securities linked to the
performance of the iShares® MSCI Emerging Markets ETF. The Maximum Gain and Upside Gearing for the Securities are listed
below. The Securities are offered at a minimum investment of 100 Securities at $10 per Security (representing a $1,000 investment), and
integral multiples of $10 in excess thereof. |
Underlying
|
Initial
Underlying Level
|
Maximum
Gain
|
Upside
Gearing
|
CUSIP
|
ISIN
|
| iShares®
MSCI Emerging Markets ETF |
$50.39 |
20.10% |
3 |
22551G614 |
US22551G6145 |
Credit Suisse currently estimates the value of each $10 principal
amount of the Securities on the Trade Date is $9.72 (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 “Key Risks” in this pricing
supplement.
See “Additional Information about Credit Suisse and the Securities”
on page 2. The Securities will have the terms set forth in any accompanying product supplement, prospectus supplement and prospectus and
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.
| Offering of Securities |
Price to
Public |
Underwriting
Discount and Commissions(1) |
Proceeds
to Credit Suisse AG |
| |
Total |
Per Security |
Total |
Per Security |
Total |
Per Security |
| Securities Linked to the Performance of the iShares® MSCI Emerging Markets ETF due January 31, 2023 |
$8,891,000 |
$10 |
$177,820 |
$0.20 |
$8,713,180 |
$9.80 |
(1) UBS Financial Services Inc. will act as distributor for the Securities.
The distributor will receive a fee from Credit Suisse or one of our affiliates of $0.20 per $10 principal amount of Securities. For more
detailed information, please see “Supplemental Plan of Distribution” in this pricing supplement.
UBS Financial Services Inc.
| Additional Information about Credit Suisse and the Securities |
You should read this pricing supplement together with the product supplement
dated June 18, 2020, the prospectus supplement dated June 18, 2020 and the prospectus dated June 18, 2020, 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):
| ¨ | Prospectus Supplement and Prospectus dated June 18,
2020: |
https://www.sec.gov/Archives/edgar/data/1053092/000110465920074474/tm2019510-8_424b2.htm
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.
The Securities are senior, unsecured obligations of Credit Suisse and
will rank pari passu with all of our other senior unsecured obligations.
In the event the terms of the Securities described in this pricing supplement
differ from, or are inconsistent with, the terms described in any product supplement, the prospectus supplement or prospectus, the terms
described in this pricing supplement will control.
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 “Key Risks” in this pricing supplement and “Risk Factors” in any accompanying
product supplement and, “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.
|
The Securities may be suitable for you if:
¨ You
fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You
can tolerate a loss of some or all of your investment and you are willing to make an investment that may be exposed to the full depreciation
of the Underlying from the Initial Underlying Level to the Final Underlying Level.
¨ You
are willing to forgo any dividends paid on the Underlying or the equity securities included in the Underlying.
¨ You
are willing to hold the Securities to maturity as stated on the cover hereof, and you accept that there may be little or no secondary
market for the Securities.
¨ You
believe that the level of the Underlying will increase over the term of the Securities and you are willing to give up any appreciation
of the Underlying from the Initial Underlying Level to the Final Underlying Level in excess of the Maximum Gain.
¨ You
understand and accept that your potential return is limited by the Maximum Gain and you are willing to invest in the Securities based
on the Maximum Gain specified on the cover page hereof.
¨ You
can tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
¨ You
do not seek current income from your investment.
¨ You
understand and accept the risks associated with the Underlying.
¨ You
are willing to assume the credit risk of Credit Suisse for all payments under the Securities, and you understand that the payment of
any amount due on the Securities is subject to the credit risk of Credit Suisse.
|
¨ The
Securities may not be suitable for you if:
¨ You
do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You
seek an investment designed to provide a full return of principal at maturity.
¨ You
cannot tolerate a loss of some or all of your investment, and you are not willing to make an investment that may be exposed to the full
depreciation of the Underlying from the Initial Underlying Level to the Final Underlying Level.
¨ You
prefer to receive the dividends paid on the Underlying or the equity securities included in the Underlying.
¨ You
are unable or unwilling to hold the Securities to maturity as stated on the cover hereof, or you seek an investment for which there will
be an active secondary market for the Securities.
¨ You
believe that the level of the Underlying will decline during the term of the Securities and the Final Underlying Level is likely to be
less than the Initial Underlying Level, or you believe the Underlying will appreciate over the term of the Securities by more than the
Maximum Gain.
¨ You
seek an investment that participates in the full appreciation in the level of the Underlying from the Initial Underlying Level to the
Final Underlying Level or that has unlimited return potential, or you are unwilling to invest in the Securities based on the Maximum
Gain specified on the cover page hereof.
¨ You
cannot tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside fluctuations
in the level of the Underlying.
¨ You
prefer the lower risk and, therefore, accept the potentially lower returns of conventional debt securities with comparable maturities
issued by Credit Suisse or another issuer with a similar credit rating.
¨ You
seek current income from your investment.
¨ You
do not understand or accept the risks associated with the Underlying.
¨ You
are unwilling to assume the credit risk of Credit Suisse for all payments under the Securities.
|
The suitability considerations identified above are
not exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances and you should
reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the
suitability of an investment in the Securities in light of your particular circumstances. You should also review “Key Risks”
beginning on page 6 of this pricing supplement for risks related to an investment in the Securities. For more information on the Underlying,
see “Historical Information” in this pricing supplement.
| Key
Terms |
| Issuer |
Credit Suisse AG (“Credit Suisse”), acting through its London branch. |
| Principal Amount |
$10 per Security |
| Term |
Approximately 14 months. In the event that we make any change to the expected Settlement Date, the calculation agent may adjust the Final Valuation Date and Maturity Date to ensure that the stated term of the Securities remains the same. |
| Underlying |
iShares® MSCI Emerging Markets ETF |
| Upside Gearing |
3 |
| Maximum Gain |
20.10% |
| Payment at Maturity (per Security) |
If the Underlying Return is greater than or equal to zero,
Credit Suisse will pay you a cash payment calculated as follows:
$10 + [$10 ×
the lesser of (i) Maximum Gain and (ii) (Underlying Return × Upside Gearing)]
If the Underlying Return is less than zero, Credit
Suisse will pay you a cash payment of:
$10 + ($10 ×
Underlying Return)
In this case, you will lose some or all of your Principal
Amount in an amount proportionate to the negative Underlying Return. |
|
Underlying Return |
Final Underlying Level – Initial
Underlying Level
Initial Underlying Level |
| Initial Underlying Level |
The Closing Level of the Underlying on the Trade Date, as specified on the cover of this pricing supplement. |
| Final Underlying Level |
The Closing Level of the Underlying on the Final Valuation Date. |
| Closing Level |
The Closing Level of the Underlying on any trading day will be the last reported sale price for one share of the Underlying, regular way, of the principal trading session on such day on the relevant exchange multiplied by the share adjustment factor for the Underlying. |
| Final Valuation Date |
January 26, 2023, subject to the market disruption event provisions set forth in any accompanying product supplement under “Description of the Securities—Market disruption events.” |
| Maturity Date |
January 31, 2023, subject to the market disruption event provisions set forth in any accompanying product supplement under “Description of the Securities—Market disruption events.” |
| Events of Default |
With respect to these Securities, the first bullet of the first sentence
of “Description of Debt Securities—Events of Default” in the accompanying prospectus is amended to read in its entirety
as follows:
· a
default in payment of the principal or any premium on any debt security of that series when due, and such default continues for 30 days; |
| CUSIP / ISIN |
22551G614 / US22551G6145 |
| Investment
Timeline |
 |
The Closing Level of the Underlying (Initial Underlying Level) is observed and the Maximum Gain is set. |
|
The Final Underlying Level and Underlying Return are determined on
the Final Valuation Date.
If the Underlying Return is greater than or equal to zero,
Credit Suisse will pay you a cash payment per Security equal to:
$10 + [$10 ×
the lesser of (i) Maximum Gain and (ii) (Underlying Return × the Upside Gearing)]
If the Underlying Return is less than zero, Credit Suisse will
pay you a cash payment per Security equal to:
$10 + ($10 × Underlying Return)
Under these circumstances, you will lose some or all, of your Principal
Amount. |
|
|
|
INVESTING IN THE SECURITIES
INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE YOUR ENTIRE PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF PRINCIPAL,
IS SUBJECT TO THE ABILITY OF CREDIT SUISSE TO PAY ITS OBLIGATIONS AS THEY BECOME DUE. IF CREDIT SUISSE WERE TO DEFAULT ON ITS OBLIGATIONS,
YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE SECURITIES.
|
| Supplemental Terms of the Securities |
For purposes of the Securities offered by this pricing supplement, all
references to each of the following defined terms 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 |
| Underlying Return Cap |
Maximum Gain |
| Upside Participation Rate |
Upside Gearing |
| Initial Level |
Initial Underlying Level |
| Final Level |
Final Underlying Level |
| Valuation Date |
Final Valuation Date |
An investment in the offering of
the Securities involves significant risks. This section describes material risks relating to an investment in the Securities. Some of
the risks that apply to the Securities are summarized below, but we urge you to read the more detailed explanation of risks relating to
the Securities in the “Risk Factors” section of any accompanying product supplement. We also urge you to consult your investment,
legal, tax, accounting and other advisors before you invest in the Securities.
Risks Relating to the Securities
Generally
| ¨ | You may receive less than the principal amount at maturity
— You may receive less at maturity than you originally invested in the Securities. If the Final Underlying Level is less than
the Initial Underlying Level, you will be fully exposed to any depreciation in the Underlying from the Initial Underlying Level to the
Final Underlying Level and will incur a loss proportionate to the Underlying Return. In this case, at maturity, the amount Credit Suisse
will pay you will be less than the principal amount of the Securities and you could lose your entire investment. It is not possible to
predict whether the Final Underlying Level will be less than the Initial Underlying Level, and in that case, by how much the Final Underlying
Level will decrease in comparison to the Initial Underlying Level. 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 Underlying Level will be less than the Initial Underlying Level will
depend on the volatility of the Underlying — “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 Underlying Level could be less than the Initial Underlying 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. |
| ¨ | 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 Payment at Maturity is based on the performance of the Underlying. Because the Payment 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. |
| ¨ | The stated payout from the Issuer applies only if you hold the Securities to maturity —
The value of the Securities prior to maturity may be less than the initial investment amount and substantially different than the amount
expected at maturity. If you are able to sell your Securities prior to maturity in the secondary market, your return may be less than
the Underlying Return and you may receive less than your initial investment amount even if the level of the Underlying is greater than
the Initial Underlying Level at that time. The stated payout on the Securities, including the application of the Upside Gearing up to
the Maximum Gain, applies only if you hold the Securities to maturity. |
| ¨ | The appreciation potential of the Securities is limited by the Maximum Gain — Your potential
total return on the Securities at maturity is limited by the Maximum Gain, and therefore any further appreciation of the Underlying from
the Initial Underlying Level to the Final Underlying Level where the product of the Underlying Return and the Upside Gearing is greater
than the Maximum Gain will not result in any further benefit to you. As a result, the return on an investment in the Securities may be
less than the return on a hypothetical direct investment in the Underlying. |
| ¨ | 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. Even if the treatment of the Securities
described herein is respected, there is a substantial risk that a Security will be treated as a “constructive ownership transaction,”
with potentially adverse consequences described below under “United States Federal Tax Considerations.” Moreover, future legislation,
Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the Securities, possibly retroactively. |
Risks Relating to the Underlying
| ¨ | There are risks associated with the Underlying — Although
shares of the Underlying are listed for trading on a national securities exchange and a number of similar products have been traded on
various national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for
the shares of the Underlying or that there will be liquidity in the trading market, whether as a result of market forces, regulatory requirements,
sanctions or any other governmental action or ruling. The Underlying is subject to management risk, which is the risk that its investment
strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Pursuant to the Underlying's
investment strategy or otherwise, including as a result of regulatory requirements, sanctions or any other governmental action or ruling,
its investment advisor may add, delete or substitute the assets held by the Underlying. Any of these actions could adversely affect the
price of the shares of the Underlying and consequently the value of the Securities. For additional information about the Underlying, see
“The Underlying” herein. |
| ¨ | The performance and market value of the Underlying, particularly during periods of market
volatility, may not correlate to the performance of its Tracked Index — The Underlying will generally invest in all of the equity
securities included in the index tracked by the Underlying (the “Tracked Index”) but may not fully replicate the Tracked Index.
There may be instances where the Underlying’s investment advisor may choose to overweight another stock in the Tracked Index for
the Underlying, purchase securities not included in the Tracked Index for the Underlying that its investment advisor believes are appropriate
to substitute for a security included in such Tracked Index or utilize various combinations of other available investment techniques.
In addition, the performance of the Underlying will reflect additional transaction costs and fees that are not included in the calculation
of its Tracked Index. Finally, because the shares of the Underlying are traded on a national securities exchange and are subject to market
supply and investor demand, the market value of one share of the Underlying may differ from the net asset value per share of the Underlying.
|
During periods
of market volatility, securities held by the Underlying may be unavailable in the secondary market, market participants may be unable
to calculate accurately the net asset value per share of the Underlying and the liquidity of the Underlying may be adversely affected.
This kind of market volatility may also disrupt the ability of market participants to create and redeem shares in the Underlying. Further,
market volatility may adversely affect, sometimes materially, the prices at which market participants are willing to buy and sell shares
of the Underlying. As a result, under these circumstances, the market value of shares of the Underlying may vary substantially from the
net asset value per share of the Underlying. For these reasons, the performance of the Underlying may not correlate with the performance
of its Tracked Index. For additional information about the Underlying, see “The Underlying” herein.
| ¨ | Foreign securities markets risk —
Some or all of the assets included in the Underlying 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 Underlying 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 Underlying, and therefore the performance of the Underlying and the value of the Securities. |
| ¨ | Emerging markets risk — The
Underlying is exposed to the political and economic risks of emerging market countries. In recent years, some emerging markets have undergone
significant political, economic and social upheaval. Such far-reaching changes have resulted in constitutional and social tensions and,
in some cases, instability and reaction against market reforms has occurred. With respect to any emerging market nation, there is the
possibility of nationalization, expropriation or confiscation, political changes, government regulation and social instability. There
can be no assurance that future political changes will not adversely affect the economic conditions of an emerging market nation. Political
or economic instability could have an adverse effect on the performance of the Securities. |
| ¨ | Currency exchange risk — Because
the prices of the equity securities included in the Underlying are converted into U.S. dollars for purposes of calculating the level of
the Underlying, investors will be exposed to currency exchange rate risk with respect to each of the currencies in which the equity securities
included in the Underlying trade. Currency exchange rates may be highly volatile, particularly in relation to emerging or developing nations’
currencies and, in certain market conditions, also in relation to developed nations’ currencies. Significant changes in currency
exchange rates, including changes in liquidity and prices, can occur within very short periods of time. Currency exchange rate risks include,
but are not limited to, convertibility risk, market volatility and potential interference by foreign governments through regulation of
local markets, foreign investment or particular transactions in foreign currency. These factors may adversely affect the values of the
equity securities included in the Underlying, the level of the Underlying and the value of the Securities. |
| ¨ | No ownership rights relating to the Underlying — Your return on the Securities will not
reflect the return you would realize if you actually owned shares of the Underlying or the assets that comprise the Underlying. The return
on your investment is not the same as the total return you would receive based on the purchase of shares of the Underlying or the assets
that comprise the Underlying. |
| ¨ | No dividend payments or voting rights — As a holder of the Securities, you will not have
any ownership interest or rights in shares of the Underlying or the assets that comprise the Underlying, such as voting rights or dividend
payments. In addition, the issuer of the Underlying will not have any obligation to consider your interests as a holder of the Securities
in taking any corporate action that might affect the value of the Underlying and therefore, the value of the Securities. |
| ¨ | Anti-dilution protection is limited — The calculation agent will make anti-dilution adjustments
for certain events affecting the Underlying. However, an adjustment will not be required in response to all events that could affect the
Underlying. If an event occurs that does not require the calculation agent to make an adjustment, or if an adjustment is made but such
adjustment does not fully reflect the economics of such event, the value of the Securities may be materially and adversely affected. See
“Description of the Securities—Adjustments” in any accompanying product supplement. |
| ¨ | Government regulatory action, including legislative acts and
executive orders, could result in material changes to the Underlying and could negatively affect your return on the Securities —
Government regulatory action, including legislative acts and executive orders, could materially affect the Underlying. For example, in
response to recent executive orders, stocks of companies that are determined to be linked to the People’s Republic of China military,
intelligence and security apparatus may be delisted from a U.S. exchange, removed as a component in indices or exchange traded funds,
or transactions in, or holdings of, securities with exposure to such stocks may otherwise become prohibited under U.S. law. If government
regulatory action results in such consequences, there may be a material and negative effect on the Securities. |
Risks Relating to the Issuer
| ¨ | The Securities are subject to the credit risk of Credit Suisse — Investors are dependent
on our ability to pay all amounts due on the Securities and, therefore, if we were to default on our obligations, you may not receive
any amounts owed to you under the Securities. In addition, any decline in our credit ratings, any adverse changes in the market’s
view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the value of the Securities prior to
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. |
Risks Relating to Conflicts
of Interest
| ¨ | 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 the Underlying or instruments related to the Underlying. We, any dealer or our or their respective affiliates may also trade
in the Underlying or instruments related to the Underlying 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. |
| ¨ | 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 and 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. |
Risks Relating to the Estimated
Value and Secondary Market Prices of the Securities
| ¨ | 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
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; |
| o | geopolitical conditions and economic, financial, political, regulatory, judicial or other 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, and such price could be less than your initial investment
and significantly different than the amount expected at 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.
| ¨ | 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 or 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 proprietary
pricing models dependent on inputs such as volatility, correlation, dividend rates, interest rates and other factors, including assumptions
about future market events and/or environments. These inputs may be market-observable or may be based on assumptions made by us in our
discretionary judgment. 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 used 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, the related inputs and other factors, including our internal funding rate, customary bid and ask spreads and other
transaction costs, changes in market conditions and deterioration or improvement in our creditworthiness. In circumstances where our
internal funding rate is higher than our secondary market credit spreads, our secondary market bid for your Securities could be less
favorable than what other dealers might bid because, assuming all else equal, we use the higher internal funding rate to price the Securities
and other dealers might use the lower 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, which may include discounts and commissions 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.
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. |
| ¨ | 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. |
| Hypothetical Examples of
How the Securities Might Perform |
Hypothetical terms only. Actual
terms may vary. See the cover page for actual offering terms.
The examples and table below illustrate
Payments at Maturity for a hypothetical offering of the Securities under various scenarios, with the assumptions set forth below. Numbers
in the examples and table below have been rounded for ease of analysis. You should not take these examples or the table below as an indication
or assurance of the expected performance of the Underlying. The actual terms are set forth on the cover of this pricing supplement and
under “Key Terms” above. You should consider carefully whether the Securities are suitable to your investment goals. Any payment
on the Securities is subject to our ability to pay our obligations as they become due.
| Principal Amount: |
$10 |
| Term: |
Approximately 14 months |
| Upside Gearing: |
3 |
| Maximum Gain: |
17.30% |
Example 1— The level of the Underlying
increases by 50% from the Initial Underlying Level to the Final Underlying Level. The Underlying Return is greater than zero,
therefore the Payment at Maturity is calculated as follows:
$10 + [$10 × the lesser of
(i) Maximum Gain and (ii) (Underlying Return × Upside Gearing)]
$10 + [$10 × the lesser of
(i) 17.30% and (ii) (50% × 3)]
$10 + [$10 × the lesser of
(i) 17.30% and (ii) 150%]
Payment at Maturity = $10 + ($10
×17.30%) = $11.73
Because the Underlying Return multiplied
by the Upside Gearing is equal to 150%, the Payment at Maturity is equal to the Maximum Gain of $11.73 per $10 Principal Amount of Securities,
resulting in a total return on the Securities of 17.30%.
Example 2— The level of the Underlying
increases by 2% from the Initial Underlying Level to the Final Underlying Level. The Underlying Return is greater than zero,
therefore the Payment at Maturity is calculated as follows:
$10 + [$10 × the lesser of
(i) Maximum Gain and (ii) (Underlying Return × Upside Gearing)]
$10 + [$10 × the lesser of
(i) 17.30% and (ii) (2% × 3)]
$10 + [$10 × the lesser of
(i) 17.30% and (ii) 6%]
Payment at Maturity = $10 + ($10
× 6%) = $10.60
Because the Underlying Return multiplied
by the Upside Gearing is equal to 6%, the Payment at Maturity is equal to $10.60 per $10 Principal Amount of Securities, resulting
in a total return on the Securities of 6%.
Example 3— The level of the Underlying
decreases by 60% from the Initial Underlying Level to the Final Underlying Level. The Underlying Return is negative, and the
Payment at Maturity is calculated as follows:
Underlying Return = -60%
Payment at Maturity = $10 + ($10
× -60%) = $4
Because the Underlying Return is less than zero, the
Securities will be fully exposed to any decline in the level of the Underlying as of the Final Valuation Date. Therefore, the Payment
at Maturity is equal to $4 per $10 Principal Amount of Securities, resulting in a total loss on the Securities of 60%.
If the Underlying Return is less than zero, the
Securities will be fully exposed to any decline in the Underlying, and you will lose some or all of your Principal Amount at maturity.
Hypothetical Payment at Maturity (per Security)
The table below illustrates, for a $10 investment in
the Securities, hypothetical Payments at Maturity for a hypothetical range of Underlying Returns. The hypothetical Payments at Maturity
set forth below are for illustrative purposes only. The actual Payment at Maturity applicable to a purchaser of the Securities will depend
on the Final Underlying Level. You should consider carefully whether the Securities are suitable 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 below have been
rounded for ease of analysis.
|
Underlying
Return |
Return
on the Securities |
Payment
at Maturity (per Security) |
| 100% |
17.30% |
$11.73 |
| 90% |
17.30% |
$11.73 |
| 80% |
17.30% |
$11.73 |
| 70% |
17.30% |
$11.73 |
| 60% |
17.30% |
$11.73 |
| 50% |
17.30% |
$11.73 |
| 40% |
17.30% |
$11.73 |
| 30% |
17.30% |
$11.73 |
| 20% |
17.30% |
$11.73 |
| 10% |
17.30% |
$11.73 |
| 5.767% |
17.30% |
$11.73 |
| 2% |
6% |
$10.60 |
| 0% |
0% |
$10 |
| −10% |
−10% |
$9 |
| −20% |
−20% |
$8 |
| −30% |
−30% |
$7 |
| −40% |
−40% |
$6 |
| −50% |
−50% |
$5 |
| −60% |
−60% |
$4 |
| −70% |
−70% |
$3 |
| −80% |
−80% |
$2 |
| −90% |
−90% |
$1 |
| −100% |
−100% |
$0 |
| United States Federal Tax Considerations |
This discussion supplements and, to the extent inconsistent therewith,
supersedes the discussion in the accompanying product supplement under “United States Federal 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 “United States Federal 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 gain or loss equal to the difference between
the amount realized and your tax basis in the Security. Subject to the discussion below concerning the potential application of the “constructive
ownership” rules under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”), such gain or loss
should be long-term capital gain or loss if you held the Security for more than one year. |
Even if the treatment of the Securities as described herein is respected,
there is a substantial risk that your purchase of a Security will be treated as entry into a “constructive ownership transaction,”
within the meaning of Section 1260 of the Code. In that case, all or a portion of any long-term capital gain you would otherwise recognize
in respect of your Securities would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term
capital gain.” Any long-term capital gain recharacterized as ordinary income under Section 1260 would be treated as accruing at
a constant rate over the period you held your Securities, and you would be subject to an interest charge in respect of the deemed tax
liability on the income treated as accruing in prior tax years. Due to the lack of governing authority under Section 1260, our counsel
is not able to opine as to whether or how Section 1260 applies to the Securities. You should read the section entitled “United States
Federal Tax Considerations—Tax Consequences to U.S. Holders—Securities Treated as Prepaid Financial Contracts that are Open
Transactions—Possible Application of Section 1260 of the Code” in the accompanying product supplement for additional information
and consult your tax advisor regarding the potential application of the “constructive ownership” rule.
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 “United States Federal Tax Considerations—Tax Consequences to Non-U.S. Holders” and “United States Federal
Tax Considerations—FATCA” 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 “United States Federal Tax Considerations—Tax
Consequences to Non-U.S. Holders—Dividend Equivalents under Section 871(m) of the Code” 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, 2023 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 your other transactions. You should consult your tax advisor regarding the potential
application of Section 871(m) to the Securities.
If withholding tax applies to the Securities, we will not be required
to pay any additional amounts with respect to amounts withheld.
You should read the section entitled “United States Federal
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.
The iShares®
MSCI Emerging Markets ETF
We have derived all information
contained herein regarding the iShares® MSCI Emerging Markets ETF from publicly available information. Such information
reflects the policies of, and is subject to change by, BlackRock Fund Advisors, which maintains and manages the iShares®
MSCI Emerging Markets ETF and acts as investment advisor to the iShares® MSCI Emerging Markets ETF. We have not conducted
any independent review or due diligence of any publicly available information with respect to the iShares® MSCI Emerging
Markets ETF.
The iShares® MSCI
Emerging Markets ETF is an exchange-traded fund that seeks to track the investment results of the MSCI Emerging Markets Index, which is
designed to measure equity market performance in the global emerging markets.
iShares, Inc. is a registered
investment company that consists of numerous separate investment portfolios, including the iShares® MSCI Emerging Markets
ETF. Information filed by iShares, Inc. with the SEC under the Securities Act and the Investment Company Act can be found by reference
to its SEC file numbers: 033-97598 and 811-09102. Shares of the iShares® MSCI Emerging Markets ETF are listed on the NYSE
Arca under ticker symbol “EEM.” Information from outside sources is not incorporated by reference in, and should not be considered
part of, this pricing supplement or any accompanying product supplement, the prospectus supplement and the prospectus.
The following graph sets forth the historical performance of the Underlying
based on the closing levels of the Underlying from January 4, 2016 through November 24, 2021. The closing level of the iShares®
MSCI Emerging Markets ETF on November 24, 2021 was $50.39. 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. The graph below may have been adjusted to reflect certain corporate actions such as stock splits and reverse stock splits.
For additional information about
the iShares® MSCI Emerging Markets ETF, see “The Underlying” herein.
Historical
Performance of the iShares® MSCI Emerging Markets ETF
| 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 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 any accompanying product supplement.
|
Supplemental Plan of Distribution |
Under the terms of a distributor accession confirmation with UBS Financial
Services Inc., dated as of March 12, 2014, UBS Financial Services Inc. will act as distributor for the Securities. The distributor will
receive a fee from Credit Suisse or one of our affiliates of $0.20 per $10 principal amount of Securities. For additional information,
see “Underwriting (Conflicts of Interest)” in any accompanying product supplement.
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 or less 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.
|
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) concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and (iii) possible judicial or regulatory
actions giving effect to governmental actions or foreign laws affecting creditors’ rights, 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 October 29, 2021 and filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on October 29,
2021. 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 October 29, 2021, which was filed by Credit Suisse
as an exhibit to a Current Report on Form 6-K on October 29, 2021. 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.