Notes Linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return Due May 27, 2021

Transcription

1 Nte Fact Sheet N. G109 Filed pursuant t Rule 433 Registratin Statement Ns and Dated April 29, 2016 Ntes Linked t the CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return Due May 27, 2021 Overview f the Index The CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return (the Underlying ) is a rules-based index that seeks t bradly mirrr the verall cnsumer expenditure patterns f retirees in the United States. Using data frm the Cnsumer Expenditure Survey ( CEX ) published by the U.S. Department f Labr s Bureau f Labr Statistics, the Index assigns categry weights by cmputing the percentage that each f the furteen CEX cnsumer spending categries represents f the ttal cnsumer expenditure f the age grup classified as 65 years and lder ( retirees ). These weights are applied t a ntinal basket f seven equity indices intended t represent the CEX spending categries t cnstruct the base index. The base index is rebalanced each year t reflect the new annual CEX data made available t the public the same year. The Index has expsure t the base index while als emplying a mechanism that targets an annualized realized vlatility f 5% by using a 20-day lk back perid t adjust its level f participatin in the base index daily. The vlatility targeting mechanism may result in the Index having an expsure t the base index between 0% and 150%. If the actual vlatility f the base index ver the 20-day lkback perid is mre than 5%, the Index will have an expsure t the base index f less than 100%, and if such vlatility ver such perid is less than 5%, the Index will have an expsure t the base index f greater than 100% (t a maximum f 150%). The level f the Index will reflect returns frm expsure t the base index and (t the extent that such expsure is less than 100%) t the S&P 2Y US Treasury Nte Futures Index Excess Return. The Index is calculated n an excess return basis, s the return f its base index expsure is reduced by 3-mnth USD LIBOR plus 40 basis pints. The Index incrprates the daily deductin f a fee f 0.5% per annum and a daily ntinal cst f 0.02% applied t the effective change in ntinal expsures t its cmpnents, representing the ntinal cst f the daily rebalancing t adjust tward the target vlatility f 5%. 1

2 Summary f Terms f Securities Issuer* Minimum Denminatin $1,000 Underlying Underlying Ticker Credit Suisse AG ( Credit Suisse ), acting thrugh its Nassau branch CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return CSEARC5E <Index> Trade Date Expected t be May 20, 2016 Issue Date Expected t be May 27, 2016 Valuatin Date May 20, 2021 Maturity Date May 27, 2021 Initial Level** Final Level Clsing Level Underlying Return Upside Participatin Rate** 145% - 155% Redemptin Amunt Additinal Amunt CUSIP The Clsing Level f the Underlying n the Trade Date The Clsing Level f the Underlying n the Valuatin Date On any trading day, the clsing level, as determined by the calculatin agent by reference t (i) Blmberg Financial Services ( Blmberg ) r any successr reprting service, r (ii) if Blmberg r such successr reprting service des nt publish the Clsing Level n such trading day, the index spnsr. (Final Level Initial Level) / Initial Level At maturity, 100% f the principal amunt plus the Additinal Amunt, subject t the credit risk f the Issuer The greater f zer and the principal amunt multiplied by the Underlying Return, multiplied by the Upside Participatin Rate 22548Q5R2 Preliminary Pricing Supplement *As used in this dcument, references t we r ur are t Credit Suisse AG, as Issuer. **T be determined n the Trade Date. 2

3 Selected Security Characteristics The securities ffer repayment f the principal amunt at maturity. The securities ffer an uncapped leveraged return, if any, at maturity based n the perfrmance f the Index frm its Initial Level t its Final Level. Any payment n the securities is subject t ur ability t pay ur bligatins as they becme due. The Index allcates amng the seven equity indices that make up the base index, and the S&P 2Y US Treasury Nte Futures Index Excess Return. The Index has expsure t the base index while als emplying a mechanism that targets an annualized realized vlatility f 5% by using a 20-day lk back perid t adjust its level f participatin in the base index daily. The vlatility targeting mechanism may result in the Index having an expsure t the base index between 0% and 150%. T the extent the allcatin t the base index is belw 100%, the remainder f the Underlying is allcated t the S&P 2-Year US Treasury Nte Futures Index Excess Return. The base index return, as a cmpnent f the Underlying, is calculated n an excess return basis and is reduced by 3- mnth USD LIBOR plus 40 basis pints. The Underlying incrprates the daily deductin f a fee f 0.5% per annum and a daily ntinal cst f 0.02% applied t the effective change in ntinal expsures t its cmpnents, representing the ntinal cst f the daily rebalancing t adjust tward the target vlatility. Payment at Maturity At maturity, yu will be entitled t receive the principal amunt plus a leveraged return n any increase in the level f the Index frm its Initial Level t its Final Level. If held t maturity, yu will be entitled t full repayment f the principal amunt n the securities, even if the Index declines. Any payment n the securities is subject t ur ability t pay ur bligatins as they becme due. Hypthetical Redemptin Amunts fr each $1,000 Principal Amunt f Securities* Hypthetical Underlying Return Hypthetical Return n the Securities* Hypthetical Redemptin Amunt per $1,000 Principal Amunt* 80% % $2, % % $2, % 90.00% $1, % 75.00% $1, % 60.00% $1, % 45.00% $1, % 30.00% $1, % 15.00% $1, % 0.00% $1, % 0.00% $1, % 0.00% $1, % 0.00% $1, % 0.00% $1, % 0.00% $1, % 0.00% $1, % 0.00% $1, % 0.00% $1, *Reflects an Upside Participatin Rate f 150% (the midpint f the Upside Participatin Rate range). The actual Upside Participatin Rate will be determined n the Trade Date. The hypthetical returns and hypthetical payments n the securities apply nly at Maturity. These hyptheticals d nt reflect fees r expenses that wuld be assciated with any sale in the secndary market. If these fees and expenses were included, the hypthetical returns and hypthetical payments wuld likely be lwer. 3

4 Selected Risk Cnsideratins Credit risk f the Issuer The value f the securities and the payment f any amunt due n the securities are subject t the credit risk f Credit Suisse. Accrdingly, Investrs are dependent n ur ability t pay all amunts due n the securities, and therefre, if we were t default n ur bligatins, yu may nt receive any amunts wed t yu under the securities. The securities d nt pay interest We will nt pay interest n the securities. Yu may receive less at maturity than yu culd have earned n rdinary interest-bearing debt securities with similar maturities, including ther f ur debt securities, since the Additinal Amunt payable at maturity is based n the perfrmance f the Index. The return payable n each security may nt be enugh t cmpensate yu fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. The Index may nt perfrm as anticipated The Index methdlgy may nt be successful. The Index may nt effectively track retiree cnsumer spending. The Index methdlgy may nt utperfrm any alternative strategy that might be emplyed in respect f the index cmpnents. In additin, the Index perfrmance may be negatively affected by varius market and structural factrs. The Index may nt achieve its target vlatility Vlatility can fluctuate significantly, even during a single day, future vlatility may differ frm past vlatility, and the Index will nt adjust expsure based n the mst current vlatility. As a result, the Index may nt achieve its target vlatility at any given time. Fees and csts will lwer the level f the Index The base index return, as a cmpnent f the Underlying, is calculated n an excess return basis and is reduced by 3-mnth USD LIBOR plus 40 basis pints. The Underlying has a daily deductin f a 0.5% per annum fee and a daily ntinal cst f 0.02% applied t the effective change in ntinal expsures f the base index and S&P 2-Year US Treasury Nte Futures Index Excess Return representing the ntinal cst f daily rebalancing t adjust tward the target vlatility f 5%. Histrically, ver each calendar year the ntinal transactin cst has decreased the hypthetical perfrmance f the Index by between 0.05% and 0.25%. per annum. The histrical analysis f the ntinal transactin csts shuld nt be taken as an indicatin f future csts. These fees and csts will lwer the level f the Index and as a result may reduce the value f and yur return n an investment linked t the Index. Such reductin may be significant. Changes in the value f the Index Cmpnents may ffset each ther The Index cmprises equity and fixed incme indices, each f which cmprise ntinal assets nly. There is n actual prtfli f assets t which any persn is entitled r in which any persn has any wnership interest. Hlders f the securities will nt have vting rights r rights t receive cash dividends r ther distributins r ther rights with respect t the securities that cmprise the Index cmpnents. N wnership interest in the Index cmpnents The Index cmprises equity and fixed incme indices, each f which cmprise ntinal assets nly. There is n actual prtfli f assets t which any persn is entitled r in which any persn has any wnership interest. Hlders f the securities will nt have vting rights r ther rights in the securities that cmprise the Index cmpnents. Althugh the perfrmance f the Index cmpnents will include cash dividends and ther distributins in respect f the equity securities that cmprise such indices, yu will nt have the right t receive such dividends r ther distributins. Limited histry f the Index The Index was established n February 27, 2015 and therefre has a limited perating histry, and may perfrm in unanticipated ways. Past perfrmance shuld nt be cnsidered indicative f future perfrmance. One r mre f the Index cmpnents may nt effectively track cnsumer spending in the United States The furteen brad categries f cnsumer spending identified in the CEX are represented by the Index cmpnents. Each Index cmpnent tracks the perfrmance f a basket f stcks f United States cmpanies in the market sectr r industry f the S&P 500 Index r the S&P Ttal Market Index that was chsen t crrespnd t the cnsumer spending categry. Hwever, the universe f assets available fr the Cnstituent Indices t track is finite and limited. There is n guarantee that the selected Cnstituent Indices and assets they track reflect the best pssible, r even an effective, mix f cnstituents t track cnsumer spending by retirees in the United States. Ptential cnflicts We and ur affiliates play a variety f rles in cnnectin with the Index and the securities, including acting as calculatin agent, hedging ur bligatins under the securities and determining their estimated value. In additin, ur affiliate, Credit Suisse Internatinal, is the Index spnsr and Index calculatin agent and may adjust the Index in a way that affects its level. In perfrming these duties, ur ecnmic interests and thse f ur affiliates are ptentially adverse t yur interests as an investr in the securities. The estimated value f the securities n the Trade Date may be less than the price t public The initial estimated value f the securities n the Trade Date (as determined by reference t ur pricing mdels and ur internal funding rate) may be significantly less than the riginal price t public. The price t public f the securities includes the agent s discunts r cmmissins as well as transactin csts such as expenses incurred t create, dcument and market the securities and the cst f hedging ur risks as issuer f the securities thrugh ne r mre f ur affiliates (which includes a prjected prfit). These csts will be effectively brne by yu as an investr in the securities. These amunts will be retained by Credit Suisse r ur affiliates in cnnectin with ur structuring and ffering f the securities (except t the extent discunts r cmmissins are reallwed t ther brker-dealers r any csts are paid t third parties). Lack f liquidity The securities will nt be listed n any securities exchange. Credit Suisse (r its affiliates) intends t ffer t purchase the securities in the secndary market but is nt required t d s. Even if there is a secndary market, it may nt prvide enugh liquidity t allw yu t trade r sell the securities when yu wish t d s. Unpredictable ecnmic and market factrs may affect the value f the securities Many factrs, including the Index level and vlatility, the time t maturity, market interest rates, and Credit Suisse s creditwrthiness, may affect the value f the securities. Sme r all f these factrs may influence the price that a hlder wuld receive upn sale f the securities prir t maturity, and such price culd be less than the initial investment r the expected price at maturity. Therefre, the value f the securities prir t maturity may be mre r less than the initial price and may be substantially different than the payment expected at maturity. Investrs must hld their securities t maturity t receive the stated payut, including any repayment f principal. Uncertain tax cnsequences The tax cnsequences f an investment in the securities may be uncertain. Hlders shuld cnsult their tax advisrs. 4

5 The risks identified abve are nly intended as summaries f sme f the risks relating t an investment in the securities. Please see Risk Factrs in the applicable prduct supplement and underlying supplement and Selected Risk Cnsideratins in the pricing supplement fr additinal infrmatin. This dcument is a summary f the terms f the securities and factrs that yu shuld cnsider befre deciding t invest in the securities. Credit Suisse has filed a registratin statement (including prspectus supplement and prspectus) with the Securities and Exchange Cmmissin, r SEC, fr the ffering f securities. Befre yu invest, yu shuld read the applicable Preliminary Pricing Supplement dated April 29, 2016, Underlying Supplement N. CSEARC5E dated Octber 1, 2015, Underlying Perfrmance Supplement dated April 29, 2016, Prduct Supplement G-I dated May 13, 2015, Prspectus Supplement dated May 4, 2015 and Prspectus dated May 4, 2015 t understand fully the terms f the securities and ther cnsideratins that are imprtant in making a decisin abut investing in the securities. Yu may get these dcuments withut cst by visiting EDGAR n the SEC website at gv. Alternatively, Credit Suisse, any agent r any dealer participatin in this ffering will arrange t send yu the preliminary pricing supplement, underlying perfrmance supplement, underlying supplement, prduct supplement, prspectus supplement and prspectus if yu s request by calling tll-free This fact sheet is a general descriptin f the terms f the ffering. Please see the full descriptin in the applicable preliminary pricing supplement: Yu may access the underlying perfrmance supplement, underlying supplement, prduct supplement, prspectus supplement and prspectus n the SEC website at r by clicking n the hyperlinks t each f the respective dcuments incrprated by reference in the preliminary pricing supplement. Investment suitability must be determined individually fr each investr, and the financial instruments described herein may nt be suitable fr all investrs. This infrmatin is nt intended t prvide and shuld nt be relied upn as prviding accunting, legal, regulatry r tax advice. Investrs shuld cnsult with their wn advisrs as t these matters. Cpyright 2016 CREDIT SUISSE AG and/r its affiliates. All rights reserved. 5

6 The infrmatin in this preliminary pricing supplement is nt cmplete and may be changed. This preliminary pricing supplement is nt an ffer t sell these securities and it is nt sliciting an ffer t buy these securities in any jurisdictin where the ffer r sale is nt permitted. Subject t cmpletin dated April 29, Preliminary Pricing Supplement N. G109 T the Underlying Supplement dated Octber 1, 2015, Underlying Perfrmance Supplement dated April 29, 2016, Prduct Supplement N. G-I dated May 13, 2015, Prspectus Supplement dated May 4, 2015 and Prspectus dated May 4, 2015 Filed Pursuant t Rule 424(b)(2) Registratin Statement Ns and April 29, 2016 $ CS Ntes due May 27, 2021 Linked t the Perfrmance f the CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return General The securities are designed fr investrs wh seek a leveraged return linked t the perfrmance f the CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return. Investrs shuld be willing t frg interest and dividend payments. Any payment n the securities is subject t ur ability t pay ur bligatins as they becme due. If the Final Level is greater than the Initial Level, investrs will benefit frm an Upside Participatin Rate f between 145% and 155% (t be determined n the Trade Date). Senir unsecured bligatins f Credit Suisse AG, acting thrugh its Nassau branch, maturing May 27, Minimum purchase f $1,000. Minimum denminatins f $1,000 and integral multiples f $1,000 in excess theref. The securities are expected t price n r abut May 20, 2016 (the Trade Date ) and are expected t settle n r abut May 27, 2016 (the Settlement Date ). Delivery f the securities in bk-entry frm nly will be made thrugh The Depsitry Trust Cmpany. Key Terms Issuer: Credit Suisse AG ( Credit Suisse ), acting thrugh its Nassau branch Underlying: The securities are linked t the perfrmance f the CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return. Fr mre infrmatin n the Underlying, see the accmpanying underlying supplement and The Underlying in this pricing supplement. The Underlying is identified in the table belw, tgether with its Blmberg ticker symbl and Initial Level. Underlying Ticker Initial Level* CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return CSEARC5E <Index> Redemptin Amunt: At maturity, yu will be entitled t receive a Redemptin Amunt in cash that will equal the principal amunt f the securities yu hld plus the Additinal Amunt. Any payment n the securities is subject t ur ability t pay ur bligatins as they becme due. Additinal Amunt: The Additinal Amunt will equal the greater f (i) zer and (ii) an amunt calculated as fllws: principal amunt x Underlying Return x Upside Participatin Rate. Underlying Return: Final Level Initial Level Initial Level Upside Participatin Rate: Expected t be between 145% and 155% (t be determined n the Trade Date). Clsing Level: The Clsing Level f the Underlying n any trading day will be the clsing level, as determined by the calculatin agent by reference t (i) Blmberg Financial Services ( Blmberg ) r any successr reprting service, r (ii) if Blmberg r such successr reprting service des nt publish the Clsing Level n such trading day, the index spnsr. Initial Level:* The Clsing Level f the Underlying n the Trade Date. Final Level: The Clsing Level f the Underlying n the Valuatin Date. Valuatin Date: May 20, 2021 Maturity Date: May 27, 2021 Listing: The securities will nt be listed n any securities exchange. CUSIP: 22548Q5R2 * In the event that the Clsing Level fr the Underlying is nt available n the Trade Date, the Initial Level will be determined n the immediately fllwing trading day n which a Clsing Level is available. Subject t pstpnement as set frth in the accmpanying prduct supplement under Descriptin f the Securities Pstpnement f calculatin dates. Investing in the securities invlves a number f risks. See Selected Risk Cnsideratins beginning n page 6 f this pricing supplement and Risk Factrs beginning n page PS-3 f the accmpanying prduct supplement. Yu may revke yur ffer t purchase the securities at any time prir t the time at which we accept such ffer n the date the securities are priced. We reserve the right t change the terms f, r reject any ffer t purchase the securities prir t their issuance. In the event f any changes t the terms f the securities, we will ntify yu and yu will be asked t accept such changes in cnnectin with yur purchase. Yu may als chse t reject such changes in which case we may reject yur ffer t purchase. Neither the Securities and Exchange Cmmissin nr any state securities cmmissin has apprved r disapprved f the securities r passed upn the accuracy r the adequacy f this pricing supplement r the accmpanying underlying supplement, the prduct supplement, the prspectus supplement and the prspectus. Any representatin t the cntrary is a criminal ffense. Price t Public(1) Underwriting Discunts and Cmmissins(2) Prceeds t Issuer Per security $1, $ $ Ttal $ $ $ (1) Certain fiduciary accunts may pay a purchase price f at least $ per $1,000 principal amunt f securities, and CSSU will frg any fees with respect t such sales. (2) We r ne f ur affiliates may pay varying discunts and cmmissins f up t $37.50 per $1,000 principal amunt f securities. Fr mre detailed infrmatin, please see Supplemental Plan f Distributin (Cnflicts f Interest) in this pricing supplement. The agent fr this ffering, Credit Suisse Securities (USA) LLC ( CSSU ), is ur affiliate. Fr mre infrmatin, see Supplemental Plan f Distributin (Cnflicts f Interest) in this pricing supplement. Credit Suisse currently estimates the value f each $1,000 principal amunt f the securities n the Trade Date will be between $ and $ (as determined by reference t ur pricing mdels and the rate we are currently paying t brrw funds thrugh issuance f the securities (ur internal funding rate )). This range f estimated values reflects terms that are nt yet fixed. A single estimated value reflecting final terms will be determined n the Trade Date. See Selected Risk Cnsideratins in this pricing supplement. The securities are nt depsit liabilities and are nt insured r guaranteed by the Federal Depsit Insurance Crpratin r any ther gvernmental agency f the United States, Switzerland r any ther jurisdictin. Credit Suisse May, 2016

7 Additinal Terms Specific t the Securities Yu shuld read this pricing supplement tgether with the underlying supplement dated Octber 1, 2015, the underlying perfrmance supplement dated April 29, 2016, the prduct supplement dated May 13, 2015, the prspectus supplement dated May 4, 2015 and the prspectus dated May 4, 2015, relating t ur Medium-Term Ntes f which these securities are a part. Yu may access these dcuments n the SEC website at as fllws (r if such address has changed, by reviewing ur filings fr the relevant date n the SEC website): Underlying supplement N. CSEARC5E dated Octber 1, 2015: Underlying perfrmance supplement dated April 29, 2016: Prduct supplement N. G-I dated May 13, 2015: Prspectus supplement and Prspectus dated May 4, 2015: Our Central Index Key, r CIK, n the SEC website is As used in this pricing supplement, the Cmpany, we, us, r ur refers t Credit Suisse. In the event the terms f the securities described in this pricing supplement differ frm, r is incnsistent with, the terms described in the underlying supplement, underlying perfrmance supplement, prduct supplement, prspectus supplement r prspectus, the terms described in this pricing supplement will cntrl. This pricing supplement, tgether with the dcuments listed abve, cntains the terms f the securities and supersedes all ther prir r cntempraneus ral statements as well as any ther written materials including preliminary r indicative pricing terms, fact sheets, crrespndence, trade ideas, structures fr implementatin, sample structures, brchures r ther educatinal materials f urs. We may, withut the cnsent f the registered hlder f the securities and the wner f any beneficial interest in the securities, amend the securities t cnfrm t its terms as set frth in this pricing supplement and the dcuments listed abve, and the trustee is authrized t enter int any such amendment withut any such cnsent. Yu shuld carefully cnsider, amng ther things, the matters set frth in Risk Factrs in the prduct supplement and Selected Risk Cnsideratins in this pricing supplement, Freign Currency Risks in the accmpanying prspectus, and any risk factrs we describe in the cmbined Annual Reprt n Frm 20-F f Credit Suisse Grup AG and us incrprated by reference therein, and any additinal risk factrs we describe in future filings we make with the SEC under the Securities Exchange Act f 1934, as amended, as the securities invlve risks nt assciated with cnventinal debt securities. Yu shuld cnsult yur investment, legal, tax, accunting and ther advisrs befre deciding t invest in the securities. 1

8 Hypthetical Redemptin Amunts at Maturity The table and examples belw illustrate hypthetical Redemptin Amunts payable at maturity n a $1,000 investment in the securities fr a hypthetical range f perfrmance f the Underlying. The table and examples belw assume that the Upside Participatin Rate is 150% (the midpint f the expected range set frth n the cver f this pricing supplement). The actual Upside Participatin Rate will be determined n the Trade Date. The hypthetical Redemptin Amunts set frth belw are fr illustrative purpses nly. The actual Redemptin Amunt applicable t a purchaser f the securities will depend n the Final Level. Yu shuld cnsider carefully whether the securities are suited t yur investment gals. Any payment n the securities is subject t ur ability t pay ur bligatins as they becme due. The numbers appearing in the table and examples belw have been runded fr ease f analysis. TABLE: Hypthetical Redemptin Amunts Additinal Amunt per $1,000 Principal Amunt f Securities Redemptin Amunt per $1,000 Principal Amunt f Securities Underlying Return % $1, $2, % $1, $2, % $1, $2, % $1, $2, % $ $1, % $ $1, % $ $1, % $ $1, % $ $1, % $ $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1, % $0.00 $1,

9 EXAMPLES The fllwing examples illustrate hw the Redemptin Amunt is calculated. Example 1: The level f the Underlying increases by 20% frm the Initial Level t the Final Level. The Underlying Return is greater than zer, and the Redemptin Amunt is calculated as fllws: Underlying Return = 20% Additinal Amunt = the greater f (i) zer and (ii) $1,000 x 20% x 150% = $300 Redemptin Amunt = $1,000 + $300 = $1,300 Because the Underlying Return is psitive and equal t 20%, the Additinal Amunt is equal t $300 and the Redemptin Amunt is equal t $1,300 per $1,000 principal amunt f securities. Example 2: The Final Level is equal t the Initial Level. The Underlying Return is zer, and the Redemptin Amunt is calculated as fllws: Underlying Return = 0% Additinal Amunt = the greater f (i) zer and (ii) $1,000 x 0% x 150% = $0 Redemptin Amunt = $1,000 + $0 = $1,000 Because the Underlying Return is zer, the Additinal Amunt is equal t $0 and the Redemptin Amunt is equal t $1,000 per $1,000 principal amunt f securities. Example 3: The level f the Underlying decreases by 20% frm the Initial Level t the Final Level. The Underlying Return is negative, and the Redemptin Amunt is calculated as fllws: Underlying Return = -20% Additinal Amunt = the greater f (i) zer and (ii) $1,000 x -20% x 150% = $0 Redemptin Amunt = $1,000 + $0 = $1,000 Because the Underlying Return is negative and equal t -20%, the Additinal Amunt is equal t $0 and the Redemptin Amunt is equal t $1,000 per $1,000 principal amunt f securities.. 3

10 The Underlying The CS Retiree Cnsumer Expenditure 5% Blended Index Excess Return (the Underlying ) is a rules-based index that seeks t bradly mirrr the verall cnsumer expenditure patterns f retirees in the United States. Using data frm the Cnsumer Expenditure Survey ( CEX ) published by the U.S. Department f Labr s Bureau f Labr Statistics, the Underlying assigns categry weights by cmputing the percentage that each f the furteen CEX cnsumer spending categries represents f the ttal cnsumer expenditure f the age grup classified as 65 years and lder. These weights are applied t the Underlying s ntinal basket f seven equity indices (the "Underlying Cnstituent Indices") intended t represent the CEX spending categries t cnstruct the base index. The base index is rebalanced each year t reflect the new annual CEX data made available t the public the same year. The Underlying has expsure t the base index while als emplying a mechanism that targets an annualized realized vlatility f 5% by using a 20-day lkback perid t adjust its level f participatin in the base index daily. The vlatility targeting mechanism may result in the Underlying having an expsure t the base index between 0% and 150%. If the actual vlatility f the base index ver the 20-day lkback perid is mre than 5%, the Underlying will have an expsure t the base index f less than 100%, and if such vlatility ver such perid is less than 5%, the Underlying will have an expsure t the base index f greater than 100% (t a maximum f 150%). The level f the Underlying will reflect returns frm expsure t the base index and (t the extent that such expsure is less than 100%) t the S&P 2Y US Treasury Nte Futures Index Excess Return (the Reference Fixed Incme Index ). The Underlying incrprates the daily deductin f a fee f 0.50% per annum and a daily ntinal cst f 0.02% applied t the effective change in ntinal expsures t the base index and Referenced Fixed Incme Index, representing the ntinal cst f the daily rebalancing t adjust tward the target vlatility f 5%. The Underlying is calculated n an excess return basis, s the return f its base index expsure is reduced by 3-mnth USD LIBOR plus 40 basis pints. The CEX prvides infrmatin n a range f cnsumers' expenditures and incmes, as well as the characteristics f thse cnsumers. The CEX prgram cnsists f tw related surveys, a quarterly interview survey and a diary survey, that are integrated t prvide infrmatin n the buying habits f American cnsumers, including data n their expenditures, incme, and cnsumer unit (i.e. families and single cnsumers) characteristics. The survey data are cllected fr the Bureau f Labr Statistics by the U.S. Census Bureau. The CEX annual data tables are made available t the public each year in early September. The CEX annual data tables are made available t the public each year in early September. It reflects cnsumer spending ver the curse f the prir calendar year, and thus the base index allcates ntinal expsure acrss the Underlying Cnstituent Indices and acrss the sectrs and industries they represent based n the spending patterns f retirees in the United States ver that same time. The Underlying seeks t track retiree cnsumer expenditure patterns thrugh the base index, which is cmpsed f the Underlying Cnstituent Indices. The furteen brad categries f cnsumer spending, as identified in the CEX, are intended t be represented in the base index by seven Underlying Cnstituent Indices: six f these CEX categries are intended t be represented respectively by six Underlying Cnstituent Indices, and the ther eight CEX categries are tracked cllectively by the Underlying Cnstituent Index representing cnsumer discretinary spending. Each Underlying Cnstituent Index is a sectr r industry index maintained and published by S&P Dw Jnes Indices LLC, r its successr, selected by the Underlying spnsr as representative f cnsumer spending in ne r mre f the relevant categries. Each Underlying Cnstituent Index tracks the perfrmance f a basket f stcks f United States cmpanies in the market sectr r industry f the S&P 500 r the S&P Ttal Market Index that was chsen t crrespnd t the cnsumer spending categry. Each Underlying Cnstituent Index is cmpsed f a basket f stcks weighted equally r by market cap within the basket (depending n the index) and is rebalanced quarterly. The Underlying Cnstituent Indices are identified in the table belw, tgether with their respective Blmberg tickers, market assciated sectr r industry, and crrespnding cnsumer spending categry r categries as they appear in the CEX tables. 4

11 Fr additinal infrmatin n the Underlying, see The CS Retiree Cnsumer Expenditure Indices The Excess Return Index in the accmpanying underlying supplement and underlying perfrmance supplement. Underlying Cnstituent Index 1 S&P 500 Real Estate (Industry Grup) Index Ttal Return 2 S&P 500 Cnsumer Discretinary (Sectr) Index Ttal Return 3 S&P Transprtatin Select Industry Index Ttal Return 4 S&P 500 Health Care (Sectr) Index Ttal Return 5 S&P Fd & Beverage Select Industry Index Ttal Return 6 S&P Insurance Select Industry Index Ttal Return 7 S&P 500 Apparel Retail (Sub-Industry) Index Ttal Return Ticker Assciated Sectr r Industry Crrespnding CEX cnsumer spending categries Underlying Weightings (as f Nvember 2, 2015) SPTR5EST Real Estate Husing 33.9% SPTRCOND Cnsumer Discretinary Alchlic beverages, Entertainment, Persnal care prducts and services, Reading, Educatin, Tbacc prducts and smking supplies, Miscellaneus, and Cash cntributins 16.6% SPSITNTR Transprtatin Transprtatin 15.9% SPRTHLTH Healthcare Healthcare 13.4% SPIFBUT Fd & Beverages Fd 12.5% SPSIINST Insurance Persnal insurance & pensins 5.2% S5APRETR Apparel Retailers Apparel and services 2.5% 5

12 Selected Risk Cnsideratins An investment in the securities invlves significant risks. Investing in the securities is nt equivalent t investing directly in the Underlying. These risks are explained in mre detail in the Risk Factrs sectin f the accmpanying prduct supplement. Risks related t the securities YOUR INVESTMENT IN THE SECURITIES MAY NOT PROVIDE FOR ANY RETURN ON YOUR INVESTMENT Regardless f the amunt f any payments yu receive n the securities, yu may nevertheless suffer a lss n yur investment in the securities, in real value terms. This is because inflatin may cause the real value f any payment yu receive n the securities t be less at maturity than it is at the time yu invest, and because an investment in the securities represents a frgne pprtunity t invest in an alternative asset that des generate a psitive real return. Yu shuld carefully cnsider whether an investment that may result in a return that is lwer than the return n alternative investments, is apprpriate fr yu. THE SECURITIES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE Investrs are dependent n ur ability t pay all amunts due n the securities and, therefre, if we were t default n ur bligatins, yu may nt receive any amunts wed t yu under the securities. In additin, any decline in ur credit ratings, any adverse changes in the market s view f ur creditwrthiness r any increase in ur credit spreads is likely t adversely affect the value f the securities prir t maturity. THE SECURITIES DO NOT PAY INTEREST We will nt pay interest n the securities. Yu may receive less at maturity than yu culd have earned n rdinary interest-bearing debt securities with similar maturities, including ther f ur debt securities, since the Redemptin Amunt at maturity is based n the perfrmance f the Underlying. The return payable n each security may nt be enugh t cmpensate yu fr any lss in value due t inflatin and ther factrs relating t the value f mney ver time. THE ADDITIONAL AMOUNT IS NOT LINKED TO THE LEVEL OF THE UNDERLYING AT ANY TIME OTHER THAN THE VALUATION DATE The Redemptin Amunt at maturity will equal the principal amunt f the securities yu hld plus the Additinal Amunt. The Additinal Amunt will be based nly n the Clsing Level f the Underlying n the Valuatin Date, subject t pstpnement as described in the accmpanying prduct supplement. If the level f the Underlying increases prir t the Valuatin Date but then decreases by the Valuatin Date, the Additinal Amunt and therefre the Redemptin Amunt will be less, and may be significantly less, than it wuld have been had the Additinal Amunt been linked t the level f the Underlying prir t such decrease. THE REPAYMENT OF PRINCIPAL AND ANY ADDITIONAL AMOUNT APPLIES ONLY IF YOU HOLD THE SECURITIES TO MATURITY The value f the securities prir t maturity may be less than the initial investment amunt and substantially different than the amunt expected at maturity. If yu are able t sell yur securities prir t maturity in the secndary market, yur return may be less than the Underlying Return and yu may receive less than yur initial investment amunt even if the level f the Underlying is greater than the Initial Level at that time. The repayment f principal and any Additinal Amunt, including the applicatin f the Upside Participatin Rate, applies nly if yu hld the securities t maturity. THE ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE MAY BE LESS THAN THE PRICE TO PUBLIC The initial estimated value f yur securities n the Trade Date (as determined by reference t ur pricing mdels and ur internal funding rate) may be significantly less than the riginal Price t Public. The Price t Public f the securities includes the agent s discunts r cmmissins as well as transactin csts such as expenses incurred t create, dcument and market the securities and the cst f hedging ur risks as issuer f the securities thrugh ne r mre f ur affiliates (which includes a prjected prfit). These csts will be effectively brne by yu as an investr in the securities. These amunts will be retained by Credit Suisse r ur affiliates in cnnectin with ur structuring and ffering f the securities (except t the extent discunts r cmmissins are reallwed t ther brker-dealers r any csts are paid t third parties). 6

13 On the Trade Date, we value the cmpnents f the securities in accrdance with ur pricing mdels. These include a fixed incme cmpnent valued using ur internal funding rate, and individual ptin cmpnents valued using mid-market pricing. As such, the payut n the securities can be replicated using a cmbinatin f these cmpnents and the value f these cmpnents, as determined by us using ur pricing mdels, will impact the terms f the securities at issuance. Our ptin valuatin mdels are prprietary. Our pricing mdels take int accunt factrs such as interest rates, vlatility and time t maturity f the securities, and they rely in part n certain assumptins abut future events, which may prve t be incrrect. Because Credit Suisse s pricing mdels may differ frm ther issuers valuatin mdels, and because funding rates taken int accunt by ther issuers may vary materially frm the rates used by Credit Suisse (even amng issuers with similar creditwrthiness), ur estimated value at any time may nt be cmparable t estimated values f similar securities f ther issuers. EFFECT OF INTEREST RATE USED IN STRUCTURING THE SECURITIES The internal funding rate we use in structuring ntes such as these securities is typically lwer than the interest rate that is reflected in the yield n ur cnventinal debt securities f similar maturity in the secndary market (ur secndary market credit spreads ). If n the Trade Date ur internal funding rate is lwer than ur secndary market credit spreads, we expect that the ecnmic terms f the securities will generally be less favrable t yu than they wuld have been if ur secndary market credit spread had been used in structuring the securities. We will als use ur internal funding rate t determine the price f the securities if we pst a bid t repurchase yur securities in secndary market transactins. See Secndary Market Prices belw. SECONDARY MARKET PRICES If Credit Suisse (r an affiliate) bids fr yur securities in secndary market transactins, which we are nt bligated t d, the secndary market price (and the value used fr accunt statements r therwise) may be higher r lwer than the Price t Public and the estimated value f the securities n the Trade Date. The estimated value f the securities n the cver f this pricing supplement des nt represent a minimum price at which we wuld be willing t buy the securities in the secndary market (if any exists) at any time. The secndary market price f yur securities at any time cannt be predicted and will reflect the then-current estimated value determined by reference t ur pricing mdels and ther factrs. These ther factrs include ur internal funding rate, custmary bid and ask spreads and ther transactin csts, changes in market cnditins and any deteriratin r imprvement in ur creditwrthiness. In circumstances where ur internal funding rate is lwer than ur secndary market credit spreads, ur secndary market bid fr yur securities culd be mre favrable than what ther dealers might bid because, assuming all else equal, we use the lwer internal funding rate t price the securities and ther dealers might use the higher secndary market credit spread t price them. Furthermre, assuming n change in market cnditins frm the Trade Date, the secndary market price f yur securities will be lwer than the Price t Public because it will nt include the agent s discunts r cmmissins and hedging and ther transactin csts. If yu sell yur securities t a dealer in a secndary market transactin, the dealer may impse an additinal discunt r cmmissin, and as a result the price yu receive n yur securities may be lwer than the price at which we may repurchase the securities frm such dealer. We (r an affiliate) may initially pst a bid t repurchase the securities frm yu at a price that will exceed the then-current estimated value f the securities. That higher price reflects ur prjected prfit and csts that were included in the Price t Public, and that higher price may als be initially used fr accunt statements r therwise. We (r ur affiliate) may ffer t pay this higher price, fr yur benefit, but the amunt f any excess ver the then-current estimated value will be temprary and is expected t decline ver a perid f apprximately 90 days. The securities are nt designed t be shrt-term trading instruments and any sale prir t maturity culd result in a substantial lss t yu. Yu shuld be willing and able t hld yur securities t maturity. CREDIT SUISSE IS SUBJECT TO SWISS REGULATION As a Swiss bank, Credit Suisse is subject t regulatin by gvernmental agencies, supervisry authrities and self-regulatry 7

14 rganizatins in Switzerland. Such regulatin is increasingly mre extensive and cmplex and subjects Credit Suisse t risks. Fr example, pursuant t Swiss banking laws, the Swiss Financial Market Supervisry Authrity (FINMA) may pen reslutin prceedings if there are justified cncerns that Credit Suisse is ver-indebted, has serius liquidity prblems r n lnger fulfills capital adequacy requirements. FINMA has brad pwers and discretin in the case f reslutin prceedings, which include the pwer t cnvert debt instruments and ther liabilities f Credit Suisse int equity and/r cancel such liabilities in whle r in part. If ne r mre f these measures were impsed, such measures may adversely affect the terms and market value f the securities and/r the ability f Credit Suisse t make payments thereunder and yu may nt receive any amunts wed t yu under the securities. LACK OF LIQUIDITY The securities will nt be listed n any securities exchange. Credit Suisse (r its affiliates) intends t ffer t purchase the securities in the secndary market but is nt required t d s. Even if there is a secndary market, it may nt prvide enugh liquidity t allw yu t trade r sell the securities when yu wish t d s. Because ther dealers are nt likely t make a secndary market fr the securities, the price at which yu may be able t trade yur securities is likely t depend n the price, if any, at which Credit Suisse (r its affiliates) is willing t buy the securities. If yu have t sell yur securities prir t maturity, yu may nt be able t d s r yu may have t sell them at a substantial lss. POTENTIAL CONFLICTS We and ur affiliates play a variety f rles in cnnectin with the issuance f the securities, including acting as calculatin agent and as agent f the issuer fr the ffering f the securities and hedging ur bligatins under the securities and determining their estimated value. In additin, ur affiliate, Credit Suisse Internatinal, r CSi, is the spnsr and calculatin agent f the Underlying and may adjust the Underlying in a way that affects its level. In perfrming these duties, the ecnmic interests f us and ur affiliates are ptentially adverse t yur interests as an investr in the securities. Further, hedging activities may adversely affect any payment n r the value f the securities. Any prfit in cnnectin with such hedging activities will be in additin t any ther cmpensatin that we and ur affiliates receive fr the sale f the securities, which creates an additinal incentive t sell the securities t yu. UNPREDICTABLE ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES The payut n the securities can be replicated using a cmbinatin f the cmpnents described in The estimated value f the securities n the Trade Date may be less than the Price t Public. Therefre, in additin t the level f the Underlying, the terms f the securities at issuance and the value f the securities prir t maturity may be influenced by factrs that impact the value f fixed incme securities and ptins in general, such as: the expected and actual vlatility f the Underlying; the time t maturity f the securities; interest and yield rates in the market generally; geplitical cnditins and a variety f ecnmic, financial, plitical, regulatry r judicial events that affect the cmpnents included in the Underlying r markets generally and which may affect the level f the Underlying; and ur creditwrthiness, including actual r anticipated dwngrades in ur credit ratings. Sme r all f these factrs may influence the price that yu will receive if yu chse t sell yur securities prir t maturity. The impact f any f the factrs set frth abve may enhance r ffset sme r all f any change resulting frm anther factr r factrs. 8

15 Risks related t the Underlying THE UNDERLYING MAY NOT OUTPERFORM ANY ALTERNATIVE METHODOLOGY THAT MIGHT BE EMPLOYED IN RESPECT OF THE UNDERLYING CONSTITUENT INDICES, OR ACHIEVE ITS TARGET VOLATILITY The Underlying fllws a ntinal rules-based prprietary methdlgy that perates n the basis f predetermined rules designed t track cnsumer spending f retirees (thse in the age grup classified as 65 years r lder ) and t target a specific vlatility. N assurance can be given that the investment methdlgy n which the Underlying is based will be successful r that the Underlying will utperfrm any alternative methdlgy that might be emplyed in respect f the Underlying Cnstituent Indices r the underlying equity securities and ther assets tracked by the Underlying Cnstituent Indices. If market cnditins d nt represent a cntinuatin f prir bserved trends as reflected in the CEX, the perfrmance f the Underlying, which is rebalanced based n these prir trends, may be adversely affected. In additin, if the Underlying Cnstituent Indices chsen t represent categries f spending d nt effectively track spending in the relevant categry, the Underlying may nt track verall cnsumer spending as intended and the perfrmance f the Underlying may be adversely affected. Furthermre, n assurance can be given that the Underlying will achieve its target vlatility. The actual realized vlatility f the Underlying may be greater r less than its target vlatility. IF THE VALUES OF THE COMPONENTS OF THE UNDERLYING OR THE RESPECTIVE EQUITY SECURITIES OR OTHER ASSETS THEY TRACK CHANGE, THE LEVEL OF THE UNDERLYING AND THE MARKET VALUE OF THE SECURITIES MAY NOT CHANGE IN THE SAME MANNER Owning the securities is nt the same as wning the Underlying cmpnents (including the Underlying Cnstituent Indices) r wning the equity securities r ther assets tracked by the Underlying cmpnents. Accrdingly, changes in the values f the Underlying cmpnents r the underlying equity securities r ther assets tracked by the Underlying cmpnents may nt result in a cmparable change in the level f the Underlying r the market value f the securities. THE UNDERLYING COMPRISES NOTIONAL ASSETS The expsures t the Underlying cmpnents (including the Underlying Cnstituent Indices) and the underlying equity securities and ther assets tracked by the Underlying cmpnents are purely ntinal, and expsures t the Underlying cmpnents will exist slely in the recrds maintained by r n behalf f the Underlying calculatin agent. There is n actual prtfli f assets t which any persn is entitled r in which any persn has any wnership interest. Cnsequently, yu will nt have any claim with respect t any f the Underlying cmpnents cmprised by the Underlying, r any f the underlying equity securities and ther assets tracked by the Underlying cmpnents. NO DIVIDEND PAYMENTS OR VOTING RIGHTS As a hlder f the securities, yu will nt have vting rights r ther rights in the equity securities that cmprise the Underlying Cnstituent Indices. Further, althugh the perfrmance f the Underlying Cnstituent Indices will include cash dividends and ther distributins in respect f the equity securities that cmprise such indices, yu will nt have the right t receive such dividends r ther distributins. THE LEVEL OF THE UNDERLYING WILL INCLUDE THE DEDUCTION OF AN ANNUAL CALCULATION FEE, NOTIONAL TRANSACTION COSTS AND A NOTIONAL FINANCING COST The Underlying incrprates the daily deductin f a fee f 0.50% per annum and a daily ntinal cst f 0.02% applied t the effective change in ntinal expsures t the base index and Referenced Fixed Incme Index, representing the ntinal cst f the daily rebalancing t adjust tward the target vlatility f 5%. Histrically, ver each calendar year, the ntinal transactin cst has decreased the hypthetical perfrmance f the Index by between 0.05% and 0.25%. per annum. The histrical analysis f the ntinal transactin csts shuld nt be taken as an indicatin f future csts. The Underlying is calculated n an excess return basis, s the return f its base index expsure is reduced by 3-mnth USD LIBOR plus 40 basis pints. These fees and csts will lwer the level f the Underlying and as a result may reduce the value f and yur return n the securities. Such reductin may be significant. THE UNDERLYING HAS A LIMITED OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS The Underlying was established n February 27, 2015 and therefre 9