| Pricing Supplement No. J1331 To Product Supplement No. JPM-II dated November 9, 2020, Prospectus Supplement dated June 18, 2020 and Prospectus dated June 18, 2020 | Filed Pursuant to Rule 424(b)(2) Registration Statement No. 333-238458-02 October 12, 2021 |
| Structured Investments | Credit Suisse Review Notes due October 26, 2022 Linked to the Performance of the SPDR® S&P 500® ETF Trust |
| • | The notes are designed for investors who seek early exit through an automatic call prior to maturity at a premium if, on the Review Date, the Observation Level is equal to or greater than the Call Level. Investors in the notes must be willing to forgo interest and dividend payments in exchange for the opportunity to receive a premium payment if the notes are automatically called. Any payment on the notes is subject to our ability to pay our obligations as they become due. |
| • | The Review Date, and therefore the date on which an automatic call may be initiated, is April 22, 2022. |
| • | If the notes are not automatically called and the Final Level is less than the Knock-Out Level of $350.29, which is approximately 80% of the Initial Level, you will lose some or all of your investment at maturity. Investors should be willing to lose up to 100% of their investment. |
| • | If the notes are not automatically called and the Final Level is less than the Initial Level but a Knock-Out Event has not occurred, investors will receive the principal amount of their notes at maturity. |
| • | If the notes are not automatically called and the Final Level is equal to or greater than the Initial Level, investors will receive a return at maturity that is the greater of (i) the Fixed Payment Percentage of 7.40% and (ii) the Underlying Return. Any payment on the notes is subject to our ability to pay our obligations as they become due. |
| • | Senior unsecured obligations of Credit Suisse AG, acting through its London branch, maturing October 26, 2022. |
| • | Minimum purchase of $10,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof. |
| • | The offering price for the notes was determined on October 12, 2021 (the “Pricing Date”) and the notes are expected to settle on October 15, 2021 (the “Settlement Date”). Delivery of the notes in book-entry form only will be made through The Depository Trust Company. |
| • | The notes will not be listed on any securities exchange. |
Investing in the notes involves a number of risks. See “Selected Risk Considerations” beginning on page 4 of this pricing supplement and “Risk Factors” beginning on page PS-3 of any accompanying product supplement.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes 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.
| Price to Public | Underwriting Discounts and Commissions(1) | Proceeds to Issuer | |
| Per note | $1,000 | $10 | $990 |
| Total | $1,450,000 | $14,500 | $1,435,500 |
(1) J.P. Morgan Securities LLC, which we refer to as JPMS LLC, and JPMorgan Chase Bank, N.A. will act as placement agents for the notes. The placement agents will receive discounts and commissions from Credit Suisse or one of our affiliates of $10 per $1,000 principal amount of notes. For more information, see “Supplemental Plan of Distribution” in this pricing supplement.
Credit Suisse currently estimates the value of each $1,000 principal amount of notes on the Pricing Date is $981.50 (as determined by reference to our pricing models and the rate we are currently paying to borrow funds through issuance of the notes (our “internal funding rate”)), which is less than the Price to Public listed above. See “Selected Risk Considerations” in this pricing supplement.
The notes 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.
J.P.Morgan
Placement Agent
October 12, 2021
Key Terms
| Issuer: | Credit Suisse AG (“Credit Suisse”), acting through its London branch |
| Underlying: | The notes are linked to the performance of the SPDR® S&P 500® ETF Trust. For additional information about the Underlying, see the information set forth under “The Underlying” herein. |
| Automatic Call: | If the Observation Level is equal to or greater than the Call Level, the notes will be automatically called for a cash payment of $1,000 plus the Call Premium per $1,000 principal amount of notes. Payment will be made in respect of such automatic call on the Call Payment Date, and no further payments on the notes will be made. |
| Review Date: | April 22, 2022, subject to postponement as set forth in any accompanying product supplement under “Description of the Notes—Postponement of calculation dates.” |
| Call Payment Date: | April 27, 2022, subject to postponement as set forth in any accompanying product supplement under “Description of the Notes—Postponement of calculation dates.” |
| Call Level: | $437.86, which is 100% of the Initial Level |
| Observation Level: | The Observation Level will equal the closing level of the Underlying on the Review Date. |
| Call Premium: | $37 |
| Payment if Automatically Called: | For every $1,000 principal amount of notes, you will receive one payment of $1,037 if automatically called on the Review Date. No further payments will be made on the notes. |
| Payment at Maturity: | If the notes are not automatically called, your payment at maturity per $1,000 principal amount of notes will reflect the performance of the Underlying, as follows: · If the Final Level is equal to or greater than the Initial Level, your payment at maturity per $1,000 principal amount of notes will equal $1,000 plus the product of $1,000 and the greater of (i) the Fixed Payment Percentage of 7.40% and (ii) the Underlying Return. · If the Final Level is less than the Initial Level and: |
| · if a Knock-Out Event has not occurred, your payment at maturity per $1,000 principal amount of notes will equal $1,000. | |
| · if a Knock-Out Event has occurred, your payment at maturity per $1,000 principal amount of notes will equal $1,000 plus the product of $1,000 and the Underlying Return. If a Knock-Out Event has occurred, you will lose some or all of your investment at maturity. | |
| Any payment on the notes is subject to our ability to pay our obligations as they become due. | |
| Knock-Out Event: | A Knock-Out Event occurs if the Final Level is less than the Knock-Out Level. |
| Knock-Out Level: | $350.29, which is approximately 80% of the Initial Level |
| Underlying Return: | Final Level – Initial Level |
| Initial Level | |
| Fixed Payment Percentage: | 7.40% |
| Initial Level: | $437.86, which is the closing level of the Underlying on the Strike Date. |
| Final Level: | The closing level of the Underlying on the Valuation Date. |
| Strike Date: | October 8, 2021 |
| Valuation Date: | October 21, 2022, subject to postponement as set forth in any accompanying product supplement under “Description of the Notes—Postponement of calculation dates.” |
| Maturity Date: | October 26, 2022, subject to postponement as set forth in any accompanying product supplement under “Description of the Notes—Postponement of calculation dates” or if the Valuation Date is postponed for any reason. 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. |
| Events of Default: | With respect to these notes, 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: | 22552XYM9 |
Additional Terms Specific to the Notes
You should read this pricing supplement together with the product supplement dated November 9, 2020, the prospectus supplement dated June 18, 2020 and the prospectus dated June 18, 2020, relating to our Medium-Term Notes of which these notes 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):
| • | Product Supplement No. JPM-II dated November 9, 2020: |
https://www.sec.gov/Archives/edgar/data/1053092/000095010320021823/dp140450_424b2-psjpmii.htm
| • | Prospectus Supplement and Prospectus dated June 18, 2020: |
https://www.sec.gov/Archives/edgar/data/1053092/000110465920074474/tm2019510-8_424b2.htm
In the event the terms of the notes 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.
Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, “we,” “us” or “our” refers to Credit Suisse.
This pricing supplement, together with the documents listed above, contains the terms of the notes 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 notes and the owner of any beneficial interest in the notes, amend the notes to conform to its terms as set forth in this pricing supplement and the documents listed above, and the trustee is authorized to enter into any such amendment without any such consent. You should carefully consider, among other things, the matters set forth in “Selected Risk Considerations” in this pricing supplement and “Risk Factors” in any accompanying product supplement, “Foreign Currency Risks” in the accompanying prospectus, and any risk factors we describe in the combined Annual Report on Form 20-F of Credit Suisse Group AG and us incorporated by reference therein, and any additional risk factors we describe in future filings we make with the SEC under the Securities Exchange Act of 1934, as amended, as the notes 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 notes.
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Hypothetical Examples of Amounts Payable upon Automatic Call or Redemption at Maturity
The table and examples below illustrate the hypothetical total return (which is simple, not compounded) on a $1,000 investment in the notes that would be realized on the Review Date or the Valuation Date, as applicable, for a range of performance of the Underlying. The table and examples below are based on the following assumptions:
| • | The Call Premium used to calculate the payment if automatically called is $37, regardless of the appreciation of the Underlying, which may be significant; |
| • | The Call Level equals the Initial Level; |
| • | The Fixed Payment Percentage equals 7.40%; |
| • | The Knock-Out Level equals 80% of the Initial Level; |
| • | The “Total Return” at maturity assumes that the Observation Level was not equal to or greater than the Call Level; and |
| • | The notes are purchased by the investor at $1,000 per $1,000 principal amount of notes. |
There will be only one payment on the notes, whether automatically called or redeemed at maturity. An entry of “N/A” indicates that the notes would not be automatically called on the Review Date and no payment would be made for such date. The hypothetical amounts payable on the notes set forth below are for illustrative purposes only. If the notes are automatically called, you will receive one payment of $1,037 per $1,000 principal amount of notes, and no further payments will be made on the notes. The actual payment at maturity applicable to a purchaser of the notes will be based on the Final Level and on whether a Knock-Out Event occurs. Any payment on the notes is subject to our ability to pay our obligations as they become due. The numbers appearing in the following table and examples have been rounded for ease of analysis.
Percentage Change in the Level of the Underlying | Total Return if Automatically Called | Total Return at Maturity |
| 100% | 3.70% | 100% |
| 90% | 3.70% | 90% |
| 80% | 3.70% | 80% |
| 70% | 3.70% | 70% |
| 60% | 3.70% | 60% |
| 50% | 3.70% | 50% |
| 40% | 3.70% | 40% |
| 30% | 3.70% | 30% |
| 20% | 3.70% | 20% |
| 10% | 3.70% | 10% |
| 8% | 3.70% | 8% |
| 7.40% | 3.70% | 7.40% |
| 5% | 3.70% | 7.40% |
| 0% | 3.70% | 7.40% |
| -10% | N/A | 0% |
| -20% | N/A | 0% |
| -21% | N/A | -21% |
| -30% | N/A | -30% |
| -40% | N/A | -40% |
| -50% | N/A | -50% |
| -60% | N/A | -60% |
| -70% | N/A | -70% |
| -80% | N/A | -80% |
| -90% | N/A | -90% |
| -100% | N/A | -100% |
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The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: The level of the Underlying increases by 20% from the Initial Level to the Observation Level. Because the Observation Level is equal to or greater than the Call Level, the notes are automatically called, and the investor receives a single payment of $1,037 per $1,000 principal amount of notes. There will be no further payments on the notes.
Example 2: The notes are not automatically called on the Review Date and the level of the Underlying increases by 60% from the Initial Level to the Final Level. Because the Final Level is greater than the Initial Level, the investor receives a payment at maturity of $1,600 per $1,000 principal amount of notes, calculated as follows:
| Payment at maturity | = | $1,000 + [$1,000 × (greater of (i) Fixed Payment Percentage and (ii) Underlying Return)] |
| = | $1,000 + [$1,000 × (greater of (i) 7.40% and (ii) 60%)] | |
| = | $1,000 + ($1,000 × 60%) | |
| = | $1,000 + $600 | |
| = | $1,600 |
Example 3: The notes are not automatically called on the Review Date and the level of the Underlying increases by 5% from the Initial Level to the Final Level. Because the Final Level is greater than the Initial Level, the investor receives a payment at maturity of $1,074 per $1,000 principal amount of notes, calculated as follows:
| Payment at maturity | = | $1,000 + [$1,000 × (greater of (i) Fixed Payment Percentage and (ii) Underlying Return)] |
| = | $1,000 + [$1,000 × (greater of (i) 7.40% and (ii) 5%)] | |
| = | $1,000 + ($1,000 × 7.40%) | |
| = | $1,000 + $74 | |
| = | $1,074 |
Example 4: The level of the Underlying decreases by 10% from the Initial Level to the Final Level. Because the Final Level has decreased from the Initial Level by 10%, a Knock-Out Event has not occurred and the investor receives a payment at maturity of $1,000 per $1,000 principal amount of notes.
Example 5: The level of the Underlying decreases by 60% from the Initial Level to the Final Level. Because the Final Level has decreased from the Initial Level by 60%, a Knock-Out Event has occurred and the investor receives a payment at maturity of $400 per $1,000 principal amount of notes, calculated as follows:
| Payment at maturity | = | $1,000 + ($1,000 × Underlying Return) |
| = | $1,000 + ($1,000 × -60%) | |
| = | $400 |
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Selected Purchase Considerations
| • | POTENTIAL EARLY EXIT AS A RESULT OF THE AUTOMATIC CALL FEATURE — The notes will be automatically called before maturity if the Observation Level is equal to or greater than the Call Level and you will receive, on the Call Payment Date, the payment corresponding to the Review Date as set forth on the cover of this pricing supplement. |
Selected Risk Considerations
An investment in the notes involves significant risks. This section describes material risks relating to an investment in the notes. These risks are explained in more detail in the “Risk Factors” section of any accompanying product supplement.
Risks Relating to the Notes Generally
| • | YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of your principal amount. You could lose up to $1,000 per $1,000 principal amount of notes. If the notes are not automatically called and a Knock-Out Event occurs, you will lose 1% of your principal for each 1% decline in the level of the Underlying from the Initial Level to the Final Level. Any payment on the notes is subject to our ability to pay our obligations as they become due. |
| • | REGARDLESS OF THE AMOUNT OF ANY PAYMENT YOU RECEIVE ON THE NOTES, YOUR ACTUAL YIELD MAY BE DIFFERENT IN REAL VALUE TERMS — Inflation may cause the real value of any payment you receive on the notes to be less at maturity than it is at the time you invest. An investment in the notes 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 NOTES DO NOT PAY INTEREST — We will not pay interest on the notes. You may receive less on the notes than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since any payment on the notes is based on the performance of the Underlying. Because the Payment at Maturity may be less than the amount originally invested in the notes, the return on the notes (the effective yield to maturity) may be negative. Even if it is positive, the return payable on the notes 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 NOTES ARE SUBJECT TO A POTENTIAL AUTOMATIC CALL, WHICH EXPOSES YOU TO REINVESTMENT RISK — The notes are subject to a potential Automatic Call. If the notes are automatically redeemed prior to the Maturity Date, you may be unable to invest in other securities with a similar level of risk that provide the same return as the notes. Any payment on the notes will not be increased to include reimbursement for any discounts or commissions and hedging and other transaction costs, even upon an Automatic Call. |
| • | LIMITED RETURN ON THE NOTES — If the notes are automatically called, your potential gain on the notes will be limited to the Call Premium, as set forth on the cover of this pricing supplement, regardless of the appreciation of the Underlying, which may be significantly greater than the Call Premium. Because the closing level of the Underlying at various times during the term of the notes could be higher than the Observation Level, you may receive a lower payment if the notes are automatically called than you would if you had invested directly in the Underlying. |
| · | THE PROBABILITY THAT THE FINAL LEVEL WILL BE LESS THAN THE KNOCK-OUT 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 Pricing Date, the higher the expectation as of the Pricing Date that the Final Level could be less than the Knock-Out Level, indicating a higher expected risk of loss on the notes. The terms of the notes are set, in part, based on expectations about the volatility of the Underlying as of the Pricing Date. The volatility of the Underlying can change significantly over the term of the notes. 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. |
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| · | THE U.S. FEDERAL TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCLEAR — There is no direct legal authority regarding the proper U.S. federal tax treatment of the notes, 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 notes are uncertain, and the IRS or a court might not agree with the treatment of the notes as prepaid financial contracts that are treated as “open transactions.” If the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and disposition of the notes, 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 notes described herein is respected, there is a substantial risk that a note 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 notes, 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. The Underlying is subject to management risk, which is the risk that the Underlying’s 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, 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 notes. For additional information on 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 Underlying’s Tracked Index, purchase securities not included in the Tracked Index that the investment advisor believes are appropriate to substitute for a security included in the 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 the 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 of 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 all the foregoing reasons, the performance of the Underlying may not correlate with the performance of the Tracked Index. For additional information on the Underlying, see “The Underlying” herein. |
| • | NO OWNERSHIP RIGHTS RELATING TO THE UNDERLYING — Your return on the notes 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 a purchase of shares of the Underlying or the assets that comprise the Underlying. |
| • | NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights with respect to shares of the Underlying or the assets that comprise the Underlying. |
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| • | 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 notes may be materially and adversely affected. See “Description of the Securities—Adjustments” in the relevant 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 NOTES — 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 notes. |
Risks Relating to the Issuer
| · | THE NOTES ARE SUBJECT TO THE CREDIT RISK OF CREDIT SUISSE — Investors are dependent on our ability to pay all amounts due on the notes and, therefore, if we were to default on our obligations, you may not receive any amounts owed to you under the notes. 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 notes 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 notes and/or the ability of Credit Suisse to make payments thereunder and you may not receive any amounts owed to you under the notes. |
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 notes, 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 Pricing Date and during the term of the notes 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 notes, including acting as calculation agent, hedging our obligations under the notes 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 notes. Further, hedging activities may adversely affect any payment on or the value of the notes. 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 notes, which creates an additional incentive to sell the notes to you. |
Risks Relating to the Estimated Value and Secondary Market Prices of the Notes
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| · | UNPREDICTABLE ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES — The payout on the notes can be replicated using a combination of the components described in “The estimated value of the notes on the Pricing Date is less than the Price to Public.” Therefore, in addition to the level of the Underlying, the terms of the notes at issuance and the value of the notes prior to maturity may be influenced by factors that impact the value of fixed income securities and options in general, such as: |
| • | the expected and actual volatility of the Underlying; |
| • | the time to maturity of the notes; |
| • | the dividend rate on the equity securities included in the Underlying; |
| • | interest and yield rates in the market generally; |
| • | investors’ expectations with respect to the rate of inflation; |
| • | 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 |
| • | 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 notes prior to maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting from another factor or factors.
| · | THE ESTIMATED VALUE OF THE NOTES ON THE PRICING DATE IS LESS THAN THE PRICE TO PUBLIC — The initial estimated value of your notes on the Pricing 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 notes includes any discounts or commissions as well as transaction costs such as expenses incurred to create, document and market the notes and the cost of hedging our risks as issuer of the notes 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 notes. These amounts will be retained by Credit Suisse or our affiliates in connection with our structuring and offering of the notes (except to the extent discounts or commissions are reallowed to other broker-dealers or any costs are paid to third parties). On the Pricing Date, we value the components of the notes 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 notes 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 notes 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 notes, 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 notes — The internal funding rate we use in structuring securities such as these notes 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 Pricing Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms of the notes will generally be less favorable to you than they would have been if our secondary market credit spread had been used in structuring the |
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notes. We will also use our internal funding rate to determine the price of the notes if we post a bid to repurchase your notes in secondary market transactions. See “—Secondary Market Prices” below.
| • | SECONDARY MARKET PRICES — If Credit Suisse (or an affiliate) bids for your notes 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 notes on the Pricing Date. The estimated value of the notes on the cover of this pricing supplement does not represent a minimum price at which we would be willing to buy the notes in the secondary market (if any exists) at any time. The secondary market price of your notes 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 notes 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 notes and other dealers might use the lower secondary market credit spread to price them. Furthermore, assuming no change in market conditions from the Pricing Date, the secondary market price of your notes 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 notes 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 notes may be lower than the price at which we may repurchase the notes from such dealer. We (or an affiliate) may initially post a bid to repurchase the notes from you at a price that will exceed the then-current estimated value of the notes. 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 notes 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 notes to maturity. |
| • | LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. Credit Suisse (or its affiliates) intends to offer to purchase the notes 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 notes when you wish to do so. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the notes. If you have to sell your notes prior to maturity, you may not be able to do so, or you may have to sell them at a substantial loss. |
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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 notes may be used in connection with hedging our obligations under the notes through one or more of our affiliates. Such hedging or trading activities on or prior to the Pricing Date and during the term of the notes (including on any calculation date, as defined in any accompanying product supplement) could adversely affect the value of the Underlying and, as a result, could decrease the amount you may receive on the notes at maturity. For additional information, see “Supplemental Use of Proceeds and Hedging” in any accompanying product supplement.
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The Underlying
The SPDR® S&P 500® ETF Trust
We have derived all information contained herein regarding the SPDR® S&P 500® ETF Trust from publicly available information. Such information reflects the policies of, and is subject to change by, State Street Global Advisors Trust Company, which maintains and manages the SPDR® S&P 500® ETF Trust. We have not conducted any independent review or due diligence of any publicly available information with respect to the SPDR® S&P 500® ETF Trust.
The SPDR® S&P 500® ETF Trust is a unit investment trust that seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S&P 500® Index.
Information filed by the SPDR® S&P 500® ETF Trust with the SEC under the Securities Act and the Investment Company Act can be found by reference to its SEC file numbers: 033-46080 and 811-06125. Shares of the SPDR® S&P 500® ETF Trust are listed on the NYSE Arca under ticker symbol “SPY.” 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.
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Historical Information
The following graph sets forth the historical performance of the Underlying based on the closing levels of the Underlying from January 4, 2016 through October 8, 2021. We obtained the historical information below from Bloomberg, without independent verification. The price source for determining the Final Level will be the Bloomberg page “SPY UP <Equity>” or any successor page.
The historical levels of the Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Underlying on the Review Date or the Valuation Date. We cannot give you assurance that the performance of the Underlying will result in the return of any of your initial investment. 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 Underlying, see “The Underlying” herein.
The closing level of the Underlying on October 8, 2021 was $437.86.
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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 notes or instruments that are similar to the notes. In the opinion of our counsel, Davis Polk & Wardwell LLP, which is based on current market conditions, a note 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 notes 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 notes prior to maturity, other than pursuant to a sale or other disposition. |
| · | Upon a sale or other disposition (including retirement) of a note, you should recognize gain or loss equal to the difference between the amount realized and your tax basis in the note. 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 note for more than one year. |
Even if the treatment of the notes as described herein is respected, there is a substantial risk that your purchase of a note 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 notes 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 notes, 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 notes. You should read the section entitled “United States Federal Tax Considerations—Tax Consequences to U.S. Holders—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 notes, and the IRS or a court might not agree with the treatment described herein. In particular, the IRS could treat the notes as contingent payment debt instruments, in which case the tax consequences of ownership and disposition of the notes, 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 notes, possibly with retroactive effect. You should consult your tax advisor regarding possible alternative tax treatments of the notes 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 notes, 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 notes, provided that (i) income in respect of the notes 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 notes and representations provided by us, our counsel is of
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the opinion that the notes 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 notes 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 notes.
If withholding tax applies to the notes, 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 notes.
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 notes and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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Supplemental Plan of Distribution
Under the terms of distributor accession confirmations with JPMS LLC and JPMorgan Chase Bank, N.A., each dated as of June 18, 2008, JPMS LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the notes. The placement agents will receive discounts and commissions from Credit Suisse or one of our affiliates of $10 per $1,000 principal amount of notes. For additional information, see “Underwriting (Conflicts of Interest)” in any accompanying product supplement.
We expect to deliver the notes against payment for the notes on the Settlement Date indicated herein, which may be a date that is greater than two business days following the Pricing 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 Pricing Date, purchasers who wish to transact in the notes more than two business days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
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Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as United States counsel to Credit Suisse, when the notes 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 notes 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 notes. 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 August 4, 2021 and filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on August 4, 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 notes, the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes, 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 August 4, 2021, which was filed by Credit Suisse as an exhibit to a Current Report on Form 6-K on August 4, 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.
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Credit Suisse