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    Formulario 424B2 CREDIT SUISSE AG
    Tipo de Cambio de Divisas

    Formulario 424B2 CREDIT SUISSE AG

    usdgbp_lwn506By usdgbp_lwn506diciembre 17, 2019No hay comentarios77 Mins Read
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    La información en este preliminar
    El suplemento de precios no está completo y puede modificarse. Este suplemento de precio preliminar no es una oferta para vender estos valores.
    y no solicita una oferta para comprar estos valores en ninguna jurisdicción donde la oferta o venta no esté permitida.

    Sujeto a finalización fechado
    16 de diciembre de 2019.

    Diciembre 2019
    Suplemento de precios preliminares No. A332
    Declaración de registro No. 333-218604-02
    Fechado el 16 de diciembre de 2019
    Archivado de conformidad con la Regla 424 (b) (2)

    INVERSIONES ESTRUCTURADAS

    MÁS Basado en el valor de una cesta ponderada
    Compuesto por Seven Basket Components con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Los valores son obligaciones no garantizadas de Credit Suisse, will
    no paga intereses y no garantiza ninguna devolución del capital al vencimiento. Al vencimiento, si la Cesta tiene apreciado en
    valor, los inversores recibirán el monto principal de su inversión más el rendimiento alcista apalancado de la canasta, sujeto
    al pago máximo al vencimiento. Sin embargo, si la cesta tiene depreciado en valor, los inversores perderán 1% por cada 1%
    disminución en el nivel de la cesta desde el nivel de cesta inicial hasta el nivel de cesta final. En estas circunstancias, el pago
    al vencimiento será menor que el monto principal y podría ser cero. En consecuencia, puede perder toda su inversión.
    Los valores son para inversores que buscan un rendimiento basado en componentes de capital y que están dispuestos a arriesgar su capital y renunciar
    ingresos actuales y al alza por encima del pago máximo al vencimiento a cambio de la función de apalancamiento, que se aplica por un período limitado
    gama de rendimiento al alza de la cesta. Los inversores pueden perder toda su inversión en los valores..

    Todos los pagos de los valores, incluido el reembolso de
    principal, están sujetos al riesgo de crédito de Credit Suisse.

    TÉRMINOS CLAVE
    Editor: Credit Suisse AG ("Credit Suisse"), actuando a través de su sucursal en Londres.
    Cesta: Componente de cesta Corazón Nivel de componente inicial Ponderación de componentes
    S&P 500® Índice de valor SVX 25/100
    Vectores VanEck® Mineros de oro ETF GDX UP 15/100
    EURO STOXX® Índice de bancos SX7E 15/100
    iShares® ETF de mercados emergentes de MSCI EEM UP 15/100
    SPDR® S&P® ETF de exploración y producción de petróleo y gas XOP UP 10/100
    Índice de precios de acciones de Tokio TPX 10/100
    Materiales Seleccionar Sector SPDR® Financiar XLB UP 10/100
    Para obtener más información sobre los componentes de la cesta, consulte "Los componentes de la cesta" en este documento.
    Cantidad principal agregada: PS
    Cantidad principal: $ 10 por seguridad. Los valores se ofrecen con una inversión mínima de 100 valores a $ 10 por valor (lo que representa una inversión de $ 1,000), y múltiplos integrales de $ 10 en exceso.
    Precio al público: $ 10 por valor (ver "Comisiones y precio al público" a continuación)
    Pago al vencimiento: Si el nivel final de la canasta es mas grande que el Nivel de cesta inicial, el menor de (i) el Pago máximo al vencimiento y (ii) un monto calculado de la siguiente manera:
    $ 10 + pago al revés apalancado
    En ningún caso el pago al vencimiento excederá el pago máximo al vencimiento.
    Si el nivel final de la canasta es Menos que o igual a el nivel de cesta inicial, una cantidad calculada de la siguiente manera:
    $ 10 × Factor de rendimiento de la cesta
    En estas circunstancias, el pago al vencimiento será menor o igual al monto principal de $ 10.
    Pago al revés apalancado: $ 10 × Factor de apalancamiento × Aumento del porcentaje de la cesta
    Listado: Los valores no se incluirán en ninguna bolsa de valores.
    Términos clave continúa en la página siguiente

    Invertir en los valores implica una serie de riesgos.
    Consulte "Consideraciones de riesgo seleccionadas" que comienzan en la página 7 de este suplemento de precios y "Factores de riesgo"
    comenzando en la página PS-3 de cualquier suplemento de producto que lo acompañe.

    Ni la Comisión de Bolsa y Valores ni ningún estado
    la comisión de valores ha aprobado o desaprobado los valores o ha pasado la exactitud o la idoneidad de este precio
    suplemento o el suplemento subyacente que lo acompaña, cualquier suplemento de producto, el suplemento de prospecto y el prospecto. Ninguna
    La representación en contrario es un delito penal.

    Comisiones y Precio al Público Precio al público Descuentos y comisiones de suscripción Ingresos al Emisor
    Por seguridad $ 10 $ 0.125(1)
    $ 0.05(2) $ 9.825
    Total PS PS PS

    (1) Nosotros o uno de nuestros afiliados podemos pagarle a Morgan Stanley Smith
    Barney LLC ("MSSB") descuentos y comisiones variables de hasta $ 0.175 por cada monto de capital de $ 10, de los cuales
    Se pagarán $ 0.05 por cada monto principal de $ 10 de valores como una tarifa de estructuración. Para obtener información más detallada, consulte "Suplementario
    Plan de distribución (conflictos de intereses) "en este suplemento de precios.

    (2) Refleja una tarifa de estructura pagadera a MSSB por Credit Suisse
    Securities (USA) LLC ("CSSU") o una de sus filiales de $ 0.05 por cada valor.

    El agente de esta oferta, CSSU, es nuestro afiliado. Para más
    información, consulte "Plan de distribución suplementario (conflictos de intereses)" en este suplemento de precios.

    Credit Suisse actualmente estima el valor de cada capital de $ 10
    El monto de los valores en la Fecha de Negociación estará entre $ 9.575 y $ 9.825 (según lo determinado por referencia a nuestros modelos de precios
    y la tasa que estamos pagando actualmente por préstamos de fondos mediante la emisión de los valores (nuestra "tasa de financiación interna").
    Este rango de valores estimados refleja términos que aún no están fijos. Se determinará un único valor estimado que refleje los términos finales.
    en la fecha de negociación. Consulte "Consideraciones de riesgo seleccionadas" en este suplemento de precios.

    Los valores no son pasivos de depósito y no están asegurados.
    o garantizado por la Federal Deposit Insurance Corporation o cualquier otra agencia gubernamental de los Estados Unidos, Suiza o
    cualquier otra jurisdicción

    Credit Suisse

    Basado en PLUS
    sobre el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Términos clave de la página anterior:

    Nivel de canasta final: inicial
    Nivel de canasta

    Nivel de cesta inicial

    Factor de rendimiento de la cesta:

    Nivel de canasta final

    Nivel de cesta inicial

    Nivel de componente inicial: Para cada Componente de la cesta, el nivel de cierre de dicho Componente de la cesta en la Fecha de negociación. En el caso de que el nivel de cierre para cualquier Componente de la Cesta no esté disponible en la Fecha de Negociación, el Nivel de Componente Inicial para dicho Componente de la Cesta se determinará el día de negociación inmediatamente siguiente en el que esté disponible un nivel de cierre.
    Nivel de componente final: Para cada Componente de la cesta, el nivel de cierre de dicho Componente de la cesta en la Fecha de valoración
    Devolución del componente de la cesta: Para cada componente de la cesta, el nivel de componente final dividido por El nivel de componente inicial. El “Retorno del componente SVX” es el retorno del componente de la cesta para el S&P 500® Índice de valor. "Retorno de componente GDX" es el retorno de componente de cesta para los vectores VanEck® Mineros de oro ETF. "Retorno de componentes SX7E" es el retorno de componentes de la cesta para EURO STOXX® Índice de bancos. "Retorno de componentes EEM" es el retorno de componentes de la cesta para los iShares® MSCI Emerging Markets ETF. "Retorno de componentes XOP" es el retorno de componentes de la cesta para el SPDR® S&P® Exploración y producción de petróleo y gas ETF. El “Retorno del componente TPX” es el Retorno del componente de la cesta para el Índice de precios de acciones de Tokio. El "Retorno de componentes XLB" es el Retorno de componentes de la cesta para el Sector de selección de materiales SPDR® Financiar.
    Nivel de cesta inicial: Establecer igual a 100 en la fecha de negociación.
    Nivel de canasta final: 100 x ((Retorno del componente SVX x Ponderación del componente SVX) + (Retorno del componente GDX x Ponderación del componente GDX) + (Retorno del componente SX7E x Ponderación del componente SX7E) + (Retorno del componente EEM x Ponderación del componente EEM) + (Retorno del componente XOP x Componente XOP Ponderación) + (retorno del componente TPX x ponderación del componente TPX) + (retorno del componente XLB x ponderación del componente XLB))
    Factor de apalancamiento: 200%
    Pago máximo al vencimiento: Se espera que sea $ 10.79 por valor (107.90% del monto del principal y se determinará en la Fecha de Negociación).
    Fecha comercial: Se espera que sea aproximadamente el 30 de diciembre de 2019
    Fecha de liquidación: Se espera que sea aproximadamente el 3 de enero de 2020 (3 días hábiles después de la Fecha de negociación). La entrega de los valores en forma de anotaciones en cuenta solo se realizará a través de The Depository Trust Company.
    Fecha de la valoración: 30 de junio de 2020, sujeto a aplazamiento como se establece en cualquier suplemento del producto adjunto en "Descripción de los valores: aplazamiento de las fechas de cálculo".
    Fecha de vencimiento: 6 de julio de 2020, sujeto a aplazamiento como se establece en cualquier suplemento del producto adjunto en "Descripción de los valores: aplazamiento de las fechas de cálculo". Si la fecha de vencimiento no es un día hábil, el pago al vencimiento se pagará el primer día siguiente día hábil, a menos que ese día hábil caiga en el siguiente mes calendario, en cuyo caso el pago se realizará el primer día hábil anterior.
    CUSIP / ISIN: 22550K780 / US22550K7809
    Distribuidor: MSSB. Ver "Plan Suplementario de Distribución".
    Agente de cálculo: Credit Suisse International

    Puede revocar su oferta de compra de valores en cualquier momento
    tiempo anterior al momento en que aceptamos dicha oferta en la fecha en que se cotizan los valores. Nos reservamos el derecho de cambiar el
    términos de, o rechazar cualquier oferta para comprar los valores antes de su emisión. En caso de cualquier cambio en los términos de la
    valores, le notificaremos y se le pedirá que acepte dichos cambios en relación con su compra. También puedes elegir
    para rechazar dichos cambios, en cuyo caso podemos rechazar su oferta de compra.

    Basado en PLUS
    sobre el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Términos adicionales específicos de los valores

    Debe leer este suplemento de precios junto con el subyacente
    suplemento del 19 de abril de 2018, los suplementos del producto del 30 de junio de 2017, el suplemento del folleto del 30 de junio de 2017 y
    el folleto con fecha del 30 de junio de 2017, en relación con nuestras Notas a mediano plazo de las cuales forman parte estos valores. Puedes acceder a estos
    documentos en el sitio web de la SEC en www.sec.gov de la siguiente manera (o si dicha dirección ha cambiado, revisando nuestras presentaciones para la información relevante
    fecha en el sitio web de la SEC):

    • Suplemento subyacente de fecha 19 de abril de 2018:

    https://www.sec.gov/Archives/edgar/data/1053092/000095010318004962/dp89590_424b2-underlying.htm

    • Suplemento del producto No. I – B del 30 de junio de
    2017:

    http://www.sec.gov/Archives/edgar/data/1053092/000095010317006316/dp77781_424b2-ib.htm

    • Suplemento de producto No. I-C del 30 de junio de 2017:

    https://www.sec.gov/Archives/edgar/data/1053092/000095010317006317/dp77785_424b2-ic.htm

    • Folleto Suplemento y Folleto de 30 de junio de 2017:

    http://www.sec.gov/Archives/edgar/data/1053092/000104746917004364/a2232566z424b2.htm

    En el caso de los términos de los valores descritos en este precio
    el suplemento difiere o es inconsistente con los términos descritos en el suplemento subyacente, cualquier suplemento de producto, el
    prospecto o prospecto, controlarán los términos descritos en este suplemento de precios.

    Nuestra clave de índice central, o CIK, en el sitio web de la SEC es 1053092.
    Tal como se utiliza en este suplemento de precios, "nosotros", "nos" o "nuestro" se refiere a Credit Suisse.

    Este suplemento de precios, junto con los documentos enumerados anteriormente,
    contiene los términos de los valores y reemplaza todas las demás declaraciones orales anteriores o contemporáneas, así como cualquier otra declaración escrita
    materiales que incluyen términos de precios preliminares o indicativos, hojas informativas, correspondencia, ideas comerciales, estructuras para la implementación,
    Estructuras de muestra, folletos u otros materiales educativos nuestros. Podemos, sin el consentimiento del titular registrado de la
    valores y el propietario de cualquier interés beneficioso en los valores, modifique los valores para cumplir con los términos establecidos
    en este suplemento de precios y los documentos enumerados anteriormente, y el síndico está autorizado a realizar dicha modificación sin
    cualquier consentimiento de este tipo. Debe considerar cuidadosamente, entre otras cosas, los asuntos establecidos en "Consideraciones de riesgo seleccionadas"
    en este suplemento de precios y "Factores de riesgo" en cualquier suplemento de producto que lo acompañe, "Riesgos de moneda extranjera"
    en el prospecto adjunto, y cualquier factor de riesgo que describimos en el Informe Anual combinado en el Formulario 20-F del Grupo Credit Suisse
    AG y nosotros incorporamos por referencia, y cualquier factor de riesgo adicional que describamos en futuras presentaciones que hagamos ante la SEC
    bajo la Ley de Bolsa de Valores de 1934, según enmendada, ya que los valores implican riesgos no asociados con los valores de deuda convencionales.
    Debe consultar a sus asesores de inversiones, legales, fiscales, contables y de otro tipo antes de decidir invertir en los valores.

    Prohibición de ventas a inversores minoristas del EEE

    Los valores no se pueden ofrecer, vender o poner a disposición de otra manera
    a cualquier inversor minorista en el Espacio Económico Europeo. A los fines de esta disposición:

    (a) la expresión "inversor minorista" significa una persona
    quién es uno (o más) de los siguientes:

    (i) un cliente minorista tal como se define en el punto (11)
    del artículo 4, apartado 1, de la Directiva 2014/65 / UE (en su versión modificada, "MiFID II"); o

    (ii) un cliente en el sentido de la Directiva 2002/92 / CE,
    donde ese cliente no calificaría como cliente profesional como se define en el punto (10) del Artículo 4 (1) de MiFID II; o

    (iii) no es un inversor calificado como se define
    en la Directiva 2003/71 / CE; y

    (b) la expresión "oferta" incluye la comunicación
    en cualquier forma y por cualquier medio de información suficiente sobre los términos de la oferta y los valores ofrecidos para permitir un
    inversor para decidir comprar o suscribir los valores.

    MÁS Basado en el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Resumen de inversiones

    Rendimiento de valores alcistas

    Valores principales en riesgo

    El PLUS basado en el valor de una cesta ponderada que consiste en
    Se pueden usar Seven Basket Components con vencimiento el 6 de julio de 2020:

    § Como alternativa a la exposición directa a los componentes de la cesta que mejora los rendimientos para un cierto rango de rendimiento positivo
    de los componentes de la cesta, sujetos al pago máximo al vencimiento.

    § Para mejorar los rendimientos y potencialmente superar a los Componentes de la cesta en un escenario moderadamente alcista.

    § Para lograr niveles similares de exposición al alza a los Componentes de la cesta como inversión directa, sujeto al Pago máximo
    al vencimiento, mientras usa menos dólares aprovechando el factor de apalancamiento.

    Los valores están expuestos 1: 1 a la rentabilidad negativa.
    de la canasta.

    Madurez: Aproximadamente 6 meses.
    Factor de apalancamiento: 200% (aplicable solo si el nivel de cesta final es mayor que el nivel de cesta inicial).
    Pago Máximo al Vencimiento: Se espera que sea $ 10.79 por valor (107.90% del monto del principal y se determinará en la Fecha de Negociación).
    Pago mínimo al vencimiento: Ninguna. Los inversores pueden perder toda su inversión inicial en los valores.
    Cupón: Ninguna.

    MÁS Basado en el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Fundamento clave de inversión

    La oferta de valores tiene una exposición apalancada a un cierto rango de
    Rendimiento positivo de una cesta ponderada que consta de siete componentes de cesta. A cambio de un rendimiento mejorado del 200% de
    Con la apreciación de la canasta, los inversores renuncian al rendimiento por encima del pago máximo al vencimiento, que se espera sea de $ 10.79
    por seguridad (se determinará en la Fecha de Negociación). Al vencimiento, si la cesta se ha apreciado en valor, los inversores recibirán
    el monto principal de su inversión más el rendimiento alcista apalancado de la canasta, sujeto al pago máximo al vencimiento.
    Sin embargo, si la cesta se ha depreciado en valor, los inversores perderán un 1% por cada disminución del 1% en el nivel de la cesta desde
    Nivel de cesta inicial al nivel de cesta final. En estas circunstancias, el pago al vencimiento será menor que el principal
    cantidad y podría ser cero. Los inversores pueden perder toda su inversión inicial en los valores. Todos los pagos de los valores.
    están sujetos al riesgo de crédito de Credit Suisse.

    Rendimiento apalancado Los valores ofrecen a los inversores la oportunidad de capturar rendimientos mejorados en relación con una inversión directa en los Componentes de la cesta dentro de un cierto rango de rendimiento positivo.
    Escenario al revés El valor de la canasta aumenta y, al vencimiento, usted recibe un retorno total del capital, así como el 200% del aumento en el valor de la canasta, sujeto al pago máximo al vencimiento, que se espera que sea de $ 10.79 por valor ( 107.90% del monto principal y se determinará en la Fecha de Negociación). Por ejemplo, si el Nivel de cesta final es un 3% mayor que el Nivel de cesta inicial, los valores proporcionarán un rendimiento total del 6% al vencimiento.
    Escenario par El nivel de cesta final es igual al nivel de cesta inicial. En este caso, recibirá el monto principal de $ 10 al vencimiento.
    Escenario negativo El valor de la canasta disminuye y, al vencimiento, los valores se canjean por menos del monto principal en una cantidad proporcional a la disminución en el valor de la canasta desde el nivel de canasta inicial hasta el nivel de canasta final. Por ejemplo, si el Nivel de canasta final es un 30% menor que el Nivel de canasta inicial, los valores se canjearán al vencimiento por una pérdida del 30% del capital a $ 7, o el 70% del monto del capital. No existe un Pago mínimo al vencimiento de los valores, y podría perder toda su inversión.

    MÁS Basado en el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Cómo funcionan los valores

    Los números que aparecen en las secciones a continuación se han redondeado.
    para facilitar el análisis.

    Diagrama de pago

    El diagrama de pagos a continuación ilustra el pago al vencimiento
    en los valores basados ​​en los siguientes términos:

    Cantidad principal: $ 10 por seguridad
    Factor de apalancamiento: 200%
    Pago Máximo al Vencimiento: Se espera que sea $ 10.79 por valor (107.90% del monto del principal y se determinará en la Fecha de Negociación)
    Pago mínimo al vencimiento: Ninguna

    Diagrama de pago de valores

    Vea la siguiente página para una descripción
    de cómo funcionan los valores.

    MÁS Basado en el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Cómo funciona

    § Escenario al revés. Si el nivel de canasta final es mayor que el nivel de canasta inicial,
    el inversionista recibiría el monto principal de $ 10 más el 200% de la apreciación de la canasta desde el nivel de canasta inicial hasta
    el nivel de canasta final, sujeto al pago máximo al vencimiento. Según los términos de los valores, un inversor se dará cuenta
    el pago máximo al vencimiento en un nivel de canasta final de aproximadamente 103.95% del nivel de canasta inicial.

    § Si la canasta se aprecia un 2%, el inversor recibiría un rendimiento del 4%, o $ 10.40 por valor.

    § Si la canasta se aprecia un 40%, el inversor recibiría solo el pago máximo al vencimiento de $ 10.79 por valor, o 107.90%
    del monto principal.

    § Par Scenario. Si el nivel de cesta final es igual al nivel de cesta inicial, el
    el inversionista recibiría el monto principal de $ 10

    § Escenario negativo. Si el nivel de cesta final es inferior al nivel de cesta inicial,
    el inversor recibiría un monto menor al monto de capital de $ 10, basado en una pérdida de capital del 1% por cada disminución del 1%
    en la cesta. En estas circunstancias, el pago al vencimiento será inferior al monto principal por valor. Ahi esta
    sin pago mínimo al vencimiento de los valores.

    § Si la canasta se deprecia 30%, el inversionista perdería el 30% del capital del inversor y recibiría solo $ 7 por valor
    al vencimiento, o el 70% del monto principal.

    MÁS Basado en el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    Consideraciones de riesgo seleccionadas

    Esta sección describe los riesgos más significativos relacionados
    a los valores. Para obtener una lista completa de los factores de riesgo, consulte el suplemento, el prospecto y el prospecto del producto adjunto.
    suplemento. Los inversores deben consultar a sus asesores financieros y legales sobre los riesgos que conlleva una inversión en los valores.
    y la idoneidad de los valores a la luz de sus circunstancias particulares.

    § La inversión en los valores puede resultar en una pérdida. Los valores no garantizan la devolución de su capital.
    cantidad. Podría perder hasta $ 10 por cada monto principal de $ 10 de valores. Si el nivel de canasta final es menor que la canasta inicial
    Nivel, perderá el 1% de su capital por cada disminución del 1% en el nivel de la canasta desde el nivel de canasta inicial hasta el final
    Nivel de cesta. Cualquier pago de los valores está sujeto a nuestra capacidad de pagar nuestras obligaciones a medida que vencen.

    § Independientemente del monto de cualquier pago que reciba por los valores, su rendimiento real puede ser diferente en valor real
    condiciones.
    La inflación puede hacer que el valor real de cualquier pago que reciba de los valores sea menor al vencimiento de lo que es
    el tiempo que inviertes. Una inversión en los valores también representa una oportunidad perdida para invertir en un activo alternativo que
    genera un mayor rendimiento real Debe considerar detenidamente si una inversión que puede generar un rendimiento inferior a
    El rendimiento de las inversiones alternativas es apropiado para usted.

    § Potencial de apreciación limitado. Si el nivel de canasta final es mayor que el nivel de canasta inicial, por cada capital de $ 10
    cantidad de valores, tendrá derecho a recibir al vencimiento el menor de (i) el Pago Máximo al Vencimiento y (ii) el
    suma de $ 10 y el pago al revés apalancado, que será igual al producto de (a) $ 10, (b) el factor de apalancamiento y (c) el porcentaje
    cambio de la canasta del nivel de canasta inicial al nivel de canasta final. El pago al vencimiento no excederá el máximo
    Pago al vencimiento, independientemente de la apreciación en el nivel de la canasta, que puede ser significativa.

    § Los cambios en los niveles de los componentes de la cesta pueden compensarse entre sí. Movimientos en los niveles de los componentes de la cesta
    pueden no correlacionarse entre sí. En un momento en que el nivel de uno de los componentes de la cesta aumenta, el nivel de la otra cesta
    Los componentes pueden no aumentar tanto o incluso disminuir. Por lo tanto, al calcular el nivel de cesta final, un aumento en el nivel
    uno de los Componentes de la canasta puede ser moderado, o más que compensado, por un aumento o disminución menor en el nivel del otro
    Componentes de la cesta. Porque el S&P 500® El índice de valor tiene una mayor ponderación que los otros componentes de la cesta,
    una disminución en el S&P 500® El índice de valor tendrá un efecto desproporcionadamente adverso sobre el valor de la canasta
    y puede conducir a un bajo rendimiento incluso si los otros componentes de la cesta funcionan favorablemente.

    § Los componentes de la cesta no tienen la misma ponderación. Los valores están vinculados a una cesta de siete Componentes de la cesta,
                                                                                                                                                y los componentes de la cesta tienen pesos significativamente diferentes para determinar el valor de la cesta. El mismo porcentaje
                                                                                                                                                Por lo tanto, el cambio en cualquiera de los siete Componentes de la canasta podría tener diferentes efectos en el Nivel de canasta final debido a
                                                                                                                                                ponderación desigual Por ejemplo, si la ponderación de un componente de cesta es mayor que la ponderación de otra cesta
                                                                                                                                                Componente, una disminución del 5% desde el nivel de componente inicial hasta el nivel de componente final del componente de la cesta con el
                                                                                                                                                una mayor ponderación tendrá un mayor impacto en el Nivel de cesta final que un aumento del 5% desde el Nivel de componente inicial hasta
                                                                                                                                                El nivel de componente final del componente de cesta con la menor ponderación.

    § Los valores están sujetos al riesgo de crédito de Credit Suisse. Los inversores dependen de nuestra capacidad para pagar todas las cantidades.
    debido a los valores y, por lo tanto, si no cumpliéramos con nuestras obligaciones, es posible que no reciba ninguna cantidad que se le adeuda bajo
    los valores Además, cualquier disminución en nuestras calificaciones crediticias, cualquier cambio adverso en la visión del mercado de nuestra solvencia
    o cualquier aumento en nuestros diferenciales de crédito puede afectar negativamente el valor de los valores antes del vencimiento.

    § Los valores no pagan intereses. No pagaremos intereses sobre los valores. Puede recibir menos al vencimiento que
    podría haberse ganado con títulos de deuda ordinarios que devengan intereses con vencimientos similares, incluidos otros de nuestros títulos de deuda,
    ya que el Pago al vencimiento al vencimiento se basa en el desempeño de la Cesta. Porque el pago al vencimiento al vencimiento
    puede ser inferior a la cantidad invertida originalmente en los valores, el rendimiento de los valores (el

    MÁS Basado en el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    rendimiento efectivo hasta el vencimiento) puede
    ser negativo Incluso si es positivo, la rentabilidad pagadera de cada valor puede no ser suficiente para compensarle por cualquier pérdida de valor.
    debido a la inflación y otros factores relacionados con el valor del dinero a lo largo del tiempo.

    § La probabilidad de que el nivel de cesta final sea menor que el nivel de cesta inicial dependerá de la volatilidad de
    Los componentes de la cesta.
    La "volatilidad" se refiere a la frecuencia y magnitud de los cambios en los niveles de la canasta.
    Componentes. Cuanto mayor sea la volatilidad esperada con respecto a los Componentes de la Cesta en la Fecha de Negociación, mayor será la expectativa
    A partir de la fecha de negociación, el nivel de canasta final podría ser menor que el nivel de canasta inicial, lo que indica un mayor riesgo esperado
    de pérdida en los valores. Los términos de los valores se establecen, en parte, en función de las expectativas sobre la volatilidad de la canasta.
    Componentes a la fecha de negociación. La volatilidad de los componentes de la cesta puede cambiar significativamente durante el plazo de los valores.
    Los niveles de los componentes de la cesta podrían caer bruscamente, lo que podría provocar una pérdida significativa de capital. Deberías estar dispuesto
    aceptar el riesgo de mercado a la baja de los Componentes de la cesta y el potencial de perder una cantidad significativa de su capital en
    madurez.

    § La estrategia de inversión representada por el S&P 500® El índice de valor puede no ser exitoso – Los
    S&P 500® Value Index está diseñado para medir el rendimiento total de las empresas incluidas en el S&P 500®
    Índice que exhibe características de valor relativamente fuertes (determinado por referencia a (1) relación valor-libro-precio, (2) ganancias-precio
    relación y (3) relación ventas-precio) y características de crecimiento relativamente débiles (determinadas por referencia al crecimiento de las ganancias por acción,
    crecimiento de las ventas por acción y el impulso al alza del precio de las acciones) y una parte del desempeño de las empresas con un valor más equilibrado
    y características de crecimiento (donde se asigna mayor peso a las empresas con características de valor relativamente más fuertes y relativamente
    características de crecimiento más débiles). Sin embargo, no hay garantía de que el S&P 500® El índice de valor superará
    cualquier otro índice o estrategia que rastree las acciones estadounidenses seleccionadas usando otros criterios. Una estrategia de inversión de "valor" es
    bajo el objetivo de invertir en acciones que se determinan que son relativamente baratas o "infravaloradas" bajo el supuesto
    que el valor de esas acciones aumentará con el tiempo a medida que el mercado llegue a reflejar el valor de mercado "justo" de esas
    cepo. Sin embargo, las características de valor a las que hace referencia el S&P 500® El índice de valor puede no ser predictores precisos
    de las existencias infravaloradas, y no hay garantía de que las existencias infravaloradas se aprecien. Además, el S&P 500®
    La metodología de selección de Value Index incluye un sesgo en contra de acciones con fuertes características de crecimiento y acciones con fuertes
    Las características de crecimiento pueden superar a las existencias con características de crecimiento débiles. Es posible que la metodología de selección de valores
    del S&P 500® El índice de valor afectará negativamente su rendimiento y, en consecuencia, el nivel del S&P 500®
    Índice de valor y el valor de sus valores.

    § El nivel de cierre del EURO STOXX® El índice de bancos y el índice de precios de acciones de Tokio no se ajustarán para
    cambios en los tipos de cambio en relación con el dólar estadounidense a pesar de que los valores de renta variable incluidos en el EURO STOXX®
    El índice de bancos y el índice de precios de acciones de Tokio se negocian en monedas extranjeras y los valores están denominados en dólares estadounidenses.

    El valor de sus valores no se ajustará a las fluctuaciones del tipo de cambio entre el dólar estadounidense y las monedas en
    que los valores de renta variable incluidos en el EURO STOXX® Se basan el índice de bancos y el índice de precios de acciones de Tokio. Por lo tanto,
    Si las monedas aplicables se aprecian o deprecian en relación con el dólar estadounidense durante el plazo de los valores, no
    recibir cualquier pago adicional o incurrir en una reducción en su devolución, si corresponde, al vencimiento.

    § Riesgo de mercados de valores extranjeros. Algunos o todos los activos incluidos en el VanEck
    Vectores® Mineros de oro ETF
    , EURO STOXX® Índice de bancos, índice de precios de acciones de Tokio y
    iShares® Los ETF de mercados emergentes de MSCI son emitidos por compañías extranjeras y operan en mercados de valores extranjeros.
    Por lo tanto, las inversiones en valores implican riesgos asociados con los mercados de valores en esos países, incluidos los riesgos.
    de volatilidad en esos mercados, intervención gubernamental en esos mercados y participaciones cruzadas en compañías de ciertos países.
    Además, las compañías extranjeras generalmente están sujetas a normas y requisitos contables, de auditoría e informes financieros y valores.
    reglas comerciales diferentes a las aplicables a las compañías de informes de EE. UU. Los valores de renta variable incluidos en el VanEck
    Vectores® Mineros de oro ETF
    , EURO STOXX® Índice de bancos, índice de precios de acciones de Tokio y
    iShares® El ETF de mercados emergentes de MSCI puede ser más volátil que los valores de renta variable nacional y puede estar sujeto
    a diferentes riesgos políticos, de mercado, económicos, cambiarios, regulatorios y de otro tipo, incluidos los cambios en gobiernos extranjeros,
    políticas económicas y fiscales, leyes de cambio de divisas u otras leyes o restricciones. Además, las economías de países extranjeros.
    puede diferir favorable o desfavorablemente de la economía de los Estados Unidos en aspectos tales como el crecimiento del producto nacional bruto,
    tasa de inflación, reinversión de capital, recursos y autosuficiencia. Estos factores pueden afectar negativamente los valores del patrimonio
    valores incluidos en el

    MÁS Basado en el valor de una canasta ponderada que consta de siete componentes de canasta con vencimiento el 6 de julio de 2020

    Rendimiento de valores alcistasSM

    Valores principales en riesgo

    VanEck
    Vectores® Mineros de oro ETF
    , EURO STOXX® Índice de bancos, índice de precios de acciones de Tokio y
    iShares® ETF de mercados emergentes de MSCI y, por lo tanto, el rendimiento de dichos componentes de cesta y el valor
    de los valores.

    § Las acciones incluidas en los Vectores VanEck® Gold Miners ETF, EURO
    STOXX® Índice de bancos, SPDR® S&P® ETF de exploración y producción de petróleo y gas
    y Materiales Seleccionar Sector SPDR® Financiar son
    concentrado en un sector particular.
    Todas las acciones incluidas en
    el Vectores VanEck® Mineros de oro ETF, EURO STOXX® Bancos,
    SPDR® S&P® Índice ETF de exploración y producción de petróleo y gas y
    Materiales Seleccionar Sector SPDR® Fund are issued by companies in a single sector. As a result, the stocks that
    will determine the performance of the VanEck Vectors® Gold Miners ETF,
    EURO STOXX® Banks, SPDR® S&P® Oil & Gas Exploration & Production ETF Index
    y Materials Select Sector SPDR® Fund are concentrated in a single
    sector. Although an investment in the securities will not give holders any ownership or other direct interests in the stocks held
    by the VanEck Vectors® Gold Miners ETF, EURO STOXX®
    Banks, SPDR® S&P® Oil & Gas Exploration & Production ETF Index y
    Materials Select Sector SPDR® Fund, the return on an investment in the securities will be subject to certain
    risks associated with a direct equity investment in companies in a single sector. Accordingly, by investing in the securities,
    you will not benefit from the diversification which could result from an investment linked to companies that operate in a broader
    range of sectors.

    § Currency exchange risk. Because the prices of the equity securities included in
    the VanEck Vectors® Gold Miners ETF and
    iShares® MSCI Emerging Markets ETF son
    converted into U.S. dollars for purposes of calculating the level of the VanEck Vectors® Gold Miners ETF and
    iShares®
    MSCI Emerging Markets ETF, investors will be exposed to currency exchange rate risk with
    respect to each of the currencies in which the equity securities included in the VanEck Vectors® Gold Miners ETF
    y
    iShares® MSCI Emerging Markets ETF trade. Currency exchange rates
    may be highly volatile, particularly in relation to emerging or developing nations’ currencies and, in certain market conditions,
    also in relation to developed nations’ currencies. Significant changes in currency exchange rates, including changes in liquidity
    and prices, can occur within very short periods of time. Currency exchange rate risks include, but are not limited to, convertibility
    risk, market volatility and potential interference by foreign governments through regulation of local markets, foreign investment
    or particular transactions in foreign currency. These factors may adversely affect the values of the equity securities included
    in the VanEck Vectors® Gold Miners ETF and
    iShares® MSCI Emerging Markets ETF,
    the level of the VanEck Vectors® Gold Miners ETF and
    iShares® MSCI Emerging Markets ETF y
    the value of the securities.

    § Emerging markets risk. The iShares® MSCI Emerging Markets ETF is exposed to the political and economic
    risks of emerging market countries. In recent years, some emerging markets have undergone significant political, economic and social
    upheaval. Such far-reaching changes have resulted in constitutional and social tensions and, in some cases, instability and reaction
    against market reforms has occurred. With respect to any emerging market nation, there is the possibility of nationalization, expropriation
    or confiscation, political changes, government regulation and social instability. There can be no assurance that future political
    changes will not adversely affect the economic conditions of an emerging market nation. Political or economic instability could
    have an adverse effect on the performance of the securities.

    § There are risks associated with the VanEck Vectors® Gold Miners ETF,
    iShares® MSCI Emerging Markets ETF, SPDR® S&P® Oil & Gas Exploration
    & Production ETF y Materials Select Sector SPDR® Fund
    . A pesar de que
    shares of the VanEck Vectors® Gold Miners ETF, iShares®
    MSCI Emerging Markets ETF, SPDR® S&P® Oil & Gas Exploration & Production ETF y
    Materials Select Sector SPDR® Fund (each, a “Reference Fund”) 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 Reference Funds or that there
    will be liquidity in the trading market. Each Reference Fund is subject to management risk, which is the risk that a Reference
    Fund’s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended
    results. Pursuant to each Reference Fund’s investment strategy or otherwise, its investment advisor may add, delete or substitute
    the assets held by such Reference Fund. Any of these actions could adversely affect the price of the shares of each Reference Fund
    and consequently the value of the securities. For additional information on the Reference Funds, see “The Basket Components”
    herein.

    § The performance and market value of each Reference Fund, particularly during periods of market volatility, may not correlate
    to the performance of its Tracked Index.
    Each Reference Fund will generally invest in all of the equity securities included
    in the index tracked by such Reference Fund (each such index, a “Tracked Index”), but may not fully replicate such
    Tracked Index. There may be instances where a Reference Fund’s investment advisor may choose to

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    overweight another stock in such
    Reference Fund’s Tracked Index, purchase securities not included in such Reference Fund’s Tracked Index that such investment
    advisor believes are appropriate to substitute for a security included in such Tracked Index or utilize various combinations of
    other available investment techniques. In addition, the performance of each Reference Fund will reflect additional transaction
    costs and fees that are not included in the calculation of such Reference Fund’s Tracked Index. Finally, because the shares
    of each Reference Fund are traded on a national securities exchange and are subject to market supply and investor demand, the market
    value of one share of each Reference Fund may differ from the net asset value per share of such Reference Fund.

    During periods of market volatility,
    securities held by each Reference Fund may be unavailable in the secondary market, market participants may be unable to calculate
    accurately the net asset value per share of such Reference Fund and the liquidity of such Reference Fund may be adversely affected.
    This kind of market volatility may also disrupt the ability of market participants to create and redeem shares in each Reference
    Fund. Further, market volatility may adversely affect, sometimes materially, the prices at which market participants are willing
    to buy and sell shares of each Reference Fund. As a result, under these circumstances, the market value of shares of each Reference
    Fund may vary substantially from the net asset value per share of such Reference Fund. For all the foregoing reasons, the performance
    of each Reference Fund may not correlate with the performance of its Tracked Index. For additional information on the Reference
    Funds, see “The Basket Components” herein.

    § Hedging and trading activity. We, any dealer or any of our or their respective affiliates may carry out hedging activities
    related to the securities, including in the Reference Funds or instruments related to the Basket Components. We, any dealer or
    our or their respective affiliates may also trade in the Reference Funds or instruments related to the Basket Components from time
    to time. Any of these hedging or trading activities on or prior to the Trade Date and during the term of the securities could adversely
    affect our payment to you at maturity.

    § The estimated value of the securities on the Trade Date may be less than the Price to Public. The initial estimated
    value of your securities on the Trade Date (as determined by reference to our pricing models and our internal funding rate) may
    be significantly less than the original Price to Public. The Price to Public of the securities includes any discounts or commissions
    as well as transaction costs such as expenses incurred to create, document and market the securities and the cost of hedging our
    risks as issuer of the securities through one or more of our affiliates (which includes a projected profit). These costs will be
    effectively borne by you as an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in
    connection with our structuring and offering of the securities (except to the extent discounts or commissions are reallowed to
    other broker-dealers or any costs are paid to third parties).

    On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a fixed income
    component valued using our internal funding rate, and individual option components valued using mid-market pricing. Como tal, el
    payout on the securities can be replicated using a combination of these components and the value of these components, as determined
    by us using our pricing models, will impact the terms of the securities at issuance. Our option valuation models are proprietary.
    Our pricing models take into account factors such as interest rates, volatility and time to maturity of the securities, and they
    rely in part on certain assumptions about future events, which may prove to be incorrect.

    Because Credit Suisse’s pricing
    models may differ from other issuers’ valuation models, and because funding rates taken into account by other issuers may
    vary materially from the rates used by Credit Suisse (even among issuers with similar creditworthiness), our estimated value at
    any time may not be comparable to estimated values of similar securities of other issuers.

    § Effect of interest rate in structuring the securities. The internal funding rate
    we use in structuring notes such as these securities is typically lower than the interest rate that is reflected in the yield on
    our conventional debt securities of similar maturity in the secondary market (our “secondary market credit spreads”).
    If on the Trade Date our internal funding rate is lower than our secondary market credit spreads, we expect that the economic terms
    of the securities will generally be less favorable to you than they would have been if our secondary market credit spread had been
    used in structuring the securities. We will also use our internal funding rate to determine the price of the securities if we post
    a bid to repurchase your securities in secondary market transactions. See “—Secondary Market Prices” below.

    § Secondary market prices. If Credit Suisse (or an affiliate) bids for your securities in secondary market transactions,
    which we are not obligated to do, the secondary market price (and the value used for account statements or otherwise)

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    may be higher or lower than the
    Price to Public and the estimated value of the securities on the Trade Date. The estimated value of the securities on the cover
    of this pricing supplement does not represent a minimum price at which we would be willing to buy the securities in the secondary
    market (if any exists) at any time. The secondary market price of your securities at any time cannot be predicted and will reflect
    the then-current estimated value determined by reference to our pricing models and other factors. These other factors include our
    internal funding rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration
    or improvement in our creditworthiness. In circumstances where our internal funding rate is lower than our secondary market credit
    spreads, our secondary market bid for your securities could be more favorable than what other dealers might bid because, assuming
    all else equal, we use the lower internal funding rate to price the securities and other dealers might use the higher secondary
    market credit spread to price them. Furthermore, assuming no change in market conditions from the Trade Date, the secondary market
    price of your securities will be lower than the Price to Public because it will not include any discounts or commissions and hedging
    and other transaction costs. If you sell your securities to a dealer in a secondary market transaction, the dealer may impose an
    additional discount or commission, and as a result the price you receive on your securities may be lower than the price at which
    we may repurchase the securities from such dealer.

    We (or an affiliate) may initially post a bid to repurchase
    the securities from you at a price that will exceed the then-current estimated value of the securities. That higher price reflects
    our projected profit and costs 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
    meses.

    The securities are not designed to be short-term trading
    instruments and any sale prior to maturity could result in a substantial loss to you. You should be willing and able to hold your
    securities to maturity.

    § Credit Suisse is subject to Swiss regulation. As a Swiss bank, Credit Suisse is subject to regulation by governmental
    agencies, supervisory authorities and self-regulatory organizations in Switzerland. Such regulation is increasingly more extensive
    and complex and subjects Credit Suisse to risks. For example, pursuant to Swiss banking laws, the Swiss Financial Market Supervisory
    Authority (FINMA) may open resolution proceedings if there are justified concerns that Credit Suisse is over-indebted, has serious
    liquidity problems or no longer fulfills capital adequacy requirements. FINMA has broad powers and discretion in the case of resolution
    proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity and/or cancel
    such liabilities in whole or in part. If one or more of these measures were imposed, such measures may adversely affect the terms
    and market value of the securities and/or the ability of Credit Suisse to make payments thereunder and you may not receive any
    amounts owed to you under the securities.

    § Lack of liquidity. The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates)
    intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a secondary
    market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do so. Because other
    dealers are not likely to make a secondary market for the securities, the price at which you may be able to trade your securities
    is likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have
    to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.

    § Potential conflicts. We and our affiliates play a variety of roles in connection with the issuance of the securities,
    including acting as calculation agent and as agent of the issuer for the offering of the securities, hedging our obligations under
    the securities and determining their estimated value. In performing these duties, the economic interests of us and our affiliates
    are potentially adverse to your interests as an investor in the securities. For instance, as calculation agent, Credit Suisse International
    will determine the Initial Component Level and the Payment at Maturity. Moreover, certain determinations made by Credit Suisse
    International, in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such
    as with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor basket component
    or calculation of the closing level in the event of a market disruption event or discontinuance of the Basket Components. Estas
    potentially subjective determinations may adversely affect the payout to you at maturity, if any. In addition, hedging activities
    by us or our affiliates on or prior to the Trade Date could potentially increase the Initial Component Level, and therefore, could
    increase the levels at or above which the Basket Components must close so that you are not exposed to the negative performance
    of the Basket on the Valuation Date. Further, hedging activities may adversely affect any payment on or the value of the securities.
    Any profit

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    in connection with such hedging
    activities will be in addition to any other compensation that we and our affiliates receive for the sale of the securities, which
    creates an additional incentive to sell the securities to you.

    § Unpredictable economic and market factors will affect the value of the securities. The payout on the securities can
    be replicated using a combination of the components described in “The estimated value of the securities on the Trade Date
    may be less than the Price to Public.” Therefore, in addition to the levels of the Basket Components, the terms of the securities
    at issuance and the value of the securities prior to maturity may be influenced by factors that impact the value of fixed income
    securities and options in general such as:

    o the expected and actual volatility of the Basket Components;

    o the time to maturity of the securities;

    o the dividend rate on the equity securities included in
    the Basket Components;

    o interest and yield rates in the market generally;

    o investors’ expectations with respect to the rate
    of inflation;

    o events affecting companies engaged in the industries tracked by the VanEck Vectors®
    Gold Miners ETF,
    EURO STOXX® Banks Index, SPDR® S&P® Oil & Gas Exploration
    & Production ETF y Materials Select Sector SPDR® Fund;

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

    o our creditworthiness, including actual or anticipated
    downgrades in our credit ratings.

    Some or all of these factors may influence the price
    that you will receive if you choose to sell your securities prior to maturity. The impact of any of the factors set forth above
    may enhance or offset some or all of any change resulting from another factor or factors.

    § No ownership rights relating to the Basket Components. Your return on the securities will not reflect the return you
    would realize if you actually owned shares of the Reference Funds or the assets that comprise the Basket Components. The return
    on your investment is not the same as the total return you would receive based on the purchase of shares of the Reference Funds
    or the assets that comprise the Basket Components. For example, as a holder of the securities, you will not have voting rights
    or rights to receive cash dividends or other distributions or other rights with respect to shares of the Reference Funds or the
    assets that comprise the Basket Components.

    § Adjustments to the S&P 500® Value Index, the EURO STOXX® Banks Index or the Tokyo Stock
    Price Index could adversely affect the value of the securities.
    The publisher of the S&P 500® Value Index,
    the EURO STOXX® Banks Index or the Tokyo Stock Price Index (each, a “Reference Index”) may add, delete
    or substitute the component stocks of such Reference Index or make other methodological changes that could change the value of
    such Reference Index. Any of these actions could adversely affect the value of the securities. The publisher of a Reference Index
    may also discontinue or suspend calculation or publication of such Reference Index at any time. In these circumstances, Credit
    Suisse International, as the calculation agent, will have the sole discretion to substitute a successor underlying that is comparable
    to the discontinued Reference Index. Credit Suisse International could have an economic interest that is different than that of
    investors in the securities insofar as, for example, Credit Suisse International is permitted to consider Reference Indices that
    are calculated and published by Credit Suisse International or any of its affiliates. If Credit Suisse International determines
    that there is no appropriate successor underlying on the Valuation Date, the amount payable at maturity will be based on the value
    of the Reference Indices, based on the closing prices of the stocks constituting the Reference Indices at the time of such discontinuance,
    without rebalancing or substitution,

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    computed by Credit Suisse International
    as calculation agent in accordance with the formula for calculating the Reference Indices last in effect prior to such discontinuance,
    as compared to the Initial Basket Level.

    § Anti-dilution protection is limited. The calculation agent will make anti-dilution
    adjustments for certain events affecting the Reference Funds. However, an adjustment will not be required in response to all events
    that could affect the Reference Funds. If an event occurs that does not require the calculation agent to make an adjustment, or
    if an adjustment is made but such adjustment does not fully reflect the economics of such event, the value of the securities may
    be materially and adversely affected. See “Description of the Securities—Adjustments” in the relevant product
    supplement.

    § The U.S. federal tax consequences of an investment in the securities are unclear.
    There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to
    request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment
    of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid financial
    contracts that are treated as “open transactions.” If the IRS were successful in asserting an alternative treatment
    of the securities, the tax consequences of the ownership and disposition of the securities, including the timing and character
    of income recognized by U.S. investors and the withholding tax consequences to non-U.S. investors, might be materially and adversely
    affected. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment
    of the securities, possibly retroactively.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Supplemental Use of Proceeds and Hedging

    We intend to use the proceeds of this offering for our general
    corporate purposes, which may include the refinancing of existing debt outside Switzerland. Some or all of the proceeds we receive
    from the sale of the securities may be used in connection with hedging our obligations under the securities through one or more
    of our affiliates. Such hedging or trading activities on or prior to the Trade Date and during the term of the securities (including
    on any calculation date, as defined in any accompanying product supplement) could adversely affect the value of the Basket Components
    and, as a result, could decrease the amount you may receive on the securities at maturity. For additional information, see “Supplemental
    Use of Proceeds and Hedging” in any accompanying product supplement.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    The Basket Components

    S&P 500® Value Index

    The S&P 500® Value Index is designed to measure
    the full performance of companies included in the S&P 500® Index that exhibit relatively strong value characteristics
    (determined by reference to (1) book-value-to-price ratio, (2) earnings-to-price ratio and (3) sales-to-price ratio) and relatively
    weak growth characteristics (determined by reference to earnings-per-share growth, sales-per-share growth and upward share price
    momentum) and a portion of the performance of companies with more balanced value and growth characteristics (where greater weight
    is allocated to companies with relatively stronger value characteristics and relatively weaker growth characteristics).

    The S&P 500® Value Index is a subset of the
    S&P 500® Index and is a float-adjusted market-capitalization weighted index. S&P Dow Jones allocates the
    complete float-adjusted market capitalization of the companies included in the S&P 500® Index between the S&P
    500® Value Index and the S&P 500® Growth Index based on an assessment of those companies’
    respective value and growth characteristics. The market capitalization of companies exhibiting the strongest value characteristics
    relative to their respective growth characteristics is allocated to the S&P 500® Value Index (approximately
    33% of the market capitalization of the S&P 500® Index), and the market capitalization of companies exhibiting
    the strongest growth characteristics relative to their respective value characteristics (approximately 33% of the market capitalization
    of the S&P 500® Index) is allocated to the S&P 500® Growth Index. The market capitalization
    of the remaining companies included in the S&P 500® Index is split between the S&P 500® Valor
    Index and the S&P 500® Growth Index, with more of the market capitalization of companies exhibiting stronger
    value characteristics relative to their respective growth characteristics being allocated to the S&P 500® Valor
    Index and more of the market capitalization of companies exhibiting the stronger growth characteristics relatively to their respective
    value characteristics being allocated to the S&P 500® Growth Index.

    For additional information about the S&P 500®
    Value Index, see the information set forth under “The Reference Indices— The S&P Dow Jones Indices—The S&P
    500® Index” in the accompanying underlying supplement.

    Information as of market close on December 11, 2019:

    Bloomberg Ticker Symbol: SVX
    Current Closing Level: 1252.733
    52 Weeks Ago (on 12/12/2018): 1052.641
    52 Week High (on 11/27/2019): 1254.547
    52 Week Low (on 12/24/2018): 942.574

    The following graph sets forth the daily closing levels of the
    S&P 500® Value Index for the period from January 2, 2014 through December 11, 2019. The related table sets forth
    the published high and low closing levels, as well as end-of-quarter closing levels, of the S&P 500® Value Index
    for each quarter in the same period. The closing level of the S&P 500® Value Index on December 11, 2019 was
    1252.733. We obtained the information in the table and graph below from Bloomberg Financial Markets without independent verification.
    You should not take the historical values of the S&P 500® Value Index as an indication of its future performance,
    and no assurance can be given as to the closing level of the S&P 500® Value Index on the Valuation Date.

    For additional information about the S&P 500®
    Value Index, see “The Reference Indices—The S&P Dow Jones Indices—The S&P 500® Index”
    in the accompanying underlying supplement.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    S&P 500®
    Value Index Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    S&P 500® Value Index High Low Period End
    2014
    First Quarter 860.390 793.810 860.390
    Second Quarter 900.020 840.860 894.470
    Third Quarter 911.420 868.990 891.110
    Fourth Quarter 941.100 843.940 927.970
    2015
    First Quarter 937.940 885.530 915.870
    Second Quarter 944.410 910.940 912.401
    Third Quarter 932.160 810.100 831.710
    Fourth Quarter 906.500 831.130 876.090
    2016
    First Quarter 892.210 788.670 888.950
    Second Quarter 925.400 872.900 917.957
    Third Quarter 950.180 909.110 938.797
    Fourth Quarter 1015.670 908.365 1001.123
    2017
    First Quarter 1057.510 999.640 1027.883
    Second Quarter 1045.549 1005.437 1037.134
    Third Quarter 1066.458 1023.462 1066.458
    Fourth Quarter 1132.272 1067.465 1126.982
    2018
    First Quarter 1195.510 1053.922 1080.053
    Second Quarter 1112.310 1057.578 1088.212
    Third Quarter 1164.959 1086.579 1144.503
    Fourth Quarter 1153.173 942.574 999.699
    2019
    First Quarter 1124.977 980.028 1114.384
    Second Quarter 1159.855 1067.766 1151.859
    Third Quarter 1188.202 1103.459 1176.919
    Fourth Quarter (through December 11, 2019) 1254.547 1139.981 1252.733

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    VanEck Vectors® Gold Miners ETF

    We have derived all information
    contained herein regarding the VanEck Vectors® Gold Miners ETF from publicly available information. Such information
    reflects the policies of, and is subject to change by, Van Eck Associates Corporation, which maintains and manages the VanEck Vectors®
    Gold Miners ETF and acts as an investment advisor to the VanEck Vectors® Gold Miners ETF. We have not conducted
    any independent review or due diligence of any publicly available information with respect to the VanEck Vectors®
    Gold Miners ETF. The VanEck Vectors® Gold Miners ETF is an exchange-traded fund that seeks to replicate as closely
    as possible, before fees and expenses, the price and yield performance of the NYSE Arca Gold Miners Index, which is a modified
    market capitalization weighted index comprised of publicly traded companies involved primarily in the mining of gold and silver.

    VanEck Vectors ETF Trust
    is a registered investment company that consists of numerous separate investment portfolios, including the VanEck Vectors®
    Gold Miners ETF. Information filed by VanEck Vectors ETF Trust with the SEC under the Securities Exchange Act and the Investment
    Company Act can be found by reference to its SEC file numbers: 333-123257 and 811-10325. Shares of the VanEck Vectors®
    Gold Miners ETF are listed on the NYSE Arca under ticker symbol “GDX.” Information from outside sources is not incorporated
    by reference in, and should not be considered part of, this pricing supplement, the underlying supplement, any accompanying product
    supplement, the prospectus supplement and the prospectus.

    Information as of market close on December 11, 2019:

    Bloomberg Ticker Symbol: GDX UP
    Current Closing Level: $27.71
    52 Weeks Ago (on 12/12/2018): $20.44
    52 Week High (on 9/4/2019): $30.95
    52 Week Low (on 12/19/2018): $19.95

    The following graph sets forth the daily closing levels of the
    VanEck Vectors® Gold Miners ETF for the period from January 2, 2014 through December 11, 2019. The related table
    sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the VanEck Vectors®
    Gold Miners ETF for each quarter in the same period. The closing level of the VanEck Vectors® Gold Miners ETF on
    December 11, 2019 was $27.71. We obtained the information in the table and graph below from Bloomberg Financial Markets without
    independent verification. You should not take the historical values of the VanEck Vectors® Gold Miners ETF as an
    indication of its future performance, and no assurance can be given as to the closing level of the VanEck Vectors®
    Gold Miners ETF on the Valuation Date.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    VanEck Vectors®
    Gold Miners ETF Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    VanEck Vectors® Gold Miners ETF High Low Period End
    2014
    First Quarter $27.73 $21.27 $23.60
    Second Quarter $26.45 $22.04 $26.45
    Third Quarter $27.46 $21.35 $21.35
    Fourth Quarter $21.94 $16.59 $18.38
    2015
    First Quarter $22.94 $17.67 $18.24
    Second Quarter $20.82 $17.76 $17.76
    Third Quarter $17.85 $13.04 $13.74
    Fourth Quarter $16.90 $13.08 $13.72
    2016
    First Quarter $20.86 $12.47 $19.98
    Second Quarter $27.70 $19.53 $27.70
    Third Quarter $31.32 $25.45 $26.43
    Fourth Quarter $25.96 $18.99 $20.92
    2017
    First Quarter $25.57 $21.14 $22.81
    Second Quarter $24.57 $21.10 $22.08
    Third Quarter $25.49 $21.21 $22.96
    Fourth Quarter $23.84 $21.42 $23.24
    2018
    First Quarter $24.60 $21.27 $21.98
    Second Quarter $23.06 $21.81 $22.31
    Third Quarter $22.68 $17.57 $18.52
    Fourth Quarter $21.09 $18.39 $21.09
    2019
    First Quarter $23.36 $20.31 $22.42
    Second Quarter $26.17 $20.17 $25.56
    Third Quarter $30.95 $24.58 $26.71
    Fourth Quarter (through December 11, 2019) $28.36 $26.19 $27.71

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    EURO STOXX® Banks Index

    The EURO STOXX® Banks Index is a free-float market
    capitalization index that currently includes 25 stocks of banks market sector leaders from 11 Eurozone countries: Austria, Belgium,
    Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. Not all 11 countries are represented
    in the EURO STOXX® Banks Index at any given time.

    Information as of market close on December 11, 2019:

    Bloomberg Ticker Symbol: SX7E
    Current Closing Level: 93.54
    52 Weeks Ago (on 12/12/2018): 92.09
    52 Week High (on 4/17/2019): 103.60
    52 Week Low (on 8/15/2019): 77.45

    The following graph sets forth the daily closing levels of the
    EURO STOXX® Banks Index for the period from January 2, 2014 through December 11, 2019. The related table sets forth
    the published high and low closing levels, as well as end-of-quarter closing levels, of the EURO STOXX® Banks Index
    for each quarter in the same period. The closing level of the EURO STOXX® Banks Index on December 11, 2019 was 93.54.
    We obtained the information in the table and graph below from Bloomberg Financial Markets without independent verification. Tú
    should not take the historical values of the EURO STOXX® Banks Index as an indication of its future performance,
    and no assurance can be given as to the closing level of the EURO STOXX® Banks Index on the Valuation Date.

    For additional information about the EURO STOXX®
    Banks Index, see “EURO STOXX® Banks Index” in the accompanying underlying supplement.

    EURO STOXX®
    Banks Index Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    EURO STOXX® Banks Index High Low Period End
    2014
    First Quarter 156.58 139.31 155.26
    Second Quarter 162.81 145.66 146.52
    Third Quarter 154.60 135.67 149.21
    Fourth Quarter 149.39 129.86 134.51
    2015
    First Quarter 158.53 124.29 157.65
    Second Quarter 161.70 148.38 149.91
    Third Quarter 161.45 128.04 131.34
    Fourth Quarter 141.12 123.03 127.87
    2016
    First Quarter 125.04 89.65 101.38
    Second Quarter 111.28 79.03 83.25
    Third Quarter 99.11 78.37 92.54
    Fourth Quarter 120.34 91.84 117.67
    2017
    First Quarter 127.52 111.98 127.52
    Second Quarter 139.87 118.94 131.16
    Third Quarter 139.91 127.83 138.38
    Fourth Quarter 137.82 129.98 130.48
    2018
    First Quarter 143.05 123.72 125.69
    Second Quarter 131.97 109.41 110.45
    Third Quarter 116.73 104.16 106.55
    Fourth Quarter 106.08 84.80 87.04
    2019
    First Quarter 98.51 86.61 93.25
    Second Quarter 103.60 85.57 88.14
    Third Quarter 92.04 77.45 87.70
    Fourth Quarter (through December 11, 2019) 96.75 82.90 93.54

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    iShares® MSCI Emerging Markets ETF

    We have derived all information
    contained herein regarding the iShares® MSCI Emerging Markets ETF from publicly available information. Such information
    reflects the policies of, and is subject to change by, BlackRock Fund Advisors, which maintains and manages the iShares®
    MSCI Emerging Markets ETF and acts as investment advisor to the iShares® MSCI Emerging Markets ETF. We have not
    conducted any independent review or due diligence of any publicly available information with respect to the iShares®
    MSCI Emerging Markets ETF. The iShares® MSCI Emerging Markets ETF is an exchange-traded fund that seeks to track
    the investment results of the MSCI Emerging Markets Index, which is designed to measure equity market performance in the global
    emerging markets.

    iShares, Inc. is a registered
    investment company that consists of numerous separate investment portfolios, including the iShares® MSCI Emerging
    Markets ETF. Information filed by iShares, Inc. with the SEC under the Securities Exchange Act and the Investment Company Act can
    be found by reference to its SEC file numbers: 033-97598 and 811-09102. Shares of the iShares® MSCI Emerging Markets
    ETF are listed on the NYSE Arca under ticker symbol “EEM.” Information from outside sources is not incorporated by
    reference in, and should not be considered part of, this pricing supplement or any accompanying underlying supplement, product
    supplement, the prospectus supplement and the prospectus.

    Information as of market close on December 11, 2019:

    Bloomberg Ticker Symbol: EEM UP
    Current Closing Level: $43.68
    52 Weeks Ago (on 12/12/2018): $40.41
    52 Week High (on 4/17/2019): $44.59
    52 Week Low (on 12/24/2018): $38.16

    The following graph sets forth the daily closing levels of the
    iShares® MSCI Emerging Markets ETF for the period from January 2, 2014
    through December 11, 2019. The related table sets forth the published high and low closing levels, as well as end-of-quarter closing
    levels, of the iShares® MSCI Emerging Markets ETF for each quarter
    in the same period. The closing level of the iShares® MSCI Emerging Markets
    ETF
    on December 11, 2019 was $43.68. We obtained the information in the table and graph below from Bloomberg Financial Markets
    without independent verification. You should not take the historical values of the iShares®
    MSCI Emerging Markets ETF
    as an indication of its future performance, and no assurance can be given as to the closing level
    of the iShares® MSCI Emerging Markets ETF on the Valuation Date.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    iShares®
    MSCI Emerging Markets ETF Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    iShares® MSCI Emerging Markets ETF High Low Period End
    2014
    First Quarter $40.99 $37.09 $40.99
    Second Quarter $43.95 $40.82 $43.23
    Third Quarter $45.85 $41.56 $41.56
    Fourth Quarter $42.44 $37.73 $39.29
    2015
    First Quarter $41.07 $37.92 $40.13
    Second Quarter $44.09 $39.04 $39.62
    Third Quarter $39.78 $31.32 $32.78
    Fourth Quarter $36.29 $31.55 $32.19
    2016
    First Quarter $34.28 $28.25 $34.25
    Second Quarter $35.26 $31.87 $34.36
    Third Quarter $38.20 $33.77 $37.45
    Fourth Quarter $38.10 $34.08 $35.01
    2017
    First Quarter $39.99 $35.43 $39.39
    Second Quarter $41.93 $38.81 $41.39
    Third Quarter $45.85 $41.05 $44.81
    Fourth Quarter $47.81 $44.82 $47.12
    2018
    First Quarter $52.08 $45.69 $48.28
    Second Quarter $48.14 $42.33 $43.33
    Third Quarter $45.03 $41.14 $42.92
    Fourth Quarter $42.93 $38.00 $39.06
    2019
    First Quarter $43.71 $38.45 $42.92
    Second Quarter $44.59 $39.91 $42.91
    Third Quarter $43.42 $38.74 $40.87
    Fourth Quarter (through December 11, 2019) $44.08 $40.27 $43.68

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    SPDR® S&P® Oil & Gas
    Exploration & Production ETF

    We have derived all information contained herein regarding the
    SPDR® S&P® Oil & Gas Exploration & Production ETF from publicly available information.
    Such information reflects the policies of, and is subject to change by, SSGA Funds Management, Inc., which maintains and manages
    the SPDR® S&P® Oil & Gas Exploration & Production ETF, and acts as investment advisor
    to the SPDR® S&P® Oil & Gas Exploration & Production ETF. We have not conducted any independent
    review or due diligence of any publicly available information with respect to the SPDR® S&P® Oil
    & Gas Exploration & Production ETF. The SPDR® S&P® Oil & Gas Exploration & Production
    ETF is an exchange-traded fund that seeks investment results that, before fees and expenses, correspond generally to the total
    return of the S&P Oil & Gas Exploration & Production Select Industry® Index, which measures the performance
    of the oil and gas exploration and production segment of the S&P® Total Market Index.

    The SPDR® Series Trust is a registered investment
    company that consists of numerous separate investment portfolios, including the SPDR® S&P® Oil
    & Gas Exploration & Production ETF. Information filed by the SPDR® Series Trust with the SEC under the Securities
    Exchange Act and the Investment Company Act can be found by reference to its SEC file numbers: 333-57793 and 811-08839. Shares
    of the SPDR® S&P® Oil & Gas Exploration & Production ETF are listed on the NYSE Arca
    under ticker symbol “XOP.” Information from outside sources is not incorporated by reference in, and should not be
    considered part of, this pricing supplement or any accompanying underlying supplement, producto
    supplement, the prospectus supplement and the prospectus.

    Information as of market close on December 11, 2019:

    Bloomberg Ticker Symbol: XOP UP
    Current Closing Level: $21.39
    52 Weeks Ago (on 12/12/2018): $30.63
    52 Week High (on 4/22/2019): $32.98
    52 Week Low (on 12/3/2019): $20.04

    The following graph sets forth the daily closing levels of the
    SPDR® S&P® Oil & Gas Exploration & Production ETF for the period from January 2, 2014
    through December 11, 2019. The related table sets forth the published high and low closing levels, as well as end-of-quarter closing
    levels, of the SPDR® S&P® Oil & Gas Exploration & Production ETF for each quarter in
    the same period. The closing level of the SPDR® S&P® Oil & Gas Exploration & Production
    ETF on December 11, 2019 was $21.39. We obtained the information in the table and graph below from Bloomberg Financial Markets
    without independent verification. You should not take the historical values of the SPDR® S&P® Oil
    & Gas Exploration & Production ETF as an indication of its future performance, and no assurance can be given as to the
    closing level of the SPDR® S&P® Oil & Gas Exploration & Production ETF on the Valuation
    Date.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    SPDR® S&P®
    Oil & Gas Exploration & Production ETF Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    SPDR® S&P® Oil & Gas Exploration & Production ETF High Low Period End
    2014
    First Quarter $71.83 $64.04 $71.83
    Second Quarter $83.45 $71.19 $82.28
    Third Quarter $82.08 $68.83 $68.83
    Fourth Quarter $66.84 $42.75 $47.86
    2015
    First Quarter $53.94 $42.55 $51.66
    Second Quarter $55.63 $46.43 $46.66
    Third Quarter $45.22 $31.71 $32.84
    Fourth Quarter $40.53 $28.64 $30.22
    2016
    First Quarter $30.96 $23.60 $30.35
    Second Quarter $37.50 $29.23 $34.81
    Third Quarter $39.12 $32.75 $38.46
    Fourth Quarter $43.42 $34.73 $41.42
    2017
    First Quarter $42.21 $35.17 $37.44
    Second Quarter $37.89 $30.17 $31.92
    Third Quarter $34.37 $29.09 $34.09
    Fourth Quarter $37.64 $32.25 $37.18
    2018
    First Quarter $39.85 $32.38 $35.22
    Second Quarter $44.22 $34.03 $43.06
    Third Quarter $44.52 $39.10 $43.29
    Fourth Quarter $44.57 $24.12 $26.53
    2019
    First Quarter $31.61 $27.10 $30.74
    Second Quarter $32.98 $24.86 $27.25
    Third Quarter $27.20 $20.60 $22.36
    Fourth Quarter (through December 11, 2019) $22.94 $20.04 $21.39

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Tokyo Stock Price Index

    The Tokyo Stock Price Index is a free float-adjusted market capitalization
    weighted index developed by the Tokyo Stock Exchange (“TSE”). The component stocks of the Tokyo Stock Price Index consists
    of all Japanese common stocks listed on the First Section of the TSE. The Tokyo Stock Price Index measures changes in the aggregate
    market value of these stocks. The component stocks are determined based on market capitalization and liquidity.

    Information as of market close on December 11, 2019:

    Bloomberg Ticker Symbol: TPX
    Current Closing Level: 1714.95
    52 Weeks Ago (on 12/12/2018): 1606.61
    52 Week High (on 12/9/2019): 1722.07
    52 Week Low (on 12/25/2018): 1415.55

    The following graph sets forth the daily closing levels of the
    Tokyo Stock Price Index for the period from January 2, 2014 through December 11, 2019. The related table sets forth the published
    high and low closing levels, as well as end-of-quarter closing levels, of the Tokyo Stock Price Index for each quarter in the same
    period. The closing level of the Tokyo Stock Price Index on December 11, 2019 was 1714.95. We obtained the information in the table
    and graph below from Bloomberg Financial Markets without independent verification. You should not take the historical values of
    the Tokyo Stock Price Index as an indication of its future performance, and no assurance can be given as to the closing level of
    the Tokyo Stock Price Index on the Valuation Date.

    Tokyo Stock Price
    Index Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Tokyo Stock Price Index High Low Period End
    2014
    First Quarter 1306.23 1139.27 1202.89
    Second Quarter 1269.04 1132.76 1262.56
    Third Quarter 1346.43 1228.26 1326.29
    Fourth Quarter 1447.58 1177.22 1407.51
    2015
    First Quarter 1592.25 1357.98 1543.11
    Second Quarter 1679.89 1528.99 1630.40
    Third Quarter 1691.29 1375.52 1411.16
    Fourth Quarter 1605.94 1442.74 1547.30
    2016
    First Quarter 1509.67 1196.28 1347.20
    Second Quarter 1407.50 1204.48 1245.82
    Third Quarter 1352.67 1209.88 1322.78
    Fourth Quarter 1552.36 1301.16 1518.61
    2017
    First Quarter 1577.40 1506.33 1512.60
    Second Quarter 1624.07 1459.07 1611.90
    Third Quarter 1676.17 1590.71 1674.75
    Fourth Quarter 1831.93 1673.62 1817.56
    2018
    First Quarter 1911.07 1664.94 1716.30
    Second Quarter 1815.25 1703.80 1730.89
    Third Quarter 1822.44 1676.20 1817.25
    Fourth Quarter 1824.03 1415.55 1494.09
    2019
    First Quarter 1627.59 1471.16 1591.64
    Second Quarter 1630.68 1498.96 1551.14
    Third Quarter 1623.27 1478.03 1587.80
    Fourth Quarter (through December 11, 2019) 1722.07 1568.87 1714.95

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Materials Select Sector SPDR® Fund

    We have derived all information contained herein regarding the
    Materials Select Sector SPDR® Fund from publicly available information. Such information reflects the policies of,
    and is subject to change by, SSgA Funds Management, Inc., which maintains and manages the Materials Select Sector SPDR®
    Fund and acts as investment advisor to the Materials Select Sector SPDR® Fund. We have not conducted any independent
    review or due diligence of any publicly available information with respect to the Materials Select Sector SPDR®
    Fund. The Materials Select Sector SPDR® Fund is an exchange-traded fund that seeks investment results that correspond
    generally to the price and yield performance, before fees and expenses, of the publicly traded equity securities in the Select
    Sector Materials Index.

    The Select Sector SPDR Trust is a registered investment company
    that consists of eleven separate investment portfolios, including the Materials Select Sector SPDR® Fund. Information
    filed by the Select Sector SPDR Trust with the SEC under the Securities Exchange Act and the Investment Company Act can be found
    by reference to its SEC file numbers: 333-57791 and 811-08837. Shares of the Materials Select Sector SPDR® Fund
    are listed on the NYSE Arca under ticker symbol “XLB.” Information from outside sources is not incorporated by reference
    in, and should not be considered part of, this pricing supplement or the accompanying underlying supplement, the product supplement,
    the prospectus supplement and the prospectus.

    Information as of market close on December 11, 2019:

    Bloomberg Ticker Symbol: XLB UP
    Current Closing Level: $60.07
    52 Weeks Ago (on 12/12/2018): $52.33
    52 Week High (on 11/14/2019): $60.41
    52 Week Low (on 12/24/2018): $47.34

    The following graph sets forth the daily closing levels of the
    Materials Select Sector SPDR® Fund for the period from January 2, 2014 through December 11, 2019. The related table
    sets forth the published high and low closing levels, as well as end-of-quarter closing levels, of the Materials Select Sector
    SPDR® Fund for each quarter in the same period. The closing level of the Materials Select Sector SPDR®
    Fund on December 11, 2019 was $60.07. We obtained the information in the table and graph below from Bloomberg Financial Markets
    without independent verification. You should not take the historical values of the Materials Select Sector SPDR®
    Fund as an indication of its future performance, and no assurance can be given as to the closing level of the Materials Select
    Sector SPDR® Fund on the Valuation Date.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Materials Select Sector
            SPDR® Fund Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Materials Select Sector SPDR® Fund High Low Period End
    2014
    First Quarter $48.00 $43.01 $47.28
    Second Quarter $49.72 $46.03 $49.64
    Third Quarter $50.69 $48.65 $49.59
    Fourth Quarter $50.67 $45.11 $48.58
    2015
    First Quarter $52.09 $46.99 $48.78
    Second Quarter $51.57 $48.24 $48.39
    Third Quarter $48.66 $38.95 $39.92
    Fourth Quarter $46.05 $40.37 $43.42
    2016
    First Quarter $45.44 $37.30 $44.81
    Second Quarter $48.45 $44.23 $46.34
    Third Quarter $49.36 $45.52 $47.75
    Fourth Quarter $51.50 $46.17 $49.70
    2017
    First Quarter $53.27 $49.99 $52.41
    Second Quarter $55.10 $51.31 $53.81
    Third Quarter $56.87 $53.48 $56.80
    Fourth Quarter $60.64 $57.42 $60.53
    2018
    First Quarter $64.09 $55.87 $56.94
    Second Quarter $61.00 $55.70 $58.07
    Third Quarter $60.98 $57.65 $57.93
    Fourth Quarter $58.76 $47.34 $50.52
    2019
    First Quarter $56.14 $49.34 $55.50
    Second Quarter $58.50 $52.75 $58.50
    Third Quarter $59.46 $54.95 $58.20
    Fourth Quarter (through December 11, 2019) $60.41 $55.13 $60.07

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    The Basket

    The following tables and graph are calculated to show the performance
    of the basket during the period from January 2, 2014 through December 11, 2019, assuming the Basket Components were equally weighted
    such that the Initial Basket Level was 100 on December 11, 2019.

    Information as of market close on December 11, 2019:

    Current Closing Level: 100
    52 Weeks Ago (on 12/12/2018): 93.30
    52 Week High (on 4/17/2019): 100.79
    52 Week Low (on 12/25/2018): 85.78

    The second table sets forth the high and low closing levels,
    as well as end-of-quarter closing levels, of the Basket for each quarter in the same period. We obtained the information in the
    table and graph below from Bloomberg Financial Markets without independent verification. You should not take the historical values
    of the Basket as an indication of its future performance, and no assurance can be given as to the closing level of the Basket on
    the Valuation Date.

    Basket Daily Closing Levels

    January 2, 2014 to December
            11, 2019

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Basket High Low Period End
    2014
    First Quarter 118.60 108.01 118.60
    Second Quarter 126.58 116.62 125.34
    Third Quarter 125.96 114.14 114.14
    Fourth Quarter 114.14 96.78 102.57
    2015
    First Quarter 109.45 98.88 108.66
    Second Quarter 113.62 104.64 104.73
    Third Quarter 104.85 84.63 86.88
    Fourth Quarter 95.82 85.57 86.88
    2016
    First Quarter 88.06 74.25 85.56
    Second Quarter 94.07 83.69 91.01
    Third Quarter 97.33 89.05 94.43
    Fourth Quarter 100.96 92.01 98.74
    2017
    First Quarter 103.07 99.13 101.93
    Second Quarter 103.91 99.38 101.23
    Third Quarter 106.50 100.91 106.50
    Fourth Quarter 110.66 106.11 110.29
    2018
    First Quarter 117.81 104.33 106.19
    Second Quarter 111.35 104.77 106.33
    Third Quarter 108.53 101.41 105.45
    Fourth Quarter 105.62 85.78 87.77
    2019
    First Quarter 98.20 90.40 98.20
    Second Quarter 100.79 90.45 97.41
    Third Quarter 98.99 91.01 94.47
    Fourth Quarter (through December 11, 2019) 100.25 93.25 100

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    United States Federal Tax Considerations

    This discussion supplements and, to the extent inconsistent therewith,
    supersedes the discussion in the accompanying product supplement under “Material United States Federal Income Tax Considerations.”

    There are no statutory, judicial or administrative authorities
    that address the U.S. federal income tax treatment of the securities or instruments that are similar to the securities. En el
    opinion of our counsel, Davis Polk & Wardwell LLP, a security should be treated as a prepaid financial contract that is an
    “open transaction” for U.S. federal income tax purposes. However, there is uncertainty regarding this treatment. Moreover,
    our counsel’s opinion is based on market conditions as of the date of this preliminary pricing supplement and is subject
    to confirmation on the Trade Date.

    Assuming this treatment of the securities is respected and subject
    to the discussion in “Material United States Federal Income Tax Considerations” in the accompanying product supplement,
    the following U.S. federal income tax consequences should result:

    § You should not recognize taxable income over the term of the securities prior to maturity, other than pursuant to a sale or
    other disposition.

    § Upon a sale or other disposition (including retirement) of a security, you should recognize capital gain or loss equal to the
    difference between the amount realized and your tax basis in the security. Such gain or loss should be short-term capital gain
    or loss.

    We do not plan to request a ruling from the IRS regarding the
    treatment of the securities, and the IRS or a court might not agree with the treatment described herein. In particular, the IRS
    could treat the securities as short-term debt instruments, in which case the tax consequences of ownership and disposition of the
    securities, including the timing and character of income recognized, could be materially and adversely affected. Moreover, the
    U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment
    of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the
    subject of future regulations or other guidance. In addition, members of Congress have proposed legislative changes to the tax
    treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these
    issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
    effect. You should consult your tax advisor regarding possible alternative tax treatments of the securities and potential changes
    in applicable law.

    Non-U.S. Holders. Subject to the discussions in the next
    paragraph and in “Material United States Federal Income Tax Considerations” in the accompanying product supplement,
    if you are a Non-U.S. Holder (as defined in the accompanying product supplement) of the securities, you generally should not be
    subject to U.S. federal withholding or income tax in respect of any amount paid to you with respect to the securities, provided
    that (i) income in respect of the securities is not effectively connected with your conduct of a trade or business in the United
    States, and (ii) you comply with the applicable certification requirements.

    As discussed under “Material United States Federal Income
    Tax Considerations—Non-U.S. Holders Generally—Substitute Dividend and Dividend Equivalent Payments” 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, 2021 that do not have a “delta” of one with respect to any U.S. equity. Based on the terms
    of the securities and representations provided by us as of the date of this preliminary pricing supplement, our counsel is of the
    opinion that the securities should not be treated as transactions that have a “delta” of one within the meaning of
    the regulations with respect to any U.S. equity and, therefore, should not be subject to withholding tax under Section 871(m).
    However, the final determination regarding the treatment of the securities under Section 871(m) will be made as of the Trade Date
    for the securities and it is possible that the securities will be subject to withholding tax under Section 871(m) based on circumstances
    on that date.

    A determination that the securities are not subject to Section
    871(m) is not binding on the IRS, and the IRS may disagree with this determination. Moreover, Section 871(m) is complex and its
    application may depend on your particular

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    circumstances, including whether you enter into other transactions
    with respect to a U.S. equity to which the securities relate. You should consult your tax advisor regarding the potential application
    of Section 871(m) to the securities.

    If withholding tax applies to the securities, we will not be
    required to pay any additional amounts with respect to amounts withheld.

    FATCA. You should review the section entitled "Material
    United States Federal Income Tax Considerations—Securities Held Through Foreign Entities" in the accompanying product
    supplement regarding withholding rules under the “FATCA” regime. The discussion in that section is hereby modified
    to reflect regulations proposed by the U.S. Treasury Department indicating an intent to eliminate the requirement under FATCA of
    withholding on gross proceeds of the disposition of affected financial instruments. The U.S. Treasury Department has indicated
    that taxpayers may rely on these proposed regulations pending their finalization.

    You should read the section entitled “Material United
    States Federal Income Tax Considerations” in the accompanying product supplement. The preceding discussion, when read in
    combination with that section, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal
    tax consequences of owning and disposing of the securities.

    You should also consult your tax advisor regarding all aspects
    of the U.S. federal income and estate tax consequences of an investment in the securities and any tax consequences arising under
    the laws of any state, local or non-U.S. taxing jurisdiction.

    PLUS Based on the Value of a Weighted Basket Consisting of Seven Basket Components due July 6, 2020

    Performance Leveraged Upside SecuritiesSM

    Principal at Risk Securities

    Supplemental Plan of Distribution

    Under the terms and subject to the conditions contained in a
    distribution agreement dated May 7, 2007, as amended, which we refer to as the distribution agreement, we have agreed to sell the
    securities to CSSU. The distribution agreement provides that CSSU is obligated to purchase all of the securities if any are purchased.

    CSSU may offer the securities at the offering price set forth
    on the cover page of this pricing supplement and may receive varying underwriting discounts and commissions of up to $0.175 per
    $10 principal amount of securities. MSSB and its financial advisors will collectively receive from CSSU varying discounts and commissions
    of up to $0.175 for each security they sell, of which $0.05 per $10 principal amount of securities reflects a structuring fee.
    CSSU may reallow some or all of the discount on the principal amount per security on sales of such securities by other brokers
    or dealers. If all of the securities are not sold at the initial offering price, CSSU may change the public offering price and
    other selling terms.

    An affiliate of Credit Suisse has paid or may pay in the future
    a fixed amount to broker dealers in connection with the costs of implementing systems to support these securities.

    We expect to deliver the securities against payment for the securities
    on the Settlement Date indicated herein, which may be a date that is greater than two business days following the Trade Date. Under
    Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle
    in two business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than
    two business days after the Trade Date, purchasers who wish to transact in the securities more than two business days prior to
    the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.

    The agent for this offering, CSSU, is our affiliate. In accordance
    with FINRA Rule 5121, CSSU may not make sales in this offering to any of its discretionary accounts without the prior written approval
    of the customer. A portion of the net proceeds from the sale of the securities will be used by CSSU or one of its affiliates in
    connection with hedging our obligations under the securities.

    For further information, please refer to “Underwriting
    (Conflicts of Interest)” in any accompanying product supplement.

    Fuente

    Descargo de responsabilidad

    Toda la información contenida en este sitio web se publica solo con fines de información general y no como un consejo de inversión. Cualquier acción que el lector realice sobre la información que se encuentra en nuestro sitio web es estrictamente bajo su propio riesgo. Nuestra prioridad es brindar información de alta calidad. Nos tomamos nuestro tiempo para identificar, investigar y crear contenido educativo que sea útil para nuestros lectores. Para mantener este estándar y continuar creando contenido de buena calidad. Pero nuestros lectores pueden basarse en su propia investigación.

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