2 June 2016

Credit Suisse AG

Financial Institutions STABLE OUTLOOK

Issuer Rating Credit Suisse AGReport Issuer Rating Report

Scope Ratings has assigned an Issuer Credit-Strength Rating (ICSR) A+ and short-term debt ratings of S-1 to Credit Suisse AG, both with a Stable Outlook. On 1 June 2016, we upgraded the ICSR to A+ from A following the recent update of our Bank Rating Methodology which addresses the ranking of TLAC/MREL senior unsecured debt. The rating upgrade reflects Scope’s view that while the credit fundamentals of the group did not change, going forward the ICSR and senior unsecured liabilities not eligible for TLAC/MREL should benefit from the protection of a materially more ample capital structure in a default-like scenario. Scope’s updated methodology notes that “as a general rule, all senior unsecured debt which may be specifically allocated or eligible for TLAC/MREL would be rated at least one notch below the ICSR – whether they are issued by a top holding company or an operating bank of the group”. This represents an adjustment to our approach for rating bank senior unsecured debt in countries with resolution regimes and is a forward-looking reflection of evolving legal and regulatory changes.

A+

Lead Analyst Pauline Lambert [email protected]

Team Leader Sam Theodore [email protected]

The ratings were not solicited by the issuer. Both ratings and analysis are based solely on publicly available information. The issuer has participated in the process. For the full list of ratings, see the Ratings section at the end of this report.

Highlights The ratings of Credit Suisse are driven by the group’s strong and resilient wealth management franchise as well as its position as a leading universal bank in Switzerland. In light of the challenging operating environment and the material weight of investment banking in the group’s business mix, we view positively management’s latest strategic plans. Credit Suisse has defined its ambition to be a leading private bank and wealth manager with strong investment banking capabilities. The group recently raised external capital of CHF 6bn and is implementing measures to improve its ability to generate capital internally. These actions include further right-sizing of the investment banking business, disciplined capital allocation, cutting fixed costs and reducing non-core assets. While execution risks are material, if successfully completed, the group will improve the quality and resilience of earnings and position itself well to meet increasing solvency requirements. Leverage ratio requirements are currently expected to be the binding constraint for the group with a look-through gone concern shortfall of approximately CHF 30bn. Through 2019, the group intends to replace existing callable capital instruments with fully compliant going concern AT1 capital and to replace a portion of maturing operating company securities with approximately CHF 30bn in TLAC instruments. In 2015, Credit Suisse Group AG, the holding company, issued CHF 15bn of senior TLAC debt – with another CHF 6 to 8bn of issuance anticipated for 2016.

Scope Ratings AG Suite 407 2 Angel Square London EC1V 1NY Phone

+44 20 3457 0444

Headquarters Lennéstraße 5 10785 Berlin Phone +49 30 27891 0 Fax +49 30 27891 100 Service +49 30 27891 300 [email protected] www.scoperatings.com Bloomberg: SCOP

2 June 2016

1/12

Credit Suisse AG Issuer Rating Report

Rating drivers (Summary) The rating drivers, in decreasing order of importance in the rating assignment, are: 1. Management’s focus on addressing concerns regarding profitability and solvency.

2. Strong and resilient franchise in wealth management as well as being a leading Swiss universal bank. 3. Implementation risks associated with the new strategic plan and the need to adopt an appropriate business model for future success. 4. Reassuring influence of two proactive policy and supervisory authorities in Switzerland (SNB and FINMA).

Rating change drivers Successful execution of strategic plan which would strengthen the group’s profitability and solvency position. In addition, the proposed business changes would increase the resiliency of earnings. Further material and unexpected write-downs on legacy assets. During 4Q 2015 and 1Q 2016, the group incurred in total nearly over CHF 1bn in mark-to-market write-downs on exposures such as securitized products, distress credit and leveraged finance underwriting. Significant litigation costs. While the group has not been involved in some of the major litigation cases affecting the financial sector globally such as FX and LIBOR, we believe that Credit Suisse needs to continue monitoring conduct risk diligently. We note that the group’s estimate of the “aggregate range of reasonably possible losses not covered by existing provisions for certain proceedings for which the group believes an estimate is possible” has continued to increase. As of 1Q 2016, the range was zero to CHF 2.1bn, up from CHF 1.3bn at end-2014.

Recent events 1Q 2016 results In 1Q 2016, Credit Suisse reported a net loss attributable to shareholders of CHF 302m, compared to a net profit of CHF 1.0bn in 1Q 2015 but much improved from the loss of CHF 5.8bn in 4Q 2015. The loss was driven by the weak performance of the Global Markets and Investment Banking & Capital Markets divisions with revenues declining due to difficult market making conditions, further mark-to-market losses and low levels of client activity. Meanwhile, the Swiss Universal Bank and International Wealth Management divisions recovered from the low levels of 4Q 2015 and generated results in line with 1Q 2015. These two divisions along with the Asia Pacific division generated nearly CHF 1bn in pre-tax income. The group continues to execute on plans announced in October 2015 and March 2016. In the first quarter, Credit Suisse achieved more than half of the CHF 1.4bn in net cost savings targeted for 2016 with management remaining confident about achieving its cost targets for end-2016 and end-2018. As well, distressed credit assets and US CLO exposures were reduced by 80%. As of 31 March 2016, the look-through CET1 capital and CET1 leverage ratios were stable compared to year-end 2015 at 11.4% and 3.3%, respectively. The CHF 1.1bn decline in CET1 capital was offset by a CHF 10bn decline in RWAs to CHF 290bn, with the Strategic Resolution Unit reducing RWAs by CHF 7bn. Management was cautious in its outlook for the second quarter stating that while market conditions have improved from the first quarter they are likely to remain challenging.

2 June 2016

2/12

Credit Suisse AG Issuer Rating Report

2015 results Credit Suisse reported a net loss attributable to shareholders of CHF 2.9bn for 2015, compared to a net profit of CHF 1.9bn in 2014. Significant items negatively impacting results included CHF 3.8bn in goodwill impairments, CHF 0.8bn in litigation expenses and CHF 0.4bn in restructuring charges. Management had communicated at its Investor Day in October 2015 that CHF 6.3bn in goodwill related to the investment banking division would likely be impaired due to a strategic review and group re-segmentation. On an adjusted basis, group pre-tax income was CHF 2.1bn of which CHF 4.2bn was from core businesses and a negative CHF 2.1bn was from the Strategic Resolution Unit. On an adjusted pre-tax income basis, the Asia Pacific and Swiss Universal Bank divisions performed well compared to the prior year while the Global Markets and Investment Banking & Capital Markets divisions saw substantial declines. Market-making conditions were challenging, there was lower underwriting activity industry-wide and the group suffered from significant mark-tomarket losses in its corporate, leveraged finance underwriting and trading books. Management stated that the group was actively reducing its legacy inventory to reduce future potential volatility and to right size its global markets activities. Further, the cost savings programme is being accelerated in light of the particularly difficult environment. Various measures implemented in 4Q 2015 and initiated by end January 2015 represent CHF 1.2bn in per annum cost savings, equivalent to about a third of the initial CHF 3.5bn in savings targeted by end-2018. As of 31 December 2015, the group’s look-through CET1 ratio was 11.4% and the BIS Tier 1 leverage ratio was 4.5%. The group’s capital position benefited from a CHF 6bn capital increase that was completed in December 2015.

Rating drivers (Details) 1. Management’s focus on addressing concerns regarding profitability and solvency. At the Investor Day in October 2015, the new CEO Tidjane Thiam clearly communicated the group’s desire to remove the issue of capital from future discussions by addressing it directly. In addition to taking actions to improve the group’s ability to generate capital internally such as right-sizing the investment banking business, disciplined capital allocation and reducing fixed costs, Credit Suisse aimed to raise CHF 6bn of external capital through a rights issue. Figure 1: Credit Suisse vs peers, CET1 ratio, 2Q 2015

Figure 2: Credit Suisse – CET1 development

18% 16% 14% 12% Look-through CET1 ratio (%)

10% 8%

Phase-in CET1 ratio(%)

6% 4% 2% 0% 2012

Source: Company data

2013

2014

2015

Note: BIS Basel III basis. Source: Company data, Scope Ratings

The capital raise was successfully executed and boosted the look-through CET1 ratio to 12.2% from 10.2% at 3Q 2015. However, due to various losses and a re-measurement of the Swiss pension fund during the fourth quarter, the reported CET1 ratio of 11.4% at year-end 2015 was lower than expected. While presenting fourth quarter results, management said that they would reassess its plans to reduce the cost base and the size of the Global Markets business. Subsequently in March 2016, Credit Suisse announced a strategic update and further actions to accelerate the pace of restructuring. In particular, the gross savings target was increased to CHF 4.3bn from CHF 3.5bn and a new RWA target of CHF 60bn was set for Global Markets, about 30% lower than previously. The Global Markets business portfolio will continue being optimized in order to lower earnings volatility and certain illiquid inventories are being reduced (e.g. distressed credit and US CLO

2 June 2016

3/12

Credit Suisse AG Issuer Rating Report

secondary exposures). In addition, management reiterated its commitment to further strengthening the group’s capital position via (i) cost reductions, (ii) reducing Global Markets exposure, (iii) various disposals of at least CHF 1bn in 2016, and (iv) a partial IPO of the Swiss Universal Bank with an expected capital impact of CHF 2-4bn. During the period of restructuring in 2016, management aims to maintain the look-through CET1 ratio between 11% and 12%. By end-2018, Credit Suisse targets a look-through CET1 ratio of approximately 13%, and above 11% thereafter. The decline after 2018 reflects anticipated future regulatory developments regarding RWAs which will take effect from 2019. The impact of final rules for advanced models (expected in 2016) and counterparty credit risk (effective from January 2017) is anticipated to be minimal. However, the potential impact from the review of the trading book and potential floors based on standard models would be more material – management estimates approximately 50bps for the trading book and 25-100bps if a 60% floor is set or 100-250bps if a 70% floor is set. Management emphasised that its estimates were inherently uncertain given that implementation is several years away. As well, the group targets a look-through Tier 1 leverage ratio between 5% and 6% (2015: 4.5%), with a CET1 component of 3.5% to 4%.

2. Strong and resilient franchise in wealth management as well as being a leading Swiss universal bank. Credit Suisse continues to benefit from the consistent contribution of its very solid private banking business, which has represented on average about a third of group net revenues. In addition, asset management has accounted on average for another 6-7% of group net revenues. Over the last few years, factors which have impacted asset flows and returns include: (i) the move from offshore to onshore which led to significant outflows from countries such as France and Germany in 2012-2014, (ii) the closure of more than 80 offices in countries where Credit Suisse believed that it had insufficient critical mass to serve clients profitably, (iii) re-orienting the business towards ultra high-net-worth individuals (UHNWI) and Asia Pacific which have higher growth potential but lower margins than other segments, (iv) low interest rates and reduced fee-based margins and (v) restructuring such as integrating the asset management IT platform. The private banking business is included in each of the three geographically focused divisions – Swiss Universal Bank, International Wealth Management (IWM) and Asia Pacific. The IWM division serves non-Swiss and non-APAC domiciled U/HNWIs – i.e. in Europe, the Middle East, Africa and Latin America. UNNWI are defined as clients with over CHF 50m assets under management or total wealth above CHF 250m while entry HNWI are clients with at least CHF 1m in assets under management. Figure 3: Net revenues - Private banking % Group core

Figure 4: Private banking AUM (CHF bn)

100%

800

90%

700

80%

600

70%

Other Core

60% 50%

Private Banking

40%

PB pre-tax profit margin (%)

30% 20%

500

Total

400

Swiss PB IWM PB

300

APAC PB 200 100

10%

0%

0 2011

2012

2013

2014

2015

Notes: Includes private banking revenues reported under Swiss Universal Bank, International Wealth Management and Asia Pacific. PB pre-tax profit margin is pre-tax profit over net revenues. Source: Company data, Scope Ratings

2011

2012

2013

2014

2015

Source: Company data, Scope Ratings

In 2015, the Swiss Universal Bank generated nearly 25% of group net revenues and CHF 1.7bn in pre-tax profit. We consider the strength and stability of the Swiss retail and commercial banking operations as a strong anchor for the group’s credit profile. Within the Swiss Universal Bank, the private banking business serves over 1.6 million clients, including U/HNWI, affluent and retail clients. The HNWI segment is a focus area for growth, with the group aiming to double the lending book and deal related revenues to these clients. Mandate penetration as of year-end 2015 was 26%, up from 15% at year-end 2014 and the goal is to steadily increase this further.

2 June 2016

4/12

Credit Suisse AG Issuer Rating Report

3. Implementation risks associated with the new strategic plan and the need to adopt an appropriate business model for future success. In light of regulatory and market changes in recent years and the material weight of investment banking in Credit Suisse’s revenue mix, we regard constructively management’s strategic plans. Credit Suisse has defined its ambition to be a leading private bank and wealth manager with strong investment banking capabilities. In particular, the group will pursue wealth management opportunities in emerging markets, with a focus on entrepreneurs and with the aim of replicating its success in Asia Pacific in other markets. The investment bank will be right-sized to optimise profitability and capital usage, to reduce earnings volatility and to support wealth management customer needs. Management believes that in order to successfully serve its target wealth management clients the group needs strong investment banking capabilities. Further, the group will create a Swiss universal bank with Swiss private, corporate and institutional clients and participate in domestic consolidation opportunities. The Swiss universal bank is expected to go through a partial IPO (20% to 30% stake) by end-2017. Effective 22 October 2015, the group has a new structure with three regionally focused divisions and two divisions specializing in investment banking capabilities. Previously, there were three main divisions each with strategic and non-strategic businesses – private banking and wealth management, investment banking and corporate centre. There are now seven divisions including a single Strategic Resolution Unit (SRU) which includes remaining exposures from former non-strategic units and various investment banking exposures to be exited or re-sized. Figure 5: RWA allocation (excl. Corporate Centre and Shared Services)

year-end 2015

3Q 2015 old structure Non-strategic 5%

Swiss UB 22%

SRU 23%

Strategic PB& WM 38%

IB and Capital Markets 7%

Strategic IB 57%

Intl WM 12% Global Markets 26%

APAC 10%

Source: Company data, Scope Ratings

Source: Company data, Scope Ratings

Figure 6: Overview by business segment (2015) CHF bn Net revenues

Pre-tax income (loss)

RWA

Leverage exposure

Return on regulatory capital

Swiss Universal Bank

5.6

1.7

60

236

13.8%

International Wealth Mgt

4.4

0.7

32

99

15.5%

Asia Pacific

3.8

0.4

28

99

6.7%

Global Markets

7.4

(1.9)

74

313

(10%)

IB and Capital Markets

1.8

(0.4)

18

43

(15%)

Corporate Centre

0.5

(0.4)

17

60

Credit Suisse Core

23.4

0.1

228

849

Strategic Resolution Unit

0.4

(2.5)

62

138

Credit Suisse Group

23.8

(2.4)

290

988

0.2%

(4.5%)

Note: RWA and leverage exposure figures are on look-through basis. Source: Company data, Scope Ratings

2 June 2016

5/12

Credit Suisse AG Issuer Rating Report

Pursuant to the strategic update in March 2016, another USD 10-15bn in RWAs will be transferred to the SRU. The goal is to facilitate a rapid wind-down and to reduce the drag on group performance. In 2015, the SRU generated a pre-tax loss of CHF 2.5bn including CHF 0.4bn for litigation costs. By 2018, the pre-tax loss is expected to reduce to CHF 0.9bn excluding potential litigation costs. Other key objectives, including growth targets for the various divisions and reductions in RWAs and leverage are detailed below. Figure 7: Summary of key objectives 2015

2018 target

Asia-Pacific pre-tax income

CHF 0.4bn

CHF 2.1bn

International Wealth Management pre-tax income

CHF 0.7bn

CHF 2.1bn

Swiss Universal Bank pre-tax income

CHF 1.7bn

Group cost base

CHF 21.2bn

CHF 2.3bn 1

< CHF 18bn

2015

2016 target

Global Markets RWA

USD 74bn

USD 60bn

Global Markets Leverage

USD 313bn

USD 290bn

Note: 1) Adjusted cost base excluding goodwill impairment, restructuring expenses and major litigation expenses but including FX effects. Source: Company data, Scope Ratings.

As revised in March 2016, gross savings of CHF 4.3bn and net savings of over CHF 3bn are targeted by end-2018, bringing the group’s operating cost base down to less than CHF 18bn. This will entail business exits and a run-down of the SRU portfolio (CHF 1.6bn), workforce, technology and London right-sizing (CHF 0.9bn), reducing Corporate Centre costs (CHF 1.0bn) and divisional growth investments (approximately CHF 0.5-1bn). The year 2016 is expected to be the “peak transformational year” with restructuring costs projected to peak at CHF 1bn in 2016 and then dropping to CHF 0.7bn in 2017. An additional CHF 0.7bn to CHF 1.2bn in “costs-to-achieve” expenses are also anticipated in the period. Further, there may be a negative pre-tax income impact of CHF 0.6bn if the group redeems remaining capital instruments that are no longer effective under Basel III.

2 June 2016

6/12

Credit Suisse AG Issuer Rating Report

4. Reassuring influence of two proactive policy and supervisory authorities in Switzerland (SNB and FINMA). Following the financial crisis Swiss financial authorities enhanced the supervision of banks, in particular the two large institutions with combined banking assets representing more than three times the country’s GDP. SNB and FINMA quickly inserted TBTF and systemically-relevant specific legislation into the 1934 Banking Act and the 1972 Ordinance on Banks. The most important aims of Basel III and the Swiss interpretation of minimum capital levels and liquidity as well as the recommendations of the Financial Stability Board (FSB) on TBTF have all been incorporated into domestic regulation. In regards to capital and liquidity, the Swiss Federal Council added two specific ordinances (1 June and 30 November 2012) that go beyond Basel III recommendations. All these key measures have been in force since January 2013. Both SNB and FINMA closely monitor the two global systemically important banks and take action when they perceive the need to strengthen certain aspects of their financial fundamentals. In the case of Credit Suisse, the SNB has been relatively explicit. In its June 2012 stability report, the SNB recommended that “Credit Suisse significantly expand its loss-absorbing capital during the current year”. This was followed less than a month later by Credit Suisse announcing a CHF 15.3bn capital restructuring plan. In May 2016, Swiss authorities adopted measures to strengthen the TBTF regime. The new measures will enter into force on 1 July 2016 and the requirements will be phased-in until end-2019. In particular, the two globally systemic banks in Switzerland (which includes Credit Suisse) will be subject to going concern and gone concern capital requirements. The going concern requirement translates into a leverage ratio of 5%, of which at least 3.5% must be met with CET1 capital and the remainder with high-trigger AT1 capital instruments. The capital requirement will be set at 14.3% of RWA, of which at least 10% must be comprised of CET1 capital and the remainder with high-trigger AT1 securities. In addition to going concern requirements, banks must hold additional capital to “guarantee their restructuring or continuation of systemically important functions … and wind-up of other units without recourse to public resources”. These gone concern requirements mirror going concern requirements, i.e. 5% and 14.3%, although they can be met with bail-in debt instruments. As gone concern requirements are meant to be used in a resolution scenario, measures which improve an institution’s resolvability may reduce requirements. We note that Credit Suisse has taken measures to facilitate the “single point of entry” bail-in strategy favored by FINMA.

2 June 2016

7/12

Credit Suisse AG Issuer Rating Report

Appendix A: Peer comparison Fees % Revenue

Costs % Income

60%

100%

50%

80%

40%

60%

30% 40%

20%

20%

10%

0%

0% 2009

2010

2011

2012

Credit Suisse **Cross-border peers

2013

2014

2009 2010 Credit Suisse

2015

*National peers

2011

2012

2013 2014 2015 *National peers

**Cross-border peers

Pre-tax return on CET1 (%)

Impaired loans % Gross loans

40%

5%

30%

4%

20%

3%

10%

2%

0%

1%

2009

2010

2011

2012

2013

2014

2015

-10%

0% Credit Suisse

2009 2010 2011 Credit Suisse **Cross-border peers

*National peers

**Cross-border peers

Total capital ratio (%, transitional basis)

25% 20% 15% 10% 5% 0% 2010

2011

Credit Suisse **Cross-border peers

2012

2013

2013 2014 2015 *National peers

Asset risk intensity (RWAs % Total assets)

30%

2009

2012

2014

2015

*National peers

40% 35% 30% 25% 20% 15% 10% 5% 0% 2009 2010 Credit Suisse

2011

2012 2013 2014 *National peers

2015

**Cross-border peers

Source: SNL, Scope Ratings *Swiss peers: Credit Suisse, Julius Baer, UBS. **Cross-border peers: Barclays, BNP Paribas, Credit Suisse, Deutsche Bank, HSBC, Societe Generale, UBS.

2 June 2016

8/12

Credit Suisse AG Issuer Rating Report

Appendix B: Selected Financial Information – Credit Suisse Group 2012

2013

2014

2015E

2016E

2017E

2018E

Assets Cash and Interbank Assets Total Securities Derivatives Net Loans to Customers Other Assets Total assets

69.2 449.2 37.1 236.7 132.0 924.3

74.4 391.2 33.7 242.8 130.7 872.8

84.5 401.6 39.6 268.7 127.1 921.5

96.2 321.3 28.6 270.0 104.8 820.8

90.2 305.6 25.1 272.7 98.6 792.2

100.0 290.9 23.1 276.8 92.5 783.3

109.9 277.0 21.3 280.9 86.8 775.9

Liabilities Interbank liabilities Senior Debt Derivatives Deposits from Customers Subordinated Debt + Non Equity Hybrids Other Liabilities Total Liabilities Ordinary Equity Equity Hybrids Minority Interests Total Liabilities and Equity Core Tier 1 / Common Equity Tier 1 Capital

31.0 281.8 40.7 308.3 17.7 202.5 882.0 35.5 0.0 6.8 924.3 41.5

23.1 223.3 36.9 333.1 21.0 188.3 825.6 42.2 0.0 5.0 872.8 43.0

26.0 248.8 37.3 369.1 25.2 170.1 876.5 44.0 0.0 1.0 921.5 43.3

21.1 228.1 23.6 342.7 24.8 135.6 775.8 44.4 0.0 0.6 820.8 42.1

19.8 216.7 20.8 335.9 24.9 130.2 748.2 43.4 0.0 0.6 792.2 41.6

19.0 205.8 19.1 342.6 25.2 126.4 738.0 44.6 0.0 0.6 783.3 43.0

18.2 195.5 17.6 349.4 25.4 122.6 728.8 46.4 0.0 0.6 775.9 45.0

7.2 11.3 1.2 2.5 22.2 19.8 2.4 0.2 0.0 0.0 2.2 0.0 0.5 0.3 1.3

8.1 11.5 2.7 1.8 24.1 19.8 4.3 0.2 0.0 0.0 4.1 0.1 1.3 0.6 2.3

9.0 11.5 2.0 2.1 24.7 19.2 5.5 0.2 0.0 -1.6 3.6 0.1 1.4 0.4 1.9

22.2 20.1 2.1 0.3 3.8 -0.4 -2.4 0.0 0.5 0.0 -2.9

18.8 18.5 0.3 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0

19.7 16.8 2.9 0.3 0.0 0.0 2.6 0.0 0.7 0.0 1.9

21.2 16.2 4.9 0.3 0.0 0.0 4.7 0.0 1.3 0.0 3.4

Balance Sheet summary (CHF billion)

Income Statement summary (CHF billion) Net Interest Income Net Fee & Commission Income Net Trading Income Other income Operating Income Operating Expense Pre-provision Income Loan Loss Provision charges Other Impairments Non-recurring items Pre-tax Profit Discontinued Operations Income Tax Expense Net Profit Attributable to Minority Interests Net Profit Attributable to Parent

Notes: Scope’s forecasts are based on publicly available information and were last updated in May 2016. Forecasts do not include the potential benefit of up to CHF 1bn of planned disposals in 2016 and the partial IPO of the Swiss Universal Bank by end-2017. Source: SNL, Scope Ratings

2 June 2016

9/12

Credit Suisse AG Issuer Rating Report

Appendix C: Ratios – Credit Suisse Group 2012

2013

2014

2015

2016E

2017E

2018E

Funding/Liquidity Gross loans % Total deposits Total deposits % Total funds Wholesale funds % Total funds Liquidity coverage ratio (%) Net stable funding ratio (%)

77.1% 48.3% 51.7% n.a. n.a.

73.2% 55.5% 44.5% n.a. n.a.

73.0% 55.2% 44.8% n.a. n.a.

79.0% 55.6% 44.4% 136.0% n.a.

81.5% 56.2% 43.8%

81.1% 57.8% 42.2%

80.7% 59.4% 40.6%

Asset Mix, Quality and Growth Gross loans % Funded assets Impaired loans % Gross loans Loan loss reserves % Impaired loans

26.9% 0.7% 53.3%

29.2% 0.6% 58.4%

30.5% 0.5% 54.5%

34.0% 0.7% 43.9%

35.5% 0.8% 42.7%

36.3% 0.8% 41.9%

37.2% 0.9% 41.1%

3.8% 0.6% -10.5%

2.6% -13.9% -5.4%

10.6% -6.6% 5.8%

0.5% 41.9% -9.8%

1.0% 9.0% -3.2%

1.5% 6.0% -0.9%

1.5% 6.0% -0.8%

Earnings Net interest income % Revenues Fees & commissions % Revenues Trading income % Revenues Other income % Revenues Net interest margin (%) Pre-provision Income % Risk-weighted assets (RWAs) Loan loss provision charges % Pre-provision income Loan loss provision charges % Gross loans (cost of risk) Cost income ratio (%) Net Interest Income / Loan loss charges (x) Return on average equity (ROAE) (%) Return on average funded assets (%) Retained earnings % Prior year's book equity Pre-tax return on common equity tier 1 capital

32.2% 50.9% 5.4% 11.5% 1.0% 0.9% 7.2% 0.1% 89.3% 42.1 3.9% 0.1% 3.4% 8.0%

33.6% 47.6% 11.4% 7.4% 1.3% 1.5% 3.9% 0.1% 82.2% 48.6 6.0% 0.3% 3.1% 9.7%

36.6% 46.6% 8.2% 8.6% 1.5% 2.0% 3.4% 0.1% 77.9% 48.6 4.4% 0.2% 1.8% 8.4%

41.9% 47.0% 6.0% 5.0% 1.6% 0.7% 15.5% 0.1% 90.6% 28.7 -6.7% -0.4% -7.9% -5.7%

0.1% 107.1% 0.1% 98.5%

1.1% 9.6% 0.1% 85.2%

1.8% 5.3% 0.1% 76.8%

0.0% 0.0% -1.2% 0.0%

4.3% 0.2% 3.2% 6.3%

7.4% 0.4% 4.5% 10.6%

Capital and Risk Protection Common equity tier 1 ratio (%, Fully loaded) Common equity tier 1 ratio (%, Transitional) Tier 1 capital ratio (%, Transitional) Total capital ratio (%, Transitional) Tier 1 leverage ratio (%) Total loss coverage (CET1 + loan loss provisions) % RWAs Non-senior MREL estimate (%) Asset risk intensity (RWAs % total assets)

n.a. 14.2% 15.2% 17.6% n.a. 14.5% 6.8% 31.6%

10.0% 15.7% 16.8% 20.6% n.a. 16.5% 8.2% 30.5%

10.1% 14.9% 17.1% 20.8% 4.3% 15.5% 7.9% 30.8%

11.4% 14.3% 18.0% 21.3% 5.3% 14.8% 8.8% 35.3%

11.6% 14.6% 18.5% 21.8% 5.5% 15.2% 8.9% 35.3%

12.2% 15.3% 19.2% 22.6% 5.7% 15.9% 9.2% 35.3%

13.1% 16.1% 20.1% 23.5% 6.0% 16.8% 9.6% 35.3%

Gross loan growth (%) Impaired loan growth (%) Funded assets growth (%)

Notes: Scope’s forecasts are based on publicly available information and were last updated in May 2016. Forecasts do not include the potential benefit of up to CHF 1bn of planned disposals in 2016 and the partial IPO of the Swiss Universal Bank by end-2017. Source: SNL, Scope Ratings

2 June 2016

10/12

Credit Suisse AG Issuer Rating Report

Ratings Issuer Credit-Strength Rating

A+

Outlook

Stable

Senior unsecured debt (non-TLAC/MREL eligible)

A+

Senior unsecured debt (TLAC/MREL eligible)

A

T2 securities (Credit Suisse AG)

A-

T2 securities (CS Group AG)

BBB

AT1 securities (CS Group AG)

BBB-

AT1 securities with high trigger (CS Group AG)

BB+

Short-term debt rating

S-1

Regulatory Disclosures Information pursuant to Regulation (EC) No 1060/2009 on credit rating agencies, as amended by Regulations (EU) No. 513/2011 and (EU) No. 462/2013

Responsibility The party responsible for the dissemination of the financial analysis is Scope Ratings AG, Berlin, District Court for Berlin (Charlottenburg) HRB 161306 B, Executive Board: Torsten Hinrichs (CEO), Dr. Stefan Bund and Dr. Sven Janssen. The rating analysis has been prepared by Pauline Lambert, Executive Director Responsible for approving the rating: Sam Theodore, Managing Director Rating history (ICSR) Date

Rating action

Rating

02.04.2014

First rating assignment

A+

20.05.2014

Outlook change

A+, Negative

26.02.2015

Under review

A+, Under review for downgrade

10.04.2015

Downgrade

A, Stable

19.05.2016

Under review

A, Under review for upgrade

01.06.2016

Upgraded

A+, Stable

The rating outlook indicates the most likely direction of the rating if the rating were to change within the next 12 to 18 months. A rating change is, however, not automatically ensured.

Information on interests and conflicts of interest The rating was prepared independently by Scope Ratings without a mandate (unsolicited rating) but with participation of the issuer / rated entity As at the time of the analysis, neither Scope Ratings AG nor companies affiliated with it hold any interests in the rated entity or in companies directly or indirectly affiliated to it. Likewise, neither the rated entity nor companies directly or indirectly affiliated with it hold any interests in Scope Ratings AG or any companies affiliated to it. Neither the rating agency, the rating analysts who participated in this rating, nor any other persons who participated in the provision of the rating and/or its approval hold, either directly or indirectly, any shares in the rated entity or in third parties affiliated to it. Notwithstanding this, it is permitted for the above-mentioned persons to hold interests through shares in diversified undertakings for collective investment, including managed funds such as pension funds or life insurance companies, pursuant to EU Rating Regulation (EC) No 1060/2009. Neither Scope Ratings nor companies affiliated with it are involved in the brokering or distribution of capital investment products. In principle, there is a possibility that family relationships may exist between the personnel of Scope Ratings and that of the rated entity. However, no persons for whom a conflict of interests could exist due to family relationships or other close relationships will participate in the preparation or approval of a rating.

Key sources of Information for the rating Website of the rated entity/issuer, Annual reports/quarterly reports of the rated entity/issuer, Current performance record, Data provided by external data providers, External market reports, Press reports / other public information. Scope Ratings considers the quality of the available information on the evaluated company to be satisfactory. Scope ensured as far as possible that the sources are reliable before drawing upon them, but did not verify each item of information specified in the sources independently.

Examination of the rating by the rated entity prior to publication Prior to publication, the rated entity was given the opportunity to examine the rating and the rating drivers, including the principal grounds on which the credit rating or rating outlook is based. The rated entity was subsequently provided with at least one full working day, to point out any factual errors, or to appeal the rating decision and deliver additional material information. Following that examination, the rating was not modified.

Methodology The methodologies applicable for this rating “Bank Rating Methodology” (March 2016) & “Bank Capital Instruments Rating Methodology” (March 2016) are available on www.scoperatings.com. The historical default rates of Scope Ratings can be viewed on the central platform (CEREP) of the European Securities and Markets Authority (ESMA): http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. A comprehensive clarification of Scope’s credit rating, definitions of rating symbols and further information on the analysis components of a rating can be found in the documents on methodologies on the rating agency’s website.

2 June 2016

11/12

Credit Suisse AG Issuer Rating Report

Conditions of use / exclusion of liability © 2016 Scope Corporation AG and all its subsidiaries including Scope Ratings AG, Scope Analysis, Scope Investor Services GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope cannot, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided “as is” without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or otherwise damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party, as opinions on relative credit risk and not as a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings AG at Lennéstraße 5 D-10785 Berlin.

Rating issued by Scope Ratings AG Lennéstraße 5 10785 Berlin

2 June 2016

12/12