The Credit Suisse Commodity Rotation Exchange Traded Notes (the "ETNs") are senior, unsecured debt securities issued by Credit Suisse AG ("Credit Suisse"), acting through its Nassau Branch, that are linked to the Credit Suisse Commodity Backwardation Total Return Index (the "Index"). The Index is a long-only commodity index that follows a rules-based strategy to select 8 out of 24 eligible commodities based on the price of the commodity futures contracts of various terms. The Index provides exposure to the commodities for which the prices of futures contracts that are nearer to expiration are highest relative to the prices of futures contracts for the same commodity that are longer to expiration. The Index is equally weighted and rebalanced monthly. The ETNs do not guarantee any return of principal. Any payment on the ETNs is subject to our ability to pay our obligations as they become due.

Product Data (as of 22 Apr 2014)

   

Closing Price:

$20.51

 

ETNs Outstanding:

1,250,000

 

Market Capitalization*:

$25,637,500

 

* Market Capitalization = Closing Price x ETNs Outstanding

Market Data (as of 22 Apr 2014)

       

Closing Price:

$20.51

 

High (Daily):

$20.51

Net Change (Daily):

$0.02

 

Low (Daily):

$20.51

% Change (Daily):

0.09%

 

Volume:

820

 

20-Day Volume Average:

2,473

Profile

       

Primary Exchange:

NYSE Arca

Annual Investor Fee:

0.85%

 

ETN Ticker:

CSCR

Underlying Credit Suisse Commodity Backwardation Total Return Index Ticker: CSCUBKTR

 

Bloomberg ETN Keystroke:

CSCR<EQUITY><GO>

CUSIP:

22542D456

 

Inception Date:

11 Jun 2013

Maturity Date:

15 Jun 2033

 

Returns (as of 22 Apr 2014)

           
 

1 mo.

3 mo.

6 mo.

YTD

1 Yr.

Since Note Incept.

CSCR

2.96%

6.60%

3.32%

5.72%

N/A

2.55%

CSCUBKTR

2.58%

7.26%

3.64%

6.70%

7.11%

3.33%

*Historical performance data is not indicative of future performance of the Credit Suisse Commodity Backwardation Total Return Index or of what the value of the ETNs may be. The ETN includes 0.85% p.a. annual investor fee.

Performance Chart (CSCUBKTR):

 

Performance Periods:

Performance of the Credit Suisse Commodity Backwardation Total Return Index

Rebased for comparison purposes:

 

Performance Periods:

Performance comparison

Statistics (Jan 31, 2013 - Jan 31, 2014)

 

Credit Suisse Commodity Backwardation Total Return Index

Dow Jones-UBS Total Return Index (TRI)

Average Month

-0.56%

-1.14%

Best Month

2.55%

3.40%

Worst Month

-3.04%

-4.71%

One Year Total Return

-7.81%

-11.38%

Annualized Standard Deviation

9.11%

10.15%

Sharpe Ratio

-0.87

-1.13

 
 

Correlation of various indices to the Credit Suisse Commodity Backwardation Total Return Index using monthly returns (Jan 31, 2013 - Jan 31, 2014)

Barclays Capital U.S. Aggregate Index (TRI)

MSCI Total Return EAFE® Index

S&P 500® Index (TRI)

TOPIX Index

0.04

0.261

0.291

-0.024

 
 
  • The following is a summary of frequently asked questions relating to the terms of the Credit Suisse Commodity Rotation Exchange Traded Notes linked to the performance of the Credit Suisse Commodity Backwardation Total Return Index (the "CSCR ETNs"). We urge you to read the following information, together with the other information (including information relating to risks associated with an investment in the CSCR ETNS in the applicable pricing supplement and the accompanying prospectus supplement and prospectus before investing in the CSCR ETNs.

    Unless otherwise specified or the context otherwise requires, references to "Credit Suisse", the "Issuer", "we", "us" and "our" are to Credit Suisse AG, acting through its Nassau Branch.

    • What are the CSCR ETNs and how do they work?

      The CSCR ETNs are medium-term notes of Credit Suisse AG ("Credit Suisse"), the return on which is linked to the performance of the Credit Suisse Commodity Backwardation Total Return Index (the "Commodity Rotation Index").

      We will not pay you interest during the term of the CSCR ETNs. The CSCR ETNs do not have a minimum payment at maturity, upon early redemption or acceleration and are fully exposed to any decline in the Commodity Rotation Index.

      The denomination and stated principal amount of each ETN is $20.00. Any CSCR ETNs issued in the future may be issued at a price higher or lower than the stated principal amount, based on the most recent indicative value of the CSCR ETNs at that time. You will not have the right to receive physical certificates evidencing your ownership except under limited circumstances. Instead, we will issue the CSCR ETNs in the form of a global certificate, which will be held by DTC or its nominee. Direct and indirect participants in DTC will record beneficial ownership of the CSCR ETNs by individual investors. Accountholders in the Euroclear or Clearstream Banking clearance systems may hold beneficial interests in the CSCR ETNs through the accounts those systems maintain with DTC.

      The CSCR ETNs may be subject to a split or reverse split with a corresponding adjustment to the Closing Indicative Value, the Intraday Indicative Value and the Payment at Maturity due with respect to each ETN which is subject to a split or reverse split. A split or reverse split of the CSCR ETNs will not affect the aggregate stated principal amount of CSCR ETNs held by an investor, other than to the extent of any "partial" CSCR ETNs, but it will affect the number of CSCR ETNs an investor holds, the denominations used for trading purposes and the trading price, and may affect the liquidity, of the CSCR ETNs on the exchange.

      An investment in the CSCR ETNs involves significant risks and is not appropriate for every investor. Investing in the CSCR ETNs is not equivalent to investing directly in the Commodity Rotation Index. Accordingly, the CSCR ETNs should be purchased only by knowledgeable investors who understand the terms of the investment in the CSCR ETNs and are familiar with the behavior of the Commodity Rotation Index and commodities and financial markets generally. Investors should consider their investment horizon as well as potential transaction costs when evaluating an investment in the CSCR ETNs and should regularly monitor their holdings of the CSCR ETNs to ensure that they remain consistent with their investment strategies.

    • What is the Commodity Rotation Index and who publishes the level of the Commodity Rotation Index?

      The Credit Suisse Commodity Backwardation Total Return Index (the "Commodity Rotation Index") is a monthly rebalancing, long-only commodity index composed of eight single-commodity indices (the "Index Components") that follows a rules-based strategy to select components according to the process set forth in the "Allocation Model". Each month, the Allocation Model identifies the eight Index Components to be included in the Index for that month from a universe of 24 eligible sub-indices (the "Eligible Indices") by selecting the eight Eligible Indices whose underlying commodities are then exhibiting the highest degree of backwardation (or lowest degree of contango), subject to sector caps. The Eligible Indices are excess return indices, so changes in the level of such index derive from changes in the price of the underlying futures contracts (the "price return"), plus any profit or loss realized when the index "rolls" the underlying futures contracts by closing out positions in expiring contracts and establishing new positions in similar contracts with later-dated delivery months (the "roll yield"). The Index, by contrast, is a total return index, reflecting the price return and roll yield of the Index Components that comprise the Index from month to month, plus the interest that could be earned on the funds committed to a collateralized investment in the futures contracts underlying the Eligible Indices (the "Treasury bill return"). See "Specific Terms of the ETNs-Payment at Maturity."

      The Commodity Rotation Index is determined, composed and calculated by Credit Suisse International (together with any successor, "CSI") as the Calculation Agent. The Calculation Agent calculates the levels of the Index on each Index Business Day and publishes it on Bloomberg under ticker symbol "CSCUBKTR ". The Index, or any successor index or substitute index to the Index, may be modified, replaced or adjusted from time to time, as determined by the Calculation Agent.

      The Calculation Agent may modify, replace or adjust the Commodity Rotation Index under certain circumstances even if the Commodity Rotation Index Sponsor continues to publish the Commodity Rotation Index without modification, replacement or adjustment.

    • What does it mean for futures prices to be in backwardation or contango?

      The "futures curve" for a given commodity shows, as of a single point in time, the settlement price of futures contracts in that commodity along a spectrum of future delivery dates. If the futures curve for a particular commodity is in "backwardation", the prices of the futures contracts with shorter-term expirations are higher than the prices of futures contracts with longer-term expirations, resulting in a downward-sloping futures curve. Conversely, if the futures curve for a particular commodity is in "contango", the prices of futures contracts with shorter term expirations are less than the prices of futures contracts with longer-term expirations, resulting in a upward-sloping futures curve. The Index takes a notional long position in the Eligible Indices whose underlying commodities have the highest degree of backwardation (or lowest degree of contango). This is in part based on the investment thesis that these commodities may be experiencing greater levels of scarcity in the short term and, as a result, they have the potential to outperform other commodities with lower degrees of backwardation (or higher degrees of contango) and lower relative scarcity. Taking a long position in Eligible Indices whose underlying commodities are in backwardation may also generate a positive roll yield, as higher-priced near-term futures contracts are notionally "sold" in order to notionally "buy" and hold lower-priced longer-dated contracts in the same commodities.

    • Will I receive interest on the CSCR ETNs?

      You will not receive any interest payments on your CSCR ETNs. The CSCR ETNs are not designed for investors who are looking for periodic cash payments. Instead, the CSCR ETNs are designed for investors who are willing to forgo cash payments and, if the Commodity Rotation Index declines or does not increase enough to offset the effect of the Daily Investor Fee as described below, are willing to lose some or all of the their principal.

    • How will payment at maturity, upon early redemption or acceleration be determined for the CSCR ETNs?

      Unless your CSCR ETNs have been previously redeemed or accelerated, the CSCR ETNs will mature on June 15, 2033 (the "Maturity Date"), provided that the maturity of the CSCR ETNs may be extended at our option as described herein under "Specific Terms of the CSCR ETNs-Payment at Maturity."

        Payment at Maturity

        If your CSCR ETNs have not been previously redeemed or accelerated, at maturity you will receive a cash payment per ETN equal to the "Final Indicative Value", which will be the arithmetic average of the Closing Indicative Value on each of the immediately preceding five Trading Days to and including the Final Valuation Date (the "Final Valuation Period"), as calculated by the Calculation Agent. We refer to the amount of such payment as the "Payment at Maturity." If the Final Indicative Value is zero, the Payment at Maturity will be zero. If the scheduled Maturity Date is not a Business Day, the Maturity Date will be postponed to the first Business Day following the scheduled Maturity Date. If the scheduled Final Valuation Date is not a Trading Day, the Final Valuation Date will be postponed to the next following Trading Day, in which case the Maturity Date will be postponed to the third Business Day following the Final Valuation Date as so postponed. In addition, if a Market Disruption Event occurs or is continuing on the Final Valuation Date, the Maturity Date will be postponed until the date three Business Days following the determination of the settlement price for each Commodity Rotation Index Component with respect to such Final Valuation Date. No interest or additional payment will accrue or be payable as a result of any postponement of the Maturity Date. Any payment on the CSCR ETNs is subject to our ability to pay our obligations as they become due.

        The "Closing Indicative Value" on the Inception Date is $20.00 (the "Initial Indicative Value"). The Closing Indicative Value on each calendar day following the Inception Date will be equal to (1)(a) the Closing Indicative Value on the immediately preceding calendar day times (b) the Daily Commodity Rotation Index Factor on such calendar day minus (2) the Daily Investor Fee on such calendar day. The Closing Indicative Value will never be less than zero. If the Intraday Indicative Value of the CSCR ETNs is equal to or less than zero at any time or the Closing Indicative Value is equal to zero on any Trading Day, the Closing Indicative Value on that day, and all future days, will be zero. The Closing Indicative Value for each Trading Day will be published on such Trading Day under the Bloomberg ticker symbol "CSCR.IV". The Closing Indicative Value is not the same as the closing price or any other trading price of the CSCR ETNs in the secondary market. The trading price of the CSCR ETNs at any time may vary significantly from their indicative value at such time. If the CSCR ETNs undergo a split or reverse split, the Closing Indicative Value of the CSCR ETNs will be adjusted accordingly. Such adjustment may adversely affect the trading price and liquidity of the CSCR ETNs. CSI is responsible for computing and disseminating the Closing Indicative Value.

        The "Intraday Indicative Value" of the CSCR ETNs will be calculated and published every 15 seconds on each Trading Day during normal trading hours under the Bloomberg ticker symbol "CSCR.IV" so long as no Market Disruption Event has occurred or is continuing and will be disseminated over the consolidated tape, or other major market vendor. The Intraday Indicative Value at any time is based on the most recent intraday level of the Commodity Rotation Index. If the Intraday Indicative Value of the CSCR ETNs is equal to or less than zero at any time or the Closing Indicative Value is equal to zero on any Trading Day, the Closing Indicative Value on that day, and all future days, will be zero.

        The "Daily Commodity Rotation Index Factor" on any Commodity Rotation Index Business Day will equal (a) the Closing Level of the Commodity Rotation Index on such Commodity Rotation Index Business Day divided by (b) the Closing Level of the Commodity Rotation Index on the immediately preceding Commodity Rotation Index Business Day. The Daily Commodity Rotation Index Factor is deemed to be one on any day that is not an Commodity Rotation Index Business Day.

        A "Business Day" is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which banking institutions in New York City or London, England generally are authorized or obligated by law, regulation or executive order to close.

        A "Trading Day" is a day which is (i) an Commodity Rotation Index Business Day, (ii) an ETN Business Day and (iii) an Commodity Rotation Index Component Business Day for each of the Commodity Rotation Index Components.

        An "Commodity Rotation Index Business Day" is a day on which the level of the Commodity Rotation Index is calculated and published.

        With respect to any Eligible Index, an "Eligible Index Business Day" is a day on which trading is generally conducted on any markets on which the futures contracts underlying such Eligible Index is traded

        An "ETN Business Day" is a day on which trading is generally conducted on the New York Stock Exchange, NYSE Arca and Nasdaq.

        On any calendar day, the "Daily Investor Fee" will be equal to the product of (1)(a) the Closing Indicative Value on the immediately preceding calendar day times (b) the Daily Commodity Rotation Index Factor on such calendar day times (2)(a) the Investor Fee divided by (b) 365. The "Investor Fee" will be equal to 0.85%.

        The CSCR ETNs do not guarantee any return of principal. If the level of the Commodity Rotation Index decreases or does not increase sufficiently to offset the Daily Investor Fee (and in the case of Early Redemption, the Early Redemption Charge, if applicable) over the term of the CSCR ETNs, you will receive less than the principal amount of your investment at maturity, upon early redemption or acceleration of the CSCR ETNs.

        The "Closing Level" of the Commodity Rotation Index on any Commodity Rotation Index Business Day will be the closing level published on Bloomberg under the ticker symbol "CSCUBKTR " or any successor page on Bloomberg or any successor service, as applicable, as determined by the Calculation Agent; provided that in the event a Market Disruption Event exists on a Valuation Date, the Calculation Agent will determine the Closing Level of the Commodity Rotation Index according to the methodology described below in "Specific Terms of the CSCR ETNs-Market Disruption Events."

        Any payment you will be entitled to receive is subject to our ability to pay our obligations as they become due.

        Payment Upon Early Redemption

        Prior to maturity, you may, subject to certain restrictions described below, offer at least the applicable Minimum Redemption Amount or more of your CSCR ETNs to us for redemption on an Early Redemption Date during the term of the CSCR ETNs until June 2, 2033 (or, if the maturity of the CSCR ETNs is extended, five scheduled Trading Days prior to the scheduled Final Valuation Date, as extended). If you elect to offer your CSCR ETNs for redemption, and the requirements for acceptance by us are met, you will receive a cash payment per ETN on the Early Redemption Date equal to the Early Redemption Amount. Any payment you will be entitled to receive on the CSCR ETNs is subject to our ability to pay our obligations as they become due.

        You may exercise your early redemption right by causing your broker or other person with whom you hold your CSCR ETNs to deliver a Redemption Notice (as defined herein) to Credit Suisse. If your Redemption Notice is delivered prior to 4:00 p.m., New York City time, on any Business Day, the immediately following Trading Day will be the applicable "Early Redemption Valuation Date". Otherwise, the second following Trading Day will be the applicable Early Redemption Valuation Date.

        You must offer for redemption at least 50,000 CSCR ETNs, or an integral multiple of 50,000 CSCR ETNs in excess thereof, at one time in order to exercise your right to cause us to redeem your CSCR ETNs on any Early Redemption Date (the "Minimum Redemption Amount"); provided that we or CSI as the Calculation Agent may from time to time reduce, in whole or in part, the Minimum Redemption Amount. Any such reduction will be applied on a consistent basis for all holders of the CSCR ETNs at the time the reduction becomes effective. If the CSCR ETNs undergo a split or reverse split, the minimum number of CSCR ETNs needed to exercise your right to redeem will remain the same.

        The "Early Redemption Date" is the third Business Day following an Early Redemption Valuation Date.

        The "Early Redemption Charge" will equal up to 0.125% times the Closing Indicative Value on the Early Redemption Valuation Date.

        The "Early Redemption Amount" is a cash payment per ETN equal to the greater of (A) zero and (B)(1) the Closing Indicative Value on the applicable Early Redemption Valuation Date minus (2) the Early Redemption Charge, if applicable, and will be calculated by the Calculation Agent.

        Payment Upon Acceleration

        We have the right to accelerate the CSCR ETNs, in whole or in part, on any Business Day occurring on or after the Inception Date (an "Optional Acceleration"). In addition, if an Acceleration Event (as defined herein) occurs at any time with respect to the CSCR ETNs, we will have the right to accelerate all or any portion of the outstanding CSCR ETNs (an "Event Acceleration"). Upon an acceleration of all of the outstanding CSCR ETNs, you will receive a cash payment per ETN in an amount (the "Accelerated Redemption Amount") equal to the arithmetic average of the Closing Indicative Values of such CSCR ETNs during the Accelerated Valuation Period. If fewer than all of the outstanding CSCR ETNs are accelerated, the Accelerated Redemption Amount will be the Closing Indicative Value on the Accelerated Valuation Date. If less than all the CSCR ETNs are to be redeemed pursuant to an Optional Acceleration or an Event Acceleration, the trustee shall select, pro rata, by lot or in such manner as it deems appropriate and fair, the CSCR ETNs to be redeemed pursuant to such acceleration. CSCR ETNs may be accelerated in part in multiples of 50,000 CSCR ETNs, or an integral multiple of 50,000 CSCR ETNs in excess thereof. We will provide at least five Business Days' notice of any CSCR ETNs to be accelerated and, in the case of any CSCR ETNs selected for partial redemption, the stated principal amount thereof to be redeemed. All provisions relating to the acceleration of the CSCR ETNs to be redeemed only in part, relate to the portion of the stated principal amount of CSCR ETNs which has been or is to be redeemed pursuant to these acceleration provisions.

        Any payment you will be entitled to receive on the CSCR ETNs is subject to our ability to pay our obligations as they become due.

        In the case of an Optional Acceleration of all outstanding CSCR ETNs, the "Accelerated Valuation Period" shall be a period of five consecutive Trading Days specified in our notice of Optional Acceleration, the first Trading Day of which shall be at least two Business Days after the date on which we give notice of such Optional Acceleration. In the case of an Event Acceleration of all outstanding CSCR ETNs, the "Accelerated Valuation Period" shall be a period of five consecutive Trading Days, the first Trading Day of which shall be the day on which we give notice of such Event Acceleration (or, if such day is not a Trading Day, the next following Trading Day). In the case of an acceleration of less than all outstanding CSCR ETNs, the "Accelerated Valuation Date" will be the first Trading Day following the date of our notice of acceleration. The Accelerated Redemption Amount will be payable on the third Business Day following the Accelerated Valuation Date or the third Business Day following the last Trading Day in the Accelerated Valuation Period, as the case may be (such date the "Acceleration Date"). We will give notice of any acceleration of the CSCR ETNs through customary channels used to deliver notices to holders of exchange traded notes.

        Any CSCR ETNs previously redeemed by us at your or our option or accelerated following an Acceleration Event will be cancelled on the Early Redemption Date or the Acceleration Date, as applicable. Consequently, as of such Early Redemption Date or the Acceleration Date, as applicable, the redeemed CSCR ETNs will no longer be considered outstanding.

        Any payment you will be entitled to receive is subject to our ability to pay our obligations as they become due.

    • What will be the Intraday Indicative Value of the CSCR ETNs?

      The "Intraday Indicative Value" of the CSCR ETNs will be calculated and published every 15 seconds on each Trading Day during normal business hours under the Bloomberg ticker symbol "CSCR.IV" so long as no Market Disruption Event has occurred or is continuing and will be disseminated over the consolidated tape, or other major market data vendor. The Intraday Indicative Value of the CSCR ETNs at any time is based on the most recent intraday level of the Commodity Rotation Index. At any time at which a Market Disruption Event has occurred and is continuing, there shall be no Intraday Indicative Value. If the Intraday Indicative Value of the CSCR ETNs is equal to or less than zero at any time or the Closing Indicative Value is equal to zero on any Trading Day, the Closing Indicative Value of the CSCR ETNs on that day, and all future days, will be zero. The Calculation Agent or its affiliate is responsible for computing and disseminating the Intraday Indicative Value.

      Neither the Intraday Indicative Value nor the Closing Indicative Value of the CSCR ETNs is necessarily the same as the trading price of the CSCR ETNs in the secondary market at such time. The trading price of the CSCR ETNs at any time is the price at which you may be able to sell your CSCR ETNs in the secondary market at such time, if one exists. The trading price of the CSCR ETNs at any time may vary significantly from the Intraday Indicative Value and the Closing Indicative Value of the CSCR ETNs at such time. Paying a premium purchase price over the Indicative Value of the CSCR ETNs could lead to significant losses in the event the investor sells the CSCR ETNs at a time when such premium is no longer present in the market place or the CSCR ETNs are accelerated (including at our option). We may, without providing you notice or obtaining your consent, create and issue CSCR ETNs in addition to those offered by the applicable pricing supplement having the same terms and conditions as the CSCR ETNs. However, we are under no obligation to sell additional CSCR ETNs at any time, and we may suspend issuance of new CSCR ETNs at any time without providing you notice or obtaining your consent. If we stop selling additional CSCR ETNs, the price and liquidity of the CSCR ETNs could be materially and adversely affected, including an increase in the premium purchase price of the CSCR ETNs over the Intraday Indicative Value of the CSCR ETNs. Before trading in the secondary market, you should compare the Closing Indicative Value and Intraday Indicative Value with the then-prevailing trading price of the CSCR ETNs.

    • How do you sell your CSCR ETNs?

      We intend to list the CSCR ETNs on NYSE Arca under the ticker symbol "CSCR". If an active secondary market in the CSCR ETNs develops, we expect that investors will purchase and sell the CSCR ETNs primarily in this secondary market through the exchange on which such CSCR ETNs are listed. We have no obligation to maintain any listing on any exchange.

      The trading price of the CSCR ETNs at any time is the price at which you may be able to sell your CSCR ETNs in the secondary market at that time. The trading price of the CSCR ETNs at any time may vary significantly from the indicative values of the CSCR ETNs at such time. Paying a premium purchase price over the indicative value of the CSCR ETNs could lead to significant losses in the event you sell your CSCR ETNs at a time when such premium is no longer present in the market place or your CSCR ETNs are repurchased by us (including pursuant to an acceleration at our option), in which case you will be entitled to receive a cash payment based on the Closing Indicative Value on the relevant Valuation Date(s).

    • How do you offer your CSCR ETNs for redemption by Credit Suisse?

      If you wish to offer your CSCR ETNs to Credit Suisse for redemption, your broker must follow the following procedures:

        Deliver a notice of redemption, in substantially the form as Annex A (the "Redemption Notice"), to Credit Suisse via email or other electronic delivery as requested by Credit Suisse. If your Redemption Notice is delivered prior to 4:00 p.m., New York City time, on any Business Day, the immediately following Trading Day will be the applicable "Early Redemption Valuation Date". Otherwise, the second following Trading Day will be the applicable Early Redemption Valuation Date. If Credit Suisse receives your Redemption Notice no later than 4:00 p.m., New York City time, on any Business Day, Credit Suisse will respond by sending your broker an acknowledgment of the Redemption Notice accepting your redemption request by 7:30 p.m., New York City time, on the Business Day prior to the applicable Early Redemption Valuation Date. Credit Suisse or its affiliate must acknowledge to your broker acceptance of the Redemption Notice in order for your redemption request to be effective;

        Cause your DTC custodian to book a delivery versus payment trade with respect to the CSCR ETNs on the applicable Early Redemption Valuation Date at a price equal to the applicable Early Redemption Amount, facing us; and

        Cause your DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 a.m. New York City time, on the applicable Early Redemption Date (the third Business Day following the Early Redemption Valuation Date).

      You are responsible for (i) instructing or otherwise causing your broker to provide the Redemption Notice and (ii) your broker satisfying the additional requirements as set forth in the second and third bullets above in order for the redemption to be effected. Different brokerage firms may have different deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm through which you own your interest in the CSCR ETNs in respect of such deadlines. If Credit Suisse does not (i) receive the Redemption Notice from your broker by 4:00 p.m. and (ii) deliver an acknowledgment of such Redemption Notice to your broker accepting your redemption request by 7:30 p.m., on the Business Day prior to the applicable Early Redemption Valuation Date, such notice will not be effective for such Business Day and Credit Suisse will treat such Redemption Notice as if it was received on the next Business Day. Any redemption instructions for which Credit Suisse receives a valid confirmation in accordance with the procedures described above will be irrevocable.

    • What are some of the risks of the CSCR ETNs?

      An investment in the CSCR ETNs involves significant risks. Investing in the CSCR ETNs is not equivalent to investing directly in the Commodity Rotation Index, the Eligible Indices or any commodity futures contracts included in the Eligible Indices. Some of these risks are summarized here, but we urge you to read the more detailed explanation of risks in "Risk Factors" in the applicable pricing supplement.

        Uncertain Principal Repayment - The CSCR ETNs are designed for investors who seek exposure to the Commodity Rotation Index, which reflects a long-only commodity index exposure to eight single-commodity sub-indices whose underlying commodities have the greatest degree of backwardation (or least degree of contango) determined on a monthly basis. The CSCR ETNs do not guarantee any return of principal. For each ETN, investors will receive a cash payment at maturity, upon early redemption or acceleration that will be linked to the performance of the Commodity Rotation Index times a Daily Commodity Rotation Index Factor and less a Daily Investor Fee. If the Commodity Rotation Index declines, investors should be willing to lose up to 100% of their investment. Any payment on the CSCR ETNs is subject to our ability to pay our obligations as they become due.

        Credit Risk of the Issuer - Any payments you are entitled to receive on your CSCR ETNs are subject to the ability of Credit Suisse to pay its obligations as they become due.

        Concentration Risk - The CSCR ETNs reflect a long position in the Commodity Rotation Index, which comprises futures contracts on physical commodities (each, an "Commodity Rotation Index Component"), and thus your investment reflects a concentrated exposure to a single asset class and, therefore, could experience greater volatility than a more diversified investment and is exposed to significant market risks. In addition, the Allocation Model may result in concentration in commodity sectors. For example, the Commodity Rotation Index may be composed up to 75% of Eligible Indices in the energy sector, up to 62.5% of Eligible Indices in the industrial metals sector, up to 25% of Eligible Indices in the precious metals sector, up to 37.5% of Eligible Indices in the agriculture sector and/or up to 12.5% of Eligible Indices in the livestock sector. It is often, but not always, the case that prices of commodities in the same sector may move up or down in a similar pattern due to macroeconomic factors affecting that sector. It is possible that such correlation will be detrimental to you because the prices of all of the commodities in that sector may move lower at the same time. Your investment may reflect a concentrated exposure to one or more single commodity sectors and, therefore, could experience greater volatility than a more diversified commodity-linked instrument.

        Commodity prices are characterized by high and unpredictable volatility, which could lead to high and unpredictable volatility in the Commodity Rotation Index - Market prices of the commodity futures contracts comprising the Commodity Rotation Index tend to be highly volatile. Commodity market prices are not related to the value of a future income or earnings stream, as tends to be the case with fixed-income and equity investments, but are subject to rapid fluctuations based on numerous factors, including changes in supply and demand relationships, governmental programs and policies, national and international monetary, trade, political and economic events, changes in interest and exchange rates, speculation and trading activities in commodities and related contracts, weather, and agricultural, trade, fiscal and exchange control policies. Many commodities are also highly cyclical. These factors may have a larger impact on commodity prices and commodity-linked instruments than on traditional fixed-income and equity securities. These variables may create additional investment risks that cause the value of the CSCR ETNs to be more volatile than the values of traditional securities. These and other factors may affect the level of the Commodity Rotation Index, and thus the value of your CSCR ETNs, in unpredictable or unanticipated ways. The high volatility and cyclical nature of commodity markets may render such an investment inappropriate as the focus of an investment portfolio.

        The Commodity Rotation Index tracks prices of futures contracts with expiration dates approximately four to six months in the future - A futures contract for a commodity typically specifies an expiration date, which is the date on which the contract will cease to trade, and a delivery date, which is the date on which the underlying physical commodity referenced by the futures contract is delivered. A "front-month futures contract" refers to the futures contract that has the nearest expiration date. Each of the Eligible Indices selects and rolls the underlying commodities futures contracts according to a rules-based strategy that was designed to reduce the concentration risk associated with investing in futures contracts with identical expiration dates. As a result, the Index provides exposure to futures contracts with varying maturities, and the performance of the Index will differ from indices that track only front-month futures contracts.

        The Commodity Rotation Index does not provide exposure to spot prices of commodities - The CSCR ETNs will reflect the return on the Eligible Index, which provides notional exposure to futures contracts and not physical commodities or their spot prices. Price movements in futures contracts on commodities may not correlate with changes in the spot prices of commodities. A commodity futures contract is an agreement to buy a set amount of an underlying physical commodity at a predetermined price during a stated delivery period. A futures contract reflects the expected value of the underlying physical commodity upon delivery in the future. A commodity's "spot" price reflects the immediate delivery value of the commodity. A variety of factors can lead to a disparity between the price of a futures contract in a commodity and the spot price of that commodity, including storage costs, transportation costs, interest rates and expectations concerning supply and demand for the commodity. The Eligible Index provides exposure to the settlement prices of futures contracts and not the spot prices of the commodities underlying the Rligible Index. Consequently, an investment in the CSCR ETNs is not the same as an investment in the spot prices of the commodities underlying the Eligible Index or buying and holding such commodities. While price movements in commodities futures contracts may correlate with changes in the spot prices for such commodities, the correlation will not be perfect and price movements of the futures contracts underlying the Eligible Index may diverge from price movements of the underlying commodities. Accordingly, increases in the spot prices of commodities may not result in increases in the prices of the futures contracts underlying the Eligible Index or an increase in the value of the CSCR ETNs. The level of the Eligible Index may decrease while the spot prices for the relevant commodities increase.

        You will not have any rights in any physical commodities, or any rights in the commodity futures contracts included in the Eligible Index - As an owner of the CSCR ETNs, you will not have rights that holders of the commodity futures contracts included in the Eligible Index may have. Investment in the CSCR ETNs is not a pass-through investment in futures contracts. Your CSCR ETNs will be paid in cash, and you will have no right to receive delivery of any components of the Eligible Index. You will have no right to receive any payment or delivery of amounts in respect of the futures contracts included in the Eligible Index.

        No interest payments - You will not receive any periodic interest payments on the CSCR ETNs.

        A Trading Market for the CSCR ETNs May Not Develop - Although we intend to list the CSCR ETNs on NYSE Arca, a trading market for your CSCR ETNs may not develop. If an active secondary market in the CSCR ETNs develops, we expect that investors will purchase and sell the CSCR ETNs primarily in this secondary market through the exchange on which such CSCR ETNs are listed. We have no obligation to maintain any listing on any exchange.

        The Intraday Indicative Value and the Closing Indicative Value are not the same as the closing price or any other trading price of the CSCR ETNs in the secondary market - The Intraday Indicative Value and the Closing Indicative Value of the CSCR ETNs are not the same as the closing price or any other trading price of the CSCR ETNs in the secondary market. The Closing Indicative Value will be published on each Trading Day under the Bloomberg ticker symbol "CSCR.IV". The Intraday Indicative Value of the CSCR ETNs will be calculated and published every 15 seconds on each Trading Day during normal trading hours under the Bloomberg ticker symbol "CSCR.IV" so long as no Market Disruption Event has occurred or is continuing and will be disseminated over the consolidated tape, or other major market vendor and is based on the most recent intraday level of the Commodity Rotation Index. The trading price of the CSCR ETNs at any time is the price at which you may be able to sell your CSCR ETNs in the secondary market at such time, if one exists. The trading price of the CSCR ETNs at any time may vary significantly from the Intraday Indicative Value of such CSCR ETNs at such time.

        Paying a premium purchase price over the Intraday Indicative Value of the CSCR ETNs could lead to significant losses in the event one sells such CSCR ETNs at a time when such premium is no longer present in the market place or such CSCR ETNs are accelerated (including at our option) - Paying a premium purchase price over the Intraday Indicative Value of the CSCR ETNs could lead to significant losses in the event one sells such CSCR ETNs at a time when such premium is no longer present in the market place or such CSCR ETNs are accelerated (including at our option) in which case investors will receive a cash payment in an amount based on the Closing Indicative Value of the CSCR ETNs. We may, without providing you notice or obtaining your consent, create and issue CSCR ETNs in addition to those offered by the applicable pricing supplement having the same terms and conditions as the CSCR ETNs. However, we are under no obligation to sell additional CSCR ETNs at any time, and we may suspend issuance of new CSCR ETNs at any time without providing you notice or obtaining your consent. If we stop selling additional CSCR ETNs, the price and liquidity of the CSCR ETNs could be materially and adversely affected, including an increase in the premium purchase price of the CSCR ETNs over the Intraday Indicative Value of the CSCR ETNs. Before trading in the secondary market, you should compare the Closing Indicative Value and Intraday Indicative Value with the then-prevailing trading price of the CSCR ETNs.

        Potential conflicts - We and our affiliates play a variety of roles in connection with the issuance of the CSCR ETNs, including acting as Calculation Agent and Commodity Rotation Index Sponsor and hedging our obligations under the CSCR ETNs. In performing these roles, the economic interests of the Calculation Agent, Commodity Rotation Index Sponsor, and other affiliates of ours are potentially adverse to your interests as an investor in the CSCR ETNs.

        Many economic and market factors will affect the value of the CSCR ETNs - In addition to the level of the Commodity Rotation Index on any day, the value of the CSCR ETNs will be affected by a number of economic and market factors that may either offset or magnify each other, including:

          the level of the Commodity Rotation Index at any time,

          the expected volatility of the Commodity Rotation Index,

          the volatility of any options or futures contracts underlying the Eligible Indices,

          the liquidity of any options or futures contracts underlying the Eligible Indices,

          economic, financial, regulatory, political, judicial, military and other events that affect commodities markets generally, the Commodity Rotation Index or the relevant futures contracts underlying the Eligible Indices,

          supply and demand for the CSCR ETNs in the secondary market, including but not limited to, inventory positions with any market maker or other person or entity who is trading the CSCR ETNs (supply and demand for the CSCR ETNs will be affected by the total issuance of CSCR ETNs, and we are under no obligation to issue additional CSCR ETNs to increase the supply),

          global supply and demand for the physical commodities included in the Eligible Index, which is influenced by such factors as forward selling by producers, purchases made by producers to unwind hedge positions, other purchases and sales and production and cost levels in commodities producing countries,

          interest and yield rates and rate spreads in the markets,

          the time remaining until your CSCR ETNs mature, and

          the actual or perceived creditworthiness of Credit Suisse.

        Requirements on redemption by Credit Suisse - You must offer at least the applicable Minimum Redemption Amount of your CSCR ETNs to Credit Suisse and satisfy the other requirements described herein for your offer for redemption to be considered.

        Your offer for redemption is irrevocable - You will not be able to rescind your offer for redemption after it is received by Credit Suisse, so you will be exposed to market risk in the event market conditions change after Credit Suisse receives your offer.

        The CSCR ETNs may be accelerated at our option, in whole or in part, at any time - Credit Suisse may accelerate your CSCR ETNs in whole or in part at any time on or after the Inception Date, and upon any such acceleration you may receive less than, and possibly may lose all of, your original investment in the CSCR ETNs.

        The Maturity Date of the CSCR ETNs may be extended at our option - The scheduled Maturity Date is initially June 15, 2033. We may at our option extend the maturity of the CSCR ETNs for up to two additional five-year periods.

        Uncertain tax treatment - No ruling is being requested from the Internal Revenue Service ("IRS") with respect to the tax consequences of the CSCR ETNs. There is no direct authority dealing with securities such as the CSCR ETNs, and there can be no assurance that the IRS will accept, or that a court will uphold, the tax treatment described in the applicable pricing supplement. In addition, you should note that the IRS and the U.S. Treasury Department have announced a review of the tax treatment of prepaid financial contracts. Accordingly, no assurance can be given that future tax legislation, regulations or other guidance may not change the tax treatment of the CSCR ETNs. Potential investors should consult their tax advisors regarding the United States federal income tax consequences of an investment in the CSCR ETNs, including possible alternative treatments.

    • Is this the right investment for you?

      The CSCR ETNs may be a suitable investment for you if you understand and acknowledge each of the following:

        You seek an investment with a return linked to the performance of the Commodity Rotation Index, which is comprised of eight single-commodity futures indices determined from time to time in accordance with the Index methodology.

        You understand the investment strategy underlying the Commodity Rotation Index and seek exposure to commodities futures contracts selected according to the Commodity Rotation Index methodology.

        You are willing to accept the risk of fluctuations in the price of commodity futures contracts in general and in the level of the Commodity Rotation Index in particular.

        You understand that the trading price of the CSCR ETNs at any time may vary significantly from the Intraday Indicative Value and the Closing Indicative Value of the CSCR ETNs at such time and that paying a premium purchase price over the Indicative Value of the CSCR ETNs could lead to significant losses in the event you sell the CSCR ETNs at a time when such premium is no longer present in the market place or the CSCR ETNs are accelerated (including at our option).

        You are willing to actively and frequently monitor your investment in the CSCR ETNs.

        You have sufficient knowledge and experience to evaluate how the CSCR ETNs may perform under different conditions and the merits and risks of an investment in the CSCR ETNs.

        You understand that the prices of commodity futures contracts tracked by the Commodity Rotation Index may not correlate with spot or front-month futures prices of the underlying commodities and you appreciate that an investment in the CSCR ETNs is not the same as an investment in commodity spot or front-month futures prices or buying or holding commodities.

        You understand the terms of the investment in the CSCR ETNs and are familiar with the behavior of the Commodity Rotation Index, the Eligible Indices and commodities and financial markets generally.

        You accept the risk that Credit Suisse may accelerate all or a portion of your CSCR ETNs at any time.

        You believe the level of the Commodity Rotation Index will increase by an amount sufficient to offset the Daily Investor Fee (and in the case of Early Redemption, the Early Redemption Charge, if applicable) over your intended holding period of the CSCR ETNs and to provide you with a satisfactory return on your investment during the time you hold the CSCR ETNs.

        You do not seek current income from this investment.

        You do not seek a guaranteed return of principal and understand that if the Commodity Rotation Index declines, you may lose up to 100% of your investment.

        You have sufficient financial resources and liquidity to bear the risks of an investment in the CSCR ETNs, including the risk of loss of such investment.

        You understand that the Daily Investor Fee and the Early Redemption Charge, if applicable, will reduce your return (or increase your loss, as applicable) on your investment.

        You are willing to make an investment in the CSCR ETNs, the payments on which depend on the creditworthiness of Credit Suisse, as issuer of the CSCR ETNs.

      The CSCR ETNs may not be a suitable investment for you if:

        You do not seek an investment with a return linked to the performance of the Commodity Rotation Index, which is comprised of eight single-commodity futures indices determined from time to time in accordance with the Index methodology.

        You do not understand the investment strategy underlying the Commodity Rotation Index or are not willing to be exposed to commodities futures contracts selected according to the rules of the Commodity Rotation Index.

        You are not willing to be exposed to fluctuations in the price of commodity futures contracts in general and in the level of the Commodity Rotation Index in particular.

        You are not willing to be exposed to the trading price of the CSCR ETNs which, at any time, may vary significantly from the Intraday Indicative Value and the Closing Indicative Value.

        You are not willing to actively and frequently monitor your investment in the CSCR ETNs.

        You do not have sufficient knowledge and experience to evaluate how the CSCR ETNs may perform under different conditions or the merits and risks of an investment in the CSCR ETNs.

        You prefer an investment in commodity spot or front-month futures prices or buying or holding commodities directly rather than exposure to the prices of commodity futures contracts tracked by the Eligible Indices selected for inclusion in the Index from time to time.

        You do not understand the terms of the investment in the CSCR ETNs or are not familiar with the behavior of the Commodity Rotation Index, the Eligible Indices or financial markets generally.

        You are not willing to accept the risk that Credit Suisse may accelerate all or a portion of your CSCR ETNs at any time.

        You believe the level of the Commodity Rotation Index will decrease or will not increase by an amount sufficient to offset the Daily Investor Fee (and in the case of Early Redemption, the Early Redemption Charge, if applicable) over your intended holding period of the CSCR ETNs.

        You seek current income from your investment.

        You seek a guaranteed return of principal.

        You do not have sufficient financial resources and liquidity to bear the risks of an investment in the CSCR ETNs, including the risk of loss of such investment, and prefer the lower risk and therefore accept the potentially lower returns of fixed income investments with comparable maturities and credit ratings.

        You do not want to pay the Daily Investor Fee and the Early Redemption Charge, if applicable, which are charged on the CSCR ETNs and will reduce your return (or increase your loss, as applicable) on your investment.

        You are not willing to be exposed to the credit risk of Credit Suisse, as issuer of the CSCR ETNs.

      Investors considering purchasing CSCR ETNs should reach an investment decision only after carefully considering, with their advisers, the suitability of the CSCR ETNs in light of their particular circumstances.

    • Does an investment in the CSCR ETNs entitle you to any ownership interests in any physical commodities, or any rights in the commodity futures contracts included in the Eligible Indices?

      No. An investment in the CSCR ETNs does not entitle you to any ownership interest or rights in the Commodity Rotation Index Components comprising the Commodity Rotation Index. You will not have any interests or rights in any physical commodities (directly or indirectly), or any rights in the commodity futures contracts included in the Eligible Indices. Your CSCR ETNs will be paid in cash, and you will have no right to receive any payment or delivery of amounts in respect of the futures contracts included in the Eligible Indices.

    • Will the CSCR ETNs be distributed by our affiliates?

      Our affiliate, Credit Suisse Securities (USA) LLC ("CSSU"), a member of the Financial Industry Regulatory Authority ("FINRA") will participate in the initial distribution of the CSCR ETNs on the Initial Settlement Date and will likely participate in any future distribution of the CSCR ETNs. CSSU is expected to charge normal commissions for the purchase of any CSCR ETNs and may also receive all or a portion of the Investor Fee. Any offering in which CSSU participates will be conducted in compliance with the requirements set forth in Rule 5121 of the Conduct Rules of FINRA regarding a FINRA member firm's distribution of the securities of an affiliate and related conflicts of interest. In accordance with Rule 5121 of the Conduct Rules of FINRA, CSSU may not make sales in offerings of the CSCR ETNs to any of its discretionary accounts without the prior written approval of the customer.

    • What is the United States federal income tax treatment of an investment in the CSCR ETNs?

      Please refer to "Material United States Federal Income Tax Considerations" in the applicable pricing supplement for a discussion of material United States federal income tax considerations for making an investment in the CSCR ETNs.

    • What is the role of our affiliates?

      Our affiliate, CSSU, is the underwriter for the offering and sale of the CSCR ETNs. After the initial offering, CSSU and/or other of our affiliated dealers currently intend, but are not obligated, to buy and sell the CSCR ETNs to create a secondary market for holders of the CSCR ETNs, and may engage in other activities described in the section "Supplemental Plan of Distribution (Conflicts of Interest)" in the applicable pricing supplement, the accompanying prospectus supplement and prospectus. However, neither CSSU nor any of these affiliates will be obligated to engage in any market-making activities, or continue those activities once it has started them.

      Our affiliate, CSI, will act as the Calculation Agent for the CSCR ETNs. As the Calculation Agent, CSI will make determinations with respect to the CSCR ETNs. The determinations may be adverse to you. You should refer to "Risk Factors-We or our affiliates may have economic interests adverse to those of the holders of the CSCR ETNs" in the applicable pricing supplement.

    • Can you tell me more about the effect of Credit Suisse's hedging activity?

      We expect to hedge our obligations under the CSCR ETNs through one or more of our affiliates. This hedging activity will likely involve purchases or sales of futures contracts included in the Eligible Indices, listed or over-the-counter options, futures contracts, swaps or other derivative instruments relating to the Eligible Indices or the futures contracts included in the Eligible Indices. We or our affiliates will maintain, adjust or unwind our hedge by, among other things, purchasing or selling any of the foregoing, at any time and from time to time, including on or before any Valuation Date. We, our affiliates or third parties with whom we transact may also enter into, maintain, adjust and unwind hedging transactions relating to other securities whose returns are linked to the Commodity Rotation Index. Any of these hedging activities could affect the value of the futures contracts included in the Eligible Indices, and accordingly the level of the Commodity Rotation Index, the value of your CSCR ETNs and the amount we will pay on the CSCR ETNs determined on the Final Valuation Date, or, in the case of early redemption or acceleration of the CSCR ETNs, the relevant Valuation Date. Moreover, this hedging activity may result in our or our affiliates' or third parties' receipt of a profit, even if the market value of the CSCR ETNs declines. You should refer to "Risk Factors-Trading and other transactions by us, our affiliates or third parties with whom we transact in securities or financial instruments relating to the Commodity Rotation Index may impair the value of your CSCR ETNs" and "Risk Factors-We or our affiliates may have economic interests adverse to those of the holders of the CSCR ETNs" and Supplemental Use of Proceeds and Hedging" in the applicable pricing supplement.