The Credit Suisse X-Links Long/Short Equity ETNs (such 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 return of the Credit Suisse Long/Short Liquid Index (Net) (the "Index"). The Index seeks to correlate to the historical performance of the Credit Suisse Long/Short Equity Hedge Fund Index (the "Target Index") and is designed to provide exposure to a long/short equity strategy as represented by long and short positions in various market measures. The ETNs are listed on NYSE Arca under the ticket symbol "CSLS". The ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the ETNs.

The ETNs are not principal protected, are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency of the United States, Switzerland or any other jurisdiction.

ETN Profile

 

CUSIP:

22542D878

Primary Exchange:

NYSE Arca

Inception Date:

February 19, 2010

Maturity Date:

February 19, 2020

Annual Investor Fee1:

0.45%

Index Fee:

0.50%

Underlying Index:

Credit Suisse Long/Short Liquid Index (Net)

Index Ticker:

CSLABLN
X-Links Monthly Performance Update
 

Data (as of September 01, 2015)

       

Closing Indicative Value:

$26.39

 

Market Cap:

$20,207,352

Closing Traded Price:

$26.40

 

ETNs Outstanding:

765,372

Performance (as of September 01, 2015)

           
 

1 mo.

3 mo.

6 mo.

YTD

1 Yr.

Since Note Incept.

CSLSIV (Indicative Value)*

-2.36%

0.66%

1.51%

2.66%

5.12%

N/A

CSLABLN

-2.28%

0.75%

1.70%

2.90%

5.48%

34.83%

Performance Chart (CSLABLN):

 

Performance Periods:

Performance of the Credit Suisse Long/Short Liquid Index (Net)

Performance Chart (CSLSIV):

Performance Periods:

Performance of the Credit Suisse X-Links Long/Short Equity ETN Indicative Value

Index Components

Name

Ticker

Weight*Ascending

  MSCI International EM Gross Index USD Real time

.MIEF00000GUS

-17.05%

  Russell 2000 Index

.RUT

-6.24%

  Credit Suisse Low Price Momentum Index

.CSLABML

-3.76%

  Credit Suisse High Price Momentum Index

.CSLABMH

3.94%

  Utilities Select Sector Index

.IXU

5.99%

  S&P 500 Index

.SPX

19.38%

  USD Cash

USD=

36.57%

  MSCI EAFE Index

.MIEA00000PUS

61.17%

 

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

 

CS Long/Short Liquid Index

S&P 500 Index (TRI)

Average Month

0.45%

2.44%

Best Month

3.57%

5.09%

Worst Month

-1.81%

-3.46%

One Year Total Return

6.46%

21.52%

Annualized Standard Deviation

6.07%

11.32%

Sharpe Ratio

1.05

1.89

 
 

Correlation of various indices to the CS L/S Liquid 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

-0.000251235

0.707870567

0.869143649

0.259664045

 
 
  • The following is a summary of frequently asked questions relating to the terms of the ETNs linked to the Credit Suisse Long/Short Liquid Index (Net) (the "CSLS 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 CSLS ETNs) in the applicable pricing supplement and the accompanying prospectus supplement and prospectus before investing in the CSLS 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 CSLS ETNs and how do they work?

    The CSLS ETNs are medium-term notes of Credit Suisse, the return on which is linked to the performance of the Credit Suisse Long/Short Liquid Index (Net) (the "CS L/S Liquid Index"). Any payment you will be entitled to receive is subject to our ability to pay our obligations as they become due.

    We will not pay you interest during the term of the CSLS ETNs. The CSLS ETNs are not principal-protected and are fully exposed to any decline in the CS L/S Liquid Index. Depreciation of the CS L/S Liquid Index will reduce your payment at maturity or upon repurchase, and you could lose your entire investment.

    The denomination and stated principal amount of each CSLS ETN is $20. Any CSLS ETN issued in the future may be issued at a price higher or lower than the stated principal amount, based on the indicative value of the CSLS ETNs at that time.

  • What is the CS L/S Liquid Index and who publishes the level of the CS L/S Liquid Index?

    The CS L/S Liquid Index was created by Credit Suisse Alternative Capital, Inc., as index sponsor (the "Index Sponsor"). The level of the CS L/S Liquid Index reflects the return of a dynamic basket of various market measures (each, a "Market Factor" and together the "Market Factors") and is designed to correlate to the historical performance of the Dow Jones Credit Suisse Long/Short Equity Hedge Fund Index (the "Target Index") by tracking the performance of non-hedge fund, transparent market measures such as the Market Factors. The Market Factors will be selected and weighted in accordance with an algorithm that seeks to approximate the returns of the Target Index.

    The CS L/S Liquid Index was established on October 16, 2009 with an initial value of 1,000. The Market Factors selected for inclusion in calculating the CS L/S Liquid Index, as well as their respective weightings, are determined on each monthly rebalancing date. NYSE Arca, Inc., or another party designated by the index committee (comprised of the Head of Credit Suisse Alternative Beta Research, the Head of Credit Suisse Alternative Beta Portfolio Management, the Head of Credit Suisse Quantitative Equity Group within Asset Management, the Head of Structuring for Credit Suisse Fund Linked Products, the Head of Alternative Research for Credit Suisse Private Bank and the Head of Quantitative Strategies in Equity Research or such other persons as may be elected following the procedures of the index committee) will act as the calculation agent for the CS L/S Liquid Index and will be responsible for the calculation of the level of the CS L/S Liquid Index, using the data and methodologies described in the applicable pricing supplement and as determined by the index committee. The Bloomberg ticker symbol of the CS L/S Liquid Index is "CSLABLN ".

  • How will payment at maturity or payment at repurchase be determined for the CSLS ETNs?

    Unless your CSLS ETNs have previously been repurchased by us, either at your election or at ours, the CSLS ETNs will mature on February 19, 2020. Further details on the conditions and the procedures applicable to any such repurchase are set forth in the applicable pricing supplement.

    Payment at maturity

    If your CSLS ETNs have not been previously repurchased by Credit Suisse, at maturity you will receive a cash payment in an amount equal to the principal amount of your CSLS ETNs times the index factor determined on the final valuation date times the fee factor on the final valuation date, subject to market disruption events.

    The index factor on the final valuation date will equal the closing level of the CS L/S Liquid Index on the final valuation date divided by the initial index level.

    The initial index level is 991.65, the closing level of the CS L/S Liquid Index on the inception date, February 19, 2010.

    The fee factor is equal to one minus the aggregate investor fee, which is the product of (i) the annual investor fee and (ii) the number of days elapsed from the inception date to and including the applicable valuation date divided by 365.

    The annual investor fee is equal to 0.45%.

    Payment Upon Repurchase

    We have the right to repurchase the CSLS ETNs in whole and not in part on any business day during the term of the CSLS ETNs beginning February 19, 2012 if, at anytime on or after February 19, 2012, the principal amount of the CSLS ETNs outstanding is 500,000 CSLS ETNs or less. This option will expire on February 5, 2020. To repurchase the CSLS ETNs, we will deliver an irrevocable call notice to The Depository Trust Company ("DTC"). The business day immediately succeeding the date the irrevocable call notice was delivered to DTC shall be the valuation date applicable to such repurchase, subject to market disruption events.

    At your election you may, subject to certain restrictions, offer your CSLS ETNs for repurchase by Credit Suisse on any business day during the term of the CSLS ETNs, beginning on February 22, 2010 through February 5, 2020, provided that you offer at least the applicable minimum repurchase amount (which will be 100,000 CSLS ETNs on the third business day of each week and 250,000 CSLS ETNs on any other business day) for repurchase and follow the procedures as described in summary below and in detail, in the applicable pricing supplement. Credit Suisse Securities (USA) LLC ("CSSU") will act as our agent in connection with any repurchases at your option and may charge investors an additional fee of up to $0.03 for each ETN repurchased.

    If you choose to offer your CSLS ETNs for repurchase or they are repurchased at our option, you will receive a cash payment on the repurchase date in an amount equal to the "daily repurchase value", which is the principal amount of your CSLS ETNs times the index factor on the applicable valuation date times the fee factor on the applicable valuation date.

    The index factor on any valuation date, other than the final valuation date, will be equal to the closing level of the CS L/S Liquid Index on that valuation date divided by the initial index level.

    Because the aggregate investor fee reduces the amount of your return at maturity or upon repurchase by Credit Suisse, the level of the CS L/S Liquid Index must increase by an amount sufficient to offset the aggregate investor fee applicable to your CSLS ETNs in order for you to receive at least the principal amount of your investment at maturity or upon repurchase by Credit Suisse. If the level of the CS L/S Liquid Index decreases or does not increase sufficiently, you will receive less than the principal amount of your investment at maturity or upon repurchase by Credit Suisse.

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

  • Will I receive interest on the CSLS ETNs?

    No. We will not make any periodic payments of interest or any other payments on the CSLS ETNs during the term of the CSLS ETNs. Unless you elect to have your CSLS ETNs repurchased by Credit Suisse, you will not receive any payments on the CSLS ETNs prior to maturity of the CSLS ETNs.

  • How can I sell my CSLS ETNs?

    We have listed the CSLS ETNs on NYSE Arca under the symbol "CSLS". If an active secondary market in the CSLS ETNs develops, we expect that investors will purchase and sell the CSLS ETNs primarily in this secondary market. In addition, Credit Suisse may repurchase your CSLS ETNs as described herein.

  • How can I offer my CSLS ETNs for repurchase by Credit Suisse?

    If you wish to offer your CSLS ETNs to Credit Suisse for repurchase, you and your broker must follow the following procedures:

    Your broker must deliver a completed irrevocable Offer for Repurchase, a form of which is attached as Annex A to the applicable pricing supplement, to Credit Suisse by 10:00 a.m., New York City time, on the business day immediately preceding the valuation date prior to the applicable repurchase date. One portion of the Offer for Repurchase must be completed by you as beneficial owner of the CSLS ETNs and the other portion must be completed by your broker. You must offer at least the applicable minimum repurchase amount (which will be 100,000 CSLS ETNs on the third business day of each week and 250,000 CSLS ETNs on any other business day) for repurchase. Credit Suisse must acknowledge receipt from your broker in order for your offer to be effective.

    Your broker must book a delivery vs. payment trade with respect to your CSLS ETNs on the applicable valuation date at a price equal to the applicable daily repurchase value, facing Credit Suisse.

    Your broker must 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 repurchase date (the third business day following the valuation date).

    Different brokers and DTC participants may have different deadlines for accepting instructions from their customers. Accordingly, you should consult the brokerage firm or other DTC participant through which you own your interest in the CSLS ETNs in respect of such deadlines. If Credit Suisse does not receive your offer for repurchase by 10:00 a.m., New York City time, on the business day immediately preceding the applicable valuation date, your notice will not be effective and we will not accept your offer to repurchase your CSLS ETNs on the applicable repurchase date. Any repurchase instructions that we receive in accordance with the procedures described above will be irrevocable.

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

    An investment in the CSLS ETNs involves risks. 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 - You may receive less than the principal amount of your CSLS ETNs at maturity or upon repurchase. If the level of the CS L/S Liquid Index decreases, or does not increase by an amount sufficient to offset the fees associated with the CSLS ETNs, you will receive less, and possibly significantly less, than your original investment in the CSLS ETNs.

    No Interest Payments - You will not receive any periodic interest payments on the CSLS ETNs.

    A Trading Market for the CSLS ETNs May Not Develop - Although we have listed the CSLS ETNs on NYSE Arca, a trading market for your CSLS ETNs may not develop. We are not required to maintain any listing of the CSLS ETNs on NYSE Arca or any other exchange.

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

    Restrictions on Repurchases by Credit Suisse - You must offer at least the applicable minimum repurchase amount to Credit Suisse for your offer for repurchase to be considered.

    Your Offer for Repurchase Is Irrevocable - You will not be able to rescind your offer for repurchase 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.

    Uncertain Tax Treatment - No ruling is being requested from the Internal Revenue Service ("IRS") with respect to the tax consequences of the CSLS ETNs. There is no direct authority dealing with securities such as the CSLS ETNs, and there can be no assurance that the IRS will accept, or that a court will uphold, the tax consequences 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 forward contracts. Accordingly, no assurance can be given that future tax legislation, regulations or other guidance may not change the tax treatment of the CSLS ETNs. Potential investors should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the CSLS ETNs, including possible alternative treatments.

    Call Feature - Your CSLS ETNs may be repurchased on or after February 19, 2012 if the principal amount of the CSLS ETNs outstanding is 500,000 CSLS ETNs or less.

  • Is this the right investment for me?

    Investment suitability must be determined individually for each investor, and the CSLS ETNs may not be suitable for all investors.

    The CSLS ETNs may be a suitable investment for you if:

    You seek an investment with a return linked to the performance of the CS L/S Liquid Index.

    You believe the level of the CS L/S Liquid Index will increase by an amount sufficient to offset the fees associated with the CSLS ETNs and to provide you with a satisfactory return on your investment during the term of the CSLS ETNs.

    You are willing to accept the risk of fluctuations in the level of the CS L/S Liquid Index.

    You do not seek current income from this investment.


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

    You are not willing to be exposed to fluctuations in the level of the CS L/S Liquid Index.

    You seek a guaranteed return of principal.

    You believe the level of the CS L/S Liquid Index will decrease or will not increase by an amount sufficient to offset the fees associated with the CSLS ETNs during the term of the CSLS ETNs.

    You prefer the lower risk and therefore accept the potentially lower returns of fixed income investments with comparable maturities and credit ratings.

    You seek current income from your investment.

  • Does an investment in the CSLS ETNs entitle me to any ownership interests in the Market Factors comprising the CS L/S Liquid Index?

    No. An investment in the CSLS ETNs does not entitle you to any ownership interest or rights in the Market Factors comprising the CS L/S Liquid Index. You will not have any voting rights with respect to any stocks underlying the Market Factors, receive dividend payments or other distributions or have any other interest or rights in any stocks underlying the Market Factors which comprise the CS L/S Liquid Index merely as a result of your ownership of the CSLS ETNs.

  • Will the CSLS ETNs be distributed by affiliates of the Issuer?

    Our affiliate, CSSU, a member of the Financial Industry Regulatory Authority ("FINRA") participated in the initial distribution of the CSLS ETNs on the initial settlement date and will likely participate in any future distribution of the CSLS ETNs. CSSU is expected to charge normal commissions for the purchase of any CSLS 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 of NASD Rule 2720 of FINRA regarding a FINRA member firm's distribution of the securities of an affiliate and related conflicts of interest. In accordance with NASD Rule 2720, CSSU may not make sales in offerings of the CSLS ETNs to any of its discretionary accounts without the prior written approval of the customer.

  • What are the U.S. federal income tax consequences of investing in the CSLS ETNs?

    Please refer to the applicable pricing supplement for a discussion of certain U.S. federal income tax considerations for making an investment in the CSLS ETNs.

  • How has the CS L/S Liquid Index performed historically?

    Updates to the historical values of the CS L/S Liquid Index are available under the tab "ETNs linked to the Credit Suisse Long/Short Liquid Index (Net) - Charts". Past performance is based upon a certain set of data, estimates and assumption and is not necessarily indicative of how the CS L/S Liquid Index would have performed under a different set of parameters or how the CS L/S Liquid Index will perform in the future.