The Credit Suisse Merger Arbitrage Index Leveraged 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 on a leveraged basis to the return of the Credit Suisse Merger Arbitrage Liquid Index (Net) (the "Index"). The Index is designed to provide exposure to a merger arbitrage investment strategy as represented by long and short positions in announced deals within the United States, Canada and Western Europe. The ETNs are listed on the NYSE Arca under the ticker symbol "CSMB".The ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the ETNs.

Product Data (as of 17 Apr 2014)

   

Closing Price:

$20.33

 

ETNs Outstanding:

397,700

 

Market Capitalization*:

$8,085,241

 

* Market Capitalization = Closing Price x ETNs Outstanding

Market Data (as of 17 Apr 2014)

       

Closing Price:

$20.33

 

High (Daily):

$20.50

Net Change (Daily):

$0.00

 

Low (Daily):

$20.32

% Change (Daily):

0.00%

 

Volume:

3,400

     

20-Day Volume Average:

4,664

Profile

       

Primary Exchange:

NYSE Arca

Leverage Factor:

2.0

 

ETN Ticker:

CSMB

Annual Investor Fee:

0.55%

 

Bloomberg ETN Keystroke:

CSMB<EQUITY><GO>

ETN Leverage Charge:

1M Libor(t-1) + 0.95%

 

Underlying CS Merger Arbitrage Liquid Index Ticker:

CSLABMN

CUSIP:

22542D753

 

Inception Date:

07 Mar 2011

Maturity Date:

13 Mar 2031

 

Returns (as of 17 Apr 2014)

           
 

1 mo.

3 mo.

6 mo.

YTD

1 Yr.

Since Note Incept.

CSMB

-1.64%

0.00%

-1.21%

-1.98%

2.42%

1.65%

CSLABMN

-1.49%

-0.42%

-0.52%

-0.85%

1.58%

2.83%

*Historical performance data is not indicative of future performance of the Credit Suisse Merger Arbitrage Liquid Index (Net) or of what the value of the ETNs may be. The Index includes 0.5% p.a. index calculation fee. The ETN includes 0.55% p.a. annual investor fee.

Historical Performance

   
 

2013

2014 YTD

Credit Suisse Merger Arbitrage Liquid Index (Net)*

6.58%

-0.85%

S&P 500® Index (TRI)

29.60%

0.89%

*The above chart sets forth the actual performance of the CS Merger Arbitrage Liquid Index from September 1, 2010 to the present. Historical performance is not indicative of future performance or what the value of the ETNs may be. The Index includes 0.50% p.a. of index calculation fees. The above chart includes this index calculation fee but does not include the annual investor fee, the leverage charge and the accrued fee amount associated with the ETNs which will reduce the amount of the return on the ETNs at maturity or upon repurchase by Credit Suisse.

Performance Chart (CSLABMN):

 

Performance Periods:

Performance of the Credit Suisse Merger Arbitrage Liquid Index (Net)

Rebased for comparison purposes:

 

Performance Periods:

Performance comparison

CS Merger Arbitrage Liquid Index Components

Company Name

Ticker

Weight in Index*

Date Added

Paired Stock

  AARON'S INC

AAN US

3.1%

13-Mar-2014

  ACTAVIS PLC

ACT US

-4.9%

25-Feb-2014

  AMCOL INTERNATIONAL CORP

ACO US

3.0%

13-Mar-2014

  AMEC PLC

AMEC LN

-2.8%

21-Jan-2014

  ARTHROCARE CORP

ARTC US

3.8%

10-Feb-2014

  ATMI INC

ATMI US

3.3%

11-Feb-2014

  AZ ELECTRONIC MATERIALS

AZEM LN

5.0%

12-Dec-2013

  BEAM INC

BEAM US

7.3%

21-Jan-2014

  BOURBON SA

GBB FP

3.2%

24-Mar-2014

  BROOKDALE SENIOR LIVING INC

BKD US

-2.6%

27-Feb-2014

  CARACAL ENERGY INC - DI

CRCL LN

-3.1%

24-Mar-2014

  COMCAST CORP-CLASS A

CMCSA US

-7.5%

21-Feb-2014

  EMERITUS CORP

ESC US

2.5%

27-Feb-2014

BKD US

  ESSAR ENERGY PLC

ESSR LN

3.1%

21-Mar-2014

  F&C ASSET MANAGEMENT PLC

FCAM LN

3.6%

04-Feb-2014

  FOREST LABORATORIES INC

FRX US

6.7%

25-Feb-2014

ACT US

  FOSTER WHEELER AG

FWLT US

5.3%

21-Jan-2014

AMEC LN

  GOLDCORP INC

G CN

-2.6%

21-Jan-2014

  HOLCIM LTD-REG

HOLN VX

-7.0%

14-Apr-2014

  HUDSON CITY BANCORP INC

HCBK US

5.9%

05-Sep-2012

MTB US

  JOS A BANK CLOTHIERS INC

JOSB US

3.1%

13-Jan-2014

  LAFARGE SA

LG FP

7.2%

14-Apr-2014

HOLN VX

  LSI CORP

LSI US

5.9%

23-Dec-2013

  M & T BANK CORP

MTB US

-6.1%

05-Sep-2012

  MARTIN MARIETTA MATERIALS

MLM US

-5.2%

04-Feb-2014

  MB FINANCIAL INC

MBFI US

-2.0%

22-Jul-2013

  OMNICOM GROUP

OMC US

6.6%

05-Aug-2013

PUB FP

  OSISKO MINING CORP

OSK CN

5.3%

21-Jan-2014

G CN

  PUBLICIS GROUPE

PUB FP

-6.6%

05-Aug-2013

  RF MICRO DEVICES INC

RFMD US

-3.1%

03-Mar-2014

  SCANIA AB-B SHS

SCVB SS

6.1%

28-Feb-2014

  TAYLOR CAPITAL GROUP INC

TAYC US

2.4%

22-Jul-2013

MBFI US

  TEXAS INDUSTRIES INC

TXI US

5.2%

04-Feb-2014

MLM US

  TIME WARNER CABLE

TWC US

7.2%

21-Feb-2014

CMCSA US

  TRANSGLOBE ENERGY CORP

TGL CN

2.2%

24-Mar-2014

CRCL LN

  TRIQUINT SEMICONDUCTOR INC

TQNT US

3.1%

03-Mar-2014

RFMD US

  UNS ENERGY CORP

UNS US

4.5%

18-Dec-2013

 

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

 

CS Merger Arbitrage Liquid Index

S&P 500® Index (TRI)

Average Month

0.03%

2.44%

Best Month

2.31%

5.09%

Worst Month

-0.96%

-3.46%

One Year Total Return

3.21%

21.52%

Annualized Standard Deviation

3.75%

11.32%

Sharpe Ratio

0.83

1.89

 
 

Correlation of various indices to the Credit Suisse Merger Arbitrage Liquid Index (Net) 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

0.113231416

0.311388054

0.446306559

-0.013743792

 
The above table sets forth data based on the actual historical performance of the CS Merger Arbitrage Liquid Index from Jan 31, 2013 - Jan 31, 2014. The index rules were revised on September 1, 2010 and therefore, the index performance and index levels prior to such date do not reflect the modification to the index that took place on that date. Historical performance is not indicative of future performance. The Index includes 0.50% p.a. of index calculation fees. The above table takes into account this index calculation fee but does not include the annual investor fee, the leverage charge and the accrued fee amount associated with the ETNs which will reduce the amount of the return on the ETNs at maturity or upon repurchase by Credit Suisse.
  • The following is a summary of frequently asked questions relating to the terms of the ETNs Linked on a Leveraged Basis to the Credit Suisse Merger Arbitrage Liquid Index (Net) (the "CSMB 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 CSMB ETNs) in the applicable pricing supplement and the accompanying prospectus supplement and prospectus before investing in the CSMB 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 CSMB ETNs and how do they work?

      The CSMB ETNs are medium-term notes of Credit Suisse AG, the return on which is linked on a leveraged basis to the performance of the Credit Suisse Merger Arbitrage Liquid Index (Net) (the "CS Merger Arbitrage Index").

      We will not pay you interest during the term of the CSMB ETNs. The CSMB ETNs do not have a minimum redemption or repurchase amount and are fully exposed to any decline in the CS Merger Arbitrage Index. Depreciation of the CS Merger Arbitrage Index will reduce your payment at maturity, and you could lose your entire investment.

      The CSMB ETNs are designed to reflect a leveraged exposure to the performance of the CS Merger Arbitrage Index on a monthly basis, but their returns over longer periods of time can, and most likely will, differ significantly from two times the return on a direct investment in the CS Merger Arbitrage Index. The CSMB ETNs are very sensitive to changes in the performance of the CS Merger Arbitrage Index, and returns on the CSMB ETNs may be negatively impacted in complex ways by volatility of the CS Merger Arbitrage Index on a monthly basis. Accordingly, the CSMB ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the CS Merger Arbitrage Index and of seeking monthly compounding leveraged investment results. Investors should actively and frequently monitor their investments in the CSMB ETNs.

      The denomination and stated principal amount of each ETN is $20. Any CSMB ETNs 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 CSMB 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 CSMB 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 CSMB ETNs by individual investors. Accountholders in the Euroclear or Clearstream Banking clearance systems may hold beneficial interests in the CSMB ETNs through the accounts those systems maintain with DTC.

    • What is the CS Merger Arbitrage Liquid Index and who publishes the level of the CS Merger Arbitrage Liquid Index?

      The CS Merger Arbitrage Index was created by Credit Suisse Alternative Capital, Inc., as index sponsor and uses a quantitative methodology to track a dynamic basket of securities held as long or short positions (the "index components") and cash weighted in accordance with certain rules to include publicly announced merger and acquisition transactions that meet certain qualifying conditions. It is designed to capture the spread, if any, between the price at which the stock of a target company trades after a proposed acquisition of such target company is announced and the price that the acquiring company has proposed to pay for the stock of such target company. The spread between these two prices typically exists due to the uncertainty that the announced merger or acquisition will close and, if it closes, that such merger or acquisition will be at the initially proposed economic terms.

      The CS Merger Arbitrage Index was established on December 31, 2009 with an initial value of 1,000. The index components selected for inclusion in calculating the CS Merger Arbitrage Index, as well as their respective weightings, are determined on each rebalancing date. NYSE Arca, Inc., or another party designated by the index committee, will act as the calculation agent for the CS Merger Arbitrage Index and will be responsible for the calculation of the level of the CS Merger Arbitrage Index, using the data and methodologies described in the applicable pricing supplement and as determined by the index committee. The Bloomberg ticker symbol for the CS Merger Arbitrage Index is "CSLABMN ".

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

      Unless your CSMB ETNs have been previously repurchased by us, either at your election or at ours, the CSMB ETNs will mature on March 13, 2031. 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 CSMB ETNs have not been previously repurchased by Credit Suisse, at maturity you will receive a cash payment in an amount equal to the closing value of your CSMB ETNs on the final valuation date.

      The closing value of the CSMB ETNs on any trading day equals the quotient obtained by dividing the product of the leverage factor and the closing level of the CS Merger Arbitrage Index on such trading day by the ETN divisor as of such trading day, minus the sum of (i) the accrued fee amount as of such trading day, (ii) the leverage amount as of such trading day and (iii) the leverage charge for such trading day.

      The leverage factor equals 2.0.

      The ETN divisor resets on the first calendar day of each calendar month. For the calendar month that includes the inception date, the ETN divisor equals 55.07303075, which is equal to the closing level of the CS Merger Arbitrage Index on the inception date, divided by $20, which is the stated principal amount per ETN. For any subsequent calendar month, the ETN divisor equals the closing level of the CS Merger Arbitrage Index on the last calendar day of the previous calendar month (or, if such last calendar day is not a trading day, the level of the CS Merger Arbitrage Index at 5:00 p.m., New York City time, on that day as determined by the calculation agent) divided by the closing value of the CSMB ETNs on such last calendar day of the previous calendar month (or, if such last calendar day is not a trading day, the indicative value of the CSMB ETNs at 5:00 p.m., New York City time, on that day).

      As of any day (the "accrued fee amount calculation day"), the accrued fee amount is equal to the sum, for each calendar day from and including the first calendar day in the calendar month that includes the accrued fee amount calculation day to and including such accrued fee amount calculation day, of:

      ETN Closing Valuet-1 x Annual Investor Fee x 1/365

      where ETN Closing Valuet-1 means the closing value of the CSMB ETNs on the previous calendar day (or, if such previous calendar day is not a trading day, the indicative value of the CSMB ETNs at 5:00 p.m., New York City time, on that day) and annual investor fee means 0.55% per annum.

      The leverage amount resets on the first calendar day of each calendar month. For the calendar month that includes the inception date, the leverage amount equals $20.00, which is the stated principal amount per ETN. For any subsequent calendar month, the leverage amount equals the closing value of each ETN at 5:00 p.m., New York City time, on the last calendar day of the previous calendar month (or, if such last calendar day is not a trading day, the indicative value of each ETN at 5:00 p.m., New York City time, on that day).

      As of any day (the "leverage charge calculation day"), the leverage charge is equal to the sum, for each calendar day from and including the first calendar day in the calendar month that includes such leverage charge calculation day to and including the leverage charge calculation day, of:

      Leverage Amount x (USD 1M Libort-1 + 0.95%) x 1/360

      where USD 1M Libort-1 is the rate on the immediately preceding business day for deposits of one month in U.S. dollars as displayed on Bloomberg page "US0001M Index" (or, if such rate is not available, the rate determined by the calculation agent in a commercially reasonable manner).

      The indicative value of the CSMB ETNs at any time equals the quotient obtained by dividing the product of the leverage factor and the level of the CS Merger Arbitrage Index at such time (based on the most recent reported value of the CS Merger Arbitrage Index at such time or, if the day on which such time occurs is not a trading day, as determined by the calculation agent) by the ETN divisor as of such day, minus the sum of (i) the accrued fee amount as of the day on which such time occurs, (ii) the leverage amount as of the day on which such time occurs and (iii) the leverage charge for the day on which such time occurs.

      The closing level of the CS Merger Arbitrage Index on any trading day will be the closing level reported on the Bloomberg page "CSLABMN " or any successor page on Bloomberg or any successor service, as applicable, as determined by the calculation agent, unless a valuation date is not a component business day for any index component or a market disruption event exists on a valuation date.

      Payment Upon Repurchase

      We have the right to repurchase the CSMB ETNs in whole but not in part on any business day during the term of the CSMB ETNs. To repurchase the CSMB ETNs, we will deliver an irrevocable call notice to The Depository Trust Company ("DTC"). The trading day immediately succeeding the date the irrevocable call notice was delivered to DTC shall be the valuation date applicable to such repurchase.

      At your election you may, subject to certain restrictions, offer your CSMB ETNs for repurchase by Credit Suisse on any business day during the term of the CSMB ETNs, beginning on March 7, 2011 through March 6, 2031 , provided that you offer at least the applicable minimum repurchase amount (as described in the pricing supplement) for repurchase and follow the procedures as described below. 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 the closing value of the CSMB ETNs on any trading day is equal to or less than 25% of the leverage amount on such trading day (an "automatic early termination event"), as determined by the calculation agent, we will repurchase all of the outstanding CSMB ETNs. Upon any such repurchase, you will receive a cash payment in an amount equal to the daily repurchase value. The trading day immediately following the trading day on which the automatic early termination event occurs will be the valuation date applicable to such repurchase.

      If you choose to offer your CSMB ETNs for repurchase or they are repurchased at our option or upon the occurrence of an automatic early termination event, you will receive a cash payment on the repurchase date in an amount equal to the "daily repurchase value", which is the closing value of the CSMB ETNs on the applicable valuation date.


      A repurchase date is the third business day following a valuation date. Unless your scheduled repurchase date is postponed because the valuation date is not a component business day for any index component or due to a market disruption event, the final day on which Credit Suisse will repurchase your CSMB ETNs will be March 12, 2031. As such, you must offer your CSMB ETNs for repurchase no later than March 6, 2031. The daily repurchase feature is intended to induce arbitrageurs to counteract any trading of the CSMB ETNs at a premium or discount to their indicative value, although there can be no assurance that arbitrageurs will employ the repurchase feature in this manner.

      In addition to the accrued fee amount and the leverage charge, the CS Merger Arbitrage Index is subject to an annual index calculation fee of 0.5%, as described herein. Because the index calculation fee, the accrued fee amount and the leverage charge reduce the amount of your return at maturity or upon repurchase by Credit Suisse, the level of the CS Merger Arbitrage Index (before taking into account the index calculation fee) must increase by an amount sufficient, taking into account the leverage factor, to offset the index calculation fee, the accrued fee amount and the leverage charge applicable to your CSMB ETNs (and the fee of up to $0.03 per ETN repurchased at your option, if you elect to have us purchase your CSMB ETNs) in order for you to receive at least the principal amount of your investment at maturity or upon repurchase. If the level of the CS Merger Arbitrage Index decreases or does not increase sufficiently, you will receive less, and possibly significantly 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 CSMB ETNs?

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

    • How can I sell my CSMB ETNs?

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

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

      If you wish to offer your CSMB 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. If your irrevocable offer for repurchase is received after 4:00 p.m., New York City time, on a business day, you will be deemed to have made your offer for repurchase on the following business day. One portion of the Offer for Repurchase must be completed by you as beneficial owner of the CSMB ETNs and the other portion must be completed by your broker. You must offer at least the applicable minimum repurchase amount (50,000 CSMB ETNs) 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 CSMB 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 CSMB ETNs in respect of such deadlines. Any repurchase instructions that we receive in accordance with the procedures described above will be irrevocable.

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

      An investment in the CSMB 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 CSMB ETNs at maturity or upon repurchase. If the level of the CS Merger Arbitrage Index decreases, or does not increase by an amount sufficient, taking into account the leverage factor, to offset the index calculation fee, the accrued fee amount and the leverage charge applicable to your CSMB ETNs, you will receive less, and possibly significantly less, than your original investment in the CSMB ETNs.

      Long holding period risk - The CSMB ETNs are designed to reflect a leveraged exposure to the performance of the CS Merger Arbitrage Index on a monthly basis, but their returns over longer periods of time can, and most likely will, differ significantly from two times the return on a direct investment in the CS Merger Arbitrage Index. The CSMB ETNs are very sensitive to changes in the performance of the CS Merger Arbitrage Index, and returns on the CSMB ETNs may be negatively impacted in complex ways by volatility of the CS Merger Arbitrage Index on a monthly basis. Accordingly, the CSMB ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the CS Merger Arbitrage Index and of seeking monthly compounding leveraged investment results. Investors should actively and frequently monitor their investments in the CSMB ETNs.

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

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

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

      Requirements on repurchases by Credit Suisse - You must offer at least the applicable minimum repurchase amount to Credit Suisse and satisfy the other requirements described herein 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 CSMB ETNs. There is no direct authority dealing with securities such as the CSMB 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 forward contracts. Accordingly, no assurance can be given that future tax legislation, regulations or other guidance may not change the tax treatment of the CSMB ETNs. Potential investors should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the CSMB ETNs, including possible alternative treatments.

      Optional repurchase feature - We have the right to repurchase the CSMB ETNs in whole but not in part on any business day during the term of the CSMB ETNs. If your CSMB ETNs are repurchased by us, you will receive a cash payment in an amount equal to the daily repurchase value, which is the closing value of the CSMB ETNs on the applicable valuation date.

      Repurchase upon occurrence of automatic early termination event - In the event of an automatic early termination event (as defined in "How will payment at maturity or payment at repurchase be determined for the CSMB ETNs?"), as determined by the calculation agent, we will repurchase all of the outstanding CSMB ETNs. Upon any such repurchase, you will receive a cash payment in an amount equal to the daily repurchase value. The trading day immediately following the trading day on which the automatic early termination event occurs will be the valuation date applicable to such repurchase.

    • Is this the right investment for me?

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

        You seek an investment with a return linked on a leveraged basis to the performance of the CS Merger Arbitrage Liquid Index.

        You believe the level of the CS Merger Arbitrage Index will increase by an amount sufficient, taking into account the leverage factor, to offset the index calculation fee, the accrued fee amount and the leverage charge (and the fee of up to $0.03 per ETN repurchased at your option, if you elect to have us repurchase your CSMB ETNs), and to provide you with a satisfactory return on your investment during the term of the CSMB ETNs.

        You are a knowledgeable investor who understands the potential consequences of investing in the CS Merger Arbitrage Index and of seeking monthly compounding leveraged investment results.

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

        You are willing to accept the risk of fluctuations in the level of the CS Merger Arbitrage Index.

        You do not seek current income from this investment.

      The CSMB 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 Merger Arbitrage Liquid Index.

        You seek a guaranteed return of principal.

        You seek an investment with a longer investment objective than one month.

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

        You believe the level of the CS Merger Arbitrage Index will decrease or will not increase by an amount sufficient, taking into account the leverage factor, to offset the index calculation fee, the accrued fee amount and the leverage charge during the term of the CSMB 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 CSMB ETNs entitle me to any ownership interests in the Index Components comprising the CS Merger Arbitrage Liquid Index?

      No. An investment in the CSMB ETNs does not entitle you to any ownership interest or rights in the index components comprising the CS Merger Arbitrage Index. You will not have any voting rights with respect to any index component, receive dividend payments or other distributions or have any other interest or rights in any index component merely as a result of your ownership of the CSMB ETNs.

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

      Our affiliate, CSSU, a member of the Financial Industry Regulatory Authority ("FINRA") will participate in the initial distribution of the CSMB ETNs on the initial settlement date and will likely participate in any future distribution of the CSMB ETNs. CSSU is expected to charge normal commissions for the purchase of any CSMB 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 FINRA Rule 5121 regarding a FINRA member firm's distribution of the securities of an affiliate and related conflicts of interest. In accordance with FINRA Rule 5121, CSSU may not make sales in offerings of the CSMB ETNs to any of its discretionary accounts without the prior written approval of the customer.

    • What is the U.S. Federal income tax treatment of an investment in the CSMB 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 CSMB ETNs.

    • How has the CS Merger Arbitrage Liquid Index performed historically?

      Updates to the historical values of the CS Merger Arbitrage Index are available under the tab "ETNs Linked on a Leveraged Basis to the Credit Suisse Merger Arbitrage 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 Merger Arbitrage Index would have performed under a different set of parameters or how the CS Merger Arbitrage Index will perform in the future. In addition, the index rules were revised on September 1, 2010. The CS Merger Arbitrage Index performance prior to September 1, 2010 does not reflect the modification to the index rules that took place on that date.