Filed pursuant to Rule 433
Registration Statement No. 333-180300-03
March 3, 2014

 

ETN Performance Report: February 2014

Credit Suisse ETNs seek to deliver access to alternative investment strategies in an exchange-traded format. They are senior, unsecured, unsubordinated debt securities designed to track the return of a specific market index less applicable fees. Each of the ETNs are listed on the NYSE Arca or the Nasdaq Stock Market, as applicable. 1

Historical Performance 2              
    Inception 1 Month Total 3 Month Total YTD Total 1 Year Total Annualized
  Ticker Date Return Return Return Return Volatility**
Credit Suisse Long/Short Equity Index ETN CSLS 2/19/2010 1.41% -0.32% -0.49% 8.76% 6.15%
Credit Suisse Equal Weight MLP Index ETN MLPN 4/13/2010 0.91% 2.30% 1.23% 21.16% 14.41%
Credit Suisse Merger Arbitrage Index ETN CSMA 10/1/2010 1.26% 0.34% 0.25% 4.17% 3.83%
Credit Suisse Merger Arbitrage Index Leveraged ETN    CSMB 3/7/2011 2.47% 0.54% 0.38% 7.90% 7.65%
Credit Suisse Market Netural Equity ETN CSMN 9/20/2011 1.64% 1.57% 1.56% 1.01% 5.38%
Credit Suisse Gold Shares Covered Call ETN GLDI 1/28/2013 4.35% 4.87% 8.11% -16.00% 19.79%
Credit Suisse Silver Shares Covered Call ETN* SLVO 4/16/2013 10.26% 6.89% 9.46% n/a 26.49%
Credit Suisse Commodity Benchmark ETN* CSCB 6/11/2013 5.39% 5.55% 3.68% n/a 9.90%
Credit Suisse Commodity Rotation ETN* CSCR 6/11/2013 4.15% 2.22% 2.90% n/a 9.10%
S&P 500 Total Return Index SPTR   4.57% 3.51% 0.96% 25.37% 11.52%
DJ-UBS Commodity Index Total Return DJUBSTR   6.24% 7.87% 6.55% -1.84% 10.55%
Barclays Capital US Aggregate Total Return Index LBUSTRUU   0.53% 1.44% 2.02% 0.15% 3.50%
Gold Spot Price GOLDS   6.58% 5.82% 10.02% -16.03% 22.38%

*Based on data since the inception date.
**Annualized volatility based on trailing 12 months (unless ETN inception is within the 12 month period, in which case, represents annualized volatility since inception).

Correlation Heat Map 2,3

The matrix below depicts the correlation of the daily returns for each ETN, index or spot price, as applicable, over the past 12 months. Dark blue represents lower correlation (less than 0), light blue represents mid-correlation (between 0 and 0.67), and white represents higher correlation (greater than 0.67).

  SPTR DJUBSTR LBUSTRUU GOLDS
CSLS 0.88 0.28 0.00 0.17
MLPN 0.53 0.22 0.04 0.13
CSMA 0.45 0.16 0.11 0.19
CSMB 0.45 0.16 0.11 0.19
CSMN 0.29 0.18 -0.18 0.04
GLDI 0.15 0.48 0.27 0.95
SLVO* 0.11 0.47 0.29 0.85
CSCB* 0.28 0.84 0.13 0.38
CSCR* 0.24 0.76 0.13 0.29

 

*Based on data since the inception date.

Monthly Performance 2

The chart below depicts the monthly performance of each ETN along with several benchmarks. All the returns have been sorted from largest to smallest return during the month. Note that the blue highlighted bars represent the benchmarks.




For More Information: ETN Desk: 212 538 7833 Email: ETN.Desk@credit-suisse.com Website: www.credit-suisse.com/etn

 

 
 

1 We have no obligation to maintain any listing on NYSE Arca, the Nasdaq Stock Market or any other exchange and we may delist the ETNs at any time.

2 Past performance is not indicative of future results. The ETN total return information set forth herein for each of the ETNs (other than the GLDI, SLVO and MLPN ETNs) is based on the indicative value of such ETN. The GLDI, SLVO and MLPN ETNs total returns are based on the indicative value of the respective ETN over the relevant period plus any coupon payments paid to holders of such ETN during the relevant period. The actual trading prices of the ETNs may vary significantly from their indicative values. Annualized volatility is calculated by annualizing the standard deviation of daily returns over the last twelve months or, in the case of SLVO, CSCB and CSCR, since inception.

3 A correlation coefficient is a measure of how the value of two assets have changed in relation to each other. A correlation coefficient of 1 implies that as the value of one asset changed (either positively or negatively), the value of the other asset changed in the same direction. Alternatively, a correlation coefficient of -1 implies that the values of the assets moved in opposite directions. A correlation coefficient of 0 implies that changes in the value of the assets were random (no correlation).

Sources: Credit Suisse Alternative Capital, Inc., and Bloomberg. All data was obtained from publicly available information, internally developed data and other third-party sources believed to be reliable. Credit Suisse AG has not sought to independently verify information obtained from public and third-party sources.

Credit Suisse ETNs are senior, unsecured, unsubordinated debt securities designed to track the return of a specific market index less applicable fees. Each of the ETNs is listed on the NYSE Arca or the Nasdaq Stock Market, as applicable.

We and our affiliates play a variety of roles in connection with the issuance of the ETNs, including acting as Calculation Agent and as agent of the Issuer for the offering of the ETNs, and hedging our obligations under the ETNs. The Calculation Agent will, among other things, decide the amount of the return paid out to you on your ETNs at maturity or upon redemption or acceleration. In performing these duties, the economic interests of us and our affiliates are potentially adverse to your interests as an investor in the ETNs.

Credit Suisse AG (“Credit Suisse”) has filed a registration statement (including prospectus supplement and prospectus) with the Securities and Exchange Commission, or SEC, for the offering of the ETNs. Before you invest, you should read the applicable pricing supplement, the Prospectus Supplement dated March 23, 2012, and the Prospectus dated March 23, 2012, to understand fully the terms of the ETNs and other considerations that are important in making a decision about investing in the ETNs. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Credit Suisse or any agent or dealer participating in an offering will arrange to send you the applicable pricing supplement, prospectus supplement and prospectus if you so request by calling toll-free 1 (800) 221-1037.

You may access the applicable pricing supplement related to the ETNs discussed herein on our website at www.credit-suisse.com/etn.

You may access the prospectus supplement and prospectus on the SEC website at www.sec.gov or by clicking on the hyperlinks to each of the respective documents incorporated by reference in the pricing supplement.

Copyright © 2014. Credit Suisse Group AG and/or its affiliates. All rights reserved.

For More Information: ETN Desk: 212 538 7833 Email: ETN.Desk@credit-suisse.com Website: www.credit-suisse.com/etn

 

 
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