SUMMARY
The following is
a summary of terms of the ETNs, as well as a discussion of risks and other considerations you should take into account when deciding
whether to invest in the ETNs. References to the “prospectus” mean our accompanying prospectus, dated March 23, 2012,
and references to the “prospectus supplement” mean our accompanying prospectus supplement, dated March 23, 2012.
We
may, without providing you notice or obtaining your consent, create and issue ETNs in addition to those offered by this pricing
supplement having the same terms and conditions as the ETNs. We may consolidate the additional ETNs to form a single class with
the outstanding ETNs
. However, we are under no obligation to sell additional ETNs at any time, and if we do sell additional
ETNs, we may limit or restrict such sales, and we may stop selling additional ETNs at any time. If we stop selling additional
ETNs, the price and liquidity of the ETNs could be materially and adversely affected.
What are the ETNs and how do they work?
The 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 “
Index
”).
We will not pay
you interest during the term of the ETNs. The ETNs do not have a minimum payment at maturity, upon early redemption or acceleration
and are fully exposed to any decline in the Index.
For a description
of how the payment at maturity, upon early redemption or acceleration is calculated, please refer to the “Specific Terms
of the ETNs—Payment at Maturity,” “—Payment Upon Early Redemption” and “—Acceleration
at Our Option or Upon an Acceleration Event” sections in this pricing supplement.
The denomination
and stated principal amount of each ETN is $20.00. Any 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 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 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 ETNs by individual investors. Accountholders in the Euroclear or Clearstream Banking clearance systems
may hold beneficial interests in the ETNs through the accounts those systems maintain with DTC. You should refer to the section
“Description of Notes—Book-Entry, Delivery and Form” in the accompanying prospectus supplement and the section
“Description of Certain Provisions Relating to Debt Securities and Contingent Convertible Securities—Book-Entry System”
in the accompanying prospectus.
The 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 ETNs will not affect the aggregate stated principal amount of ETNs held by an investor, other than to the extent of any
“partial” ETNs, but it will affect the number of ETNs an investor holds, the denominations used for trading purposes
and the trading price, and may affect the liquidity, of the ETNs on the exchange. See “Description of the ETNs—Split
or Reverse Split of the ETNs.”
An investment in
the ETNs involves significant risks and is not appropriate for every investor. Investing in the ETNs is not equivalent to investing
directly in the Index. Accordingly, the ETNs should be purchased only by knowledgeable investors who understand the terms of the
investment in the ETNs and are familiar with the behavior of the 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 ETNs and
should regularly monitor their holdings of the ETNs to ensure that they remain consistent with their investment strategies.
What is the Index and who publishes the level of the
Index?
The Credit Suisse
Commodity Backwardation Total Return Index (the “
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 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 <Index>”. 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. See “The Index” in this
pricing supplement for further information on the Index.
The Calculation
Agent may modify, replace or adjust the Index under certain circumstances even if the Index Sponsor continues to publish the Index
without modification, replacement or adjustment. See “Risk Factors—The Index Sponsor may modify the Index” and
“Specific Terms of the ETNs—Discontinuation or Modification of the Index” in this pricing supplement for further
information.
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.
How has the Index performed historically?
Publication of
the Index began on February 21, 2012. Therefore, the Index has very limited actual performance history. No actual investment in
securities linked to the Index was possible prior to February 21, 2012.
The following graph
sets out the retrospectively calculated performance of the Index from September 3, 2002 to February 21, 2012 and the historical
performance from February 21, 2012 to June 10, 2013. The Closing Level of the Index on the Inception Date was 17,787.821.
Because the Index was published beginning only on February 21, 2012, we have calculated the retrospective performance of the Index
based on historical data. We obtained the closing levels below from Bloomberg, without independent verification. See “The
Index” for a description of the methodology applicable to the Index.
The graph below
does not represent the actual return you should expect to receive on the ETNs. Retrospective and historical performance of the
Index is not indicative of future performance of the Index or your
investment in the
ETNs. The ETNs do not guarantee any return of, or on, your initial investment. Any payment on the ETNs is subject to our ability
to satisfy our obligations as they become due.
Will I receive interest on the
ETNs?
You will not receive
any interest payments on your ETNs. The ETNs are not designed for investors who are looking for periodic cash payments. Instead,
the ETNs are designed for investors who are willing to forgo cash payments and, if the 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 ETNs?
Unless your ETNs
have been previously redeemed or accelerated, the ETNs will mature on June 15, 2033 (the “
Maturity Date
”),
provided
that the maturity of the ETNs may be extended at our option as described herein under “Specific Terms of
the ETNs—Payment at Maturity.”
Payment at Maturity
If your 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 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 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 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 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 ETNs in the secondary market. The trading price of the
ETNs at any time may vary significantly from their indicative value at such time. See “Description of the ETNs—Intraday
Indicative Value.” If the ETNs undergo a split or reverse split, the Closing Indicative Value of the ETNs will be adjusted
accordingly (see “Description of the ETNs—Split or Reverse Split of the ETNs” in this pricing supplement). Such
adjustment may adversely affect the trading price and liquidity of the ETNs. CSI is responsible for computing and disseminating
the Closing Indicative Value.
The “
Intraday
Indicative Value
” of the 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 Index. If the Intraday Indicative Value of the 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
.
See “Description of the ETNs—Intraday Indicative Value” in this pricing
supplement.
The “
Daily
Index Factor
” on any Index Business Day will equal (a) the Closing Level of the Index on such Index Business Day
divided
by (b) the Closing Level of the Index on the immediately preceding Index Business Day. The Daily Index Factor is deemed to
be one on any day that is not an 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 Index Business Day, (ii) an ETN Business Day and (iii) an Eligible Index Business
Day for each of the Index Components.
An “
Index
Business Day
” is a day on which the level of the 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 are 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 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 ETNs do
not guarantee any return of principal. If the level of the 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 ETNs, you
will receive less than the principal amount of your investment at maturity, upon early redemption or acceleration of the ETNs.
See “Hypothetical Examples” and “Risk Factors—Even if the Closing Level of the Index on the applicable
Valuation Date exceeds the initial Closing Level of the Index on the date of your investment, you may receive less than your initial
investment amount of your ETNs” in this pricing supplement for additional information on how the Daily Investor Fee affects
the overall value of the ETNs.
The “
Closing
Level
” of the Index on any Index Business Day will be the closing level published on Bloomberg under the ticker symbol
“CSCUBKTR <Index>” 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 Index
according to the methodology described below
in “Specific Terms of the 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.
For a further description
of how your payment at maturity will be calculated, see “Hypothetical Examples” and “Specific Terms of the ETNs”
in this
pricing supplement
.
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
ETNs to us for redemption on an Early Redemption Date during the term of the ETNs until June 2, 2033 (or, if the maturity of the
ETNs is extended, five scheduled Trading Days prior to the scheduled Final Valuation Date, as extended). If you elect to offer
your 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 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 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. See “Specific Terms of the ETNs—Redemption
Procedures” in this pricing supplement.
You must offer
for redemption at least 50,000 ETNs, or an integral multiple of 50,000 ETNs in excess thereof, at one time in order to exercise
your right to cause us to redeem your 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 ETNs at the time the reduction becomes
effective. If the ETNs undergo a split or reverse split, the minimum number of 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 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 ETNs,
we will have the right to accelerate all or any portion of the outstanding ETNs (an “
Event Acceleration
”).
Upon an acceleration of all of the outstanding 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 ETNs during the Accelerated
Valuation Period. If fewer than all of the outstanding ETNs are accelerated, the Accelerated Redemption Amount will be the Closing
Indicative Value on the Accelerated Valuation Date. If less than all the 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 ETNs
to be redeemed pursuant to such acceleration. ETNs may be accelerated in part in multiples of 50,000 ETNs, or an integral multiple
of 50,000 ETNs in excess thereof. We will provide at least five Business Days’ notice of any ETNs to be accelerated and,
in the case of any ETNs selected for partial redemption, the stated principal amount thereof to be redeemed. All provisions relating
to the acceleration of the ETNs to be redeemed only in part, relate to the portion of the stated principal amount of ETNs which
has been or is to be redeemed pursuant to these acceleration provisions.
Any payment you
will be entitled to receive on the ETNs is subject to our ability to pay our obligations as they become due.
In the case of
an Optional Acceleration of all outstanding 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 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 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 ETNs through customary channels used to deliver notices to holders of exchange
traded notes. See “Specific Terms of the ETNs—Acceleration at Our Option or Upon an Acceleration Event” in this
pricing supplement.
Any 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 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.
For a further description
of how your Payment at Maturity or payment upon early redemption or acceleration will be calculated, see “Hypothetical Examples”
and “Specific Terms of the ETNs” in this pricing supplement.
What will be the Intraday Indicative
Value of the ETNs?
The “
Intraday
Indicative Value
” of the 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 ETNs at any time is based on the most recent intraday level of the 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 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 ETNs on that day, and all future days, will be zero.
See “Description of the ETNs—Intraday
Indicative Value” in this pricing supplement. 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 ETNs is necessarily the same as the trading price of the ETNs in the
secondary market at such time. The trading price of the ETNs at any time is the price at which you may be able to sell your ETNs
in the secondary market at such time, if one exists. The trading price of the ETNs at any time may vary significantly from the
Intraday Indicative Value and the Closing Indicative Value of the ETNs at such time. Paying a premium purchase price over the
Indicative Value of the ETNs could lead to significant losses in the event the investor sells the ETNs at a time when such premium
is no longer present in the market place or the ETNs are accelerated (including at our option).
We
may, without providing you notice or obtaining your consent, create and issue ETNs in addition to those offered by this pricing
supplement having the same terms and conditions as the ETNs.
However, we are under no obligation to sell additional ETNs
at any time, and we may suspend issuance of new ETNs at any time without providing you notice or obtaining your consent. If we
stop selling additional ETNs, the price and liquidity of the ETNs could be materially and adversely affected, including an increase
in the premium purchase price of the ETNs over the Intraday Indicative Value of the 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 ETNs.
How do you sell your ETNs?
We intend to list
the ETNs on NYSE Arca under the ticker symbol “CSCR”. If an active secondary market in the ETNs develops, we expect
that investors will purchase and sell the ETNs primarily in this secondary market through the exchange on which such ETNs are
listed. We have no obligation to maintain any listing on any exchange.
The trading price
of the ETNs at any time is the price at which you may be able to sell your ETNs in the secondary market at that time. The trading
price of the ETNs at any time may vary significantly from the indicative values of the ETNs at such time. Paying a premium purchase
price over the indicative value of the ETNs could lead to significant losses in the event you sell your ETNs at a time when such
premium is no longer present in the market place or your 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 ETNs for
redemption by Credit Suisse?
If you wish to
offer your ETNs to Credit Suisse for redemption, your broker must follow the following procedures:
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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;
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Cause
your DTC custodian
to book a delivery
versus payment trade
with respect to the
ETNs on the applicable
Early Redemption Valuation
Date at a price equal
to the applicable
Early Redemption Amount,
facing us; and
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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).
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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 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 ETNs?
An investment in
the ETNs involves significant risks. Investing in the ETNs is not equivalent to investing directly in the
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 this pricing supplement.
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Uncertain
Principal Repayment
–
The ETNs are designed
for investors who
seek exposure to the
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 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 Index
times
a Daily Index
Factor and less a
Daily Investor Fee.
If the Index declines,
investors should be
willing to lose up
to 100% of their investment.
Any payment on the
ETNs is subject to
our ability to pay
our obligations as
they become due.
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Credit
Risk of the Issuer
–
Any payments you are
entitled to receive
on your ETNs are subject
to the ability of
Credit Suisse to pay
its obligations as
they become due.
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Concentration
Risk
– The
ETNs reflect a long
position in the Index,
which comprises single-commodity
indices, 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 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.
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Commodity
prices are characterized
by high and unpredictable
volatility, which
could lead to high
and unpredictable
volatility in the
Index
–
Market prices of the
commodity futures
contracts that underlie
the Eligible Indices
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 ETNs to be more
volatile than the
values of traditional
securities. These
and other factors
may affect the level
of the
Index
,
and thus the value
of your 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
Index tracks prices
of futures contracts
with expiration dates
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
Index does not provide
exposure to spot prices
of commodities –
The ETNs will
reflect the return
on the 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 Index provides exposure to the settlement prices of
futures contracts and not the spot prices of the commodities underlying the Eligible Indices. Consequently, an investment in the
ETNs is not the same as an investment in the spot prices of the commodities underlying the Eligible Indices 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 Indices
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 Indices or an increase in the value of the
ETNs. The level of the 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
Indices
–
As an owner of the
ETNs, you will not
have rights that holders
of the commodity futures
contracts included
in the Eligible Indices
may have. Investment
in the ETNs is not
a pass-through investment
in futures contracts.
Your ETNs will be
paid in cash, and
you will have no right
to receive delivery
of any components
of the Eligible Indices.
You will have no right
to receive any payment
or delivery of amounts
in respect of the
futures contracts
included in the Eligible
Indices.
|
|
·
|
No
interest payments
–
You will not receive
any periodic interest
payments on the ETNs.
|
|
·
|
A
Trading Market for
the ETNs May Not Develop
– Although
we intend to list
the ETNs on NYSE Arca,
a trading market for
your ETNs may not
develop. If an active
secondary market in
the ETNs develops,
we expect that investors
will purchase and
sell the ETNs primarily
in this secondary
market through the
exchange on which
such 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 ETNs in the
secondary market
–
The Intraday Indicative
Value and the Closing
Indicative Value of
the ETNs are not the
same as the closing
price or any other
trading price of the
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 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 Index. The
trading price of the
ETNs at any time is
the price at which
you may be able to
sell your ETNs in
the secondary market
at such time, if one
exists. The trading
price of the ETNs
at any time may vary
significantly from
the Intraday Indicative
Value of such ETNs
at such time.
|
|
·
|
Paying
a premium purchase
price over the Intraday
Indicative Value of
the ETNs could lead
to significant losses
in the event one sells
such ETNs at a time
when such premium
is no longer present
in the market place
or such ETNs are accelerated
(including at our
option)
–
Paying a premium purchase
price over the Intraday
Indicative Value of
the ETNs could lead
to significant losses
in the event one sells
such ETNs at a time
when such premium
is no longer present
in the market place
or such 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 ETNs.
We
may, without providing
you notice or obtaining
your consent, create
and issue ETNs in
addition to those
offered by this pricing
supplement having
the same terms and
conditions as the
ETNs.
However,
we are under no obligation
to sell additional
ETNs at any time,
and we may suspend
issuance of new ETNs
at any time without
|
providing
you notice or obtaining your consent. If we stop selling additional ETNs, the price and liquidity of the ETNs could be materially
and adversely affected, including an increase in the premium purchase price of the ETNs over the Intraday Indicative Value of
the 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 ETNs.
|
·
|
Potential
conflicts
–
We and our affiliates
play a variety of
roles in connection
with the issuance
of the ETNs, including
acting as Calculation
Agent and Index Sponsor
and hedging our obligations
under the ETNs. In
performing these roles,
the economic interests
of the Calculation
Agent, Index Sponsor,
and other affiliates
of ours are potentially
adverse to your interests
as an investor in
the ETNs.
|
|
·
|
Many
economic and market
factors will affect
the value of the ETNs
–
In addition to the
level of the Index
on any day, the value
of the 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 Index
at any
time,
|
|
·
|
the
expected
volatility
of the
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 Index
or the
relevant
futures
contracts
underlying
the Eligible
Indices,
|
|
·
|
supply
and demand
for the
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 ETNs
(supply
and demand
for the
ETNs will
be affected
by the
total issuance
of ETNs,
and we
are under
no obligation
to issue
additional
ETNs to
increase
the supply),
|
|
·
|
global
supply
and demand
for the
physical
commodities
underlying
the Eligible
Indices,
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
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 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
ETNs may be accelerated
at our option, in
whole or in part,
at any time
–
Credit Suisse may
accelerate your 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 ETNs.
|
|
·
|
The
Maturity Date of the
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 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 ETNs. There is
no direct authority
dealing with securities
such as the ETNs,
and there can be no
assurance that the
IRS will accept, or
that a court will
uphold, the tax treatment
described in this
pricing
supplement
.
See “Material
United States Federal
Income Tax Considerations.”
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 ETNs. Potential
investors should consult
their tax advisors
regarding the United
States federal income
tax consequences of
an investment in the
ETNs, including possible
alternative treatments.
|
Is this the right investment for
you?
The 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 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 Index and seek
exposure to commodities
futures contracts
selected according
to the 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 Index
in particular.
|
|
·
|
You
understand that the
trading price of the
ETNs at any time may
vary significantly
from the Intraday
Indicative Value and
the Closing Indicative
Value of the ETNs
at such time and that
paying a premium purchase
price over the Indicative
Value of the ETNs
could lead to significant
losses in the event
you sell the ETNs
at a time when such
premium is no longer
present in the market
place or the ETNs
are accelerated (including
at our option).
|
|
·
|
You
are willing to actively
and frequently monitor
your investment in
the ETNs.
|
|
·
|
You
have sufficient knowledge
and experience to
evaluate how the ETNs
may perform under
different conditions
and the merits and
risks of an investment
in the ETNs.
|
|
·
|
You
understand that the
prices of commodity
futures contracts
tracked by the Eligible
Indices may not correlate
with spot or front-month
futures prices of
the underlying commodities
and you appreciate
that an investment
in the 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 ETNs and are
familiar with the
behavior of the 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
ETNs at any time.
|
|
·
|
You
believe the level
of the 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 ETNs and to provide
you with a satisfactory
return on your investment
during the time you
hold the ETNs.
|
|
·
|
You
do not seek current
income from this investment.
|
|
·
|
You
do not seek a guaranteed
return of principal
and understand that
if the 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 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
ETNs, the payments
on which depend on
the creditworthiness
of Credit Suisse,
as issuer of the ETNs.
|
The 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 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 Index
or are not willing
to be exposed to commodities
futures contracts
selected according
to the rules of the
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 Index
in particular.
|
|
·
|
You
are not willing to
be exposed to the
trading price of the
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 ETNs.
|
|
·
|
You
do not have sufficient
knowledge and experience
to evaluate how the
ETNs may perform under
different conditions
or the merits and
risks of an investment
in the 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 ETNs or are
not familiar with
the behavior of the
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
ETNs at any time.
|
|
·
|
You
believe the level
of the 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 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 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
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 ETNs.
|
Investors considering
purchasing ETNs should reach an investment decision only after carefully considering, with their advisers, the suitability of
the ETNs in light of their particular circumstances.
Does an investment in the 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 ETNs does not entitle you to any ownership interest or rights in the Index Components comprising the 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 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 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 ETNs on the Initial Settlement Date and will likely participate in any future
distribution of the ETNs. CSSU is expected to charge normal commissions for the purchase of any 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 ETNs to any of its discretionary accounts without the prior written approval of the customer. Please see the
section entitled “Supplemental Plan of Distribution (Conflicts of Interest)” in this
pricing
supplement
.
What is the United States federal
income tax treatment of an investment in the ETNs?
Please refer to
“Material United States Federal Income Tax Considerations” in this pricing supplement for a discussion of material
United States federal income tax considerations for making an investment in the ETNs.
What is the role of our affiliates?
Our affiliate,
CSSU, is the underwriter for the offering and sale of the ETNs. After the initial offering, CSSU and/or other of our affiliated
dealers currently intend, but are not obligated, to buy and sell the ETNs to create a secondary market for holders of the ETNs,
and may engage in other activities described in the section “Supplemental Plan of Distribution (Conflicts of Interest)”
in this 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 ETNs. As the Calculation Agent, CSI will make determinations with respect to the
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 ETNs” in this pricing supplement.
Can you tell me more about the
effect of Credit Suisse’s hedging activity?
We expect to hedge
our obligations under the 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 Index 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 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
Index, the value of your ETNs and the amount we will pay on the ETNs determined on the Final Valuation Date, or, in the case of
early redemption or acceleration of the 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 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 Index may impair the value of your ETNs” and “Risk Factors—We
or our affiliates may have economic interests adverse to those of the holders of the ETNs” and “Supplemental Use of
Proceeds and Hedging” in this pricing supplement.
Does ERISA impose any limitations
on purchases of the ETNs?
Employee benefit
plans subject to ERISA (as defined below), entities the assets of which are deemed to constitute the assets of such plans, governmental
or other plans subject to laws substantially similar to ERISA and retirement accounts (including Keogh, SEP and SIMPLE plans,
individual retirement accounts and individual retirement annuities) are permitted to purchase the ETNs as long as either (A)(1)
no CSSU affiliate or employee is a fiduciary to such plan or retirement account that has or exercises any discretionary authority
or control with respect to the assets of such plan or retirement account used to purchase the ETNs or renders investment advice
with respect to those assets, and (2) in connection with the purchase of the ETNs, such plan or retirement account is paying no
more, and receiving no less, than adequate consideration (within the meaning of Section 408(b)(17) of ERISA or Section 4975(f)(10)
of the Code (as defined below)) or (B) its acquisition and holding of the ETNs is not prohibited by any such provisions or laws
or is exempt from any such prohibition. However, individual retirement accounts, individual retirement annuities and Keogh plans,
as well as employee benefit plans that permit participants to direct the investment of their accounts, will not be permitted to
purchase or hold the ETNs if the account, plan or annuity is for the benefit of an employee of CSSU or a family member and the
employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of ETNs by the account,
plan or annuity. Please refer to the section “Benefit Plan Investor Considerations” in this pricing supplement for
further information.
HYPOTHETICAL
EXAMPLES
The following examples
show how the ETNs would perform in hypothetical circumstances, assuming an initial Index level of 1,000 and reflecting the $20.00
stated principal amount of each ETN as well as the Daily Investor Fee. We have included examples in which the level of the Index
(i) increases at a constant rate of 10% each year, (ii) increases at a constant rate of 2.5% each year, (iii) increases at a constant
rate of 10% for five years and then falls at a constant rate of 9% for five years, (iv) decreases at an accelerating rate and
(v) increases and then decreases over the term of the ETNs. These examples highlight the behavior of the Closing Indicative Value
of the ETNs at the end of each year in different circumstances. The figures in these examples have been rounded for convenience.
Although your payment upon early redemption or acceleration would be based on the Closing Indicative Value of the ETNs on the
applicable Valuation Date (the calculation of which includes the Daily Investor Fee), which is calculated in the manner illustrated
in the examples below, you should be aware that CSSU, our agent for any redemption at your option, may charge a fee of up to 0.125%
per ETN redeemed. Any payment you will be entitled to receive is subject to our ability to pay our obligations as they become
due.
For purposes of
the calculation in this table, each year is assumed to have 365 days. The figures set forth in the examples below are for purposes
of illustration only and are not actual historical results. For information relating to the historical performance of the Index,
please refer to “The Index—Historical Information” in this pricing supplement.
Example 1.
Assumptions: This
example assumes that the level of the Index (Column B) has increased by 10% each year from the inception date of the ETNs to the
end of year 10. In this scenario, the Index has increased by approximately 159% over ten years, and the closing value of the ETNs
has increased by approximately 138% over the same period.
A
|
B
|
C
|
D
|
E
|
Year
|
Index
Level
|
Closing
Indicative
Value
|
Annualized
Index
Return
|
Annualized
ETN Return
|
0
|
1,000.00
|
$20.00
|
n/a
|
n/a
|
1
|
1,100.00
|
$21.81
|
10.00%
|
9.07%
|
2
|
1,210.00
|
$23.79
|
10.00%
|
9.07%
|
3
|
1,331.00
|
$25.95
|
10.00%
|
9.07%
|
4
|
1,464.10
|
$28.30
|
10.00%
|
9.07%
|
5
|
1,610.51
|
$30.87
|
10.00%
|
9.07%
|
6
|
1,771.56
|
$33.67
|
10.00%
|
9.07%
|
7
|
1,948.72
|
$36.72
|
10.00%
|
9.07%
|
8
|
2,143.59
|
$40.05
|
10.00%
|
9.07%
|
9
|
2,357.95
|
$43.69
|
10.00%
|
9.07%
|
10
|
2,593.75
|
$47.65
|
10.00%
|
9.07%
|
Hypothetical
return on $20.00 investment after 10 years:
|
138.24%
|
Example 2.
Assumptions: This
example assumes that the level of the Index (Column B) has increased by approximately 2.5% each year from the inception date of
the ETNs to the end of year 10. In this scenario, the Index has increased by approximately 28% over ten years, and the closing
value of the ETNs has increased by approximately 18% over the same period.
A
|
B
|
C
|
D
|
E
|
Year
|
Index
Level
|
Closing
Indicative
Value
|
Annualized
Index
Return
|
Annualized
ETN Return
|
0
|
1,000.00
|
$20.00
|
n/a
|
n/a
|
1
|
1,025.00
|
$20.33
|
2.50%
|
1.63%
|
2
|
1,050.63
|
$20.66
|
2.50%
|
1.63%
|
3
|
1,076.90
|
$21.00
|
2.50%
|
1.63%
|
4
|
1,103.82
|
$21.34
|
2.50%
|
1.63%
|
5
|
1,131.42
|
$21.69
|
2.50%
|
1.63%
|
6
|
1,159.71
|
$22.04
|
2.50%
|
1.63%
|
7
|
1,188.70
|
$22.40
|
2.50%
|
1.63%
|
8
|
1,218.42
|
$22.77
|
2.50%
|
1.63%
|
9
|
1,248.88
|
$23.14
|
2.50%
|
1.63%
|
10
|
1,280.10
|
$23.52
|
2.50%
|
1.63%
|
Hypothetical
return on $20.00 investment after 10 years:
|
17.58%
|
Example 3.
Assumptions: This
example assumes that the level of the Index (Column B) has increased by approximately 10% each year from the inception date of
the ETNs to the end of year 5, and decreased by 9% until the end of year 10. In this scenario, the Index has increased by approximately
0.50% over ten years, but the closing value of the ETNs has decreased by approximately 8% over the same period.
A
|
B
|
C
|
D
|
E
|
Year
|
Index
Level
|
Closing
Indicative
Value
|
Annualized
Index
Return
|
Annualized
ETN Return
|
0
|
1,000.00
|
$20.00
|
n/a
|
n/a
|
1
|
1,100.00
|
$21.81
|
10.00%
|
9.07%
|
2
|
1,210.00
|
$23.79
|
10.00%
|
9.07%
|
3
|
1,331.00
|
$25.95
|
10.00%
|
9.07%
|
4
|
1,464.10
|
$28.30
|
10.00%
|
9.07%
|
5
|
1,610.51
|
$30.87
|
10.00%
|
9.07%
|
6
|
1,465.56
|
$27.85
|
-9.00%
|
-9.77%
|
7
|
1,333.66
|
$25.13
|
-9.00%
|
-9.77%
|
8
|
1,213.63
|
$22.68
|
-9.00%
|
-9.77%
|
9
|
1,104.40
|
$20.46
|
-9.00%
|
-9.77%
|
10
|
1,005.00
|
$18.46
|
-9.00%
|
-9.77%
|
Hypothetical
return on $20.00 investment after 10 years:
|
-7.69%
|
Example 4.
Assumptions: This
example assumes that the level of the Index (Column B) has decreased at an accelerating rate from the inception date of the ETNs
to the end of year 10. In this scenario, the Index has decreased by approximately 97% over ten years, and the closing value of
the ETNs has decreased by approximately 97% over the same period.
A
|
B
|
C
|
D
|
E
|
Year
|
Index
Level
|
Closing
Indicative
Value
|
Annualized
Index
Return
|
Annualized
ETN Return
|
0
|
1,000.00
|
$20.00
|
n/a
|
n/a
|
1
|
881.90
|
$17.49
|
-11.81%
|
-12.56%
|
2
|
746.00
|
$14.67
|
-15.41%
|
-16.13%
|
3
|
604.19
|
$11.78
|
-19.01%
|
-19.70%
|
4
|
467.58
|
$9.04
|
-22.61%
|
-23.27%
|
5
|
345.03
|
$6.61
|
-26.21%
|
-26.83%
|
6
|
242.18
|
$4.60
|
-29.81%
|
-30.40%
|
7
|
161.27
|
$3.04
|
-33.41%
|
-33.97%
|
8
|
101.58
|
$1.90
|
-37.01%
|
-37.55%
|
9
|
60.33
|
$1.12
|
-40.61%
|
-41.11%
|
10
|
33.66
|
$0.62
|
-44.21%
|
-44.68%
|
Hypothetical
return on $20.00 investment after 10 years:
|
-96.91%
|
Example 5.
Assumptions: This
example assumes that the level of the Index (Column B) has increased each year from the inception date to the end of year 3, and
decreased at an increasing rate from the end of year 4 to the end of year 10. In this scenario, the Index has decreased by approximately
59% over ten years, and the closing value of the ETNs has decreased by approximately 63% over the same period.
A
|
B
|
C
|
D
|
E
|
Year
|
Index
Level
|
Closing
Indicative
Value
|
Annualized
Index
Return
|
Annualized
ETN Return
|
0
|
1,000.00
|
$20.00
|
n/a
|
n/a
|
1
|
1,081.90
|
$21.45
|
8.19%
|
7.27%
|
2
|
1,131.56
|
$22.25
|
4.59%
|
3.70%
|
3
|
1,142.76
|
$22.28
|
0.99%
|
0.13%
|
4
|
1,112.93
|
$21.51
|
-2.61%
|
-3.43%
|
5
|
1,043.82
|
$20.01
|
-6.21%
|
-7.00%
|
6
|
941.42
|
$17.89
|
-9.81%
|
-10.57%
|
7
|
815.18
|
$15.36
|
-13.41%
|
-14.14%
|
8
|
676.52
|
$12.64
|
-17.01%
|
-17.71%
|
9
|
537.09
|
$9.95
|
-20.61%
|
-21.28%
|
10
|
407.06
|
$7.48
|
-24.21%
|
-24.85%
|
Hypothetical
return on $20.00 investment after 10 years:
|
-62.61%
|
RISK
FACTORS
The ETNs are senior
unsecured debt obligations of Credit Suisse AG (“
Credit Suisse
”). The ETNs are Senior Medium-Term Notes as
described in the accompanying prospectus supplement and prospectus and are riskier than ordinary unsecured debt securities. The
return on the ETNs will be based on the performance of the Index. Investing in the ETNs is not equivalent to investing directly
in the Index Components or the Index itself. See “The Index” below for more information on the Index.
This section describes
the most significant risks relating to an investment in the ETNs. We urge you to read the following information about these risks,
together with the other information in this pricing supplement and the accompanying prospectus supplement and prospectus before
investing in the ETNs.
The ETNs do not
have a minimum redemption or repurchase amount and you may lose all or a significant portion of your investment in the ETNs
The ETNs do not have
a minimum payment at maturity or daily repurchase value and you may receive less, and possibly significantly less, at maturity
or upon repurchase than the amount you originally invested. Our cash payment on your ETNs at maturity or upon repurchase will
be based primarily on any increase or decrease in the level of the Index, and will be reduced by the Daily Investor Fee (and the
Early Redemption Charge of up to 0.125%
times
the Closing Indicative Value on the Early Redemption Valuation Date per ETN,
if you offer your ETNs for early redemption). You may lose all or a significant amount of your investment in the ETNs if the level
of the Index decreases substantially. Any payment you will be entitled to receive is subject to our ability to pay our obligations
as they become due.
The Intraday Indicative
Value will be published under the Bloomberg ticker symbol “CSCR.IV”. The trading price of the ETNs in the secondary
market at any time may vary significantly from their Intraday Indicative Value at such time. The trading price of the ETNs at
any time is the price at which you may be able to sell your ETNs in the secondary market at such time, if one exists.
The indicative
value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer or
solicitation for the purchase, sale or termination of your ETNs, nor will it reflect hedging or transaction costs, credit considerations,
market liquidity or bid offer spreads.
The Index is a
proprietary index that Credit Suisse International (the “
Index Sponsor
”) developed and owns. Credit Suisse
International will also act as the Calculation Agent (the “
Calculation Agent
”) and will be responsible for
the calculation of the level of the Index, using the data and methodologies described herein and as determined by the Index Sponsor.
The Index is reported on Bloomberg under the ticker symbol “CSCUBKTR <Index>” approximately every 15 seconds
from at least 9:30 a.m. to 4:00 p.m. (New York City time) on each Trading Day, and the Closing Level of the Index for each Trading
Day is published by 10:15 p.m. (New York City time) on each such day.
For further information
on the Index levels, see “The Index” above. Index levels are available on Bloomberg page “CSCUBKTR <Index>”;
the Closing Level of the Index on each Trading Day is also available at http://www.credit-suisse.com/etn or any successor site.
We are not incorporating by reference herein the website or any material included in the website.
As discussed
in “Specific Terms of the ETNs—Payment Upon Early Redemption” below, you may, subject to certain
restrictions, choose to offer your ETNs for redemption by Credit Suisse on any Business Day during the term of the ETNs
beginning on June 11, 2013 (for an anticipated June 12, 2013 Valuation Date and a repurchase date of June 17, 2013) through
June 2, 2033 (or, if the maturity of the ETNs is extended, five scheduled Trading Days prior to the scheduled Final
Valuation Date, as extended) (for an anticipated June 3, 2033 Valuation Date and a repurchase date of June 8, 2033 or, if the
maturity of the ETNs is extended, an anticipated Valuation Date four Business Days prior to the Maturity Date, as extended,
and a repurchase date one Business Day prior to the Maturity Date, as extended). If you elect to offer your ETNs to Credit
Suisse for repurchase, you must offer at least the applicable minimum repurchase amount at one time for repurchase by Credit
Suisse on any repurchase date. In addition, we have the right to
repurchase the
ETNs, in whole or in part, on any Business Day during the term of the ETNs. The last date on which Credit Suisse will repurchase
your ETNs will be June 3, 2033 (or, if the maturity of the ETNs is extended, one Business Day prior to the Maturity Date, as extended).
As such, you must offer your ETNs for repurchase no later than June 2, 2033 (or, if the maturity of the ETNs is extended, five
scheduled Trading Days prior to the scheduled Final
Valuation Date, as extended). The daily repurchase feature is intended to induce arbitrageurs to counteract
any trading of the 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.
The ETNs do not pay interest nor
guarantee any return of principal and you may lose all or a significant part of your investment in the ETNs
The terms of the
ETNs differ from those of ordinary debt securities in that the ETNs neither pay interest nor guarantee payment of the stated principal
amount at maturity, upon early redemption or acceleration, and may incur a loss of principal due to fluctuations in the Closing
Indicative Value. Because the payment due at maturity may be less than the amount originally invested in the ETNs, the return
on the ETNs (the effective yield to maturity) may be negative. Even if it is positive, the return payable on the ETNs may not
be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time.
The Early Redemption
Amount, Accelerated Redemption Amount and Payment at Maturity, as applicable (each, a “
Redemption Amount
”),
will each depend on the change in the level of the Index. You may lose all or a significant amount of your investment in the ETNs
if the level of the Index decreases or does not increase sufficiently. Additionally, any payment on the ETNs will be reduced if
the level of the 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 ETNs. Any payment on the ETNs is subject to our ability
to pay our obligations as they become due.
Even if the amount
payable on your ETNs on the Early Redemption Date, Acceleration Date or the Payment at Maturity, as applicable, is greater than
the price you paid for your ETNs, it may not compensate you for a loss in value due to inflation and other factors relating to
the value of money over time. Thus, even in those circumstances, the overall return you earn on your ETNs may be less than what
you would have earned by investing in a debt security that bears interest at a prevailing market rate.
The ETNs are subject to the credit
risk of Credit Suisse
Although the return
on the ETNs will be based on the performance of the Index, the payment of any amount due on the ETNs, including any payment at
maturity, upon early redemption or acceleration, is subject to the credit risk of Credit Suisse. Investors are dependent on Credit
Suisse’s ability to pay all amounts due on the ETNs, and therefore investors are subject to our credit risk. In addition,
any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our
credit spreads is likely to adversely affect the market value of the ETNs prior to maturity.
Your payment at
maturity, upon early redemption or acceleration will be reduced by the fees and charges associated with the ETNs and the Index
The value of the
Index used to calculate the payment at maturity, upon early redemption or acceleration will be reduced by the notional transaction
costs applied to the Index. These costs are built into the calculation of the level of the Index and, as a result, the Closing
Level of the Index will be less than it would be if such fees were not included.
In addition to
the Index costs, the Daily Investor Fee reduces the amount of your payment at maturity, upon early redemption or acceleration,
and therefore the level of the Index must increase by an amount sufficient to offset the Index costs and Daily Investor Fee (and
the fee for ETNs repurchased at your option) in order for you to receive at least your initial investment in the ETNs at maturity,
upon early redemption or acceleration. If the level of the Index decreases or does not increase sufficiently to offset the impact
of the Investor Fee, you will receive less, and possibly significantly less, than the initial amount of your investment in the
ETNs.
The Allocation
Model may be ineffective, causing the Index to produce returns that underperform other commodity indices, which, in turn, may
cause the level of the Index to decrease and decrease the value of your ETNs
The Index is a
proprietary index designed to reflect the total returns available through the application of the Allocation Model to Eligible
Indices which are composed of commodities futures contracts. Although the Allocation Model seeks to capture returns by taking
long positions in Eligible Indices which are composed of commodities with the highest degree of backwardation (or lowest degree
of contango), there can be no guarantee that the Allocation Model will succeed in these objectives. The Allocation Model evaluates
the degree of backwardation in the futures prices of commodities that underlie 24 Eligible Indices and selects eight Eligible
Indices each month whose underlying commodities exhibit the highest degree of backwardation, subject to applicable sector limitations.
The Allocation Model may not effectively measure the degree of backwardation or capture the benefits of this measure. Furthermore,
even if the Allocation Model is successful in identifying the Eligible Indices whose underlying commodities exhibit the highest
degree of backwardation, the degree of backwardation is not necessarily an accurate indication of future prices. If the Eligible
Indices selected by the Allocation Model decrease in value, the level of the Index and value of the ETNs will likely decline.
If the Allocation Model proves to be ineffective, then an investment in the ETNs may under-perform a corresponding investment
in instruments linked to other commodity indices, possibly by a substantial margin.
The Allocation
Model may result in allocation to Eligible Indices whose futures contracts increase negative roll yields
Futures contracts,
by their terms, have stated expirations and, at a specified point in time prior to expiration, trading in a futures contract for
the current delivery month will cease. As a result, a market participant wishing to maintain its exposure to a futures contract
on a particular commodity must close out its position in the expiring contract and establish a new position in a contract with
a later-dated delivery month, a process referred to as “rolling”. Unlike traditional commodity indices, which roll
into futures contracts that are nearest to expiration, the Eligible Indices take notional position in futures contracts that fall
within the fourth and sixth months on the futures curve. The Allocation Model may result in the selection of an Eligible Index
that comprises a longer-dated futures contract which results in a negative roll yield when such futures contract is rolled, even
if a positive or less negative roll yield would have resulted by investing in and rolling into a futures contract with the nearest
expiration. If this were to occur, your investment in the ETNs may underperform a corresponding investment in instruments linked
to traditional commodity indices.
You should regularly monitor your
holdings of the ETNs to ensure that they remain consistent with your investment strategies
The ETNs are designed
to reflect a long exposure to the performance of the Index on a daily basis. You should regularly monitor your holdings of the
ETNs to ensure that they remain consistent with your investment strategies.
The Intraday Indicative Value
and the Closing Indicative Value are not the same as the closing price or any other trading price of the ETNs in the secondary
market
The Intraday Indicative
Value and the Closing Indicative Value of the ETNs are not the same as the closing price or any other trading price of such ETNs
in the secondary market. 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 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. The
Closing Indicative Value will be zero on and subsequent to any calendar day on which the Intraday Indicative Value is less than
or equal to zero at any time or the Closing Indicative Value equals zero. The Closing Indicative Value will be published on each
Trading Day under the Bloomberg ticker symbol “CSCR.IV”. If your ETNs have not been previously redeemed or accelerated,
at maturity you will receive for each $20.00 stated principal amount of your ETNs a cash payment equal to the arithmetic average
of the Closing Indicative Value on each of the immediately preceding five Trading Days to and including the Final Valuation Date,
as calculated by the Calculation Agent. If you elect to offer your 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 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.
The Intraday Indicative
Value of the 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 Index. If the Intraday Indicative Value is equal to or less than zero at any time, the Closing
Indicative Value on that day, and all future days, will be zero.
The trading price
of the ETNs at any time is the price at which you may be able to sell your ETNs in the secondary market at such time, if one exists.
The trading price of the ETNs at any time may vary significantly from the Intraday Indicative Value of such ETNs at such time.
Paying a premium purchase price over the Intraday Indicative Value of the ETNs could lead to significant losses in the event the
investor sells such ETNs at a time when such premium is no longer present in the market place or such ETNs are accelerated (including
at our option), in which case investors will receive a cash payment based on the Closing Indicative Value.
We may, without providing you notice or obtaining your consent, create and issue ETNs in addition to those offered by this pricing
supplement having the same terms and conditions as the ETNs.
However, we are under no obligation to sell additional ETNs
at any time, and we may suspend issuance of new ETNs at any time without providing you notice or obtaining your consent. If we
stop selling additional ETNs, the price and liquidity of the ETNs could be materially and adversely affected, including an increase
in the premium purchase price of the ETNs over the Intraday Indicative Value of the 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 ETNs.
We may sell additional ETNs at
different prices but we are under no obligation to issue or sell additional ETNs at any time, and if we do sell additional ETNs,
we may limit or restrict such sales, and we may stop selling additional ETNs at any time
In our sole discretion,
we may decide to issue and sell additional ETNs from time to time at a price that is higher or lower than the stated principal
amount, based on the indicative value of the ETNs at that time. The price of the ETNs in any subsequent sale may differ substantially
(higher or lower) from the issue price paid in connection with any other issuance of such ETNs. Additionally, any ETNs held by
us or an affiliate in inventory may be resold at prevailing market prices or lent to market participants who may have made short
sales of the ETNs. However, we are under no obligation to issue or sell additional ETNs at any time, and if we do sell additional
ETNs, we may limit or restrict such sales, and we may stop selling additional ETNs at any time. If we start selling additional
ETNs, we may stop selling additional ETNs for any reason, which could materially and adversely affect the price and liquidity
of such ETNs in the secondary market.
The ETNs may not be a suitable
investment for you
The 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 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 Index
or are not willing
to be exposed to commodities
futures contracts
selected according
to the rules of the
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 Index
in particular.
|
|
·
|
You
are not willing to
be exposed to the
trading price of the
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 ETNs.
|
|
·
|
You
do not have sufficient
knowledge and experience
to evaluate how the
ETNs may perform under
different conditions
or the merits and
risks of an investment
in the 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 ETNs or are
not familiar with
the behavior of the
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
ETNs at any time.
|
|
·
|
You
believe the level
of the 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 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 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
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 ETNs.
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Investors considering
purchasing ETNs should reach an investment decision only after carefully considering, with their advisers, the suitability of
the ETNs in light of their particular circumstances.
You will not benefit
from any increase in the level of the Index if such increase is not sufficient to offset applicable fees and reflected in the
level of the Index on the applicable Valuation Date(s)
Increases in the level of the Index during
the term of the ETNs but before the applicable Valuation Date (including the Final Valuation Date) are not considered in the calculation
of the payment due to you at maturity or upon repurchase of your ETNs. The Calculation Agent will determine the payment amount
by comparing the initial Index level only with the Closing Level of the Index on the applicable Valuation Date(s). No other Closing
Level of the Index will be taken into account.
If the Closing
Level of the Index on the applicable Valuation Date (including the Final Valuation Date) does not reflect an increase from the
initial Index level sufficient to offset the impact of the accrued Daily Investor Fee, we will pay you less, and possibly significantly
less, than the principal amount of your ETNs at maturity, upon early redemption or acceleration. This will be true even if the
level of the Index as of a particular date or dates prior to the applicable Valuation Date (including the Final Valuation Date)
would have been high enough to offset the impact of such fees and charges. In addition, the Intraday Indicative Value of the ETNs
published under the Bloomberg ticker symbol “CSCR.IV” at any time on any Trading Day prior to the publication of the
Closing Level of the Index on such day will be based on the intraday values of the Index at such time rather than its Closing
Level. Because the Intraday Indicative Value of the ETNs at any time on any Trading Day may vary significantly from the value
of the ETNs determined based on the Closing Level of the Index on such Trading Day, the payment you receive at maturity, upon
early redemption or acceleration of the ETNs may vary significantly from the payment you would receive if such payment was determined
based on the Intraday Indicative Value of the ETNs.
You will not have any rights in
any physical commodities, or any rights in the commodity futures contracts included in the Eligible Indices
As an owner of
the ETNs, you will not have rights that holders of the commodity futures contracts included in the Eligible Indices may have.
Your ETNs will be paid in cash, and you will have no right to receive delivery of any components of the Index. You will have no
right to receive any payment or delivery of amounts in respect of the futures contracts included in the Eligible Indices.
Owning the ETNs is not the same
as directly owning the futures contracts included in the Eligible Indices, or certain other commodity-related contracts
The return on your
ETNs will not reflect the return you would realize if you actually purchased the commodities upon which the futures contracts
included in the Eligible Indices are based, or exchange-traded or over-the-counter instruments based on the Eligible Indices.
You will not have any rights that holders of such assets or instruments have.
Commodity prices can exhibit high
and unpredictable volatility, which could lead to high and unpredictable volatility in the Index
Market prices of
the commodity futures contracts comprising the Eligible Indices can 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 may
be 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 and may create additional investment risks that cause the value
of the ETNs to be more volatile than the values of traditional securities. These and other factors may affect the level of the
Eligible Indices and the Index, and thus the value of the ETNs, in unpredictable or unanticipated ways. The potential for high
volatility and the cyclical nature of commodity markets may render an investment in ETNs linked to a commodity index inappropriate
as the focus of an investment portfolio.
Agricultural Commodities
Global agricultural
commodity prices are primarily affected by the global demand for and supply of those commodities, but are also significantly influenced
by speculative actions and by currency exchange rates. In addition, prices for agricultural commodities are affected by governmental
programs and policies regarding agriculture, as well as general trade, fiscal and exchange control policies. Extrinsic factors
such as drought, floods, general weather conditions, disease and natural disasters may also affect agricultural commodity prices.
Demand for agricultural commodities such as wheat, corn, soybeans, cotton, cocoa, sugar, and coffee, both for human consumption
and as cattle feed, has generally increased with worldwide growth and prosperity.
Energy
Global energy commodity
prices are primarily affected by the global demand for and supply of these commodities, but are also significantly influenced
by speculative actions and by currency exchange rates. In addition, prices for energy commodities are affected by governmental
programs and policies, national and international political and economic events, changes in interest and exchange rates, trading
activities in commodities and related contracts, trade, fiscal, monetary and exchange control policies and with respect to oil,
natural gas, drought, floods, weather, government intervention, environmental policies, embargoes and tariffs. Demand for energy
products by consumers, as well as the agricultural, manufacturing and transportation industries, affects the price of energy commodities.
Sudden disruptions in the supplies of energy commodities, such as those caused by war, natural events, accidents or acts of terrorism,
may cause prices of energy commodities futures contracts to become extremely volatile and unpredictable. Also, sudden and dramatic
changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing energy
commodities or the introduction of new or previously withheld supplies into the market. In particular, supplies of crude oil may
increase or decrease
depending on, among other factors, production decisions by the Organization of Oil and Petroleum Exporting Countries (“
OPEC
”)
and other crude oil producers. Crude oil prices are determined with significant influence by OPEC, which has the capacity to influence
oil prices worldwide because its members possess a significant portion of the world’s oil supply. Crude oil prices are generally
more volatile and subject to more dislocation than prices of other commodities. Other dramatic changes in the futures markets
may occur, such as the introduction of substitute products or commodities. For example, many utilities have shifted away from
coal or oil to natural gas to produce electricity. Demand for energy commodities such as crude oil, heating oil, gasoline and
natural gas is generally linked to economic activity, and will tend to reflect general economic conditions.
Industrial Metals
Global industrial
metals commodity prices are primarily affected by the global demand for and supply of these commodities, but are also significantly
influenced by speculative actions and by currency exchange rates. Demand for industrial metals such as aluminum, copper, lead,
nickel and high grade zinc, is significantly influenced by the level of global industrial economic activity. Prices for industrial
metals commodities are affected by governmental programs and policies, national and international political and economic events,
changes in interest and exchange rates, trading activities in commodities and related contracts, trade, fiscal, monetary and exchange
control policies, general weather conditions, government intervention, embargoes and tariffs. An additional, but highly volatile,
component of demand for industrial metals is adjustments to inventory in response to changes in economic activity and/or pricing
levels, which will influence investment decisions in new mines and smelters. Sudden disruptions in the supplies of industrial
metals, such as those caused by war, natural events, accidents, acts of terrorism, transportation problems, labor strikes and
shortages of power may cause prices of industrial metals futures contracts to become extremely volatile and unpredictable. The
introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities
will also affect the prices of industrial metals commodities.
Livestock
Livestock, including
live cattle, feeder cattle and lean hogs, are “non-storable” commodities and therefore may experience greater price
volatility than traditional commodities. Global livestock commodity prices are primarily affected by the global demand for and
supply of those commodities, but are also significantly influenced by speculative actions and by currency exchange rates. In addition,
prices for livestock commodities are affected by governmental programs and policies regarding livestock, as well as general trade,
fiscal and exchange control policies. Extrinsic factors such as drought, floods, general weather conditions, disease (
e.g.
,
Bovine Spongiform Encephalopathy, or Mad Cow Disease), availability of and prices for livestock feed and natural disasters may
also affect livestock commodity prices. Demand for livestock commodities has generally increased with worldwide growth and prosperity.
Precious Metals
Global precious
metals commodity prices are primarily affected by the global demand for and supply of those commodities, but are also significantly
influenced by speculative actions and by currency exchange rates. Gold prices in particular are subject to volatile price movements
over short periods of time and are affected by numerous factors, including macroeconomic factors such as the structure of and
confidence in the global monetary system, expectations regarding the future rate of inflation, the relative strength of, and confidence
in, the U.S. dollar (the currency in which the price of gold is usually quoted), interest rates, gold borrowing and lending rates,
and global or regional economic, financial, political, regulatory, judicial or other events. Gold prices may be affected by industry
factors such as industrial and jewelry demand as well as lending, sales and purchases of gold by the official sector, including
central banks and other governmental agencies and multilateral institutions which hold gold. Additionally, gold prices may be
affected by levels of gold production, production costs and short-term changes in supply and demand due to trading activities
in the gold market.
Silver prices are
also subject to fluctuation and may be affected by numerous factors. These include general economic trends, technical developments,
substitution issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect
to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted)
and other currencies, interest rates, central bank sales, forward sales by producers, global or regional political or economic
events, and production costs and
disruptions in major
silver producing countries such as the United Mexican States and the Republic of Peru. The demand for and supply of silver affect
silver prices, but not necessarily in the same manner as supply and demand affect the prices of other commodities. The supply
of silver consists of a combination of new mine production and existing stocks of bullion and fabricated silver held by governments,
public and private financial institutions, industrial organizations and private individuals. In addition, the price of silver
has on occasion been subject to very rapid short-term changes due to speculative activities. From time-to-time, above-ground inventories
of silver may also influence the silver commodity market.
Concentration risks associated
with the ETNs
The ETNs reflect
a long position in the Index, which comprises single-commodity indices, 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 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.
The Eligible Indices
track the prices of futures contracts with expiration dates four to six months in the future, which may affect the level of the
Index in various ways
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. Consequently, the value of the ETNs may be affected in various ways, including:
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Price
and liquidity risk
– Generally,
futures contracts
with expiration dates
nearer to the front-month
are more liquid than
futures contracts
with more distant
expiration dates,
which may impact the
prices of such contracts.
The prices of futures
contracts are also
subject to supply
and demand, which
is subject to change
at any time. The prices
of the futures contracts
underlying the Eligible
Indices will affect
the level of the Index,
and consequently the
value of the ETNs.
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Less
correlation to the
spot prices of commodities
– Generally,
the prices of commodities
futures contracts
with expiration dates
nearer to the front
month are more closely
correlated to the
spot prices of those
commodities. Because
the Eligible Indices
track futures contracts
with varying expiration
dates, they may not
have a high correlation
to the spot prices
of the underlying
commodities. Consequently,
an investment in the
ETNs is not the same
as an investment in
the spot prices of
the commodities underlying
the Eligible Indices
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
Indices 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
Indices or an increase
in the value of the
ETNs. The level of
the Index may decrease
while the spot prices
for the relevant commodities
increase.
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If the Intraday Indicative Value
is equal to or less than zero at any time or the Closing Indicative Value is equal to zero on any Trading Day, you will lose all
of your investment
If the Intraday
Indicative Value of the 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 ETNs on that day, and all future days, will be zero and you will lose all of
your investment in the ETNs.
Credit Suisse may accelerate the
ETNs, in whole or in part, at any time
We have the right
to accelerate the ETNs in whole or in part and pay you an amount equal to, in the event of an acceleration of all outstanding
ETNs, the arithmetic average of the Closing Indicative Values of such ETNs during the applicable Accelerated Valuation Period,
or, in the event of an acceleration of less than all outstanding ETNs, the Closing Indicative Value on the applicable Accelerated
Valuation Date, on any Business Day occurring on or after the Inception Date (an “
Optional Acceleration
”) or
if an Acceleration Event has occurred in our or the Calculation Agent’s determination (an “
Event Acceleration
”).
Accordingly, you should not expect to be able to hold the ETNs to maturity. As discussed in the section “Specific Terms
of the ETNs—Acceleration at Our Option or Upon an Acceleration Event,” the type of events that may trigger an Event
Acceleration are (a) an amendment to or change (including any officially announced proposed change) in the laws, regulations or
rules of the United States (or any political subdivision thereof), or any jurisdiction in which a Primary Exchange or Related
Exchange (each as defined herein) is located that (i) makes it illegal for CSI to hold, acquire or dispose of the futures contracts
included in the Eligible Indices or options, futures, swaps or other derivatives on the Index or the futures contracts included
in the Eligible Indices (including but not limited to exchange-imposed position limits), (ii) shall materially increase the cost
to the Issuer, our affiliates, third parties with whom we transact or similarly situated third parties in performing our or their
obligations in connection with the ETNs, (iii) shall have a material adverse effect on any of these parties’ ability to
perform their obligations in connection with the ETNs or (iv) shall materially affect our ability to issue or transact in exchange
traded notes similar to the ETNs, each as determined by us or CSI, as the Calculation Agent; (b) any official administrative decision,
judicial decision, administrative action, regulatory interpretation or other official pronouncement interpreting or applying those
laws, regulations or rules that is announced on or after the Inception Date that (i) makes it illegal for CSI to hold, acquire
or dispose of the futures contracts included in the Eligible Indices or options, futures, swaps or other derivatives on the Index
or the futures contracts included in the Eligible Indices (including but not limited to exchange-imposed position limits), (ii)
shall materially increase the cost to the Issuer, our affiliates, third parties with whom we transact or similarly situated third
parties in performing our or their obligations in connection with the ETNs, (iii) shall have a material adverse effect on the
ability of the Issuer, our affiliates, third parties with whom we transact or a similarly situated third party to perform our
or their obligations in connection with the ETNs or (iv) shall materially affect our ability to issue or transact in exchange
traded notes similar to the ETNs; (c) any event that occurs on or after the Inception Date that makes it a violation of any law,
regulation or rule of the United States (or any political subdivision thereof), or any jurisdiction in which a Primary Exchange
or Related Exchange (each as defined herein) is located, or of any official administrative decision, judicial decision, administrative
action, regulatory interpretation or other official pronouncement interpreting or applying those laws, regulations or rules, (i)
for CSI to hold, acquire or dispose of the futures contracts included in the Eligible Indices or options, futures, swaps or other
derivatives on the Index or the futures contracts included in the Eligible Indices (including but not limited to exchange-imposed
position limits), (ii) for the Issuer, our affiliates, third parties with whom we transact or similarly situated third parties
to perform our or their obligations in connection with the ETNs or (iii) for us to issue or transact in exchange traded notes
similar to the ETNs; (d) any event, as determined by us or CSI, as the Calculation Agent, that we or any of our affiliates or
a similarly situated party would, after using commercially reasonable efforts, be unable to, or would incur a materially increased
amount of tax, duty, expense or fee (other than brokerage commissions) to acquire, establish, re-establish, substitute, maintain,
unwind or dispose of any transaction or asset it deems necessary to hedge the risk of the ETNs, or realize, recover or remit the
proceeds of any such transaction or asset; or (e) if the primary exchange or market for trading for the ETNs, if any, announces
that pursuant to the rules of such exchange or market, as applicable, the ETNs cease (or will cease) to be listed, traded or publicly
quoted on such exchange or market, as applicable, for any reason and are not immediately re-listed, re-traded or re-quoted on
an exchange or quotation system located in the same country as such exchange or market, as applicable. If we accelerate the ETNs,
you will only receive an amount equal to, in the event of an acceleration in whole, the arithmetic average of the Closing Indicative
Values of such ETNs during the applicable Accelerated Valuation Period, or, in the event of an acceleration in part, the Closing
Indicative Value on the applicable Valuation Date, and you will not receive any other compensation or
amount for the loss
of the investment opportunity of holding the ETNs. See “Supplemental Plan of Distribution (Conflicts of Interest)”
in this pricing supplement for further information.
The Index has
very limited performance history and may perform in unexpected ways. Any historical and retrospectively calculated performance
of the Index should not be taken as an indication of the future performance of the Index
Publication of
the Index began on February 21, 2012. Accordingly, the Index has limited historical data, and that historical data may not be
representative of the Index’s potential performance under other market conditions. Because the Index has limited performance
history, an investment in the ETNs may involve a greater risk than an investment in a financial product linked to one or more
indices with a longer record of performance. A longer history of actual performance may have provided more reliable information
on which to assess the validity of the Index’s proprietary methodology as the basis for an investment decision. Furthermore,
any back-tested or historical performance of the Index is not an indication of how the Index will perform in the future.
Index levels prior
to February 21, 2012 represent the retrospective performance of the Index, had it existed at the relevant time, based on certain
data, assumptions and estimates, not all of which may be specified herein. These data, assumptions and estimates may be different
from those that someone else might use to retrospectively calculate the Index levels. In calculating the retrospective performance
of the Index, we have assumed that no disruption events or modifications to the methodology occurred during the period prior to
February 21, 2012. There can be no assurance that there will not be any such disruption events or modifications which would adversely
affect the level of the Index in the future. Retrospectively calculated Index levels based on different assumptions or for a different
time period may produce different results. In any event, no information presented on the prior performance of the Index, whether
actual or retrospectively calculated, should be relied on as an indicator of the future performance of the Index. It is impossible
to know whether the level of the Index will rise or fall in the future.
We may extend the scheduled Maturity
Date for up to two additional five-year periods
The scheduled Maturity
Date is initially June 15, 2033. We may at our option extend the maturity of the ETNs for up to two additional five-year periods.
We may only extend the scheduled Maturity Date for five years at a time. If we exercise our option to extend the maturity of the
ETNs, we will notify DTC (the holder of the global note for the ETNs) and the trustee at least 45 but not more than 60 calendar
days prior to the then scheduled Maturity Date. We will provide such notice to DTC and the trustee in respect of each five-year
extension of the scheduled Maturity Date that we choose to effect.
The Calculation Agent may modify
the Index
The Calculation
Agent may modify the Index or adjust the method of its calculation if it determines that the publication of the Index is discontinued
and there is no successor index. In that case, the Calculation Agent will determine the level of the Index, and thus the Redemption
Amount, using a computation methodology that the Calculation Agent determines will as closely as reasonably possible replicate
the Index.
If the Calculation
Agent determines that the Index, the futures contracts included in the Eligible Indices or the method of calculating the Index
is changed at any time in any respect—including whether the change is made by the Index Sponsor under its existing policies
or following a modification of those policies, is due to the publication of a successor index, is due to events affecting the
futures contracts included in the Eligible Indices, or is due to any other reason and is not otherwise reflected in the level
of the Index by the Index Sponsor pursuant to the methodology described herein, then the Calculation Agent will be permitted (but
not required) to make such adjustments in the Index or the method of its calculation as it believes are appropriate to ensure
that the Closing Level of the Index used to determine the Redemption Amount is equitable. The Calculation Agent may make any such
modification or adjustment even if the Index Sponsor continues to publish the Index without a similar modification or adjustment.
Any modification
to the Index or adjustment to its method of calculation will affect the amount you will receive upon early redemption, acceleration
or maturity and will result in the ETNs having a value different (higher or lower) from the value they would have had if there
had been no such modification or adjustment.
Even if the Closing Level of the
Index on the applicable Valuation Date exceeds the initial Closing Level of the Index on the date of your investment, you may
receive less than your initial investment amount of your ETNs
Because the Daily
Investor Fee and in the case of Early Redemption, the Early Redemption Charge reduces the amount due to you upon early redemption,
acceleration or at maturity of the ETNs, the level of the Index must increase significantly in order for you to receive at least
your initial investment amount upon early redemption, acceleration or maturity of your ETNs. If the level of the Index decreases
or does not increase sufficiently to offset the effect of the Daily Investor Fee over the term of the ETNs and in the case of
Early Redemption, the Early Redemption Charge, if applicable, you will receive less than the amount of your initial investment
upon early redemption, acceleration or maturity of your ETNs. For more information on how the Daily Investor Fee affects the value
of the ETNs, see “Hypothetical Examples.”
There are restrictions on the
minimum number of ETNs you may redeem and on the dates on which you may redeem them
You must redeem
at least 50,000 ETNs, the Minimum Redemption Amount at one time, and may redeem multiples of 50,000 ETNs in excess of the Minimum
Redemption Amount. In addition, you must cause your broker to deliver a notice of redemption, substantially in the form of 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.
Also, because of
the timing requirements of your offer for early redemption, settlement of any early redemption by us will be prolonged when compared
to a sale and settlement in the secondary market. As your Redemption Notice is irrevocable, this will subject you to market risk
in the event the market fluctuates after Credit Suisse receives your offer.
The redemption
feature is intended to induce arbitrageurs to counteract any trading of the ETNs at a premium or discount to their indicative
value. There can be no assurance that arbitrageurs will employ the redemption feature in this manner.
An Early Redemption
Charge of up to 0.125% per ETN may be charged upon an early redemption at your election
CSSU will act as
our agent in connection with any offer by you of your ETNs for redemption and may charge a fee of up to 0.125%
times
the
Closing Indicative Value per ETN on the Early Redemption Valuation Date. The imposition of this fee will mean that you will not
receive the full amount of the Closing Indicative Value upon an early redemption at your election.
You will not know the Early Redemption
Amount for any ETNs you elect to redeem prior to maturity at the time you make such election
In order to exercise
your right to redeem your ETNs prior to maturity, you must cause your broker or other person with whom you hold your ETNs to deliver
a Redemption Notice (as defined herein) to Credit Suisse (as defined herein) by no later than 4:00 p.m., New York City time, on
the Business Day prior to your desired Valuation Date. The Early Redemption Amount cannot be determined until the Valuation Date,
and as such you will not know the Early Redemption Amount for your ETNs at the time you make an irrevocable election to redeem
your ETNs. The Early Redemption Amount for your ETNs on the relevant Valuation Date may be substantially less than it would have
been on the prior day and may be zero.
You will not benefit from any
increase in the level of the Index if such increase is not sufficient to offset applicable fees and reflected in the level of
the Index on the applicable Valuation Date(s)
If the Index does
not increase by an amount sufficient to offset the effect of the Daily Investor Fee and, in the case of an early redemption, the
Early Redemption Charge, if applicable, between the Inception Date and the applicable Valuation Date(s), we will pay you less
than the stated principal amount of the ETNs upon early redemption. This will be true even if the level of the Index as of some
date or dates prior to the Valuation Date would have been sufficiently high to offset the effect of the Daily Investor Fee and
Early Redemption Charge, if applicable.
Past performance of the Index
is not indicative of future performance
The actual performance
of the Index over the term of the offered ETNs, as well as the amount payable on the relevant Early Redemption Date, Acceleration
Date or the Maturity Date, may bear little relation to the historical values of the Index or to the hypothetical return examples
set forth elsewhere in this pricing supplement. We cannot predict the future performance of the Index.
The formula for determining the
Redemption Amount does not take into account all developments in the Index
Changes in the
level of the Index during the term of the ETNs before the Valuation Date will not necessarily be reflected in the calculation
of the Redemption Amount. The Calculation Agent will calculate the Redemption Amount by utilizing the Closing Indicative Value
on the applicable Valuation Date(s). No other levels of the Index, Closing Indicative Values or Intraday Indicative Values will
be taken into account. As a result, you may lose a significant part of your investment even if the level of the Index has risen
at certain times during the term of the ETNs.
Any decline in our credit ratings
may affect the market value of your ETNs
Our credit ratings
are an assessment of our ability to pay our obligations, including those on the offered ETNs. Consequently, actual or anticipated
declines in our credit ratings may affect the market value of your ETNs.
The Calculation Agent will have
the authority to make determinations that could affect the market value of your ETNs and the amount you receive at maturity
The Calculation
Agent will have discretion in making various determinations that affect your ETNs, including the Closing Indicative Values, the
Redemption Amount, the occurrence and effects of an Acceleration Event and the existence and effects of Market Disruption Events.
The exercise of this discretion by the Calculation Agent could adversely affect the value of your ETNs and may present the Calculation
Agent with a conflict of interest of the kind described below under “—We or our affiliates may have economic interests
adverse to those of the holders of the ETNs.”
The market value of your ETNs
may be influenced by many unpredictable factors
The market value
of your ETNs will fluctuate between the date you purchase them and the Valuation Date. You may also sustain a significant loss
if you sell the ETNs in the secondary market. In addition to others, the following factors, many of which are beyond our control,
will influence the market value of your ETNs, as well as the Redemption Amount:
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the
level of the Index
at any time,
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the
expected volatility
of the Index,
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the
volatility of any
options or futures
contracts underlying
the Eligible Indices,
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the
liquidity of any options
or futures contracts
underlying the Eligible
Indices,
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economic,
financial, regulatory,
political, judicial,
military and other
events that affect
commodities markets
generally, the Index
or the relevant futures
contracts included
in the Eligible Indices,
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supply
and demand for the
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 ETNs (supply and
demand for the ETNs
will be affected by
the total issuance
of ETNs, and we are
under no obligation
to issue additional
ETNs to increase the
supply),
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·
|
global
supply and demand
for the commodities
underlying the Eligible
Indices, 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 ETNs mature,
and
|
|
·
|
the
actual or perceived
creditworthiness of
Credit Suisse.
|
You cannot predict
the future performance of the Index based on the historical performance of the options or futures contracts relating to the Index
or the futures contracts included in the Eligible Indices. The factors above interrelate in complex ways, and the effect of one
factor on the market value of your ETNs may offset or enhance the effect of another factor.
The liquidity of the market for
the ETNs may vary materially over time
As stated on the
cover of this pricing supplement, we intend to sell a portion of the ETNs on the Inception Date, and additional ETNs will be offered
and sold from time to time through CSSU, an affiliate of ours. Also, the number of ETNs outstanding could be reduced at any time
due to early redemption or acceleration of the ETNs as described in this pricing supplement. Accordingly, the liquidity of the
market for the ETNs could vary materially over the term of the ETNs. While you may redeem your ETNs prior to maturity, such redemption
is subject to the restrictive conditions and procedures described elsewhere in this pricing supplement, including the condition
that you must offer at least the applicable Minimum Redemption Amount to Credit Suisse at one time for redemption on any Early
Redemption Date.
There may not be an active trading
market for your ETNs
Although we plan
to list the ETNs on NYSE Arca, a trading market for the offered ETNs may not develop. Even if there is a secondary market for
your ETNs, it may not be sufficiently liquid to enable you to sell your ETNs readily and you may suffer substantial losses and/or
sell your ETNs at prices substantially less than their Intraday Indicative Value or Closing Indicative Value, including being
unable to sell them at all or only for a price of zero in the secondary market.
No assurance can
be given as to the continuation of the listing for the life of the offered ETNs, or the liquidity or trading market for the offered
ETNs. We are not required to maintain any listing of your ETNs on NYSE Arca and the liquidity of the market for the ETNs could
vary materially over the term of the ETNs.
Trading and other transactions
by us, our affiliates or third parties with whom we transact in securities or financial instruments relating to the Index may
impair the value of your ETNs
We expect to hedge
our obligations relating to the ETNs by purchasing or selling short the futures contracts included in the Eligible Indices, listed
or over-the-counter options, futures contracts, swaps, or other derivative instruments relating to the Index or the futures contracts
included in the Eligible Indices, or other instruments linked to the Index or the futures contracts included in the Eligible Indices,
and adjust the hedge by, among other things, purchasing or selling any of the foregoing, at any time and from time to time, and
to unwind the hedge by selling any of the foregoing, perhaps on or before the Valuation Date. We, our affiliates, or third parties
with whom we transact, may also enter into, adjust and unwind hedging transactions relating to other securities whose returns
are linked to the Index. Any of these hedging activities may adversely affect the level of the Index—directly or
indirectly by affecting
the price of the futures contracts underlying the Eligible Indices or listed or over-the-counter options, futures contracts, swaps
or other derivative instruments relating to the Index or the futures contracts included in the Eligible Indices—and therefore,
the market value of your ETNs and the amount we will pay on your ETNs on the relevant Early Redemption Date, Acceleration Date
or the Maturity Date. It is possible that we, our affiliates or third parties with whom we transact could receive substantial
returns with respect to these hedging activities while the value of your ETNs declines or becomes zero.
We, our affiliates
or third parties with whom we transact may also engage in trading in the futures contracts included in the Eligible Indices, or
listed or over-the-counter options, futures contracts, swaps or other derivative instruments relating to the Index or the futures
contracts included in the Eligible Indices, or instruments whose returns are linked to the Index or the futures contracts included
in the Eligible Indices or listed or over-the-counter options, futures contracts, swaps or other derivative instruments relating
to the Index or the futures contracts included in the Eligible Indices for our or their proprietary accounts, for other accounts
under our or their management or to facilitate transactions, including block transactions, on behalf of customers. Any of these
activities could adversely affect the level of the Index—directly or indirectly by affecting the price of the futures contracts
underlying the Eligible Indices or listed or over-the-counter options, futures contracts, swaps or other derivative instruments
relating to the Index or the futures contracts included in the Eligible Indices—and therefore, the market value of your
ETNs and the amount we will pay on your ETNs on the relevant Early Redemption Date, Acceleration Date or the Maturity Date. We
may also issue, and we, our affiliates or third parties with whom we transact may also issue or underwrite, other ETNs or financial
or derivative instruments with returns linked to changes in the level of the Index or the futures contracts underlying the Eligible
Indices or listed or over-the-counter options, futures contracts, swaps or other derivative instruments relating to the Index
or the futures contracts underlying the Eligible Indices. By introducing competing products into the marketplace in this manner,
we, our affiliates or third parties with whom we transact could adversely affect the market value of your ETNs and the amount
we will pay on your ETNs on the relevant Early Redemption Date, Acceleration Date or the Maturity Date.
We or our affiliates may have
economic interests adverse to those of the holders of the ETNs
CSI will act as
the Calculation Agent for the ETNs. As Calculation Agent, CSI will make determinations with respect to the ETNs. Among other things,
CSI or one of its affiliates is responsible for computing and disseminating the Closing Indicative Value. The determinations may
be adverse to you.
As noted above,
we, our affiliates or third parties with whom we transact, may engage in trading activities relating to the Index and futures
contracts included in the Eligible Indices or listed or over-the-counter options, futures contracts, swaps or other derivative
instruments relating to the Index or the futures contracts included in the Eligible Indices. These trading activities may present
a conflict between your interest in your ETNs and the interests we, our affiliates or third parties with whom we transact will
have in our or their proprietary accounts, in facilitating transactions, including block trades, for our or their customers and
in accounts under our or their management. These trading activities, if they influence the level of the Index, could be adverse
to your interests as a beneficial owner of your ETNs.
We, our affiliates
or third parties with whom we transact, the Calculation Agent and their affiliates may have published, and in the future may publish,
research reports with respect to the futures contracts included in the Eligible Indices and with respect to the Index. Any of
these activities by us, our affiliates or third parties with whom we transact, the Calculation Agent or any of their affiliates
may affect the levels of the Index and, therefore, the market value of your ETNs and the amount we will pay on your ETNs on the
relevant Early Redemption Date, Acceleration Date or the Maturity Date. Moreover, any such research reports should not be viewed
as a recommendation or endorsement of the futures contracts included in the Eligible Indices, the Index or the ETNs in any way,
and investors must make their own independent investigation of the merits of this investment.
In our sole discretion,
we may decide to issue and sell additional ETNs from time to time at a price that is higher or lower than the stated principal
amount, based on the indicative value of the ETNs at that time, and any ETNs held by us or an affiliate in inventory may be resold
at prevailing market prices or lent to market participants who may have made short sales of the ETNs. See “—We may
sell additional ETNs at different prices but we are under no obligation to issue or sell additional ETNs at any time, and if we
do sell additional ETNs, we may limit or restrict such sales, and we may stop selling additional ETNs at any time” above.
The policies of the Index Sponsor
and changes that affect the Index could affect the Redemption Amount of your ETNs and their market value
The policies of
the Index Sponsor concerning the calculation of the level of the Index and the manner in which changes affecting the futures contracts
included in the Eligible Indices or options or futures contracts relating to the Index or the futures contracts included in the
Eligible Indices are reflected in the level of the Index could affect the Redemption Amount of your ETNs on the relevant Early
Redemption Date, Acceleration Date or the Maturity Date and the market value of your ETNs prior to that date. The Redemption Amount
of your ETNs and their market value could also be affected if the Index Sponsor changes these policies, for example by changing
the manner in which it calculates the level of the Index, by adding, deleting or substituting the futures contracts composing
the Eligible Indices, or if the Index Sponsor discontinues or suspends calculation or publication of the level of the Index, in
which case it may become difficult to determine the market value of your ETNs. If events such as these occur, or if the level
of the Index is not available because of a Market Disruption Event or for any other reason, the Calculation Agent may determine
the level of the Index on the Valuation Date (including, without limitation, the Final Valuation Date, any Valuation Date in the
Accelerated Valuation Period or Early Redemption Valuation Date), as the case may be.
A futures contract underlying
an Eligible Index may be replaced if such futures contract is terminated or replaced on the exchange where it is traded
Each Eligible Index
is composed of futures contracts on physical commodities (each, a “
designated contract
”). If any such designated
contract were to be terminated or replaced by an exchange, a comparable futures contract, if available, would be selected by the
Index Sponsor to replace that designated contract. The termination or replacement of any designated contract may have an adverse
impact on the level of an Eligible Index and the Index and, therefore, the value of your ETNs.
The occurrence of a Market Disruption
Event will affect the calculation of the Daily Index Factor, certain valuations and delay certain payments under the ETNs
If a Market Disruption
Event occurs or is continuing on any Trading Day, the Calculation Agent will determine the Daily Index Factor on such Trading
Day using an appropriate Closing Level of the Index for such Trading Day taking into account the nature and duration of such Market
Disruption Event. In addition, if the determination of the settlement price for any Index Component on the Final Valuation Date,
the Valuation Date corresponding to an Early Redemption Date or the last scheduled Valuation Date in the Accelerated Valuation
Period is postponed, due to a Market Disruption Event or otherwise, the Maturity Date, the corresponding Early Redemption Date
or the Acceleration Date, as the case may be, will be postponed until the date three Business Days following the determination
of such settlement price in respect of each Index Component for such Valuation Date, as postponed. No interest or additional payment
will accrue or be payable as a result of any postponement of the Maturity Date, any Early Redemption Date or the Acceleration
Date. See “Specific Terms of the ETNs—Market Disruption Events” in this pricing supplement.
The Maturity Date may be postponed
In addition to
the postponement for Market Disruption Events described above, 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. No interest or additional
payment will accrue or be payable as a result of any postponement of the Maturity Date. We may also, at our option, extend the
maturity of the ETNs for up to two additional five-year periods following the originally scheduled Maturity Date of June 15, 2033.
Suspension or disruptions of market
trading in futures contracts may adversely affect the value of your ETNs
The markets for
the futures contracts included in the Eligible Indices are subject to temporary distortions or other disruptions due to various
factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention.
In addition, some U.S. futures have regulations that limit
the amount of fluctuation
in some futures contract prices that may occur during a single Business Day. These limits are generally referred to as “daily
price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is
referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made
at a price beyond the limit, or trading may be limited for a set period of time. Limit prices have the effect of precluding trading
in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices. These circumstances
could affect the value of the Index and therefore could adversely affect the value of your ETNs.
The ETNs are not regulated by
the Commodity Futures Trading Commission
The proceeds to
be received by us from the sale of the ETNs will not be used to purchase or sell any commodities futures contracts or options
on futures contracts for your benefit. An investment in the ETNs thus does not constitute either an investment in futures contracts,
options on futures contracts or in a collective investment vehicle that trades in these futures contracts (i.e., the ETNs will
not constitute a direct or indirect investment by you in futures contracts), and you will not benefit from the regulatory protections
of the Commodity Futures Trading Commission (the “
CFTC
”). The issuer of the ETNs, Credit Suisse, is not registered
with the CFTC as a futures commission merchant and you will not benefit from the CFTC’s or any other non-U.S. regulatory
authority’s regulatory protections afforded to persons who trade in futures contracts on a regulated futures exchange through
a registered futures commission merchant. Unlike an investment in the ETNs, an investment in a collective investment vehicle that
invests in futures contracts on behalf of its participants may be subject to regulation as a commodity pool and its operator may
be required to be registered with and regulated by the CFTC as a commodity pool operator, or qualify for an exemption from the
registration requirement. Because the ETNs will not be interests in a commodity pool, the ETNs will not be regulated by the CFTC
as a commodity pool, Credit Suisse will not be registered with the CFTC as a commodity pool operator, and you will not benefit
from the CFTC’s or any non-U.S. regulatory authority’s regulatory protections afforded to persons who invest in regulated
commodity pools.
The commodities futures contracts
underlying the Index are subject to legal and regulatory regimes that may change in ways that could affect our ability to hedge
our obligations under the ETNs, may have an adverse effect on the level of the Index and may lead to a Commodity Hedging Disruption
Event, any of which may have a substantial and adverse impact on the value of the ETNs
The markets for
futures contracts and options on futures contracts, including those futures contracts related to the commodities included in the
Index, are subject to extensive regulations, and margin requirements. The CFTC and the exchanges on which such futures contracts
trade are authorized to take certain actions in the event of a market emergency, including, for example, the retroactive implementation
of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading.
Furthermore, certain exchanges have regulations that limit the amount of fluctuations in futures contract prices which may occur
during a single five-minute trading period. These limits could adversely affect the market prices of relevant futures contracts
and forward contracts. Additionally, these regulations could adversely affect the price of the underlying commodities futures
and/or forward contracts and, therefore, the value of the ETNs.
The regulation
of commodity transactions in the U.S. and other countries is subject to ongoing modification by government and judicial action.
For example, pursuant to the requirements of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “
Dodd-Frank
Act
”), the CFTC adopted interim and final position limits that would have applied to a party’s combined futures,
options and swaps position in any one of 28 physical commodities and economically equivalent futures, options and swaps. These
limits would have, among other things, expanded existing position limits applicable to options and futures contracts to apply
to swaps and applied them across affiliated and controlled entities and accounts, and would have covered a number of commodity
futures contracts included in the Index. The rules also would have narrowed the existing exemption from position limits for hedge
positions. The CFTC’s position limits rules were to become effective on October 12, 2012, but a United States District Court
vacated and remanded the position limits rules to the CFTC. The CFTC has appealed that ruling and it is uncertain at this time
whether, when, and to what extent the CFTC’s position limits rules will become effective. If these rules do become effective,
they may interfere with our ability to enter into or maintain hedge positions to hedge our obligations.
In addition, various
national governments have expressed concern regarding the disruptive effects of speculative trading in the commodity markets and
the need to regulate the derivative markets in general. The effects
of any future regulatory
change on the value of the ETNs is impossible to predict, but could be substantial and adverse to the interests of ETN holders.
We or our affiliates
may be unable, as a result of such restrictions, to effect transactions necessary to hedge our obligations under the ETNs, in
which case we may, in our sole and absolute discretion, accelerate the payment on your ETNs. If the payment on your ETNs is accelerated,
your investment may result in a loss and you may not be able to reinvest your money in a comparable investment. Please refer to
“Specific Terms of the ETNs—Acceleration at Our Option or Upon an Acceleration Event” herein for more information.
The effects of any future regulatory
change on the value of the ETNs is impossible to predict, but could be substantial and adverse to the interests of holders of
the ETNs
Any future regulatory
changes applicable to futures contracts and options on futures contract, including but not limited to changes resulting from the
Dodd-Frank Act, which was enacted on July 21, 2010, may have a substantial adverse effect on the value of the ETNs. For example,
if the CFTC’s position limit rules are ultimately upheld in an appeal or if substantially similar rules are re-proposed,
adopted and implemented by the CFTC, such rules could interfere with our ability to enter into or maintain hedge positions in
instruments subject to the limits, and consequently, we may need to decide, or be forced, to sell a portion, possibly a substantial
portion, of our hedge position in such underlying commodity or futures contracts on such underlying commodity or related contracts.
Similarly, other market participants would be subject to the same regulatory issues and could decide, or be required to, sell
their positions in such underlying commodity or futures contracts on such underlying commodity or related contracts. While the
effect of these or other regulatory developments are difficult to predict, if this broad market selling were to occur, it would
likely lead to declines, possibly significant declines, in the price of such underlying commodity or futures contracts on such
underlying commodity and therefore, could adversely affect the value of the ETNs.
We or our affiliates
may be unable, as a result of restrictions imposed by such regulatory actions, to effect transactions necessary to hedge our obligations
under the ETNs, in which case we may, in our sole and absolute discretion, accelerate the payment on your ETNs. If the payment
on your ETNs is accelerated, your investment may result in a loss and you may not be able to reinvest your money in a comparable
investment. Please refer to “Specific Terms of the ETNs—Acceleration at Our Option or Upon an Acceleration Event”
herein for more information.
A decision by an exchange on which
the futures contracts included in the Eligible Indices are traded to increase margin requirements may affect the level of the
Index and, as a result, the value of the ETNs
Futures exchanges
require market participants to post collateral in order to open and keep open positions in futures contracts (i.e., the margin
requirement). If an exchange increases the amount of collateral required to be posted to hold positions in the futures contracts
included in the Eligible Indices, market participants who are unwilling or unable to post additional collateral may liquidate
their positions, which may cause the levels of the Eligible Indices and the Index to decline significantly. As a result, the value
of the ETNs that reference the prices of these contracts may be adversely affected.
The United States federal income
tax treatment on the ETNs is uncertain and the terms of the ETNs require you to follow the treatment that we will adopt
The United States
federal income tax consequences of an investment in your ETNs are uncertain, both as to the timing and character of any inclusion
in income in respect of your ETNs. Some of these consequences are summarized below but you should read the more detailed discussion
in “Material United States Federal Income Tax Considerations” in this pricing supplement and in the accompanying prospectus
supplement and prospectus and also consult your tax advisor as to the tax consequences of investing in the ETNs.
By purchasing an
ETN, you and we agree, in the absence of a change in law, an administrative determination or a judicial ruling to the contrary,
to characterize such ETN for all tax purposes as a pre-paid financial contract with respect to the Index. Under this characterization
of the ETNs, you generally should recognize capital gain or loss upon the sale, redemption or maturity of your ETNs in an amount
equal to the difference between the amount you receive at such time and the amount you paid for the ETNs.
Notwithstanding
our agreement to treat the ETNs as a pre-paid financial contract with respect to the Index, the Internal Revenue Service (“
IRS
”)
could assert that the ETNs should be taxed in a manner that is different than described in this pricing supplement. As discussed
further below, the IRS has issued a notice indicating that it and the Treasury Department (“
Treasury
”) are
actively considering whether, among other issues, you should be required to accrue ordinary income over the term of an instrument
such as the ETNs even though you will not receive any payments with respect to the ETNs until maturity and whether all or part
of the gain you may recognize upon sale or maturity of an instrument such as the ETNs could be treated as ordinary income. The
outcome of this process is uncertain and could apply on a retroactive basis.
The
Index
The Credit Suisse
Commodity Backwardation Total Return Index (the “
Index
”) is a long-only index of Credit Suisse Commodity Benchmark
single commodity indices that are dynamically selected each month by using an “
Allocation Model
” as described
further below. The Index seeks to reflect the potential returns available each month from taking a notional weighted long position
in eight sub-indices from a universe of 24 eligible sub-indices (the “
Eligible Indices
”). Each of the Eligible
Indices is a single-component index that takes a notional long position in futures contracts falling four to six months out on
the futures curve of their respective commodities. The Eligible Indices take notional positions in futures contracts falling within
the fourth, fifth and sixth months in equal unit amounts. Each month, the Allocation Model calculates the “
Basis
”
for the commodities underlying each of the Eligible Indices, which is a measure of the degree of backwardation that each of the
commodity markets underlying the Eligible Indices is currently experiencing, and then ranks each of the Eligible Indices by Basis
of the underlying commodities. The eight Eligible Indices whose underlying commodities are exhibiting the highest level of backwardation
(or lowest level of contango) are then included in the Index for that month (when so included, these eight Eligible Indices are
referred to as the “
Index Components
”). The economic concepts of “backwardation” and “contango”
are described more fully below. Because the Index is an index of indices, the Index gains exposure to commodities contracts by
virtue of its exposure to the Index Components but it does not take positions in or gain direct exposure to any commodities futures
contract.
Calculation of the Index
The overall return
on the Index is generated by two components: (i) unleveraged returns on futures contracts on the physical commodities comprising
the Index Components (the “
Excess Return
”)
and (ii) the returns that correspond to the weekly announced
interest rate for specified three-month U.S. Treasury Bills (the “
Daily Accrual
”).
On any Index Business
Day, the Index level will equal: (1) the Index level for the previous Index Business Day times (2) the sum of (a) 1 plus (b) the
Excess Return for that Index Business Day plus (c) the Daily Accrual for that Index Business Day.
The Excess Return
represents the uncollateralized return of the commodity futures contracts underlying the Index Components over time. The Daily
Accrual represents the rate of interest that could be earned on an investment at the three-month U.S. Treasury rate as reported
on Bloomberg under ticker USB3MTA (or any successor ticker on Bloomberg or any successor service). The Daily Accrual on any Index
Business Day will equal:
Where
Tbills
t
-1
is the three-month treasury rate reported on Bloomberg on the prior Index Business Day and
d
is the number of calendar
days from and including the immediately prior Index Business Day to but excluding the date of determination. The Daily Accrual
is deemed to be zero on any day that is not an Index Business Day.
Commodity Futures
Markets
Futures contracts
on physical commodities are traded on regulated futures exchanges, and physical commodities and other derivatives on physical
commodities are traded in the over-the-counter market and on various types of physical and electronic trading facilities and markets.
The futures contracts that underlie the Eligible Indices are exchange-traded futures contracts. An exchange-traded futures contract
provides for the purchase and sale of a specified type and quantity of a commodity or financial instrument during a stated delivery
month for a fixed price. A futures contract provides for a specified settlement month in which the cash settlement is
made or in which
the commodity or financial instrument is to be delivered by the seller (whose position is therefore described as “short”)
and acquired by the purchaser (whose position is therefore described as “long”).
There is no purchase
price paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents must be deposited
with the broker as “initial margin”. This amount varies based on the requirements imposed by the exchange clearing
houses. This margin deposit provides collateral for the obligations of the parties to the futures contract.
By depositing margin,
which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able
to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in futures contracts.
The market participant normally makes to, and receives from, the broker subsequent daily payments as the price of the futures
contract fluctuates. These payments are called “variation margin” and are made as the existing positions in the futures
contract become more or less valuable, a process known as “marking to the market”.
Futures contracts
are traded on organized exchanges, known as “designated contract markets.” At any time prior to the expiration of
a futures contract, subject to the availability of a liquid secondary market, a trader may elect to close out its position by
taking an opposite position on the exchange on which the trader obtained the position. This operates to terminate the position
and fix the trader’s profit or loss. Futures contracts are cleared through the facilities of a centralized clearing house
and a brokerage firm, referred to as a “futures commission merchant”, which is a member of the clearing house. The
clearing house guarantees the performance of each clearing member that is a party to a futures contract by, in effect, taking
the opposite side of the transaction. Clearing houses do not guarantee the performance by clearing members of their obligations
to their customers.
Futures contracts,
by their terms, have stated expirations and, at a specified point in time prior to expiration, trading in a futures contract for
the current delivery month will cease. As a result, a market participant seeking to maintain its exposure to a futures contract
on a particular commodity must close out its position in the expiring contract (referred to as the “
front-month contract
”)
and establish a new position in a contract with a later-dated delivery month — a process referred to as “rolling”.
For example, a market participant with a long position in November crude oil futures that seeks to maintain a position in the
nearest delivery month may, as the November contract nears expiration, sells November futures, which serves to close out the existing
long position, and buys December futures. This would “roll” the November position into a December position, and, when
the November contract expires, the market participant would still have a long position in the first nearby delivery month.
Traditional commodity
indices generally include a static group of commodities that does not change and generally roll the futures contracts for each
month into the futures contract expiring in the next nearest delivery month. In contrast, the Eligible Indices, according to their
respective index rules, take notional positions in futures contracts that fall within the fourth and sixth months on the futures
curve and utilize a 15-Business Day roll period to diversify exposure across multiple weeks. The Index then uses the Allocation
Model to determine which of the Eligible Indices will be included in the Index each month.
The return from
investing in a futures contract derives from changes in the price of the relevant futures contract (the “
price return
”),
any profit or loss realized when rolling the relevant futures contract (the “
roll yield
”) and any interest
earned on the cash deposited as the initial margin for the purchase of the relevant futures contract (the “
Treasury bill
return
”). A total return index comprised of futures contracts reflects returns from all three sources — price
return, roll yield, and Treasury bill return. The Eligible Indices are excess return indices reflecting only the price return
and roll yield of the underlying futures contracts. The Index, by contrast, is a total return index, reflecting the price return
and roll yield of the futures contracts underlying the Eligible Indices, plus the Treasury bill return.
Roll yield may
be generated as a result of holding futures contracts. When longer-dated contracts are priced lower than the nearer-dated contracts
and spot prices, the market is in “backwardation”, and positive roll yield may be generated when higher-priced near-term
futures contracts are “sold” to “buy” and hold lower-priced longer-dated contracts. When the opposite
is true and longer-dated contracts are priced higher than the nearer contracts and spot prices, the market is in “contango”,
and negative roll yields may result from the “sale” of lower-priced near-term futures contracts to “buy”
and hold higher priced longer-dated contracts.
Futures exchanges
and clearing houses in the United States are subject to regulation by the Commodities Futures Trading Commission. Exchanges may
adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations
and trading halts and suspensions and requiring liquidation of contracts in certain circumstances. Futures markets outside the
United States are generally subject to regulation by comparable regulatory authorities. The structure and nature of trading on
non-U.S. exchanges, however, may differ from this description.
Backwardation
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 curves 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 curves 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 an upward-sloping futures curve. Historically, backwardated curves are associated with
a number of economic factors, including low levels of physical inventory of the underlying commodity and relative scarcity of
the commodity in the current market. 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 commodities
in backwardated markets may be experiencing greater levels of scarcity in the short term and, as a result, they have the potential
to outperform commodities with lower degrees of backwardation (or higher degrees of contango) and lower relative scarcity. Current
inventory levels of the relevant commodities affect this return, as inventories can help dampen the negative price effects of
a demand spike or supply disruption. Low inventories are less effective in absorbing the shocks to commodities prices during a
demand spike or supply disruption since they cannot be called upon as a source of supply when supply in the market is scarce.
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.
The level of the
Index increases or decreases as a result of its exposure to the Index Components, which are the eight Eligible Indices whose underlying
commodities are experiencing the highest levels of backwardation (or least level of contango) in a given month, as determined
according to the Allocation Model. If there is any change in the identity of the Index Components from month to month, there is
a “reweighting period” during which the new Index Components replace the Index Components from the previous month.
This reweighting period takes place monthly and begins on the fifth Index Business Day of each month and ends on the ninth Index
Business Day of each month, reweighting Index Components at a rate of 20% per day. By altering the Index’s exposure to the
various Eligible Indices from month to month, the reallocation process allows the Index to gain exposure to long positions in
the selected commodities and then reset the Index’s exposure on a monthly basis.
The Index replicates
notional positions in the Index Components described below. There is no actual portfolio of assets in which any investor in the
Index has any ownership or other interest. The Index will be governed by and calculated in accordance with a set of index rules
summarized below.
Index Components
The Eligible Indices,
commodity exchanges, Bloomberg symbols, calculation agents and Sector Caps are set forth below in Table 1.
Table 1:
Eligible Indices
Eligible Index
|
Exchange
|
Bloomberg
Index Ticker
|
Calculation
Agent
|
Max
Sector Allocation (#)
|
Max
Sector Allocation (%)
|
Energy
|
6
|
75.0%
|
WTI
Crude Oil
|
NYMEX
|
CSIXCLE2
|
CSI
|
|
|
Brent
Crude Oil
|
ICE
|
CSIXBRE2
|
CSI
|
|
|
Heating Oil
|
NYMEX
|
CSIXHOE2
|
CSI
|
|
|
Gasoil
|
ICE
|
CSIXGOE2
|
CSI
|
|
|
RBOB
Gasoline
|
NYMEX
|
CSIXRBE2
|
CSI
|
|
|
Natural
Gas
|
NYMEX
|
CSIXNGE2
|
CSI
|
|
|
Industrial
Metals
|
5
|
62.5%
|
Copper
grade A.
|
LME
|
CSIXCUE2
|
CSI
|
|
|
Zinc
high grade
|
LME
|
CSIXZNE2
|
CSI
|
|
|
Aluminum
primary
|
LME
|
CSIXALE2
|
CSI
|
|
|
Nickel
primary
|
LME
|
CSIXNIE2
|
CSI
|
|
|
Lead
Standard
|
LME
|
CSIXPBE2
|
CSI
|
|
|
Precious
Metals
|
2
|
25.0%
|
Gold
|
COMEX
|
CSIXGCE2
|
CSI
|
|
|
Silver
|
COMEX
|
CSIXSIE2
|
CSI
|
|
|
Agriculture
|
3
|
37.5%
|
SRW
Wheat
|
CBOT
|
CSIXWHE2
|
CSI
|
|
|
HRW
Wheat
|
KCBOT
|
CSIXKWE2
|
CSI
|
|
|
Corn
|
CBOT
|
CSIXCNE2
|
CSI
|
|
|
Soybeans
|
CBOT
|
CSIXSYE2
|
CSI
|
|
|
Sugar
#11
|
ICE
|
CSIXSBE2
|
CSI
|
|
|
Cocoa
|
ICE
|
CSIXCCE2
|
CSI
|
|
|
Coffee
“C” Arabica
|
ICE
|
CSIXKCE2
|
CSI
|
|
|
Cotton
|
ICE
|
CSIXCTE2
|
CSI
|
|
|
Livestock
|
1
|
12.5%
|
Live
Cattle
|
CME
|
CSIXLCE2
|
CSI
|
|
|
Feeder
Cattle
|
CME
|
CSIXFCE2
|
CSI
|
|
|
Lean
Hogs
|
CME
|
CSIXLHE2
|
CSI
|
|
|
The Index is maintained
and calculated by Credit Suisse International (the “
Index Sponsor
”) and is denominated in U.S. dollars. The
Index Sponsor calculates the level of the Index at the close of business, New York time, on each Index Business Day with respect
to the prior Index Business Day and publishes it under the ticker symbol “CSCUBKTR”, or any successor website thereto,
shortly thereafter. The level of the Index is also reported on Bloomberg under the ticker symbol “CSCUBKTR <Index>”
or any successor thereto. An “
Index Business Day
” is a day on which the Index is scheduled to be published,
as determined by the NYSE Euronext Holiday Schedule. Any deviation from such Index Business Day schedule is ratified by the Framework
Steering Committee and is announced in advance.
Index Component
Selection using the Allocation Model
On the fourth Index
Business Day for each calendar month (the “
Allocation Calculation Date
”) a process referred to as the Allocation
Model is used to determine which eight of the 24 Eligible Indices will be Index Components and thus be included in the Index for
the following month. The Index Components are chosen using the following steps:
Step 1: Observe
the price of the Front Contract and Back Contract for each Eligible Index
The first step
is to observe the price of the Front Contract and Back Contract for each Eligible Index. The “
Front Contract
”
for each Eligible Index refers to the futures contract referenced by physical delivery period (“
PDP
”) position
1, as defined in the Credit Suisse Commodities Benchmark Operating Manual (the “
Operating Manual
”). The “
Back
Contract
” for each Eligible Index refers to the futures contract referenced by PDP position 6, as defined in the Operating
Manual. PDP positions 1 and 6 for each of the Eligible Indices for each calendar month are reproduced in Table 2, below.
Table 2
ENERGY
|
PDP
(Physical Delivery
Period)
|
Futures
Contract Reference Month
|
|
Calculation
Month
|
WTI
Crude Oil
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Brent
Crude Oil
|
|
1
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Heating
Oil
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Sep
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
Jun
|
Jun
|
Jun
|
Gasoil
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Sep
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
Jun
|
Jun
|
Jun
|
RBOB
Gasoline
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Sep
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
Jun
|
Jun
|
Jun
|
Natural
Gas
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
INDUSTRIAL
METALS
|
PDP
(Physical Delivery
Period)
|
Futures
Contract Reference Month
|
|
Calculation
Month
|
Copper
Grade A.
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Zinc
high grade
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Aluminum
primary
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Nickel
primary
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Lead
Standard
|
|
1
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
6
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
PDP
(Physical Delivery
Period)
|
Futures
Contract Reference Month
|
|
Calculation
Month
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gold
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
1
|
Feb
|
Apr
|
Apr
|
Jun
|
Jun
|
Aug
|
Aug
|
Dec
|
Dec
|
Dec
|
Dec
|
Feb
|
6
|
Aug
|
Aug
|
Dec
|
Dec
|
Dec
|
Dec
|
Feb
|
Feb
|
Apr
|
Apr
|
Jun
|
Jun
|
Silver
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
6
|
Jul
|
Dec
|
Dec
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Jul
|
AGRICULTURE
|
PDP
(Physical Delivery
Period)
|
Futures
Contract Reference Month
|
|
Calculation
Month
|
SRW
Wheat
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
6
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Jul
|
HRW
Wheat
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
6
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Corn
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
6
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Soybeans
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Nov
|
Nov
|
Nov
|
Nov
|
Jan
|
Jan
|
6
|
Jul
|
Nov
|
Nov
|
Nov
|
Nov
|
Jan
|
Jan
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Sugar
#11
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Oct
|
Oct
|
Oct
|
Mar
|
Mar
|
Mar
|
6
|
Jul
|
Oct
|
Oct
|
Oct
|
Mar
|
Mar
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Cocoa
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
6
|
Sep
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Sep
|
Coffee
“C” Arabica
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
6
|
Sep
|
Sep
|
Sep
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Sep
|
Cotton
|
|
1
|
Mar
|
Mar
|
May
|
May
|
Jul
|
Jul
|
Dec
|
Dec
|
Dec
|
Dec
|
Dec
|
Mar
|
6
|
Jul
|
Dec
|
Dec
|
Dec
|
Dec
|
Dec
|
Mar
|
Mar
|
Mar
|
May
|
May
|
Jul
|
LIVESTOCK
|
PDP
(Physical Delivery
Period)
|
Futures
Contract Reference Month
|
|
Calculation
Month
|
Live
Cattle
|
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
1
|
Feb
|
Apr
|
Apr
|
Jun
|
Jun
|
Aug
|
Aug
|
Oct
|
Oct
|
Dec
|
Dec
|
Feb
|
6
|
Aug
|
Aug
|
Oct
|
Oct
|
Dec
|
Dec
|
Feb
|
Feb
|
Apr
|
Apr
|
Jun
|
Jun
|
Feeder
Cattle
|
|
1
|
Mar
|
Mar
|
Apr
|
May
|
Aug
|
Aug
|
Aug
|
Sep
|
Oct
|
Nov
|
Jan
|
Jan
|
6
|
Aug
|
Aug
|
Sep
|
Oct
|
Nov
|
Jan
|
Jan
|
Mar
|
Mar
|
Apr
|
May
|
Aug
|
Lean
Hogs
|
|
1
|
Feb
|
Apr
|
Apr
|
Jun
|
Jun
|
Jul
|
Aug
|
Oct
|
Oct
|
Dec
|
Dec
|
Feb
|
6
|
Jul
|
Aug
|
Oct
|
Oct
|
Dec
|
Dec
|
Feb
|
Feb
|
Apr
|
Apr
|
Jun
|
Jun
|
Step 2: Calculate
the Basis for each Eligible Index
The second step
is to calculate the “
Basis
” for the commodities underlying each Eligible Index, which is a measure of the degree
of backwardation currently experienced by the futures market for the applicable commodity. The Basis is the ratio of the Front
Contract futures price and the Back Contract futures price, adjusted by an annualization factor that is based on the difference
between the number of days until the expiration dates of the Front Contract and Back Contract.
Where:
|
c
|
the Index Component
c
|
|
t
|
the Allocation Calculation Date
|
|
P
c,1,t
|
for an Index Component
c
, the price of the Front
Contract on an Index Business Day
t
|
|
P
c,2,t
|
for an Index Component
c
, the price of the Back
Contract on an Index Business Day
t
|
|
LTD
c,1
|
for an Index Component
c
, the Last Trading Date
(as defined below) of the Front Contract
|
|
LTD
c,2
|
for an Index Component
c
, the Last Trading Date
(as defined below) of the Back Contract
|
|
Basis
c,t
|
for an Index Component
c
, the Basis associated
with the underlying commodity at time
t
.
|
In respect of a
futures contract comprising an Index Component, the “
Last Trading Day
” is the earlier of (i) the final day
on which such futures contract is traded prior to the expiry date of such futures contract or (ii) the final day on which such
futures contract is traded prior to the beginning of the notice period for physical delivery.
Step 3: Rank
the Eligible Commodities by Basis
.
The third step
is to rank the Eligible Indices in descending order of the Basis of the underlying commodity and select the top eight Eligible
Indices, subject to the Sector Caps. In the case that one or more Sector Caps is exceeded, the Eligible Indices within such sector(s)
whose commodities have the lowest Basis are de-selected, and, the Eligible Indices not within such sector whose commodities have
the next highest Basis as per the ranking are selected, until the sum of the Target Investment Weights (as described in Step 4)
equals 100%.
Step 4: Assign
Target Investment Weights to each of the top eight Eligible Indices
The final step
is to allocate a “
Target Investment Weight
” of 12.5% to each of the top eight ranking Eligible Indices by Basis,
which are referred to as the Index Components for that particular month. Eligible Indices that do not rank in the top eight are
allocated a target weight of 0% and will not be included in the Index for the following month.
The Framework
Steering Committee and the Index Advisory Committee
Credit Suisse International
(“
CSI
”), as sponsor of the Index (the “
Index Sponsor
”), has established a Framework Steering
Committee responsible for overseeing the determination of the general framework for its commodity indices and making decisions
on any amendments to the Index operating procedures. Any amendment to the Index operating procedures should be recommended by
the Index Advisory Committee pertaining to the Index.
The Framework Steering
Committee consists of members appointed by the Index Sponsor. The members may be comprised of senior management within CSI or
individuals of companies not affiliated with Credit Suisse. All members bring substantial experience in the commodity markets.
Index Sponsor
The Index Sponsor
shall be the final authority of the interpretation of the Index’s operating procedures and retains the final authority as
to the manner in which the Index is calculated and constructed. CSI shall apply the existing Index operating procedures in a reasonable
manner, and in doing so may rely upon various sources of information (including commodity index prices and settlement and/or closing
futures prices).
Disruption Events
Commodity Disruption
Events
Where, in the determination
of the Index Sponsor, a Commodity Disruption Event (as defined below) has occurred or exists and subsists in respect of any Index
Business Day (a “
Disrupted Valuation Day
”), the Index Sponsor may in respect of such Disrupted Valuation Day
(i) determine the Index level on the basis of estimated or adjusted data and publish an estimated level of the Index and/or (ii)
following such Disrupted Valuation Day(s), adjust (for the purposes of calculating the Index) the prices of the futures contracts
(or any other dependent values) underlying any Disrupted Index Component (as defined below) within the Index.
If any Index Business
Day during the Roll Period is a Disrupted Valuation Day, each Index Component that was affected by such Commodity Disruption Event
(a “
Disrupted Index Component
”) will not be reweighted on that day and the roll weights for each Disrupted
Index Component will remain identical to the values they had on the Index Business Day immediately preceding the Disrupted Valuation
Day. Each Disrupted Index Component will be reweighted on the next Index Business Day on which no Commodity Disruption Event occurs
or is continuing in relation to the relevant Index Component. If the three following Index Business Days are Disrupted Valuation
Days (referred to as an “
Extended Disruption Period
”), the Framework Steering Committee, in conjunction with
the Index Advisory Committee, may determine, in good faith and in a reasonable commercial manner, on the earlier of (a) three
Index Business Days following the initial Disrupted Valuation Day or (b) the Last Trading Day of the relevant Index Component,
the relevant price of the related futures contract for each such Disrupted Index Component in respect of the Index Business Day
following the Extended Disruption Period. In respect of a futures contract comprising an Index Component, the “
Last Trading
Day
” is the earlier of (i) the final day on which such futures contract is traded prior to the expiry date of such futures
contract or (ii) the final day on which such futures contract is traded prior to the beginning of the notice period for physical
delivery.
In the determination
of the Index Sponsor, the following events are each referred to as “Commodity Disruption Events”:
Any suspension
of or limitation imposed on trading by any stock exchange, futures exchange or other exchange (each an “
Exchange
”)
on which any commodity futures contract referenced (albeit notionally) as an underlying of an Index Component is quoted whether
by reason of movements in price exceeding limits permitted by any relevant Exchange or otherwise, which, taking into account all
relevant Exchanges, represents a material percentage amount in aggregate weight of the relevant Index Component, as determined
by the Index Sponsor;
Any event that
disrupts or impairs (as determined by the Index Sponsor) the ability of market participants in general to effect transactions
in, or obtain market values for any commodity futures contract referenced (albeit notionally), which represents a material percentage
amount in aggregate weight of the relevant Index Component, as determined by the Index Sponsor;
An event resulting
in a breakdown in any means of communication or a procedure normally used to enable the determination of the Index level, or any
other event, in the determination of the Index Sponsor, that prevents the prompt or accurate determination of the Index level,
or the Index Sponsor concludes that as a consequence of any event, the last reported Index level should not be relied upon;
The Index Sponsor
reasonably believes that the Index methodology has determined an Index level that cannot be relied upon;
The failure, suspension
or postponement of any calculation within the Index methodology in respect of any Index Business Day; or
Either (A) the
adoption of or any change in applicable law or regulation (including, without limitation, any tax law) or (B) the promulgation
of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable
law or regulation (including action taken by a taxing authority) which, in the determination of CSI as Calculation Agent in respect
of the Index (in its sole discretion) would (i) make it illegal for the Calculation Agent to perform its duties or (ii) cause
the Calculation Agent to incur a materially increased cost in performing its obligations (including, without limitation, due to
any increase in tax liability, decrease in tax benefit or other adverse effect on its tax position).
Market Emergency
The Framework Steering
Committee, in consultation with the Index Advisory Committee, will declare a Market Emergency when the circumstances are deemed
to have a material effect on the tradability of the Index.
In such circumstances,
the Framework Steering Committee may need to take immediate actions it deems appropriate to ensure that the integrity of the Index
is preserved, including when necessary the suspension of the publication of the Index.
Historical Information
Publication of
the Index began on February 21, 2012. Therefore the Index has very limited actual performance history. No actual investment in
securities linked to the Index was possible prior to February 21, 2012.
The following graph
sets out the retrospectively calculated performance of the Index from September 3, 2002 to February 20, 2012 and the historical
performance from February 21, 2012 to June 10, 2013. Because the Index was published beginning only on February 21, 2012, we have
calculated the retrospective performance of the Index based on historical data. We obtained the closing levels below from Bloomberg,
without independent verification. See “The Index” for a description of the methodology applicable to the Index.
You should
not take the historical levels or retrospectively calculated levels of the Index as an indication of future performance of
the Index. Any historical upward or downward trend in the level of the Index during any period set forth in the graph below
is not an indication that the Index is more or less likely to increase or decrease during the future. You should refer to
“Risk Factors—Risk Factors Relating to the Index—The Index has very limited performance history and may
perform in unexpected ways. Any historical and retrospectively calculated performance of the Index should not be taken as an
indication of the future performance of the Index”. The Closing Level of the Index on the Inception Date was 17,787.821. Any
payment on the ETNs is subject to our ability to pay our obligations as they become due.
DESCRIPTION
OF THE ETNS
The market value
of the ETNs will be affected by several factors, many of which are beyond our control. We expect that generally the level of the
Index on any day will affect the market value of the ETNs more than any other factor. Other factors that may influence the market
value of the ETNs include, but are not limited to, the path and volatility of the Index; the prevailing market prices of options
on the Index and other financial instruments related to the Index; supply and demand for the ETNs, including inventory positions
with any market maker; the volatility of the Index; prevailing rates of interest; the volatility of securities markets; economic,
financial, political, regulatory or judicial events that affect the level of the Index or the market price or forward volatility
of commodities markets or the futures contracts included in the Eligible Indices; the general interest rate environment; the perceived
creditworthiness of Credit Suisse; supply and demand in the listed and over-the-counter commodity derivative markets; and supply
and demand as well as hedging activities. See “Risk Factors” in this pricing supplement for a discussion of the factors
that may influence the market value of the ETNs prior to maturity.
Intraday Indicative Value
The “
Intraday
Indicative Value
” of the 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 Index.
If the Intraday Indicative Value
of the 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 Intraday Indicative
Value calculation is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale, redemption,
acceleration or termination of your ETNs, nor will it reflect hedging or transaction costs, credit considerations, market liquidity
or bid-offer spreads. Published levels of the Index from the Calculation Agent may occasionally be subject to delay or postponement.
Any such delays or postponements will affect the current level of the Index and therefore the Intraday Indicative Value of your
ETNs. The actual trading price of the ETNs may be different from their Intraday Indicative Value. CSI or its affiliate is responsible
for computing and disseminating the Closing Indicative Value.
The actual trading prices of the
ETNs may vary significantly from their Intraday Indicative Values. The trading prices of the ETNs at any time is the price that
you may be able to sell your ETNs in the secondary market at such time, if one exists.
Because the Eligible
Indices are composed of notional futures contracts on commodities, some of which may trade primarily in European markets, certain
Index Components may reach their final level for such Index Business Day before the close of trading on NYSE Arca. As a result,
for so long as the ETNs are listed for trading on NYSE Arca, the ETNs may continue to trade in the afternoon on each Trading Day
for a period of time after the value of certain Index Components has been fixed for that Trading Day.
The actual trading prices of the
ETNs may vary significantly from the Intraday Indicative Value and the Closing Indicative Value.
The Intraday Indicative
Value and the Closing Indicative Value of the ETNs are not the same as the closing price or any other trading price of such ETNs
in the secondary market. 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 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. The
Closing Indicative Value will be zero on and subsequent to any calendar day on which the Intraday Indicative Value is less than
or equal to zero at any time or the Closing Indicative Value equals zero. The Closing Indicative Value will be published on each
Trading Day under the Bloomberg ticker symbol “CSCR.IV”. If your ETNs have not been previously redeemed or
accelerated, at maturity
you will receive for each $20.00 stated principal amount of your ETNs a cash payment equal to the arithmetic average of the Closing
Indicative Value on each of the immediately preceding five Trading Days to and including the Final Valuation Date, as calculated
by the Calculation Agent. If you elect to offer your 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 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.
The Intraday Indicative
Value of the 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 Index. If the Intraday Indicative Value is equal to or less than zero at any time, the Closing
Indicative Value on that day, and all future days, will be zero.
The trading price
of the ETNs at any time is the price at which you may be able to sell your ETNs in the secondary market at such time, if one exists.
The trading price of the ETNs at any time may vary significantly from the Intraday Indicative Value of such ETNs at such time.
Paying a premium purchase price over the Intraday Indicative Value of the ETNs could lead to significant losses in the event the
investor sells such ETNs at a time when such premium is no longer present in the market place or such ETNs are accelerated (including
at our option), in which case investors will receive a cash payment based on the Closing Indicative Value as described below.
We may, without providing you notice or obtaining your consent, create and issue ETNs in addition to
those offered by this pricing supplement having the same terms and conditions as the ETNs.
However, we are under no obligation
to sell additional ETNs at any time, and we may suspend issuance of new ETNs at any time without providing you notice or obtaining
your consent. If we stop selling additional ETNs, the price and liquidity of the ETNs could be materially and adversely affected,
including an increase in the premium purchase price of the ETNs over the Intraday Indicative Value of the 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 ETNs.
The ETNs may be redeemed or accelerated
at any time, subject to the conditions described in this pricing supplement.
As discussed in
“Specific Terms of the ETNs—Payment Upon Early Redemption” below, you may, subject to certain restrictions,
choose to offer your ETNs for redemption by Credit Suisse on any Business Day during the term of the ETNs beginning on June 11,
2013 (for an anticipated June 12, 2013 Early Redemption Valuation Date and an anticipated Early Redemption Date of June 17, 2013)
through June 2, 2033 (or, if the maturity of the ETNs is extended, five scheduled Trading Days prior to the scheduled Final Valuation
Date, as extended) (for an anticipated June 3, 2033 Early Redemption Valuation Date and an anticipated Early Redemption Date of
June 8, 2033 or, if the maturity of the ETNs is extended, an Early Redemption Valuation Date four scheduled Trading Days prior
to the scheduled Final Valuation Date, as extended, and an Early Redemption Date one scheduled Business Day prior to the scheduled
Final Valuation Date, as extended). If you elect to offer your ETNs to Credit Suisse for redemption, you must offer at least the
applicable Minimum Redemption Amount at one time for redemption by Credit Suisse on any Early Redemption Date.
In addition, we
have the right to accelerate the ETNs in whole or in part at any time on any Business Day occurring on or after the Inception
Date or upon the occurrence of certain events described herein. Upon an acceleration of all of the outstanding 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 ETNs during the Accelerated Valuation Period. If fewer than all of the outstanding ETNs
are accelerated, the Accelerated Redemption Amount will be the Closing Indicative Value on the Accelerated Valuation Date. If
less than all the 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 ETNs to be redeemed pursuant to such acceleration. ETNs
may be accelerated in part in multiples of 50,000 ETNs, or an integral multiple of 50,000 ETNs in excess thereof.
The last date on
which Credit Suisse will redeem your ETNs at your option will be June 3, 2033 (or, if the maturity of the ETNs is extended, one
scheduled Business Day prior to the scheduled Maturity Date, as extended). As such, you must offer your ETNs for redemption no
later than June 2, 2033 (or, if the maturity of the ETNs is
extended, five scheduled
Trading Days prior to the scheduled Final Valuation Date, as extended). The daily redemption feature is intended to induce arbitrageurs
to counteract any trading of the ETNs at a premium or discount to their Intraday Indicative Value, although there can be no assurance
that arbitrageurs will employ the redemption feature in this manner.
Split or Reverse Split of the
ETNs
The Calculation
Agent may initiate a split or reverse split of the ETNs on any Trading Day. If the Calculation Agent decides to initiate a split
or reverse split, the Calculation Agent will issue a notice to holders of the ETNs and a press release announcing the split or
reverse split, specifying the effective date of the split or reverse split. The Calculation Agent will determine the ratio of
such split or reverse split, as the case may be, using relevant market indicia, and will adjust the terms of the ETNs accordingly.
Any adjustment of the closing value will be rounded to 8 decimal places.
In the case of
a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “
partials
”) in
a manner determined by the Calculation Agent in its sole discretion. For example, if the ETNs undergo a 1-for-4 reverse split,
holders who own a number of ETNs on the relevant record date that is not evenly divisible by 4 will receive the same treatment
as all other holders for the maximum number of ETNs they hold that is evenly divisible by 4, and we will have the right to compensate
holders for their remaining or “partial” ETNs in a manner determined by the Calculation Agent in its sole discretion.
Our current intention is to provide holders with a cash payment for their partials in an amount equal to the appropriate percentage
of the Closing Indicative Value of the ETNs on a specified Trading Day following the announcement date.
A split or reverse
split of the ETNs will not affect the aggregate stated principal amount of ETNs held by an investor, other than to the extent
of any “partial” ETNs, but it will affect the number of ETNs an investor holds, the denominations used for trading
purposes on the exchange and the trading price, and may affect the liquidity, of the ETNs on the exchange.
SPECIFIC
TERMS OF THE ETNS
In this section,
references to “holders” mean those who own the ETNs registered in their own names, on the books that we or the trustee
maintain for this purpose, and not those who own beneficial interests in the ETNs registered in street name or in the ETNs issued
in book-entry form through The Depository Trust Company (“
DTC
”) or another depositary. Owners of beneficial
interests in the ETNs should read the section entitled “Description of Notes—Book-Entry, Delivery and Form”
in the accompanying prospectus supplement.
The ETNs are Senior
Medium-Term Notes as described in the accompanying prospectus supplement dated March 23, 2012 and prospectus which also contain
a detailed summary of additional provisions of the ETNs and of the senior indenture, dated as of March 29, 2007, as amended, between
Credit Suisse AG (formerly Credit Suisse) and The Bank of New York Mellon (formerly The Bank of New York), as trustee, under which
the ETNs will be issued (the “
indenture
”). You should read all the provisions of the accompanying prospectus
and prospectus supplement, including information incorporated by reference, and the indenture.
Please note that
the information about the price to the public and the proceeds to Credit Suisse on the front cover of this
pricing
supplement
relates only to the initial sale of the ETNs. If you have purchased the ETNs after the initial sale, information
about the price and date of sale to you will be provided in a separate confirmation of sale.
Coupon
We will not make
any coupon or interest payment during the term of the ETNs.
Denomination
We will offer the
ETNs in denominations of $20.00 stated principal amount. ETNs issued in the future may be issued at a price higher or lower than
the stated principal amount, based on the most recent Closing Indicative Value of the ETNs at that time.
Payment at Maturity
If you hold your
ETNs to maturity, you will receive a cash payment on June 15, 2033 (the “
Maturity Date
”) (or, if the maturity
of the ETNs is extended, on the scheduled Maturity Date, as extended) that is linked to the percentage change in the Closing Level
of the Index from the Inception Date to the Closing Level calculated on the Final Valuation Date. Your cash payment at maturity
will be 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 “
Maturity Redemption
Amount
”. 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 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 ETNs is subject to our ability to pay our obligations
as they become due.
The scheduled Maturity
Date is initially June 15, 2033, but may be extended at our option for up to two additional five-year periods. We may only extend
the scheduled Maturity Date for five years at a time. If we exercise our option to extend the maturity of the ETNs, we will notify
DTC (the holder of the global note for the ETNs) and the trustee at least 45 but not more than 60 calendar days prior to the then
scheduled Maturity Date. We will provide such notice to DTC and the trustee in respect of each five-year extension of the scheduled
Maturity Date that we choose to effect.
If the Final Indicative Value
is zero, the Maturity Redemption Amount will be zero.
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 Index Factor on such calendar day
minus
(2) the Daily Investor Fee for on such calendar
day. The Closing Indicative Value will never be less than zero.
If the Intraday Indicative Value 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 ETNs in the secondary market. The trading price of the ETNs at any time may vary significantly from their
indicative value at such time. See “Description of the ETNs—Intraday Indicative Value.” If the ETNs undergo
a split or reverse split, the Closing Indicative Value of the ETNs will be adjusted accordingly (see “Description of the
ETNs—Split or Reverse Split of the ETNs” in this pricing supplement). Such adjustment may adversely affect the trading
price and liquidity of the ETNs. CSI is responsible for computing and disseminating the Closing Indicative Value.
A “
Trading
Day
” is a day which is (i) an Index Business Day, (ii) an ETN Business Day and (iii) an Eligible Index Business
Day for each of the Index Components.
An “
Index
Business Day
” is a day on which the level of the 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 are traded.
An “
ETN
Business Day
” is a day on which trading is generally conducted on the New York Stock Exchange, NYSE Arca and Nasdaq.
The “
Daily
Index Factor
” on any Index Business Day will equal (a) the Closing Level of the Index on such Index Business Day
divided
by (b) the Closing Level of the Index on the immediately preceding Index Business Day. The Daily Index Factor is deemed to
be one on any day that is not an Index Business Day.
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 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 ETNs do
not guarantee any return of principal. If the level of the 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 ETNs, you
will receive less than your initial investment amount at maturity, upon early redemption or acceleration of the ETNs.
See
“Hypothetical Examples” and “Risk Factors—Even if the Closing Level of the Index on the applicable Valuation
Date exceeds the initial Closing Level of the Index on the date of your investment, you may receive less than your initial investment
amount of your ETNs” in this pricing supplement for additional information on how the Daily Investor Fee affects the overall
value of the ETNs.
The “
Closing
Level
” of the Index on any Index Business Day will be the closing level published on Bloomberg under the ticker symbol
“CSCUBKTR <Index>” 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 Index.
Any payment you
will be entitled to receive is subject to our ability to pay our obligations as they become due.
For a further description
of how your payment at maturity will be calculated, see “Hypothetical Examples” and “Specific Terms of the ETNs”
in this
pricing supplement
.
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
ETNs to us for redemption on an Early Redemption Date during the term of the ETNs until June 2, 2033 (or, if the maturity of
the ETNs is extended, five scheduled Trading Days prior to the scheduled Final Valuation Date, as extended). If you elect to offer
your 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 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 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. See “—Redemption Procedures.”
You must offer
for redemption at least 50,000 ETNs or an integral multiple of 50,000 ETNs in excess thereof at one time in order to exercise
your right to cause us to redeem your 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 ETNs at the time the reduction becomes
effective. If the ETNs undergo a split or reverse split, the minimum number of 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.
Redemption Procedures
If you wish to
offer your ETNs to Credit Suisse for redemption, your broker must follow the following procedures:
|
·
|
Deliver
a notice of redemption,
in substantially the
form of 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
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 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.
Any ETNs previously
redeemed by us at your option will be cancelled on the Early Redemption Date. Consequently, as of such Early Redemption Date,
the redeemed ETNs will no longer be considered outstanding.
Acceleration at Our Option or
Upon an Acceleration Event
We have the right
to accelerate the 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 ETNs,
we will have the right to accelerate all or any portion of the outstanding ETNs (an “
Event Acceleration
”).
Upon an acceleration of all of the outstanding 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 ETNs during the Accelerated
Valuation Period. If fewer than all of the outstanding ETNs are accelerated, the Accelerated Redemption Amount will be the Closing
Indicative Value on the Accelerated Valuation Date. If less than all the 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 ETNs
to be redeemed pursuant to such acceleration. ETNs may be accelerated in part in multiples of 50,000 ETNs, or an integral multiple
of 50,000 ETNs in excess thereof. We will provide at least five Business Days’ notice of any ETNs to be accelerated and,
in the case of any ETNs selected for partial redemption, the stated principal amount thereof to be redeemed. All provisions relating
to the acceleration of the ETNs to be redeemed only in part, relate to the portion of the stated principal amount of ETNs which
has been or is to be redeemed pursuant to these acceleration provisions.
Any payment you
will be entitled to receive on the ETNs is subject to our ability to pay our obligations as they become due.
In the case of
an Optional Acceleration of all outstanding 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 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 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 ETNs through customary channels used to deliver notices to holders of exchange
traded notes.
Any 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 ETNs will no longer be considered outstanding.
An “Acceleration
Event” means:
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(a)
|
an amendment to or change (including
any officially announced proposed change) in the laws, regulations
or rules of the United States (or any political subdivision thereof),
or any jurisdiction
|
in which a Primary
Exchange or Related Exchange (each as defined herein) is located that (i) makes it illegal for CSI to hold, acquire or dispose
of the futures contracts included in the Eligible Indices or options, futures, swaps or other derivatives on the Index or the
futures contracts included in the Eligible Indices (including but not limited to exchange-imposed position limits), (ii) shall
materially increase the cost to the Issuer, our affiliates, third parties with whom we transact or similarly situated third parties
in performing our or their obligations in connection with the ETNs, (iii) shall have a material adverse effect on any of these
parties’ ability to perform their obligations in connection with the ETNs or (iv) shall materially affect our ability to
issue or transact in exchange traded notes similar to the ETNs, each as determined by us or CSI, as the Calculation Agent;
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(b)
|
any official administrative decision,
judicial decision, administrative action, regulatory interpretation
or other official pronouncement interpreting or applying those
laws, regulations or rules that is announced on or after the Inception
Date that (i) makes it illegal for CSI to hold, acquire or dispose
of the futures contracts included in the Eligible Indices or options,
futures, swaps or other derivatives on the Index or the futures
contracts included in the Eligible Indices (including but not limited
to exchange-imposed position limits), (ii) shall materially increase
the cost to the Issuer, our affiliates, third parties with whom
we transact or similarly situated third parties in performing our
or their obligations in connection with the ETNs, (iii) shall have
a material adverse effect on the ability of the Issuer, our affiliates,
third parties with whom we transact or a similarly situated third
party to perform our or their obligations in connection with the
ETNs or (iv) shall materially affect our ability to issue or transact
in exchange traded notes similar to the ETNs, each as determined
by us or CSI, as the Calculation Agent;
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(c)
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any event that occurs on or after
the Inception Date that makes it a violation of any law, regulation
or rule of the United States (or any political subdivision thereof),
or any jurisdiction in which a Primary Exchange or Related Exchange
(each as defined herein) is located, or of any official administrative
decision, judicial decision, administrative action, regulatory
interpretation or other official pronouncement interpreting or
applying those laws, regulations or rules, (i) for CSI to hold,
acquire or dispose of the futures contracts included in the Eligible
Indices or options, futures, swaps or other derivatives on the
Index or the futures contracts included in the Eligible Indices
(including but not limited to exchange-imposed position limits),
(ii) for the Issuer, our affiliates, third parties with whom we
transact or similarly situated third parties to perform our or
their obligations in connection with the ETNs or (iii) for us to
issue or transact in exchange traded notes similar to the ETNs,
each as determined by us or CSI, as the Calculation Agent;
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(d)
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any event, as determined by us
or CSI, as the Calculation Agent, that we or any of our affiliates
or a similarly situated party would, after using commercially reasonable
efforts, be unable to, or would incur a materially increased amount
of tax, duty, expense or fee (other than brokerage commissions)
to, acquire, establish, re-establish, substitute, maintain, unwind
or dispose of any transaction or asset it deems necessary to hedge
the risk of the ETNs, or realize, recover or remit the proceeds
of any such transaction or asset; or
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(e)
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as determined by CSI, as the Calculation
Agent, the primary exchange or market for trading for the ETNs,
if any, announces that pursuant to the rules of such exchange or
market, as applicable, the ETNs cease (or will cease) to be listed,
traded or publicly quoted on such exchange or market, as applicable,
for any reason and are not immediately re-listed, re-traded or
re-quoted on an exchange or quotation system located in the same
country as such exchange or market, as applicable.
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“
Primary
Exchange
” means the primary exchange on which futures contracts included in the Eligible Indices are traded, as determined
by the Calculation Agent.
“
Related
Exchange
” means each exchange or quotation system where trading has a material effect (as determined by the Calculation
Agent) for the overall market for futures or options contracts relating to (i) the Index or (ii) the futures contracts included
in the Eligible Indices.
Any ETNs accelerated
following an Acceleration Event will be cancelled on the Acceleration Date. Consequently, as of such Acceleration Date, the ETNs
will no longer be considered outstanding.
Market Disruption Events
A “Market
Disruption Event” is the occurrence on any date or any number of consecutive dates of any one or more of the following circumstances:
(a) a termination
or suspension of, or a material limitation or disruption in trading in one or more exchange-traded futures contracts included
in:
(i) the Eligible
Indices currently included in the Index (or the relevant successor index) (an “
Index Component
”) or (ii) any
Eligible Index that was not previously an Index Component selected by the Allocation Model to be a new Index Component for any
given month
that prevents the
relevant exchange on which such futures contract is traded from establishing an official settlement price for such futures contract
as of the regularly scheduled time;
(b) the settlement
price for any relevant exchange-traded futures contract is a “limit price,” which means that the settlement price
for such futures contract for a day has increased or decreased from the previous day’s settlement price by the maximum amount
permitted under applicable exchange rules;
(c) failure by
the applicable exchange or other price source to announce or publish the settlement price of a relevant futures contract;
(d) failure of
the sponsor of the Index (or the relevant successor index) to publish the value of the Index (or the relevant successor index),
subject to certain adjustments below; or
(e) the occurrence
since the Inception Date of a material change in the formula for or the method of calculating the value of the Index.
If the Calculation
Agent determines that a Market Disruption Event exists with respect to any relevant exchange-traded futures contract on any Valuation
Date (including, without limitation, the Final Valuation Date, the Early Redemption Valuation Date or any Valuation Date in the
Accelerated Valuation Period or Final Valuation Period), then the Calculation Agent will determine the Closing Level of the Index
in the following manner: the official settlement price for the affected futures contract will be the official settlement price
for the first subsequent Index Business Day upon which no Market Disruption Event with respect to such futures contract occurs,
and for any relevant futures contract that does not experience a Market Disruption Event on the originally scheduled Valuation
Date, the official settlement price for such futures contract as published by the relevant exchange on the originally scheduled
Valuation Date. If the Calculation Agent determines that a Market Disruption Event exists with respect to any relevant futures
contract on each of the five underlying Index Business Days immediately following the originally scheduled Valuation Date, on
the sixth succeeding Index Business Day after the original Valuation Date, the Calculation Agent will determine the settlement
price for such futures contract on that date (and, in the case of a Valuation Date that occurs within the Final Valuation Period,
such settlement price shall also be used as the settlement price for every subsequent day during the Final Valuation Period) using
its good faith estimate of the price for such futures contract at the time such determination is made on such sixth succeeding
Index Business Day. As a result of the foregoing, the Closing Level of the Index may differ substantially from the level of the
Index that would have been obtained in the absence of a Market Disruption Event.
If the Calculation
Agent determines that a Market Disruption Event exists in respect to the Index (but not in respect of any relevant futures contract)
on a Valuation Date, then the Calculation Agent will determine the level of the Index using the official settlement prices on
such Valuation Date on the relevant exchanges of each relevant futures contract included in the Index as of the valuation time
on such Valuation Date.
If the determination
of the settlement price for any relevant futures contract on the Final Valuation Date, the Valuation Date corresponding to an
Early Redemption Date or the last scheduled Valuation Date in the Accelerated Valuation Period is postponed, the Maturity Date,
the corresponding Early Redemption Date or the
Acceleration Date,
as the case may be, will be postponed until the date three Business Days following the date of such determination, as postponed.
Commodity Hedging Disruption Events
If
a Commodity Hedging Disruption Event (as defined below) occurs, we will have the right, but not the obligation, to accelerate
the payment on the ETNs by providing, or causing the Calculation Agent to provide, written notice of our election to exercise
such right to the trustee at its New York office, on which notice the trustee may conclusively rely, as promptly as possible and
in no event later than the Business Day immediately following the day on which such Commodity Hedging Disruption Event occurred.
The amount due and payable per $20
.00
principal amount of ETNs upon such early acceleration
will be determined by the Calculation Agent in good faith in a commercially reasonable manner on the date on which we deliver
notice of such acceleration and will be payable on the fifth Business Day following the day on which the Calculation Agent delivers
notice of such acceleration. We will provide, or will cause the Calculation Agent to provide, written notice to the trustee at
its New York office, on which notice the trustee may conclusively rely, and to the Depository Trust Company (“
DTC
”)
of the cash amount due with respect to the ETNs as promptly as possible and in no event later than two
Business
Days prior to the date on which such payment is due. For the avoidance of doubt, the determination set forth above is only applicable
to the amount due with respect to acceleration as a result of a Commodity Hedging Disruption Event.
A “Commodity
Hedging Disruption Event” means that:
(a) due to (i)
the adoption of, or any change in, any applicable law, regulation or rule or (ii) the promulgation of, or any change in, the interpretation
by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law, rule, regulation or order (including,
without limitation, as implemented by the CFTC or any exchange or trading facility), in each case occurring on or after the Inception
Date of the ETNs, the Calculation Agent determines in good faith that it is contrary to such law, rule, regulation or order to
purchase, sell, enter into, maintain, hold, acquire or dispose of our or our affiliates’ (A) positions or contracts in securities,
options, futures, derivatives or foreign exchange or (B) other instruments or arrangements, in each case, in order to hedge individually
or in the aggregate on a portfolio basis our obligations under the ETNs (“
hedge positions
”), including, without
limitation, if such hedge positions are (or, but for the consequent disposal thereof, would otherwise be) in excess of any allowable
position limit(s) in relation to any commodity traded on any exchange(s) or other trading facility (it being within the sole and
absolute discretion of the Calculation Agent to determine which of the hedge positions are counted towards such limit); or
(b) for any reason,
we or our affiliates are unable, after using commercially reasonable efforts, to (i) acquire, establish, re-establish, substitute,
maintain, unwind or dispose of any transaction(s) or asset(s) the Calculation Agent deems necessary to hedge the risk of entering
into and performing our commodity-related obligations with respect to the ETNs, or (ii) realize, recover or remit the proceeds
of any such transaction(s) or asset(s).
Default Amount on Acceleration
For the purpose
of determining whether the holders of our senior medium-term notes, of which the ETNs are a part, are entitled to take any action
under the indenture, we will treat the stated principal amount of each ETN outstanding as the principal amount of that ETN. Although
the terms of the ETNs may differ from those of the other senior medium-term notes, holders of specified percentages in principal
amount of all senior medium-term notes, together in some cases with other series of our debt securities, will be able to take
action affecting all the senior medium-term notes, including the ETNs. This action may involve changing some of the terms that
apply to the senior medium-term notes, accelerating the maturity of the senior medium-term notes (in accordance with the acceleration
provisions set forth in the accompanying prospectus) after a default or waiving some of our obligations under the indenture.
In case an event
of default (as defined in the accompanying prospectus) with respect to ETNs shall have occurred and be continuing, the amount
declared due and payable upon any acceleration of the ETNs will be determined by CSI, as the Calculation Agent, and will equal,
for each ETN that you then hold, the Closing Indicative Value determined by the Calculation Agent
occurring
on the Trading Day following the date on which the ETNs were declared due and payable.
Further Issuances
We may, from time
to time, without notice to or the consent of the holders of the ETNs, create and issue additional securities having the same terms
and conditions as the ETNs offered by this
pricing supplement
, and ranking on an equal basis
with the ETNs in all respects. If there is substantial demand for the ETNs, we may issue additional ETNs frequently. We may sell
additional ETNs at different prices but we are under no obligation to issue or sell additional ETNs at any time, and if we do
sell additional ETNs, we may limit or restrict such sales, and we may stop selling additional ETNs at any time. If we stop selling
additional ETNs, the trading price and liquidity of the ETNs could be materially and adversely affected. The maximum aggregate
stated principal amount of ETNs linked to the Indices that we will issue under this pricing supplement will be $100,000,000, less
the amount of such ETNs outstanding at any time. However, we have no obligation to issue up to this amount or any specific amount
of ETNs and, in our sole discretion, may issue ETNs in excess of this amount.
We have no obligation
to take your interests into account when deciding to issue additional securities. If, on any Valuation Date on which we price
an additional ETN creation, a Market Disruption Event occurs or is continuing, we will determine the Closing Level of the Index
applicable to such creation in accordance with the procedures under “—Market Disruption Events” in this pricing
supplement.
Discontinuation or Modification
of the Index
If the Index Sponsor
discontinues publication of the Index and the Index Sponsor or anyone else publishes a substitute index that the Calculation Agent
determines is comparable to the Index, then the Calculation Agent will permanently replace the original Index with that substitute
index (the “
Successor Index
”) for all purposes, and all provisions described in this pricing supplement as
applying to the Index will thereafter apply to the Successor Index instead. If the Calculation Agent replaces the original Index
with a Successor Index, then the Calculation Agent will determine the Early Redemption Amount, Accelerated Redemption Amount or
Maturity Redemption Amount (each, a “
Redemption Amount
”), as applicable, by reference to the Successor Index.
If the Calculation
Agent determines that the publication of the Index is discontinued and there is no Successor Index, the Calculation Agent will
determine the level of the Index, and thus the applicable Redemption Amount, by a computation methodology that the Calculation
Agent determines will as closely as reasonably possible replicate the Index.
If the Calculation
Agent determines that the Index, the futures contracts included in the Eligible Indices or the method of calculating the Index
is changed at any time in any respect, including whether the change is made by the Index Sponsor under its existing policies or
following a modification of those policies, is due to the publication of a Successor Index, is due to events affecting the futures
contracts included in the Eligible Indices or is due to any other reason and is not otherwise reflected in the level of the Index
by the Index Sponsor pursuant to the methodology described herein, then the Calculation Agent will be permitted (but not required)
to make such adjustments in the Index or the method of its calculation as it believes are appropriate to ensure that the Closing
Level of the Index used to determine the applicable Redemption Amount is equitable.
Manner of Payment and Delivery
Any payment on
or delivery of the ETNs at maturity will be made to accounts designated by you and approved by us, or at the office of the trustee
in New York City, but only when the ETNs are surrendered to the trustee at that office. We also may make any payment or delivery
in accordance with the applicable procedures of the depositary.
Role of the Calculation Agent
Credit Suisse International
(“
CSI
”), an affiliate of ours, will serve as the Calculation Agent. The Calculation Agent will, in its reasonable
discretion, make all calculations and determinations regarding the value of the ETNs, including at maturity, upon early redemption
or acceleration, Market Disruption Events (see “—Market Disruption Events”), Business Days and Trading Days,
the Daily Investor Fee amount, the Daily Accrual, the Closing Level of the Index on any Index Business Day, the Maturity Date,
any Early Redemption Dates, the Acceleration Date, the amount payable in respect of your ETNs at maturity, upon early redemption
or acceleration
and any other calculations
or determinations to be made by the Calculation Agent as specified herein. CSI will have the sole ability to make determinations
with respect to reduction of the Minimum Redemption Amount, certain Acceleration Events, calculation of default amounts and whether
a Market Disruption Event has occurred, and will have the sole responsibility to calculate and disseminate the Closing Indicative
Value and the Intraday Indicative Value and make determinations regarding a Trading Day. Absent manifest error, all determinations
of the Calculation Agent will be final and binding on you and us, without any liability on the part of the Calculation Agent.
You will not be entitled to any compensation from us for any loss suffered as a result of any of the above determinations by the
Calculation Agent.
Although CSI obtains
information for inclusion in or for use in calculations related to the ETNs from sources that CSI considers reliable, neither
CSI nor any other party guarantees the accuracy and/or the completeness of the Index or any data included therein or any calculations
made with respect to the ETNs. Without limiting any of the foregoing, in no event shall CSI or any other party have any liability
for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the
possibility of such damages.
If the Calculation
Agent ceases to perform its role as described in this pricing supplement, we will either, at our sole discretion, perform such
role, appoint another party to do so or accelerate the ETNs.
CLEARANCE
AND SETTLEMENT
DTC participants
that hold the ETNs through DTC on behalf of investors will follow the settlement practices applicable to equity securities in
DTC’s settlement system with respect to the primary distribution of the ETNs and secondary market trading between DTC participants.