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 Benchmark 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 Benchmark Total Return Index (the “
Index
”) is composed of notional futures contracts on physical commodities
and is calculated according to the methodology of the Index. The Index
is a monthly rebalancing,
long-only diversified commodity benchmark index, weighted by world production and liquidity. Because the Index is a total return
index, it measures the hypothetical returns on an uncollateralized investment in futures contracts, plus the interest that could
be earned on the funds committed to a collateralized investment in futures contracts, which generally increases the level of the
Index relative to an excess return index. See “Specific Terms of the ETNs—Payment at Maturity.”
The fluctuations
in the values of the Index are intended generally to correlate with changes in the prices of physical commodities in global markets.
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 “CSIXTR <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.
How has the Index performed historically?
Publication of the
Index began on July 1, 2009. Therefore, the Index has limited actual performance history. No actual investment in securities linked
to the Index was possible prior to July 1, 2009.
The following graph
sets out the retrospectively calculated performance of the Index from May 31, 2002 to June 30, 2009 and the historical performance
from July 1, 2009 to June 10, 2013. The Closing Level of the Index on the Inception Date was 5,670.879. Because the Index was published beginning only on July 1, 2009, 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 “CSCB.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 “CSCB.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 Index Component 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 Index Component, an “
Index Component Business Day
” is a day on which trading is generally conducted on any
markets on which such Index Component is traded.
An “
ETN
Business Day
” is a day on which trading is generally conducted on the New York Stock Exchange, NYSE Arca and Nasdaq.
On any calendar
day, the “
Daily Investor Fee
” will be equal to the product of (1)(a) the Closing Indicative Value on the immediately
preceding calendar day times (b) the Daily Index Factor on such calendar day times (2)(a) the Investor Fee
divided
by (b)
365. The “Investor Fee” will be equal to 0.65%.
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
“CSIXTR <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 “CSCB.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 “CSCB”. 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
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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
or the Index Components
. 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
long exposure to the Index. 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
futures contracts on physical commodities (each, an “
Index Component
”), and thus your investment reflects a
concentrated exposure to a single asset class and, therefore, could experience greater volatility than a more diversified investment
and is exposed to significant market risks.
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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 comprising the
Index
tend to be highly volatile. Commodity market prices are not related to the value of a future income or earnings stream,
as tends to be the case with fixed-income and equity investments, but are subject to rapid fluctuations based on numerous factors,
including changes in supply and demand relationships, governmental programs and policies, national and international monetary,
trade, political and economic events, changes in interest and exchange rates, speculation and trading activities in commodities
and related contracts, weather, and agricultural, trade, fiscal and exchange control policies. Many
commodities are also highly cyclical. These factors may have a larger
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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.
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The Index tracks prices of futures contracts with expiration dates approximately one to three
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. The Index selects and rolls the underlying commodities futures contracts according to a rules-based
strategy as further described in “The Index” below. 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.
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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 Index.
Consequently, an investment in the ETNs is not the same as an investment in the spot prices of the commodities underlying the Index
or buying and holding such commodities. While price movements in commodities futures contracts may correlate with changes in the
spot prices for such commodities, the correlation will not be perfect and price movements of the futures contracts underlying the
Index may diverge from price movements of the underlying commodities. Accordingly, increases in the spot prices of commodities
may not result in increases in the prices of the futures contracts underlying the Index 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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You will not have any rights in any physical commodities, or any rights in the commodity futures
contracts included in the Index
– As an owner of the ETNs, you will not have rights that holders of the commodity
futures contracts included in the Index 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 Index. You will have no
right to receive any payment or delivery of amounts in respect of the futures contracts included in the Index.
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No interest payments
– You will not receive any periodic interest payments on
the ETNs.
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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.
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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 “CSCB.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 “CSCB.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 relating to the Index or the Index Components,
|
|
·
|
the liquidity of any options or futures contracts relating to the Index or the Index Components,
|
|
·
|
economic, financial, regulatory, political, judicial, military and other events that affect commodities
markets generally, the Index or the Index Components,
|
|
·
|
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 included in the Index, which is influenced
by such factors as forward selling by producers, purchases made by producers to unwind hedge positions, other
purchases and sales and production and cost levels in commodities producing countries,
|
|
·
|
interest and yield rates and rate spreads in the markets,
|
|
·
|
the time remaining until your 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.
|
|
·
|
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 Index 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 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.
|
|
·
|
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 Index.
|
|
·
|
You do not understand the terms of the investment in the ETNs or are not familiar with the behavior
of the Index 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 Index?
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 Index. 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 Index.
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 Index, listed or over-the-counter options, futures contracts, swaps or other derivative instruments
relating to the Index or the futures contracts included in the Index. 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 or the Index Components. Any of these hedging
activities could affect the value of the futures contracts included in the Index, and accordingly 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 143% 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
|
$21.86
|
10.00%
|
9.29%
|
2
|
1,210.00
|
$23.89
|
10.00%
|
9.29%
|
3
|
1,331.00
|
$26.11
|
10.00%
|
9.29%
|
4
|
1,464.10
|
$28.53
|
10.00%
|
9.29%
|
5
|
1,610.51
|
$31.18
|
10.00%
|
9.29%
|
6
|
1,771.56
|
$34.08
|
10.00%
|
9.29%
|
7
|
1,948.72
|
$37.24
|
10.00%
|
9.29%
|
8
|
2,143.59
|
$40.70
|
10.00%
|
9.29%
|
9
|
2,357.95
|
$44.48
|
10.00%
|
9.29%
|
10
|
2,593.75
|
$48.61
|
10.00%
|
9.29%
|
Hypothetical
return on $20.00 investment after 10 years:
|
143.05%
|
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 20% 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
|
$20.37
|
2.50%
|
1.84%
|
2
|
1,050.63
|
$20.74
|
2.50%
|
1.84%
|
3
|
1,076.90
|
$21.12
|
2.50%
|
1.84%
|
4
|
1,103.82
|
$21.51
|
2.50%
|
1.84%
|
5
|
1,131.42
|
$21.90
|
2.50%
|
1.84%
|
6
|
1,159.71
|
$22.31
|
2.50%
|
1.84%
|
7
|
1,188.70
|
$22.72
|
2.50%
|
1.84%
|
8
|
1,218.42
|
$23.13
|
2.50%
|
1.84%
|
9
|
1,248.88
|
$23.56
|
2.50%
|
1.84%
|
10
|
1,280.10
|
$23.99
|
2.50%
|
1.84%
|
Hypothetical
return on $20.00 investment after 10 years:
|
19.95%
|
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 6% 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
|
$21.86
|
10.00%
|
9.29%
|
2
|
1,210.00
|
$23.89
|
10.00%
|
9.29%
|
3
|
1,331.00
|
$26.11
|
10.00%
|
9.29%
|
4
|
1,464.10
|
$28.53
|
10.00%
|
9.29%
|
5
|
1,610.51
|
$31.18
|
10.00%
|
9.29%
|
6
|
1,465.56
|
$28.19
|
-9.00%
|
-9.59%
|
7
|
1,333.66
|
$25.49
|
-9.00%
|
-9.59%
|
8
|
1,213.63
|
$23.04
|
-9.00%
|
-9.59%
|
9
|
1,104.40
|
$20.83
|
-9.00%
|
-9.59%
|
10
|
1,005.00
|
$18.84
|
-9.00%
|
-9.59%
|
Hypothetical
return on $20.00 investment after 10 years:
|
-5.82%
|
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
|
$17.52
|
-11.81%
|
-12.38%
|
2
|
746.00
|
$14.73
|
-15.41%
|
-15.96%
|
3
|
604.19
|
$11.85
|
-19.01%
|
-19.53%
|
4
|
467.58
|
$9.11
|
-22.61%
|
-23.11%
|
5
|
345.03
|
$6.68
|
-26.21%
|
-26.69%
|
6
|
242.18
|
$4.66
|
-29.81%
|
-30.26%
|
7
|
161.27
|
$3.08
|
-33.41%
|
-33.84%
|
8
|
101.58
|
$1.93
|
-37.01%
|
-37.42%
|
9
|
60.33
|
$1.14
|
-40.61%
|
-40.99%
|
10
|
33.66
|
$0.63
|
-44.21%
|
-44.57%
|
Hypothetical
return on $20.00 investment after 10 years:
|
-96.85%
|
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 62% 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
|
$21.50
|
8.19%
|
7.49%
|
2
|
1,131.56
|
$22.34
|
4.59%
|
3.91%
|
3
|
1,142.76
|
$22.41
|
0.99%
|
0.34%
|
4
|
1,112.93
|
$21.69
|
-2.61%
|
-3.24%
|
5
|
1,043.82
|
$20.21
|
-6.21%
|
-6.82%
|
6
|
941.42
|
$18.11
|
-9.81%
|
-10.39%
|
7
|
815.18
|
$15.58
|
-13.41%
|
-13.97%
|
8
|
676.52
|
$12.84
|
-17.01%
|
-17.55%
|
9
|
537.09
|
$10.13
|
-20.61%
|
-21.12%
|
10
|
407.06
|
$7.63
|
-24.21%
|
-24.70%
|
Hypothetical
return on $20.00 investment after 10 years:
|
-61.86%
|
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 “CSCB.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 “CSIXTR <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 “CSIXTR <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.
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 “CSCB.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 “CSCB.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.
|
|
·
|
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 Index.
|
|
·
|
You do not understand the terms of the investment in the ETNs or are not familiar with the behavior
of the Index 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.
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 “CSCB.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 Index
As an owner of the
ETNs, you will not have rights that holders of the commodity futures contracts included in the Index 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 Index.
Owning the ETNs is not the same
as directly owning the futures contracts included in the Index, 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 Index are based, or exchange-traded or over-the-counter instruments based on the Index. 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 Index 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 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.
The price of platinum
is primarily affected by the global demand for and supply of platinum. However, since the platinum supply is very limited, any
disruptions in platinum supply tend to have an exaggerated effect on the price of platinum. Key factors that may influence prices
are the policies in or political stability of the most important platinum producing countries, in particular, Russia and South
Africa (which together account for over 90% of production), the size and availability of the Russian platinum stockpiles, as well
as the economic situation of the main consuming countries. Platinum is used in a variety of industries and the automotive industry.
Demand for platinum from the automotive industry which uses platinum as a catalytic converter, accounts for approximately 80% of
the industrial use of platinum. Platinum is also used in the chemical industry, the electronics industry and the dental industry.
The primary non-industrial use of platinum is jewelry, which accounts for approximately 40% of the overall demand for platinum.
The price of palladium
has fluctuated widely over the past several years. Because the palladium supply is both limited and concentrated, any disruptions
in the palladium supply tend to have an exaggerated effect on the price of palladium. Key factors that may influence prices are
the policies and production and cost levels in the most important palladium-producing countries, in particular, Russia, South Africa
and Canada (which together account for over 80% of production), the size and availability of the Russian palladium stockpiles,
global supply and demand as well as the economic situation of the main consuming countries. The possibility of large-scale distress
sales of palladium in times of crises may also have a short-term negative impact on the price of palladium. For example, the 2008
financial crisis resulted in significantly depressed prices of palladium largely due to forced sales and deleveraging from institutional
investors such as hedge funds and pension funds. Crises in the future may impair palladium’s price performance. Palladium
is used in a variety of industries, in particular the automotive industry. Demand for palladium from the automotive industry, which
uses palladium as a catalytic converter, accounts for more than 50% of the industrial use of palladium, and a renewed decline in
the global automotive industry may impact the price of palladium. Palladium is also used in the electronics, dental and jewelry
industries.
Concentration risks associated
with the ETNs
The ETNs reflect
a long position in the Index, which is comprised of futures contracts on physical commodities, 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.
The Index tracks the prices of
futures contracts with expiration dates approximately one to three 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. The Index selects and rolls the underlying
commodities futures contracts according to a rules-based strategy as further defined in “The Index” below. 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 underlying futures contracts 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 Index tracks 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 Index or options,
futures, swaps or other derivatives on the Index or the futures contracts included in the Index (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 Index or options, futures, swaps
or other derivatives on the Index or the futures contracts included in the Index (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 Index or options, futures, swaps or
other derivatives on the Index or the futures contracts included in the Index (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 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 July 1, 2009. 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 July 1, 2009 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 July
1, 2009. 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 Index 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 Index, 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 relating to the Index or the Index Components,
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the liquidity of any options or futures contracts relating to the Index or the Index Components,
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economic, financial, regulatory, political, judicial, military and other events that affect commodities
markets generally, the Index or the Index Components,
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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 included in the Index, which is influenced by such
factors as forward selling by producers, purchases made by producers to unwind hedge positions, other purchases and sales and production
and cost levels in commodities producing countries,
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interest and yield rates and rate spreads in the markets,
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the time remaining until your ETNs mature, and
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the actual or perceived creditworthiness of Credit Suisse.
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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 Index Components. 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 Index, listed or over-the-counter
options, futures contracts, swaps, or other derivative instruments relating to the Index or the futures contracts included in the
Index, or other instruments linked to the Index or the futures contracts included in the Index, 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 included in the Index 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 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. 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 Index, 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 Index, or instruments whose returns are linked to the Index or the futures contracts included in the Index 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 Index 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 included in the Index 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
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. 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 included in the Index 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 Index. 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 Index Components
or listed or over-the-counter options, futures contracts, swaps or other derivative instruments relating to the Index or the Index
Components. 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 Index Components 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 Index
Components, 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 Index or options or futures contracts relating to the Index or the futures contracts included in the Index 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 Index, 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 the
Index may be replaced if such futures contract is terminated or replaced on the exchange where it is traded
The 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 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
Futures markets
like the Primary Exchange, the market for the futures contracts included in the Index, 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.
An increase in the margin requirements
for any relevant commodity may adversely affect the value of the ETNs
Futures exchanges
require market participants to post collateral in order to open and keep open positions in futures contracts. If an exchange increases
the amount of collateral required to be posted to hold positions in a futures contract relating to any relevant commodity, market
participants who are unwilling or unable to post additional collateral may liquidate their positions, which may cause the price
of that futures contract 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 Benchmark Total Return Index (the “
Index
”) is comprised of notional positions in physical commodity
futures, and is designed to measure the performance of a wide and diverse set of commodities using commodity futures contracts
with terms of approximately 1 to 3 months. Fluctuations in the value of the Index are intended to correlate with changes in the
futures prices of those physical commodities in global markets. The commodities included in the Index are weighted based on worldwide
production as well as the trading volume and open positions in the related commodity futures contracts, and are intended to generally
reflect the relative significance of such commodities to the world economy. The futures contracts referenced in the Index are rebalanced
monthly to reflect the target weight of each included commodity and are transferred or “rolled” forward according to
a predetermined schedule to replace expiring futures contracts with contracts of longer maturities.
The universe of
eligible commodities is selected based on both qualitative criteria (exchange facility location, the currencies in which futures
contracts are denominated, etc.) and quantitative liquidity thresholds. Liquidity is measured as a function of both average open
positions and average trading volume of the futures contracts for a particular commodity on the relevant exchange. The Index is
governed by a set of rules summarized below and does not track all possible commodity futures.
The potential return
from investing in futures contracts generally derives from three sources: (a) changes in the price of the relevant futures contracts
(which is known as the “
price return
”), (b) any profit or loss realized when “rolling” the relevant
futures contracts (which is known as the “
roll return
”) and (c) any interest earned on the cash deposited as
collateral for the purchase of the relevant futures contracts (which is known as the “
collateral return
”). An
“
excess return
” index measures the returns accrued from investing in uncollateralized futures contracts (i.e.,
the sum of (a) and (b), the price return and the roll return associated with an investment in futures contracts). By contrast,
the Index is a total return index, which in addition to reflecting those returns, also reflects interest that could be earned on
funds committed to the trading of the futures contracts included in such indices (i.e., an amount equal to (c), the collateral
return associated with an investment in futures contracts).
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 (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
”). The number of contracts, or units,
for each commodity contained in the Index will be determined based on the weight calculations as described below under “—Determination
of Weights.”
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 underlying commodity futures contracts 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.
Commodities included in the Index
The commodities
included in the Index are determined annually based on worldwide production and measures of market liquidity for the associated
futures contracts. The objective of the Index is to incorporate as many commodities as possible while ensuring sufficient liquidity
in the underlying contracts. Liquidity is measured by “open interest,” which is an indication of the depth of a market,
or its ability to absorb a sizable position and trading volume, which in turn is an indication of the efficiency of entering and
exiting positions, and rolling futures positions from nearby to further deferred delivery months.
During the final
three months of a calendar year, all significant physical commodities are considered for inclusion in the Index for the upcoming
calendar year. In order to be eligible for inclusion in the Index, the futures contracts of a given commodity must be traded on
an exchange in the U.S. or on a select group of exchanges outside the U.S. Additional qualifying exchanges may be added from time
to time.
For a commodity
to be eligible for inclusion, the following additional considerations are taken into account:
|
·
|
general considerations regarding physical properties of the commodity,
|
|
·
|
exchange facility geographical location,
|
|
·
|
type of delivery mechanism,
|
|
·
|
length of trading history,
|
|
·
|
data availability and transparency,
|
|
·
|
inclusion in selected commodity indices,
|
Commodities that
are actively traded are designated as components of the Index.
An “actively
traded” commodity is defined as one which meets two criteria with respect to its related commodity futures contracts on a
particular exchange:
|
·
|
During the 12 months preceding the July in which the weights are calculated, its average daily
open interest (in U.S. dollars), after at least one year being over a threshold value of $400 million, has not subsequently dropped
below a maintenance level of $300 million, and
|
|
·
|
During the 12 months preceding the July in which the weights are calculated, its average daily
trading volume (in U.S. dollars), after at least one year being over a threshold value of $80 million, has not subsequently dropped
below a maintenance level of $50 million.
|
The average daily
trading volume (in U.S. dollars) or open interest is calculated by multiplying, for each day, the settlement value of each expiring
futures contract on the applicable exchange by the number of futures contracts reported as volume or as open interest for that
expiration. This value is then aggregated for all the listed contracts for a particular Index Component to obtain the total values
of volume or open interest for that day. These values are then aggregated over all
Index Business Days in the 12 months preceding the July in which the weights
are calculated and divided by the number of Index
Business Days during such period to arrive at an average daily trading volume or open interest. If more than one commodity futures
contract with respect to an actively traded commodity meets these thresholds, each such contract is eligible for inclusion in the
Index.
If, in the 12 month
period ending in June immediately preceding the month in which weightings are calculated, the average daily trading volume or average
daily open interest with respect to futures contracts on a commodity drops below the maintenance level, then it must once more
reach the threshold value of trading volume or open interest, as applicable, in a subsequent year to be re-included in the Index.
The contracts currently
included in the Index are futures contracts which are traded on the New York Mercantile Exchange (“
NYMEX
”),
the Intercontinental Exchange (“
ICE
”), the Chicago Mercantile Exchange (“
CME
”), the Chicago
Board of Trade (“
CBOT
”), the Kansas City Board of Trade (“
KCBOT
”), the New York Commodities
Exchange (“
COMEX
”), the London Metals Exchange (“
LME
”) or Euronext (“
EN
”).
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 Index 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 Index, according to its index rules,
takes notional positions in futures contracts that fall within the first and third months on the futures curve and utilize a 15-Business
Day roll period to diversify exposure across multiple weeks.
The return from
investing in a futures contract derives from changes in the price of the relevant futures contract, 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.
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.
Determination of Weights
Production Quantities
Worldwide production
is used to determine the weight of each commodity in the Index and is determined based on a variety of sources. Worldwide production
of a physical commodity includes not only the specific product identified for delivery in the futures contracts, but also all reasonably
direct substitutes for that specific product. For example, if the Chicago Board of Trade wheat contract is included in the Index,
then worldwide production of all wheat will be used (but not, for example, production of oats or other grains). Likewise, crude
oil of all grades is included in the determination of worldwide crude oil production.
To obtain a U.S.
dollar annual production value, an annual average price is calculated that can be used in determining production weights. To ensure
uniform pricing data, futures prices are used, when possible, to determine historical value. Specifically, for a given calendar
year, the average daily settlement price of the futures contract closest to expiration (including the spot month) is calculated
(the first “nearby”) using the contract which the Framework Steering Committee has selected to represent the value
of the commodity in worldwide production. That price is then multiplied by the reported worldwide production for the corresponding
year to obtain the U.S. dollar annual production value.
The U.S. dollar
annual production value is averaged over four years to determine the production weighting for that commodity, with any necessary
adjustments to ensure that the units of measure are comparable (e.g., bushels converted to tons, or dressed weight of meats converted
to live weights, etc.).
If a new commodity
future is selected for inclusion in the Index that does not have a sufficiently long trading history to determine production values,
other recognized quoted prices or price indices may be used, as determined by the Index Advisory Committee and ratified by the
Framework Steering Committee.
Calculation of Weights
Once the production
weight of each qualifying commodity has been determined, the weight of each commodity is calculated as follows:
STEP 1. For each commodity, calculate the U.S. dollar
average annual production value of worldwide physical production for the four calendar years (such as, for example, annual data
as defined in the various editions of the United Nations Industrial Commodity Statistics Yearbook or other relevant source) ending
33 months prior to the September 30
th
date of determination (or other period as determined by data availability);
STEP 2. Add together the U.S. dollar average annual
production value of all commodities to obtain the total average production value;
STEP 3. For each commodity, calculate the share of
the total average production value obtained above attributable to that commodity;
STEP 4. The weighing of each commodity is then determined
based partially on this production data and partially by equally weighting each commodity. Currently 72% of the weighting of the
Index is determined by reference to production and 28% of weighting is an equal weighting. These allocation percentages are subject
to adjustment at the discretion of CSI and the Framework Steering Committee. The weight assigned to a commodity’s share of
total production value was originally selected to maintain the relative ranking of commodity groups (i.e., so the weights assigned
to a particular group with more component commodities than another would not surpass the weights assigned to another commodity
group that is generally perceived to have greater importance in the global economy) as well as of individual commodities.
Following the above
steps, target weights are further distributed between similar commodity futures, such as NYMEX WTI Crude Oil, ICE WTI Crude Oil,
and ICE Brent Crude Oil, using quantitative data such as relative liquidity combined with the discretion of the Framework Steering
Committee.
The weight given
to each qualifying commodity is subject to adjustment based on two liquidity tests. The first test is the “Investment Support
Test”, which checks if a theoretical investment of a specified test size in a commodity would exceed a given threshold percentage
of average daily open interest in such commodity. The second test is the “Marginal Inflow Test”, which checks if a
theoretical investment in a commodity of a specified test size would exceed a given threshold percentage of average daily volume
in such commodity. Following each test, weights may be redistributed if necessary to reduce a target weight below that which would
cause a test threshold level to be exceeded. The amounts used to implement these tests are adjusted based on market conditions
at the time the tests are implemented.
Processed Products
Some commodities
are derived from other commodities (“
Processed Products
”) (i.e., one commodity, such as crude oil, may be transformed
into another commodity, such as gasoline, gas oil or heating oil). Where Processed Products are traded along with a primary product,
those Processed Products typically represent some added value along with the cost of the basic input, or primary product. The Index
captures that added value in its calculation of weights without double-counting the value of the primary product. In addition,
the Index is able to incorporate Processed Products along with the primary product to enhance the liquidity and diversification
(since a primary product and the relevant Processed Products are not perfectly correlated).
In calculating production
quantities, the Index treats the primary product and associated Processed Products as a unit. For each measure of Processed Product
identified as part of worldwide production, that amount is subtracted from the total production of the primary product (converting
as necessary from metric tons to bushels, gallons to barrels, etc.). The appropriate historical prices are then applied to obtain
a total production value for the complex of products, which is used to calculate a production weighting for the complex. Allocations
of production weights to the specific commodities that make up the complex are based on the relative value of average daily open
interest of futures contracts over the 12 months ending in June immediately preceding the calculation month. However, for a member
of the complex actually to be included in the Index, its average daily open interest must have a value that is at least 10% of
the total open interest of the complex.
If only the Processed
Product, and not its source product, is part of the Index, then only the production value of that Processed Product is used to
calculate production weights.
Target Weights
The weights for
2013, which were selected in September 2012, are as follows:
Commodity
|
Exchange
|
Weight
|
Energy
|
WTI Crude Oil
|
NYMEX
|
14.0795%
|
WTI Crude Oil
|
ICE
|
4.2987%
|
Brent Crude Oil
|
ICE
|
18.3781%
|
Heating Oil
|
NYMEX
|
3.3878%
|
Gasoil
|
ICE
|
4.0440%
|
RBOB Gasoline
|
NYMEX
|
6.9985%
|
Natural Gas
|
NYMEX
|
4.4430%
|
Energy Total
|
55.6296%
|
Industrial Metals
|
Copper high grade
|
COMEX
|
0.8621%
|
Copper grade A.
|
LME
|
3.2952%
|
Zinc high grade
|
LME
|
2.0069%
|
Aluminum primary
|
LME
|
3.4045%
|
Nickel primary
|
LME
|
2.2452%
|
Lead standard
|
LME
|
1.5607%
|
Industrial Metals Total
|
13.3746%
|
Precious Metals
|
Gold
|
COMEX
|
2.7384%
|
Silver
|
COMEX
|
1.6054%
|
Platinum
|
NYMEX
|
1.5852%
|
Palladium
|
NYMEX
|
1.4484%
|
Precious Metals Total
|
7.3774%
|
Agriculture
|
SRW Wheat
|
CBOT
|
2.9341%
|
HRW Wheat
|
KCBOT
|
1.0969%
|
Euro. Milling Wheat
|
EN
|
0.5020%
|
Corn
|
CBOT
|
4.0595%
|
Soybeans
|
CBOT
|
2.3270%
|
Soybean Meal
|
CBOT
|
0.3810%
|
Soybean Oil
|
CBOT
|
0.4891%
|
Sugar #11
|
ICE
|
2.1083%
|
Sugar #5
|
EN
|
0.1431%
|
Cocoa
|
ICE
|
0.8180%
|
Cocoa
|
EN
|
0.7849%
|
Coffee “C” Arabica
|
ICE
|
1.5878%
|
Coffee Robusta
|
EN
|
0.2864%
|
Cotton
|
ICE
|
2.0876%
|
Agriculture Total
|
19.6057%
|
Livestock
|
Live Cattle
|
CME
|
1.9501%
|
Feeder Cattle
|
CME
|
0.3164%
|
Lean Hogs
|
CME
|
1.7462%
|
Livestock Total
|
4.0127%
|
Monthly Rebalancing
Each month, the
Index is rebalanced to ensure that the actual composition of the Index is not substantially different from the specified weightings
as a result of changes in the market prices of commodity futures contracts. The rebalancing is implemented each month during a
roll period beginning five Index Business Days prior to the last Index Business Day of the month prior to the month for which the
rebalancing is effected and ending on the ninth Index Business Day of such month at a “roll rate” of 1/15 of the amount
to be rebalanced on each Index Business Day.
For each commodity,
the number of units assigned to a particular commodity component is increased or decreased so that its dollar weighting (the number
of contracts for a commodity component times the price of such contracts, as a percentage of the total index) would converge on
its specified target weight over the 15-Business Day roll period. However, as prices will generally be changing over the roll period,
the actual effective weights of each commodity within the Index will tend to vary from the target weights and will most likely
not exactly equal the target weights.
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
CSCB 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
comprising the Index (or any other dependent values) allocated to each Index Component 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 rebalanced on that day. In addition, 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 rebalanced 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
a component of the Index, 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”:
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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;
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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;
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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;
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The Index Sponsor reasonably believes that the Index methodology has determined an Index level
that cannot be relied upon;
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The failure, suspension or postponement of any calculation within the Index methodology in respect
of any Index Business Day; or
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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).
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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 July 1, 2009. Therefore the Index has limited actual performance history. No actual investment in securities linked
to the Index was possible prior to July 1, 2009.
The following graph
sets out the retrospectively calculated performance of the Index from May 31, 2002 to June 30, 2009 and the historical performance
from July 1, 2009 to June 10, 2013. Because the Index was published beginning only on July 1, 2009, 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 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 5,670.879. 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 Index Components; 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 “CSCB.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 Index
is comprised 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 “CSCB.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 ”CSCB.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 “CSCB.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 Index Component 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 Index Component, an “
Index Component Business Day
” is a day on which trading is generally conducted on any
markets on which such Index Component is traded.
An “
ETN
Business Day
” is a day on which trading is generally conducted on the New York Stock Exchange, NYSE Arca and Nasdaq.
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 0.65%.
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
“CSIXTR <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:
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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;
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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.
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.
Any payment you
will be entitled to receive is subject to our ability to pay our obligations as they become due.
An “Acceleration
Event” means:
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(a)
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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 Index or options, futures, swaps or other derivatives on the Index or the futures contracts included in the Index
(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)
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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 Index or options, futures,
swaps or other derivatives on the Index or the futures contracts included in the Index (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 Index or options, futures, swaps or other derivatives on the
Index or the futures contracts included in the Index (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 Index 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 Index.
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
the Index (or the relevant successor index) (an “
Index Component
”) that prevents the relevant exchange on which
such Index Component is traded from establishing an official settlement price for such Index Component as of the regularly scheduled
time;
(b) the settlement
price for any Index Component is a “limit price,” which means that the settlement price for such Index Component 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 for any Index Component;
(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 an Index Component 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 Index Component will be the official settlement price for the first subsequent Index
Business Day upon which no Market Disruption Event with respect to such Index Component occurs, and for any Index Component that
does not experience a Market Disruption Event on the originally scheduled Valuation Date, the official settlement price for such
Index Component 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 such Index Component 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 Index Component 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 Index Component 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 Index Component) 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 Index Component included in the Index as of the valuation time on such Valuation Date.
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, 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.
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 Index 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 Index 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.