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Filed pursuant to Rule 433
Registration Statement No. 333-180300-03
June 13, 2013
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Exchange Traded Notes
Credit Suisse Commodity Benchmark ETN (CSCB)*
Credit Suisse Commodity Rotation ETN (CSCR)*
Credit Suisse AG, Investor Solutions
June 2013
* Does not provide investors with the rights to any physical commodities
Executive Summary
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The Credit Suisse ETN desk
seeks to deliver alternative investment exposure to advisors in a liquid, exchange-traded format
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Credit Suisse ETNs are senior,
unsubordinated obligations of Credit Suisse AG designed to track the return of a specific market index less applicable fees
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The two new ETNs being introduced
represent a new generation of commodity investing and reflect Credit Suisse’s global presence in the capital markets, intellectual
resources, and spirit of innovation
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CSCB and CSCR ETNs offer
scalable and transparent access to rules- based indices in the convenience of a NYSE Arca-listed security
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Credit Suisse Investor Solutions
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Executive Summary
Credit Suisse Commodity Benchmark ETN
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Credit Suisse Commodity Rotation ETN
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ETN Ticker
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CSCB
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ETN Ticker
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CSCR
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Indicative Value
Ticker
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CSCB.IV
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Indicative Value Ticker
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CSCR.IV
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Bloomberg Index
Ticker
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CSIXTR
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Bloomberg Index
Ticker
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CSCUBKTR
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CUSIP
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22542D472
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CUSIP
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22542D456
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Primary Exchange
1
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NYSE Arca
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Primary Exchange
1
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NYSE Arca
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ETN Annual
Investor Fee*
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0.65%
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ETN Annual
Investor Fee*
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0.85%
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ETN Inception
Date
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June 11, 2013
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ETN Inception
Date
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June 11, 2013
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Underlying Index
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Credit Suisse Commodity
Benchmark Total Return Index
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Underlying Index
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Credit Suisse Commodity
Backwardation Total Return Index
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* Because of daily compounding, the annualized investor fee may exceed the percentages set forth above.
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Credit Suisse has no obligation to maintain any listing on the NYSE Arca or any other exchange and Credit Suisse may delist the ETNs at any time
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Credit Suisse Investor Solutions
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Credit Suisse Commodity Benchmark Total Return Index (the “Benchmark Index”)
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Credit Suisse Investor Solutions
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Key Features of the Benchmark Index
A benchmark for the performance of the global commodities markets featuring: a wide range of commodities, multi-period commodity exposure, periodic rebalancing, an extended roll period, and a weighting methodology based on world
production and market liquidity.
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Broad commodities basket
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Balanced weighting methodology
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Monthly rebalancing
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Made up of 34 commodities, as
compared to 24 for S&P GSCI®
and 22 for DJ-UBS*, and
seeking wider diversification and
closer reflection of the overall
global commodity complex
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Four step weighting method
based on production value and
liquidity that seeks to balance
risk and reduce correlation
between commodity
components
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Rebalanced monthly to target
investment weights in an effort
to maintain diversity and reduce
volatility, compared to GSCI and
DJ-UBS that only rebalance
annually
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Multiple futures exposure
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Long roll period
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Transparent methodology
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Invests in contracts that expire
within one to three months
(where available), spreading
exposure across multiple
delivery periods, compared to
traditional front month contract
only investment
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15 business day roll period that
diversifies exposure across
multiple weeks, vs. traditional
indices that roll over five days
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Allocations are rules-based and
transparent, and methodology
can be licensed free of charge
subject to terms of use
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* The number of commodities in each index is as of their respective 2013 annual rebalance
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Benchmark Index
The Benchmark Index compared with other commodity benchmark indices:
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Benchmark Index
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DJ UBS
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S&P GSCI
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Backtested Return Start
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1998
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1991
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1970
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First Publication
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2009
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1998
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1993
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Weighting
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World production, with market
liquidity inclusion thresholds
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1/3 World production and 2/3 market
liquidity
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World production, with
market liquidity inclusion
thresholds
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Number of Contracts
Included per Commodity
(outside the roll period)
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3 Months (2-3 contracts)
Equally weighted by units
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1 contract
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1 contract
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Roll Period
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5th business day prior to the
last business day of the
previous month to 9th
business day of the month (15
business days)
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5th business day of the month to the
9th business day of the month (5
business days)
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5th business day of the
month to the 9th
business day of the
month (5 business days)
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Rebalancing
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Monthly
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Annual
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Does not rebalance
based on changes in
prices
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Reconstitution
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Annual
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Annual
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Annual
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Benchmark Index Futures Contracts and Roll Period
Commodity Futures Contracts
The Benchmark Index notionally invests in contracts that expire within one to three months on the futures curve to reduce concentration risk in any single contract
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Notional investment is made
in equal unit amounts for all contracts expiring within one to three months
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Equal units, rather than
equal notional, increases the value of contracts in higher priced months and is designed to balance exposure and ensure that higher
priced months are not “priced out” of weighting
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The notional futures investment
is rebalanced each month
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Roll Period
The Benchmark Index roll period begins five business days prior to last day of the previous month and runs to the ninth business day of the current month
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15 business day roll period compared to five business day roll period of traditional commodity indices
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Diversifies the exposure
across multiple weeks
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Credit Suisse Investor Solutions
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Benchmark Index Commodity Selection and Weighting Methodology
Commodity Selection
The commodities and weightings to be used in the Benchmark Index are determined annually
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Objective is to incorporate
as many physical commodity futures as possible while maintaining the liquidity required
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The commodities to be used
in the Benchmark Index are filtered based on sufficient open interest (ability to absorb sizable positions) and volume of trading
(ability to efficiently trade in and out of positions), as determined by the Benchmark Index framework steering committee pursuant
to the Benchmark Index methodology
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Weighting Methodology
Each commodity included in the Benchmark Index is assigned a fixed annual weight based on Relative Commodity Weight and Target Investment Weight mechanisms
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Relative Commodity Weight
(‘RCW’) – measure of production weight, or percentage of worldwide production value divided by total production
value of all commodities selected for inclusion in the Benchmark Index. RCW is then adjusted further for specified commodities
in an effort to avoid over-influence
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Target Investment Weight (‘TIW’)
– sequentially after determining RCW, weights are subject to liquidity control mechanisms in an effort to ensure there is
sufficient market liquidity for each weighting
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Index investment support level
– ensures no notional futures contract allocation exceeds 10% of average daily open interest for any one commodity at a
total index size of US$7.0 billion (subject to annual adjustment)
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Marginal inflow test –
ensures that any notional futures contract marginal inflow exceeding US$1.0 billion does not breach a given threshold of average
daily volume
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Benchmark Index Monthly Rebalancing
Rebalancing:
The Benchmark Index weights are rebalanced to the specified weight monthly, maintaining index diversification over time. This seeks to decrease volatility by attempting to avoid excessive concentration.
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Benchmark Index Performance*
Source: Bloomberg, Credit Suisse
* The above graph sets forth the historical performance of the indices from June 1, 2009, the Benchmark Index inception date, to May 30, 2013. Historical performance is not indicative of future performance. The above graph does not
reflect any performance of any product linked to the indices or include the investor fees associated with any product linked to the indices, which will reduce the amount of the return of such product.
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Credit Suisse Investor Solutions
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Credit Suisse Commodity Backwardation Total Return Index (the “Backwardation Index”)
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Credit Suisse Investor Solutions
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Backwardation Index
The Backwardation Index follows a rules-based dynamic commodity strategy that attempts to optimize commodity weighting by emphasizing components with backwardated curve shapes*. Backwardated term structures have historically
occurred at times of scarcity and can indicate that a long position can continue to experience positive movement over a longer time horizon. Backwardated commodities also historically have experienced positive returns from rolling futures
contracts.
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The possible investment universe
consists of single commodity sub-indices whose underlying commodities are the 24 commodities currently part of the S&P GSCI
index.
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The level of backwardation
/ contango (the “
basis
”) is measured between two observation points on the curve (month 1 and, generally, month
6).
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Each month, the Backwardation
Index runs the allocation model, whereby the 8 components (subject to sector caps) with the greatest amount of backwardation,
or least contango, are equally weighted 12.5% each.
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Components are placed in
months 4, 5, and 6 of their respective curves (subject to liquidity constraints).
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The Backwardation index is
always fully allocated to long exposure in the selected components and can’t short
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*“Backwardation” describes situations where, for any given commodity, the prices of futures contracts that are nearer to expiration are higher than the prices of futures contracts with longer to expiration.
“Contango” describes situations where the prices of futures contracts nearer to expiration are lower than the prices of futures contracts with longer to expiration.
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Backwardation Index - Background
Backwardation and contango describe shapes of the forward curves for a given commodity. In a “normal” market, prices further out on the term structure are higher than nearby prices. This upward sloping shape is referred to
as contango. Backwardation describes commodity curves where nearby prices are higher than forward prices. Backwardation indicates a downward sloping curve.
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Theoretically, in a “normal” market, prices further out on the term structure are higher than nearby prices (referred to as “contango”) due to costs related to:
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o
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Storage
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o
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Insurance
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o
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Financing
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Market participants sometimes view backwardation as a signal that the underlying market for that commodity is “tight,” meaning in short supply and experiencing buying pressure for nearby deliveries:
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When a commodity becomes scarce in the physical market, consumers in need of the commodity bid up its price
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This behavior
forces the front of the futures curve up, potentially bringing the term structure into backwardation
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The prices of commodities in physically tighter markets, i.e. backwardation, historically tended to outperform those in less physically tight markets.
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Credit Suisse Investor Solutions
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Backwardation Index - Methodology
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Ø
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STEP 1:
Calculate the
level of backwardation / contango (the “
basis
”) for each of the 24 commodities defined below
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The basis is measured between the front month point and the contract designated as the 6 month point on the curve (reflecting liquidity considerations)
Energy
NYMEX WTI Crude Oil
ICE Brent Crude Oil
NYMEX Heating Oil
ICE Gasoil
NYMEX RBOB Gasoline
NYMEX Natural Gas
Industrial Metals
LME Copper Grade A
LME Zinc High Grade
LME Aluminum Primary
LME Nickel Primary
LME Lead Standard
Precious Metals
Comex Gold
Comex Silver
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Agriculture
CBOT SRW Wheat
KCBOT HRW Wheat
CBOT Corn
CBOT Soybeans
ICE Sugar #11
ICE Cocoa
ICE Coffee "C" Arabica
ICE Cotton
Livestock
CME Live Cattle
CME Feeder Cattle
CME Lean Hogs
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Credit Suisse Investor Solutions
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Backwardation
Index - Methodology
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STEP
2:
Rank the commodities
by basis
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Steps 2 and 3 Hypothetical Illustrated Example
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STEP 3:
Selected the 8 most
backwardated (or least
contagoed) commodities,
subject to a maximum number
of
components per sector
(“sector caps”), as illustrated
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Credit Suisse Investor Solutions
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Backwardation Index - Methodology
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STEP 4:
Allocate to
the corresponding CSCB 4x6F single commodity indices in equal weights.
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Step 4 Hypothetical Illustrated Example
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Credit Suisse Investor Solutions
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Backwardation Index Performance*
Source: Bloomberg, Credit Suisse
*The above graph sets forth the historical performance of the indices from February 21, 2012, the Backwardation Index inception date, to May 31, 2013. Historical performance is not indicative of future performance. The above graph
does not reflect any performance of any product linked to the indices or include the investor fees associated with any product linked to the indices, which will reduce the amount of the return of such product.
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Credit Suisse Investor Solutions
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Summary:
Credit Suisse Commodity Benchmark ETN (CSCB) Credit Suisse
Commodity Rotation ETN (CSCR)
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Credit Suisse Investor Solutions
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Executive Summary
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The Benchmark Index seeks
to provide wider diversification and a closer reflection of the overall global commodity universe than other peer indices:
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A longer roll period (15 business days)
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Invests in futures contracts across multiple delivery
period (where available)
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The Backwardation Index takes
innovation a step further and seeks to concentrate long exposure to commodities that are in relative physical scarcity:
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Historically, commodities in relative scarcity have tended
to outperform those in oversupply
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A backwardated futures curve can be used as a signal for
the market’s reflection of relative scarcity
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Strategy dynamically allocates each month to the eight
most backwardated (or least contangoed) commodities (out of S&P GSCI universe of 24), subject to applicable sector caps
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CSCB and CSCR ETNs offer scalable and transparent access to rules- based indices in the
convenience of a NYSE Arca-listed security
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Credit Suisse Investor Solutions
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Executive Summary
Credit Suisse Commodity Benchmark ETN
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Credit Suisse Commodity Rotation ETN
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ETN Ticker
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CSCB
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ETN Ticker
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CSCR
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Indicative Value
Ticker
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CSCB.IV
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Indicative Value
Ticker
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CSCR.IV
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Bloomberg Index
Ticker
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CSIXTR
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Bloomberg Index
Ticker
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CSCUBKTR
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CUSIP
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22542D472
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CUSIP
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22542D456
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Primary Exchange
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NYSE Arca
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Primary Exchange
1
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NYSE Arca
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ETN Annual
Investor Fee*
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0.65%
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ETN Annual
Investor Fee*
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0.85%
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ETN Inception
Date
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June 11, 2013
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ETN Inception
Date
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June 11, 2013
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Underlying Index
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Credit Suisse Commodity
Benchmark Total Return Index
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Underlying Index
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Credit Suisse Commodity
Backwardation Total Return Index
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* Because of daily compounding, the annualized investor fee may exceed the percentages set forth above.
1
Credit Suisse has no obligation to maintain any listing on the NYSE Arca or any other exchange and Credit Suisse may delist the ETNs at any time
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Credit Suisse Investor Solutions
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Selected Risk Considerations: Risks Related to the Indices
Concentration risk
– The indices reflect a concentrated exposure to commodities and, therefore, could experience greater volatility than a more diversified investment in multiple asset classes and are exposed to significant market risks.
Commodity prices are characterized by high and unpredictable volatility, which could lead to
high and unpredictable volatility in the indices
– Market prices of the notional commodity futures contracts
referenced in the indices tend to be highly volatile. Commodity market prices are not related to the value of a future income
or earnings stream, as tends to be the case with fixed-income and equity investments, but are subject to rapid fluctuations
based on numerous factors, including changes in supply and demand relationships, governmental programs and policies, national
and international monetary, trade, political and economic events, changes in interest and exchange rates, speculation and
trading activities in commodities and related contracts, weather, and agricultural, trade, fiscal and exchange control
policies.
You will not have any rights in any physical commodities, or any rights in the commodity futures contracts referenced in the indices or component sub-indices, as the case may be.
Potential conflicts
– Credit Suisse and its affiliates play a variety of roles in connection with the indices, including acting as calculation agent and index sponsor, and expects to hedge its obligations under any financial instrument linked
to the indices. In performing these roles, the economic interests of the calculation agent, index sponsor and other affiliates of Credit Suisse are potentially adverse to the interests of an investor seeking exposure to the indices.
Investment and tax risk
– The information contained in this presentation does not provide personal investment or tax advice. Potential investors should consult their accounting, tax, legal and regulatory advisors regarding such matters as
they may apply to your particular circumstances.
Past performance of the indices is not indicative of future performance
– The actual performance of the indices may bear little relation to the historical values of the indices. Credit Suisse cannot predict the future performance of the
indices. Publication of the Credit Suisse Commodity Benchmark and Credit Suisse Commodity Rotation indices began on June 1, 2009 and February 21, 2012, respectively. This presentation contains retrospective performance of the indices based on historical
data. Backtested, hypothetical or simulated performance results have inherent limitations. Simulated results are achieved by means of the retroactive application of a backtested model itself designed with the benefit of hindsight. Retrospective and
historical performance of the indices are not indicative of the future performance of the indices, and Credit Suisse gives no representation or warranty as to the future performance of the indices.
No exposure to spot prices of commodities
– The indices provide 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.
These risks are not exhaustive
– The selected investment considerations herein are not intended as a complete description of all risks associated with the indices. For further information regarding risks, please see the section entitled
“Risk Factors” in the applicable pricing supplement.
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Selected Risk Considerations: Risks Related to 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 are fully exposed to any decline in the indices. Furthermore, the return at maturity or upon repurchase
will be reduced by the fees and charges associated with the ETNs. Therefore, the level of the relevant index must increase by
an amount sufficient to offset the applicable fees and charges.
No interest payments
– You will not receive any periodic interest payments on the ETNs.
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 indices, the payment of any amount due on the ETNs, including any payment at maturity
or 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.
Strategy risk
– The performance of the indices will not be representative of the performance of the commodities market generally, and there is no assurance that the strategy on which the indices are based will be successful.
A Trading Market for the ETNs May Not Develop
– We intend to list the ETNs on NYSE Arca under the symbols "CSCB" and "CSCR". We expect that investors will purchase and sell the ETNs primarily in this secondary market. We have no obligation to
maintain these listings on NYSE Arca or any listing on any other exchange, and may delist the ETNs at any time.
The 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 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 indicative value of such ETNs at such time. Before trading in the secondary market, you should compare the indicative value with the
then-prevailing trading price of the ETNs.
Credit Suisse AG (“Credit Suisse”) has filed a registration statement (including prospectus supplement and prospectus) with the Securities and Exchange Commission, or SEC, for the offering of securities. Before you invest, you should read the
applicable pricing supplement, the Prospectus Supplement dated March 23, 2012, and Prospectus dated March 23, 2012, to understand fully the terms of the ETNs and other considerations that are important in making a decision about investing in the ETNs.
You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Credit Suisse, any agent or dealer participating in an offering will arrange to send you the pricing supplement, prospectus supplement and
prospectus if you so request by calling toll-free 1 (800) 221-1037.
You may access the applicable pricing supplements related to the ETNs discussed herein on the SEC
website:
CSCB:
http://www.sec.gov/Archives/edgar/data/1053092/000089109213005275/e54086_424b2.htm
CSCR:
http://www.sec.gov/Archives/edgar/data/1053092/000089109213005273/e54087_424b2.htm
You may access the prospectus supplement and prospectus on the SEC
website at
www.sec.gov
or by clicking on the
hyperlinks to each of the respective documents incorporated by reference in the pricing supplement.
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Credit Suisse Investor Solutions
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