a57169.htm - Generated by SEC Publisher for SEC Filing
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Filed pursuant to Rule 433
Registration Statement No. 333-180300-03
January 30, 2014
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Credit Suisse Long/Short Equity Index ETN
The Credit Suisse Long/Short Equity Index Exchange Traded Notes (the “ETNs”) are senior, unsecured debt securities issued by Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch, that
are linked to the return of the Credit Suisse Long/Short Liquid Index (Net) (the “Index”). The Index seeks to correlate to the historical performance of the Credit Suisse Long/Short Equity Hedge Fund Index (the “Target Index”) and
is designed to provide exposure to a long/short equity strategy as represented by long and short positions in various market measures. The ETNs are listed on NYSE Arca under the ticket symbol “CSLS.”1 The ETNs should be purchased
only by knowledgeable investors who understand the potential consequences of investing in the ETNs.
| ETN Details |
|
| ETN ticker |
CSLS |
| Indicative value ticker |
CSLS.IV |
| Bloomberg Index ticker |
CSLABLN |
| CUSIP/ISIN |
22542D878 / US22542D8780 |
| Primary Exchange |
NYSE Arca1 |
| ETN annual investor fee |
0.45%* |
| Index fee |
0.50% |
| ETN inception date |
February 19, 2010 |
| Underlying index |
Credit Suisse Long Short |
|
Liquid Index (Net) |
| *Because of daily compounding, the actual investor fee realized may exceed 0.45% per annum. |
|
| Index Returns (as of 12/31/2013) |
|
| 1 month |
0.20% |
| 3 month |
2.79% |
| 1 year |
7.35% |
| Since inception annualized* |
4.76% |
| *Index inception date was October 31, 2009. |
|
| Index Statistics (12/31/2012 to 12/31/2013) |
| Correlation to S&P 500 TR Index |
0.85 |
| Correlation to Barclays US |
|
| Aggregate TR Index |
0.02 |
| Annualized Volatility |
6.13% |
| 1-Year Sharpe ratio* |
1.19 |
| *Sharpe ratio calculated using the Federal Funds Effective Rate as of December 31, 2013. |
|
1Credit Suisse has no obligation to maintain any listing on NYSE Arca or any other exchange and we may delist the ETNs at any time.
Strategy Focus
| n | | The Long/Short equity sector is a significant component of the hedge fund universe
and currently represents approximately 16% of the Credit Suisse Long/Short Equity Hedge Fund Index. |
| n | | Long/Short investing seeks to profit from both long and short positions in stocks
while maintaining a low correlation to equity markets. |
Index Performance (October 31, 2009 to December 31, 2013)
The above graph sets forth the historical performance of the Index from October 31, 2009 through December 31, 2013. The historical data for the Index does not account for the postponement of
rebalancing dates due to market disruption events. Historical performance is not indicative of future performance. The Index includes 0.50% p.a. of index calculation fees. The above graph includes this index calculation fee but does not reflect the fee
factor associated with the ETNs, which will reduce the amount of the return on the ETNs at maturity or upon repurchase by Credit Suisse.
| For More Information |
|
|
| ETN Desk: 212 538 7333 |
Email: ETN.Desk@credit-suisse.com |
Website: www.credit-suisse.com/etn |
Index Overview
| n | | The Index seeks to correlate to the historical performance of the Target Index by
tracking the performance of non-hedge fund, transparent market indices. |
| n | | Each month, the Index rules determine the appropriate market measures and weightings
to approximate the returns of the Target Index. |
| n | | The calculation of the Index takes into consideration holding costs associated with
the market measures and costs associated with calculating the Index. |
| n | | The Index is overseen by an index committee composed of professional investment managers
and academics and takes into consideration extensive quantitative research. |
| n | | The Index is calculated intraday by NYSE Arca, Inc. |
Index Composition (December 2009 to December 2013)
Selected Investment Considerations
| – | | The ETNs do not have a minimum payment at maturity or daily repurchase value and are
fully exposed to any decline in the Index. Furthermore, the return at maturity or upon repurchase will be reduced by the fees
and charges associated with the ETNs and the Index. Therefore, the level of the Index must increase by an amount sufficient, to
offset the applicable fees and charges. |
| – | | You will not receive any periodic interest payments on the ETNs. |
| – | | We have listed the ETNs on NYSE Arca under the symbol “CSLS”. We expect
that investors will purchase and sell the ETNs primarily in the secondary market. We have no obligation to maintain this listing
on NYSE Arca or any listing on any other exchange, and may delist the ETNs at any time. |
| – | | The indicative value of the ETNs 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. |
| – | | 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 upon repurchase or at maturity, 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.
| – | | While the Index aims to replicate the performance of the Target Index by tracking
the performance of non-hedge fund, transparent market measures, the Target Index tracks a variety of investments many of which
are not transparent. |
| – | | The performance of the Index may not correlate with the performance of the Target
Index and there is no assurance that the strategy on which the Index is based will be successful. |
| – | | Tax consequences of the ETNs are uncertain and potential investors should consult
their tax advisors regarding the U.S. federal income tax consequences of an investment in the ETNs. |
| – | | We have the right to repurchase your ETNs in whole but not in part, if the principal
amount of the ETNs outstanding is $10,000,000 or less. The amount you may receive upon a repurchase by Credit Suisse may be less
than the amount you would receive on your investment at maturity or if you had elected to have us repurchase your ETNs at a time
of your choosing. |
An investment in the ETNs involves significant risks. The selected investment considerations herein are not intended as a complete description of all risks associated with the ETNs. For further information regarding risks,
please see the section entitled “Risk Factors” in the applicable pricing supplement.
Sources: Credit Suisse Alternative Capital, Inc., Bloomberg. All data was obtained from publicly available information, internally developed data and other third-party sources believed to be reliable. Credit Suisse AG has not
sought to independently verify information obtained from public and third-party sources. The Index is unmanaged, assumes reinvestment of dividends or interest and does not reflect the deduction of fees and expenses from the ETNs. Investors cannot invest
directly in the Index.
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 or any agent or dealer participating in an offering will arrange to send you the applicable pricing
supplement, prospectus supplement and prospectus if you so request by calling toll-free 1 (800) 221-1037.
You may access the applicable pricing supplement related to the ETNs discussed herein on the SEC website at: http://www.sec.gov/Archives/edgar/data/1053092/000110465912020682/a12-7748_1424b2.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.
Copyright © 2014. Credit Suisse Group AG and/or its affiliates. All rights reserved.
| For More Information |
|
|
| ETN Desk: 212 538 7333 |
Email: ETN.Desk@credit-suisse.com |
Website: www.credit-suisse.com/etn |