FWP 1 dp20147_fwp-tvix.htm FORM FWP
 
 



Filed pursuant to Rule 433
Registration Statement No. 333-158199-10 November 30, 2010

TVIX

TVIX: VelocityShares Daily 2x VIX Short-Term ETN

Note Information

Exchange Ticker         TVIX
Exposure                Leveraged (2x)
Reset Period            Daily
Indicative Value Ticker TVIXIV
Inception Date          11/29/2010
Maturity Date           12/04/2030
CUSIP                   22542D761
Primary Exchange        NYSE Arca
Investor Fee *          1.65%

Issuer Information

Issuer Credit Suisse AG

Index Information

Index - SandP 500 VIX Short-Term Futures[] Index ER
Bloomberg Index Ticker SPVXSP
Futures Weighted Average Maturity -- 1 Month


*On any calendar day, the Daily Investor Fee is equal to the product of (1) the
Closing Indicative Value on the immediately preceding calendar day multiplied by
(2) the Daily ETN Performance for that series on such calendar day multiplied by
(3) the quotient of (a) 0.0165 divided by (b) 365.

The VelocityShares Daily 2x VIX Short-Term ETNs (the "ETNs") are senior,
unsecured obligations of Credit Suisse AG ("Credit Suisse") acting through its
Nassau branch. The return on the ETNs is linked to twice (2x) the daily
performance of the SandP 500 VIX Short-Term Futures[] Index ER less the investor
fee. The ETNs provide traders with an exchange traded instrument enabling them
to efficiently express their market views on the short-term futures contracts on
the CBOE SPX Volatility Index([R]) (the "VIX([R])"). The ETNs do not guarantee
any return of principal at maturity and do not pay any interest during their
term.

The index was designed to provide investors with exposure to one or more
maturities of futures contracts on the VIX([R]), which reflects implied
volatility of the SandP 500([R]) Index at various points along the volatility
forward curve. The calculation of the VIX([R]) is based on prices of put and
call options on the SandP 500([R]) Index. The SandP 500 VIX Short-Term Futures[]
Index ER targets a constant weighted average maturity of 1 month. The ETNs are
linked to a multiple (2x) of the daily return of the index and do not represent
an investment in the VIX([R]).

Benefits of Trading Volatility

[]   Volatility ETNs may be used to express short-term views on the direction of
     volatility

[]   Volatility is often negatively correlated to the performance of US equity
     markets

[]   Volatility appears to revert to the mean, which indicates at historically
     low VIX([R]) levels, there is a higher probability that the next big move
     will be up rather than down. Conversely, at historically high VIX([R])
     levels, the next big move is more likely to be down rather than up

Risks Associated with the ETNs

[]   You may lose all or a significant part of your investment in the ETNs if
     the index decreases or does not increase by an amount sufficient to offset
     the applicable fees and charges

[]   The ETNs and payment of any amount due on the ETNs are subject to the
     credit risk of Credit Suisse. Any payment on the ETNs is subject to the
     ability of Credit Suisse AG to satisfy its obligations as they become due.

[]   The ETNs are intended to be trading tools for

     sophisticated investors and should be purchased only by knowledgeable
     investors who understand the potential consequences of investing in a
     volatility index and of seeking leveraged investment results

[]   The ETNs may be redeemed at the investor's option subject to certain
     restrictions described in the prospectus such as a minimum number of ETNs
     required for redemption and redemption being limited to certain dates.
     Redemption prior to maturity may result in the imposition of a charge that
     would reduce the amount an investor receives to less than the full amount
     of the Closing Indicative Value

[]   The return at maturity, upon repurchase or early redemption will be reduced
     by the fees and charges associated with the ETN

[]   The ETNs are not linked to the VIX[R]

[]   The ETNs are designed to obtain their stated investment objectives on a
     daily basis

[]   If you hold your ETN as a long term investment, it is likely that you will
     lose all or a substantial portion of your investment

            www. velocityshares.com | 877-5-VELOCITY | 877-583-5624


 

 
 


TVIX: VelocityShares Daily 2x VIX Short-Term ETN

Risks (continued from prior page)

[]   The issuer has the right to call your ETNs

[]   The market price of your ETNs may be influenced by many unpredictable
     factors

[]   Although we intend to list the ETNs on NYSE Arca, a trading market for your
     ETNs may not develop

[]   Because the 2x Long ETNs are linked to the daily performance of the
     applicable underlying Index and include leveraged exposure, changes in the
     market price of the underlying futures will have a greater likelihood of
     causing such ETNs to be worth zero than if such ETNs were not linked to the
     leveraged return of the applicable underlying Index.

Credit Suisse has filed a registration statement (including a pricing
supplement, prospectus supplement and prospectus) with the Securities and
Exchange Commission, or SEC, for the offering of securities. Before you invest,
you should read the pricing supplement dated November 29, 2010, the prospectus
supplement dated March 25, 2009, prospectus dated March 25, 2009 (File No.
333-158199-10), to understand fully the terms of the notes and other
considerations that are important in making a decision about investing in the
securities. You may get these documents without cost by visiting EDGAR on the
SEC website at www.sec.gov. Alternatively, Credit Suisse or VLS Securities LLC
or any agent or dealer participating in an offering will arrange to send you the
applicable terms sheet, relevant product supplement if applicable, prospectus
supplement and prospectus if you so request by calling toll-free 1 800-221-1037.

Information contained in the VelocityShares website (www.velocityshares.com) is
not incorporated by reference in, and should not be considered a part of, this
free writing prospectus or any pricing supplement of Credit Suisse AG, and to
the extent any of such information has not been filed by Credit Suisse AG, we
have not participated in the preparation of, or verified, such publicly
available information.

"Standard and Poor's([R])", "SandP([R])", "SandP 500([R])", "Standard and Poor's
500[]", "SandP 500 VIX Short-Term Futures[]" and "SandP 500 VIX Mid-Term
Futures[]" are trademarks of Standard and Poor's Financial Services LLC
("SandP") and have been licensed for use by VelocityShares LLC. "VIX" is a
trademark of the Chicago Board Options Exchange, Incorporated ("CBOE") and has
been licensed for use by SandP. The ETNs are not sponsored, endorsed, sold or
promoted by SandP or CBOE and SandP and CBOE make no representation regarding
the advisability of investing in the ETNs.

            www. velocityshares.com | 877-5-VELOCITY | 877-583-5624