FWP 1 e43347fwp.htm FWP
 
Filed pursuant to Rule 433
Registration Statement No. 333-158199-10
April 29, 2011

Credit Suisse Long/Short Liquid Index (Net) ETN

Credit Suisse Long/Short Liquid Index (Net) 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 total return of the Credit Suisse Long/Short Liquid Index (Net) (the “CS L/S Liquid Index” or the “Index”). If an active secondary market develops, investors can trade the ETNs on an exchange at market price. The ETNs are designed to provide investors with the exposure to the Long/Short Equity strategy represented by the CS L/S Liquid Index, an index which is calculated intraday and reflects the return of a dynamic basket of investable market factors selected and weighted in accordance with an algorithm that aims to correlate to the historical performance of the Dow Jones Credit Suisse Long/Short Equity Hedge Fund Index (the “DJCS L/S Index”).

Note Details  
    
ETN Ticker CSLS
Intraday indicative value ticker CSLS.IV
Bloomberg index ticker CSLABLN
CUSIP 22542D878
Primary Exchange NYSE Arca
ETN Annual Investor Fee 0.45%
ETN Inception date February 19, 2010
Underlying Index Credit Suisse Long/Short Liquid Index (Net)
 

Long/Short Equity Sector Focus

  • As of March 31, 2011, the Long/Short Equity sector represented 20.6% of the Dow Jones Credit Suisse Hedge Fund Index

  • Long/Short Equity is a strategy with a large allocation in many investors’ hedge fund portfolios

  • Long/Short Equity is an established and well understood hedge fund strategy with managers having similar investment universe and investment objectives

Index Performance Characteristics
(October 31, 2009 – March 31, 2011)

  CS L/S Liquid Index
Annualized Return 9.03%
1 Month 1.13%
3 Month 3.45%
6 Month 7.28%
1 Year rolling 9.30%
YTD 3.45%
Annualized Volatility 8.19%
Sharpe Ratio 1.09
Cumulative Return 13.04%

 


The above graph sets forth the historical performance of the Index from October 31, 2009 through March 31, 2011. The historical data for the Index does not account for the postponement of rebalancing dates due to market disruption dates. 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 include the investor fee associated with the ETNs which will reduce the amount of the return on the ETNs at maturity or upon repurchase by Credit Suisse.

Sources: Credit Suisse Asset Management, LLC, Credit Suisse Hedge Index LLC and Bloomberg. Past performance is not a guarantee or indicator of future results.


The Credit Suisse Long/Short Liquid Index ETN

The Credit Suisse Long/Short Liquid Index (Net) Overview

  • The Credit Suisse Long/Short Liquid Index (Net) seeks to correlate to the historical performance of the Dow Jones Credit Suisse Long/Short Equity Hedge Fund Index by tracking the performance of non-hedge fund, transparent market measures.

  • The algorithm determines the appropriate market factors and weightings employed by the Index and has been developed by an index committee taking into consideration extensive quantitative research.

  • The Index is calculated by NYSE Arca, Inc. and benefits from transparent rules-based construction.

Index Composition
(October 31, 2009 – March 31, 2011)


The above chart shows the factor exposures of the CS L/S Liquid Index aggregated to a quarterly summary level. The chart sets forth historical exposures of the Index from October 31, 2009 through March 31, 2011. Bars represented above zero on the y-axis indicate a long exposure to those factors and bars below zero represent aggregate short exposure to the factors.

 
Correlation Statistics*  
(October 31, 2009 – March 31, 2011)  
  
Correlation Statistics
DJCS Long/Short Equity
Hedge Fund Index
0.91 
S&P 500 Index (TRI)
0.89 
Barclays US Aggregate
Index Value (TRI)
(0.42)

*Correlation attempts to measure the relationship between two sets of data. A correlation of 1.00 implies a direct linear relationship, a correlation of 0.00 implies there is no linear relationship, while a correlation of -1.00 implies an inverse linear relationship. The statistics above compare the respective indexes with the CS L/S Liquid Index.

Selected Investment Considerations

  • We have listed the ETNs on NYSE Arca under the symbol “CSLS”. If an active secondary market in the ETNs develops, we expect that investors will purchase and sell the ETNs primarily in this 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.

  • Although the return on the ETNs will be based on the performance of the CS L/S Liquid Index, the payment of any amount due on the ETNs, including any payment 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 CS L/S Liquid Index aims to replicate the performance of the DJCS L/S Index by tracking the performance of non-hedge fund, transparent market measures, the DJCS L/S Index tracks a variety of investments many of which are not transparent.
 

  • The performance of the CS L/S Liquid Index may not correlate with the performance of the DJCS L/S Index and there is no assurance that the strategy on which the Index is based will be successful.

  • The ETNs do not have a minimum redemption or repurchase amount and are fully exposed to any decline in the CS L/S Liquid 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.

  • 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 ETN.

  • An investment in the ETNs involves significant risks. The selected risk factors 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.
For Additional Information  
Americas      Effeson Hailemichael       +1 212 325 4285
  Griffin Wetmore +1 212 538 8495
Email ir.betastrategies@credit-suisse.com
Website www.credit-suisse.com/notes

Credit Suisse has filed a registration statement (including underlying 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 applicable pricing supplement, the Underlying Supplement dated June 24, 2010, the Prospectus Supplement dated March 25, 2009, and Prospectus dated March 25, 2009, 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 Web site at www.sec.gov. Alternatively, Credit Suisse, any agent or dealer participating in an offering will arrange to send you the applicable term sheet, applicable underlying supplement, product 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://sec.gov/Archives/edgar/data/1053092/000104746910006520/a2199400z424b2.htm

You may access the underlying supplement, 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.