Credit Suisse Structured Products

Transcription

1 30 September 2016 All terms and conditions are indicative and will be confirmed until the Issue Date, if and when issued. Indicative Selected Key Parameters Telephone Contact: +41 (0) Conversations on this line are recorded. We will assume your consent. Credit Suisse Structured Products 100% ProNote with Participation in USD on Credit Suisse Managed Multi-Asset USD Total Return Index (1) [28 October] 2016 until [28 October] 2022 The Complex Products do not constitute a collective investment scheme within the meaning of the Swiss Federal Act on Collective Investment Schemes (CISA). Therefore, the Complex Products are not subject to authorisation or supervision by the Swiss Financial Market Supervisory Authority (FINMA). Investors bear the issuer risk. The Complex Products are structured products within the meaning of the CISA. This simplified prospectus is only available in English. I. Product Description Risk Category: Product Category: Product Type: SSPA Code: Complex Product (2) Capital Protection Capital Protection Cert. with Participation 1100 (3) The Complex Products allow the holders to benefit from an unlimited participation in a percentage of any positive performance of the Underlying (net of an adjustment factor of [0.90%] p.a.). The potential return on the Complex Products is not capped. If the value of the Underlying has developed negatively as measured on the Final Fixing Date, the Payout Amount will be equal to zero and the holders will only receive the Final Redemption Amount, which is equal to the Protected Redemption Amount, on the Final Redemption Date. Underlying Bloomberg Ticker Licensor/Index Sponsor Index Calculation Agent Initial Level (100%) Credit Suisse Managed Multi-Asset USD Total Return Index (please see Index Description below) CSEAMMUT <INDEX> Credit Suisse Securities (Europe) Limited Credit Suisse International [ ] The Credit Suisse Managed Multi-Asset USD Total Return Index (the Index ) is an actively managed index that aims to offer long-term capital appreciation by applying a diversified approach to investing in a variety of asset classes, including government bonds, inflation-linked bonds, investment grade debt, high yield and emerging market bonds, developed market equities, emerging market equities commodities and hedge funds. The Index is rebalanced by the Index Rebalancing Entity in accordance with the applicable guidelines as set out in the index rules (the "Index Rules"). The Index Rules, the current composition of the Index as well as details on the method of calculation can be obtained free of charge from Credit Suisse AG, [VBDE 154], Fund Linked Products Group, Uetlibergstr. 231, 8070 Zurich, Switzerland. There is no obligation on the Issuer to use the net proceeds from an issue of Complex Products to invest in the Index. Indicative Issue Details Security Codes Swiss Sec. No.: ISIN: CH NAS: [ ] Issuer Credit Suisse AG, Zurich, acting through its Nassau Branch, Nassau (Moody's: A2 / S&P: A / Fitch: A) The Issuer is authorized and supervised by FINMA in Switzerland. Lead Manager Credit Suisse AG, Zurich Paying Agent Credit Suisse AG, Zurich Calculation Agent Credit Suisse International, London Issue Size up to USD [ ] (may be increased/decreased at any time) Denomination USD Minimum Investment / USD 250' Subscription Amount Issue Price 100% Subscription Period Initial Fixing Date Issue/Payment Date Last Trading Date Final Fixing Date Final Redemption Date Listing Until [20 October] 2016, 15:00 CET (1) Herein called the Complex Products. (2) Investing in the Complex Products requires specific knowledge on the part of the potential investor regarding the Complex Products and the risks associated therewith. It is recommended that the potential investor obtains adequate information regarding the risks associated with the Complex Products before making an investment decision. (3) See Swiss Derivatives Map at FLP [ ] 1/19 Strike (100%) [21 October] 2016, being the date on which the Initial Level and the Strike is fixed, and from which date the Complex Products may be traded. [28 October] 2016, being the date on which the Complex Products are issued and the Issue Price is paid. [20 October 2022], until the official close of trading on the SIX Swiss Exchange Ltd, being the last date on which the Complex Products may be traded. [21 October 2022], being the date on which the Final Level will be fixed. [28 October 2022], being the date on which each Complex Product will be redeemed at the Final Redemption Amount, unless previously redeemed, repurchased or cancelled. None [ ]

2 Trading/Secondary Market Early Exit Fee Under normal market conditions, Credit Suisse International, London, will endeavour to provide a secondary market, but is under no legal obligation to do so. Upon investor demand, Credit Suisse International, London, will endeavour to provide bid/offer prices subject to a spread of 1% of the Denomination [for up to [ ] Complex Products], depending on prevailing market conditions. There will be a price difference between bid and offer prices (spread). An Early Exit Fee will be subtracted from the bid price for any Complex Product sold back to Credit Suisse International, London before [29 October 2018]. The Complex Products are traded in percentage of the Denomination and are booked accordingly. Indicative trading prices not reflecting the Early Exit Fee may be obtained on Reuters CSZEQ00 and Bloomberg CSZE. The Early Exit Fee is equal to From the Issue Date to (and including) [30 October 2017] 2% From (but excluding) [30 October 2017] to (and including) [29 October 2018] 1% From (but excluding) [29 October 2018] onwards None Minimum Trading Lot USD Clearing SIX SIS Ltd, Euroclear S.A., Clearstream Banking Form Uncertificated Securities Governing Law/Jurisdiction Swiss Law/Courts of Zurich 1 Publication Any amendment to the Complex Products will be published on Modifications regarding the composition of the index or changes in the formula or method of calculation of the index will generally not be published. Main Sales and Offering Restrictions U.S.A., U.S. Persons, Singapore, European Economic Area, Hong Kong, United Kingdom, Bahamas Further information as well as a non-exhaustive list of additional sales and offering restrictions are available in the Base Prospectus for the issuance by Credit Suisse AG of Complex Products with Full or Partial Capital Protection dated 23 June 2016 on under Base Prospectuses. General: Except as set out in the documentation, no action has been or will be taken that would permit a public offering of Complex Products or possession or distribution of any offering material in relation to Complex Products in any jurisdiction where action for that purpose is required. No offers, sales, deliveries or transfers of Complex Products or the Underlying(s) (if any) to be delivered upon redemption of the Complex Products, or distribution of any offering material relating to Complex Products, may be made in or from any jurisdiction except in circumstances which will result in compliance with any applicable laws and regulations and will not impose any obligations on the Issuer or the relevant dealer(s). Indicative Description Index Rebalancing Entity Index Specific Strategy Index Level Index Rules Index Component Credit Suisse AG, Zurich The Index Rebalancing Entity is authorized and supervised by FINMA in Switzerland. The Index Rebalancing Entity is the entity responsible for composing, monitoring and rebalancing the Index in accordance with the Index Rules. The Index aims to achieve long-term capital appreciation through a long-only allocation to a range of indices, ETFs and/or mutual funds which provide exposure across asset classes, including government bonds, inflation-linked bonds, investment grade debt, high yield and emerging market bonds, developed market equities, emerging market equities commodities and hedge funds. A discretionary allocation to each Index Component will be determined by the Index Rebalancing Entity based on investment views generated by its investment committee. The Index Rebalancing Entity uses a proprietary optimisation methodology which processes the views of the investment committee to allocate Index Component weightings across equity regions, fixed income and alternative investments. The Index embeds a volatility control mechanism that automatically adjusts the exposure in order to maintain volatility of the Index at or below a target of 6%. The Index is denominated in US dollar (the Index Currency ) and is published net of (i) applicable access costs in respect of each Index Component and (ii) applicable transaction costs associated with changing the weight of each Index Component (please refer to pages for more details); the aforementioned costs and fees are deducted from the Index on the Index Calculation Day on which they are notionally incurred. Each Index Component which is denominated in a currency other than the Index Currency is formulaically FX hedged, on a monthly basis as well as in respect of each Index Rebalancing Day at a cost of 0.02% per month, against currency fluctuations of the Index Currency from any Index rebalancing day to the next. Such hedging shall reduce but not eliminate the foreign exchange risk. The Index is constructed as an Total Return Index. Total Return means that all dividend payments are reinvested net of tax. On any scheduled trading day, the level of the Index for such day is calculated by the Calculation Agent on the basis of the following formula: Index Level = Index Value (1 Adjustment Factor) N(t) 360 where: Index Value means the value of the Index as published by the Licensor/Index Sponsor; Adjustment Factor means [0.90%] (p.a.); N(t) means the number of days from (but excluding) the Initial Fixing Date to (and including) the day, on which the Index Level is calculated. Comprising of Credit Suisse Managed Multi-Asset USD Total Return Index dated 10 June 2016 and the Master Index Rules of the Credit Suisse Multi-Asset Actively Rebalanced Indices dated 18 April 2016 (as may be amended from time to time). any share, security, rate, index or other component included in the Index, as determined by the Calculation Agent. Indicative Payout Payout Amount A cash amount equal to the Denomination multiplied by the greater of (x) zero (0) and (y) the product of (i) the Participation and (ii) the ratio of (A) the difference between the Final Level and the Strike, divided by (B) the Initial Level, calculated by the Calculation Agent in accordance with the following formula: Deno min ation Final Level Strike x max 0;Participation x Initial Level Participation [100%] Payout Date the Final Redemption Date, being the date on which the Payout Amount per Complex Product will be paid, unless previously redeemed, repurchased or cancelled. Initial Level Strike Final Level 100% of the Index Level at the Valuation Time on the Initial Fixing Date. 100% of the Initial Level. 100% of the Index Level at the Valuation Time on the Final Fixing Date 2/19

3 Valuation Time the time with reference to which the Licensor/Index Sponsor calculates the closing Index value. Indicative Redemption Final Redemption Amount Protected Redemption Amount 100% of the Denomination (i.e., the Protected Redemption Amount). 100% of the Denomination. Indicative Fees Distribution Fee up to [0.46%] per annum in percent of the Denomination. Swiss Taxation (Indicative) The following statements and discussions of certain Swiss tax considerations relevant to the purchase, ownership and disposition of the Complex Products are of a general nature only and do not address all potential tax consequences of an investment in the Complex Product under Swiss law. This summary is based on treaties, laws, regulations, rulings and decisions currently in effect, all of which are subject to change. It does not address the tax consequences of the Complex Products in any jurisdiction other than Switzerland. Tax treatment depends on the individual tax situation of each investor and may be subject to change. Potential investors will, therefore, need to consult their own tax advisors to determine the special tax consequences of the purchase, ownership and sale or other disposition of a Complex Product. In particular, the precise tax treatment of a holder of a Complex Product needs to be determined with reference to the applicable law and practice at the relevant time. The investors shall be liable for all current and future taxes and duties as a consequence of an investment in Complex Products. The income tax treatment as depicted below is applicable to individual persons with tax residence in Switzerland and private assets. Withholding tax and stamp taxes are applicable to all investors; however, specific rules apply with respect to certain types of investors and transactions. No withholding tax (Verrechnungssteuer). Secondary market transactions are subject to securities transfer stamp tax (0.15%) for Swiss resident investors. [TK-Code 22] The difference between the Protected Redemption Amount (100%) and its present value (bondfloor = [ ], IRR = [ ]) is subject to income tax for Swiss resident private investors. The Complex Products classify as transparent, IUP (Intérêt Unique Prédominant). This Complex Product is not subject to EU savings tax for Swiss paying agents. [TK-Code 2; out of scope ] The Issuer expressly disclaims all liability in respect of any tax implications. II. Profit and Loss Prospects Profit Prospects The Complex Products allow the holders to benefit from an unlimited participation in a percentage of any positive performance of the Underlying. The potential return on the Complex Products is not capped. Holders participate above average in such positive performance due to the Participation. Loss Prospects If the value of the Underlying has developed negatively as measured on the Final Fixing Date, the Payout Amount will be equal to zero and the holders will only receive the Final Redemption Amount, which is equal to the Protected Redemption Amount, on the Final Redemption Date. Calculation Examples of the Redemption Performance of the Underlying (net of the adjustment factor) on the Final Fixing Date: Redemption per Complex Product: + 30% 100% of the Denomination, plus a Payout Amount of [USD ]. - 10% 100% of the Denomination, no Payout Amount. - 30% 100% of the Denomination, no Payout Amount. This table shows exemplary redemption scenarios regarding the Redemption as per the Final Redemption Date for illustrative purposes only and does not constitute a price indication for the Complex Products or the Underlying. During the term of the Complex Products, additional risks and other factors may influence the market value of the Complex Products. As a consequence, the pricing in the secondary market may differ significantly from the above table. III. Important Risks for Investors Important Risks Issuer Risk Investors bear the Issuer risk. The Complex Products retention of value is dependent not only on the development of the value of the Underlying(s), but also on the creditworthiness of Credit Suisse AG, which may change over the term of the Complex Products. Furthermore, the Issuer s ability to fulfill its obligations under the Complex Products may be affected by certain other factors, including liquidity risks, market risks, credit risks, cross-border and foreign exchange risks, operational risks, legal and regulatory risks and competition risks. The Complex Products are direct, unconditional, unsecured and unsubordinated obligations of Credit Suisse AG and are not covered by any compensation or insurance scheme (such as a bank deposit protection scheme). If Credit Suisse AG were to become insolvent, claims of investors in Complex Products would rank equally in right of payment with all other unsecured and unsubordinated obligations of Credit Suisse AG, except such obligations given priority by law. In such a case, investors in Complex Products may suffer a loss of all or a portion of their investment therein, irrespective of any favourable development of the other value determining factors, such as the performance of the Underlying(s). Credit Suisse AG is licensed as a bank pursuant to the Swiss Federal Act on Banks and Saving Banks and as a security dealer pursuant to the Swiss Federal Act on Stock Exchanges and Securities Trading and is subject to supervision by the FINMA. Product Risk Complex Products involve substantial risks and potential investors must have the knowledge and experience necessary to enable them to evaluate the risks and merits of an investment in Complex Products. Prospective investors should: ensure that they understand the nature of the risks posed by, and the extent of their exposure under, the Complex Products; make all pertinent inquiries they deem necessary without relying on the Issuer or any of its affiliates or officers or employees; 3/19

4 consider the suitability of the Complex Products as an investment in light of their own circumstances, investment objectives, tax position and financial condition; consider carefully all the information set forth in the legally binding Terms and Conditions as well as all other sections of the Prospectus (including any documents incorporated by reference therein); consult their own legal, tax, accounting, financial and other professional advisors to assist them determining the suitability of Complex Products for them as an investment. Risk of Total Loss Although the Complex Products provide for full capital protection, investors may lose some or all of their investment therein. Accordingly (but subject to the immediately succeeding sentence), an investor's risk of loss is limited to the difference between the Issue Price (or, if different, the price such investor paid for the relevant Complex Product) and the Protected Redemption Amount. Nevertheless, investors in the Complex Products may lose some or all of their investment therein (including the Protected Redemption Amount), in particular if Credit Suisse AG were to become insolvent or otherwise unable to fulfil all or part of its obligations under the Complex Products. In addition, if an investor acquires a Complex Product at a price that is higher than the Protected Redemption Amount, such investor should be aware that the Protected Redemption Amount does not fluctuate with the purchase price paid for the Complex Product. Furthermore, even though the Complex Products provide for a Protected Redemption Amount, this does not mean that the market value of a Complex Product will ever be, or that an investor in a Complex Product will ever be able to sell a Complex Product for an amount, equal to or above the Protected Redemption Amount. Investors should be aware that the Protected Redemption Amount is only payable by the Issuer on the Final Redemption Date. If the Complex Products are early redeemed or if an additional adjustment event occurs, investors may receive a redemption amount that is considerably lower than the Protected Redemption Amount that would have otherwise been received. Complex Products are unsecured obligations Complex Products are direct, unconditional, unsecured and unsubordinated obligations of Credit Suisse AG and are not covered by any compensation or insurance scheme (such as a bank deposit protection scheme). If Credit Suisse AG were to become insolvent, claims of investors in Complex Products would rank equally in right of payment with all other unsecured and unsubordinated obligations of Credit Suisse AG, except such obligations given priority by law. In such a case, investors in Complex Products may suffer a loss of all or a portion of their investment therein, irrespective of any favourable development of the other value determining factors, such as the performance of the Underlying. Unpredictable Market Value of the Complex Products The market value of, and expected return on, Complex Products may be influenced by a number of factors, some or all of which may be unpredictable (and which may offset or magnify each other), such as (i) supply and demand for Complex Products, (ii) the value and volatility of the Underlying, (iii) economic, financial, political and regulatory or judicial events that affect Credit Suisse AG, the Underlying or financial markets generally, (iv) interest and yield rates in the market generally, (v) the time remaining until the Final Redemption Date, (vi) the difference between the level of the Underlying and the relevant threshold, (vii) Credit Suisse AG s creditworthiness and (viii) dividend payments on the components of the Underlying, if any. Trading Market for Complex Products The trading market for Complex Products may be limited, or may never develop at all, which may adversely impact the market value of such Complex Products or the ability of a holder thereof to sell such Complex Products. Exposure to the Performance of the Underlying Complex Products represent an investment linked to the performance of the Underlying and potential investors should note that any amount payable, or other benefit to be received, under Complex Products will depend upon the performance of the Underlying. Potential investors in Complex Products should be familiar with the behaviour of the Underlying and thoroughly understand how the performance of the Underlying may affect payments (or any other benefit to be received) under, or the market value of, Complex Products. The past performance of the Underlying is not indicative of future performance. The market value of a Complex Product may be adversely affected by postponement or alternative provisions for the valuation of the level of the Underlying. Exchange Rate Risks The settlement currency may not be the currency of the home jurisdiction of the investor in the Complex Products. Therefore, fluctuations in exchange rates may adversely affect the market value of a Complex Product or the value of the Underlying. Broad Discretionary Authority of the Calculation Agent The Calculation Agent has broad discretionary authority to make various determinations and adjustments under Complex Products, any of which may have an adverse effect on the market value thereof or amounts payable or other benefits to be received thereunder. Any such discretion exercised by, or any calculation made by, the Calculation Agent (in the absence of manifest error) shall be binding on the Issuer and all holders of the Complex Products. Further Product Specific Risks Upon redemption, investors in the Complex Products will receive the Protected Redemption Amount and the Payout Amount, the amount of which is dependent upon the performance of the Underlying. Investors in the Complex Products should be aware that if the value of the Underlying has developed unfavourably (i.e., if the value of the Underlying has decreased during the term of the Complex Products), the Payout Amount will be equal to zero, and investors in such Complex Products will only receive the Final Redemption Amount, which is equal to the Protected Redemption Amount, at maturity. In such a case, an investment in a Complex Product may result in a loss upon redemption, if the price the relevant investor paid for such Complex Product is higher than the Protected Redemption Amount. Furthermore, even if the Payout Amount is greater than zero, an investment in a Complex Product may still result in a loss upon redemption, if the Payout Amount is less than the difference, if any, between the price the relevant investor paid for such Complex Product and the Protected Redemption Amount. Therefore, the risk associated with an investment in the Complex Products is linked to the negative performance of the Underlying. The latest version of the Risk Disclosure Brochure can be obtained, free of charge, from the head office of Credit Suisse AG in Zurich, by calling or via facsimile no: , or accessed via Internet at the Swiss Bankers Association s website: (under the following path: org/en/home/shop.htm). This risk disclosure notice cannot disclose all the risks. Therefore, potential investors in Complex Products should consult the latest version of the Special Risks in Securities Trading risk disclosure brochure (the Risk Disclosure Brochure ) and the Prospectus of which the Terms and Conditions of the Complex Products form a part. Index Specific Risks Historical or hypothetical performance of the Index is not an indication of future performance The historical or hypothetical performance of the Index should not be taken as an indication of the future performance of the Index. The level of the Index 4/19

5 may fluctuate significantly. It is impossible to predict whether the level, value or price of the Index will fall or rise during the term of your investment. Past performance is not a guarantee or an indication of future returns. No operating history The Index may have no operating history with no proven track record in achieving the stated investment objective. The Index will be weighted and rebalanced based on the Index Rebalancing Entity discretionary choices. No assurance can be given that the allocation will perform in line with market benchmark, and the Index could underperform market benchmark and/or decline. No assurance of performance No assurance can be provided that any strategy on which an Index is based will be successful or that the Index will outperform any alternative strategy that might be used in respect of the same or similar investment objectives. Notional Exposure The Index is constructed on notional investments and there is no actual portfolio of assets to which any person is entitled or in respect of which any person has any direct or indirect ownership interest. The Index simply reflects a rules-based proprietary trading strategy, the performance of which is used as a reference point for the purposes of calculating the level of the Index. Investors in products which are linked to the Index will not have a claim in respect of any of the components of the Index. Publication of the Index The Index Level, in respect of an Index Calculation Day, is scheduled to be published on the immediately following Index Calculation Day. In certain circumstances such publication may be delayed. The Index relies on external data The Index relies on data from external providers. While Credit Suisse intends to use well established and reputable providers, there is a risk that this data may be inaccurate, delayed or not up to date. There is also a risk that while the data is accurate, the data feed to Credit Suisse is impaired. Such impairment to either the data or the data feed could affect the performance or continued operability of the Index. The risk of such impairment may be borne by investors in products linked to the Index and Credit Suisse may decide not to subsequently revise the Index (except where such impairment is caused by CS s Fault). Fault means negligence, fraud or wilful default. There is also a risk to the continuity of the Index in the event that the Licensor/Index Sponsor ceases to exist. In the event that certain external data is not available, Credit Suisse as calculation agent for the Index may determine the necessary data in order to maintain the continuity of the Index. The Index relies on Credit Suisse infrastructure and electronic systems The Index relies on Credit Suisse infrastructure and electronic systems (including internal data feeds). Any breakdown or impairment to such infrastructure or electronic systems could affect the performance or continued operability of the Index. The risk of such breakdown or impairment shall be borne by investors in products linked to the Index unless except when caused by CS s Fault. Neither Credit Suisse nor its affiliates shall be under any liability to account for any loss or damage incurred by any person in connection with any change to, removal of or operational risks generated by the Index or its strategy except when caused by CS s Fault. Amendments to the Index rules; Index Component Substitution; Withdrawal of the Index The Licensor/Index Sponsor may in consultation with the Index Committee, supplement, amend (in whole or in part), revise, rebalance or withdraw the Index at any time if one of the following occurs, either (a) there is any event or circumstance that in the determination of the Licensor/Index Sponsor makes it impossible or impracticable to calculate the Index pursuant to the Index Rules; (b) a change to the Index Rules is required to address an error, ambiguity or omission in the determination of the Licensor/Index Sponsor; (c) the Licensor/Index Sponsor determines that an Extraordinary Event has occurred; or (d) the Licensor/Index Sponsor determines that an Index Component Disruption Event has occurred. Index Component Disruption Event means any of a Fund Disruption Event, an ETF Disruption Event, an Equity Index Disruption Event or a Commodity Index Disruption Event. Following any withdrawal of the Index as described above, the Licensor/Index Sponsor may, but is not obliged to, replace the Index with a successor index and/or replace the Strategy with a similar successor strategy or an entirely new strategy at any time, as it deems appropriate in its discretion. A supplement, amendment, revision or rebalancing may lead to a change in the way the Index is calculated or constructed. Such changes may include, without limitation, substitution or removal of an Index Component, or changes to the Strategy. Extraordinary Event includes (at a general level) any of the following events or circumstances, which in the case of (a) to (e) have had or will have, as determined by the Licensor/Index Sponsor, a material effect on the Index: a) change in either (i) the liquidity of any Index Component (including the application of any gating, side-pocketing or other similar arrangement), (ii) the form of payment of a transaction linked to any Index Component, or (iii) the trading volume, terms or listing of any Index Component; b) change in any applicable law or regulation, or any decision or promulgation of any change in the interpretation by any court, tribunal or regulatory authority of any applicable law or regulation; c) any event or circumstance that means the value of an Index Component is, in the determination of the Licensor/Index Sponsor, unreliable; d) an Index Component is permanently discontinued or otherwise unavailable; e) change in the method by which the value of an Index Component is calculated; f) any event that, in the determination of the Licensor/Index Sponsor, has a material adverse effect on the ability of a market participant to establish, maintain, value, rebalance or unwind a hedge position (which may include physical investments or entering into futures contracts or OTC derivatives) in relation to an investment product linked to the Index; g) any Additional Extraordinary Event specified in the relevant Index Specific Rules; h) any other event which, either (i) in the determination of the Licensor/Index Sponsor has a material adverse impact on the ability of the Index Calculation Agent, or Licensor/Index Sponsor to perform its duties, or (ii) in the determination of the Licensor/Index Sponsor, serves to frustrate or affect the purpose or aims of the Index Strategy (for example if the Licensor/Index Sponsor determines at any time that there is a material risk of an Index Value becoming negative), or (iii) in the determination of the Licensor/Index Sponsor, the overall notional amount of products linked to the Index falls to a size which renders the continuation of the Index economically unviable for the Licensor/Index Sponsor. For further details in relation to the Extraordinary Events, please refer to the Index Rules. Index Disruption Events Where, in the determination of the Licensor/Index Sponsor, an Index Disruption Event has occurred or is existing and subsisting in respect of any Index Calculation Day (a Disrupted Day ), the Licensor/Index Sponsor may in respect of such Disrupted Day (i) suspend the calculation and publication of an Index Value and/or (ii) determine an Index Value on the basis of estimated or adjusted data and publish an estimated level of an Index Value and/or, the Licensor/Index Sponsor may, following such Disrupted Day, take any action including but not limited to designation of alternative price sources, reconstitution of the Index or a temporary change of Weights or Volatility Control Weight. For these purposes, Index Disruption Event means a General 5/19

6 Disruption Event, or an Index Component Disruption Event. Where the Licensor/Index Sponsor uses estimated or adjusted data, it shall estimate or adjust such data with the primary intention of maintaining, so far as commercially reasonable, consistency of the exposure of the Index to the Strategy. Any estimate of the value of an Index Component in respect of a Disrupted Day shall be made by the Licensor/Index Sponsor using the methodology and calculations for determining the value of such Index Component last-in-effect prior to the occurrence of the Disrupted Day. Such Index Disruption Events are included to reflect the fact that the Index is an investible index and can be replicated by a hypothetical investor. General Disruption Events General Disruption Events include (at a general level) any of the following events and circumstances in the determination of the Licensor/Index Sponsor: a) an unscheduled closure of the money markets or a restriction or suspension in trading in these markets; b) the failure, suspension or postponement of any calculation within the Strategy, any event preventing the prompt or accurate determination of an Index Value or a determination by the Index Calculation Agent that the last reported Index Value should not be relied upon; and c) the disruption of trading on the relevant exchange or other trading facility of instruments referenced in the calculation of the Index or Index Components by the Index Calculation Agent or any other similar event. For further details in relation to the General Disruption Events, please refer to the Index Rules. Index Component Disruption Events Index Component Disruption Events include Fund Disruption Events, ETF Disruption Events, Equity Index Disruption Events and Commodity Index Disruption Events. Fund Disruption Events These events apply only in relation to Index Components which are of the Asset Type Mutual Fund (as set out in Table 1: Index Components Description) (each a Fund ) and include (at a general level) the following events, in the determination of the Licensor/Index Sponsor: a) a fund manager or any affiliate breached an agreement with the Licensor/Index Sponsor; b) a cross-contamination or other failure to segregate effectively assets between different classes, series or sub-funds of a fund; c) a fund or fund service provider becomes insolvent; d) a fund modification including (i) any change in a fund prospectus which could alter the value, right or remedies or investment strategy of such fund, (ii) any change to the legal constitution or management of a fund which materially alters the nature of the fund of the fund manager in relation to the fund, or (iii) the fund manager imposes fees or new dealing rules; e) a change to the aggregate net asset value of a fund; f) a change to the aggregate net asset value of a fund manager; g) a fund or its service provider loses its applicable license or authorisation; h) a regulatory action including (i) the cancellation, suspension or revocation of the registration or approval of a fund or service provider, (ii) any change in the legal, tax, accounting, or regulatory treatments of the fund or its fund manager, or (iii) the fund or any of its service providers becoming subject to any investigation, arbitration, regulatory action, government action, proceeding or litigation for any activities relating to or resulting from the operation of the fund or service provider; i) any event affecting a fund that would make it impossible or impracticable to determine the value or risk profile of such fund; or j) any breach or violation of any strategy or investment restriction, or a change in the risk profile of a fund. For further details in relation to the Fund Disruption Events, please refer to the Index Rules. ETF Disruption Events These events apply only in relation to Index Components which are of the Asset Type ETF (as set out in Table 1: Index Components Description) (each an ETF ) and include (at a general level) the following events, in the determination of the Licensor/Index Sponsor: a) An ETF manager or any affiliate breached an agreement with the Licensor/Index Sponsor; b) a cross-contamination or other failure to segregate effectively assets between different classes, series or sub-funds of an ETF; c) a change to the trading volume if an ETF; d) an ETF or ETF manager becomes insolvent; e) an ETF modification including (i) any change in a ETF prospectus which could alter the value, right or remedies or investment strategy of such fund, (ii) any change to the legal constitution or management of an ETF which materially alters the nature of the ETF or the ETF manager in relation to the ETF or (iii) the ETF manager imposes fees or new dealing rules; f) a change to the aggregate net asset value of an ETF; g) an ETF or its service provider loses its applicable license or authorisation; h) a regulatory action including (i) the cancellation, suspension or revocation of the registration or approval of an ETF or service provider, (ii) any change in the legal, tax, accounting, or regulatory treatments of the ETF or its manager, or (iii) the ETF or any of its service providers becoming subject to any investigation, arbitration, regulatory action, government action, proceeding or litigation for any activities relating to or resulting from the operation of the ETF or service provider; i) any event affecting an ETF that would make it impossible or impracticable to determine the value or risk profile of such ETF; j) any breach or violation of any strategy or investment restriction, or a change in the risk profile of an ETF. k) a suspension of or limitation imposed on trading in relation to an ETF or any event that disrupts the ability of market participants to effect transactions in any ETF; l) an unscheduled or early exchange closure; m) the Licensor/Index Sponsor or its affiliates is unable to borrow ETF shares in the amount needed to hedge the equity price risk in relation to transactions linked to the Index; or n) any event that disrupts or impairs (as determined by the Licensor/Index Sponsor) the ability of market participants (or the Licensor/Index Sponsor and/or its affiliates) to effect general transactions in, or obtain market values for, futures or options contracts referencing an ETF. For further details in relation to the ETF Disruption Events, please refer to the Index Rules. Equity Index Disruption Events These events apply only in relation to Index Components which are of the Asset Type Equity Index (as set out in Table 1: Index Components Description) (each an Equity Index ) and include (at a general level) the following events, in the determination of the Licensor/Index Sponsor: a) (i) a suspension of or limitation imposed on trading in respect of any components of an Equity Index and/or futures or options relating to the Equity Index, or (ii) any event that disrupts the ability of market participants to effect transactions in or obtain market values for components of an Equity Index or futures or options relating the an Equity Index; b) (i) an Equity Index is cancelled, (ii) the index sponsor fails to calculate and announce the Equity Index, or (iii) the Equity Index is materially modified; c) any event that disrupts or impairs (as determined by the Licensor/Index Sponsor) the ability of market participants (or the Licensor/Index Sponsor and/or its affiliates) in general to effect transactions in, or obtain market values for, futures or options contracts referencing an Equity Index. For further details in relation to the Equity Index Disruption Events, please refer to the Index Rules. 6/19

7 Commodity Index Disruption Events These events apply only in relation to Index Components which are of the Asset Type Commodity Index (as set out in Table 1: Index Components Description) and include (at a general level) the following events, in the determination of the Licensor/Index Sponsor: a) a material suspension of or limitation in trading any components of the Commodity Index, or any other event that disrupts or impairs (as determined by the Licensor/Index Sponsor), the ability of market participants in general to effect transactions in, or obtain market values on the principal trading market for a component, of the Commodity Index; b) a failure to commence, or the discontinuance of trading, or disappearance of, a component of the Commodity Index; c) an unscheduled or early exchange closure; d) a material change in the content, composition or constitution of the Commodity Index or a component of the Commodity Index; e) a material change in the formula or calculation method of the Commodity Index level or the price of a component of the Commodity; f) the failure by (i) the commodity index sponsor to announce the Commodity Index level, or (ii) the relevant price source to announce the price of the component of the Commodity Index or the permanent unavailability of the relevant price source; or g) a tax event that affects the price of a component of the Commodity Index. For further details in relation to the Commodity Index Disruption Events, please refer to the Index Rules. Potential Adjustment Events If the Licensor/Index Sponsor determines that a Potential Adjustment Event has occurred in respect of a Fund or an ETF, which (in respect of an ETF only) has not been handled through an Operational Corporate Action and/or Extraordinary Corporate Action, the Licensor/Index Sponsor will determine whether such Potential Adjustment Event has a diluting or concentrative effect on the theoretical value of the relevant Fund or ETF and, if so, the Licensor/Index Sponsor may (i) make the corresponding adjustment(s), if any, to the relevant Fund or ETF as the Licensor/Index Sponsor determines appropriate to account for that diluting or concentrative effect (provided that no adjustments will be made to account solely for changes in volatility, expected dividends, stock loan rate or liquidity relative to the relevant Fund or ETF), and (ii) determine the effective date(s) of the adjustment(s). The Licensor/Index Sponsor may (but need not) determine the appropriate adjustment(s) by reference to the adjustment(s) in respect of such Potential Adjustment Event made by an options exchange to options on the relevant Fund or ETF traded on such options exchange. In determination of the Licensor/Index Sponsor, with respect to an ETF or a Fund, a Potential Adjustment Event includes (at a general level) any of the following events or circumstances: a) A subdivision, consolidation or reclassification of the relevant Index Component, or a free distribution or dividend of any Index Component which is an ETF or a Fund to existing holders by way of bonus, capitalisation or similar issue; b) A distribution, issue or dividend to existing holders of the relevant Index Component; c) The declaration or payment of an extraordinary dividend; d) A call by the Stock Issuer in respect of shares that are not fully paid; e) An event that results in any shareholder rights being distributed or becoming separated from shares of common stock or other shares of the capital stock of the Stock Issuer pursuant to a shareholder rights plan or arrangement directed against hostile takeovers; f) a repurchase by the Stock Issuer, or any of its subsidiaries, of its shares whether out of profits or capital and whether the consideration for such repurchase is cash, securities or otherwise; g) a repurchase by any Fund of its shares the consideration for such repurchase is cash, securities or otherwise, other than in respect of a redemption of Fund shares initiated by an investor which is consistent with the relevant Fund documents h) A nationalisation, delisting, merger, insolvency of an Index Component or, tender offer to purchase or exchange an Index Component, as further described in the Index Rules; and i) Any other event that may have a diluting or concentrating effect on the theoretical value of the relevant Index Component. For further details in relation to the Potential Adjustment Events, please refer to the Index Rules. Economic proposition; Right to supplement, amend, revise, rebalance or withdraw the Index; Index Component Substitution; Substitution of the Index Rebalancing Entity The right of the Licensor/Index Sponsor to exercise its discretion to supplement, amend, revise, rebalance the Index including the right to substitute or remove Index Components, and the right to substitute or remove the Index Rebalancing Entity, are required to ensure the notional investments entered by the Index remain a viable investment proposition for a hypothetical investor seeking to replicate the Strategy. Where a supplement, amendment, revision, rebalancing of the Index or substitution or removal of an Index Component does not ensure the notional investments entered by the Index remain a viable investment proposition for a hypothetical investor seeking to replicate the Strategy, or the Licensor/Index Sponsor needs to withdraw the Index to meet its own risk management requirements, the Licensor/Index Sponsor has the right to exercise its discretion to withdraw the Index. This is integral to the ability of any market participant to offer products linked to the Index. For the occurrence of certain events may affect the investibility of the Index and could result in additional risks or costs for Credit Suisse, however, the Licensor/Index Sponsor may exercise its discretion to take one of the actions available to it under the rules of the Index in order to deal with the impact of these events. The exercise of such discretions has the effect of, amongst other things, transferring the risks and costs resulting from such events from Credit Suisse to investors in the products linked to the Index. Discretion of the Licensor/Index Sponsor The Index Rules provide Credit Suisse in its capacity as Licensor/Index Sponsor has the discretion to make certain calculations, determinations, and amendments from time to time (for example, on the occurrence of an Index Disruption Event as described below). While such discretion will be exercised in good faith and a commercially reasonable manner, and (where there is a corresponding applicable regulatory obligation) the Licensor/Index Sponsor shall take into account whether fair treatment is achieved by any such calculation, determination and exercise of discretion in accordance with its applicable regulatory obligations, it may be exercised without the consent of the investor and may have an adverse impact on the financial return of an investment linked to the Index. To the extent permitted by applicable regulation, Credit Suisse and its affiliates shall be under no liability to account for any loss or damage to any person arising pursuant to its exercise of or omission to exercise any such discretion except where such loss or damage is caused by CS s Fault. Determinations of the Stock Calculation Agent The Index Rules set out the basic principles which will be applied by the Stock Calculation Agent in determining the occurrence of corporate events in respect of an ETF and the adjustment to be implemented as a consequence of such corporate event. Neither the Licensor/Index Sponsor nor the Index Calculation Agent is responsible for the determination of the Stock Calculation Agent in terms of the occurrence or non-occurrence of such corporate action or the determination by the Stock Calculation Agent of any adjustment made to an ETF as a consequence thereof. In the event of any conflict or inconsistency between the information provided in relation to corporate events the Index Rules and the Corporate Actions Policy, the Corporate Actions Policy shall prevail. Such determinations will be made so as to ensure fair representation of the returns for a hypothetical investor holding such ETF in his portfolio before and after such event took place. With respect to Stock Removal, in certain circumstances, an ETF may be removed from the Index at a zero price, in recognition of constraints faced by investors in trading suspended ETFs. Such determinations may have an adverse effect on the value of the Index. Substitution of the Index Rebalancing Entity; Withdrawal of the Index 7/19

8 If the Licensor/Index Sponsor determines that an Index Rebalancing Entity Event has occurred, the Licensor/Index Sponsor may in consultation with the Index Committee (i) substitute the Index Rebalancing Entity, (ii) remove the Index Rebalancing Entity, in which case the Index shall stop being rebalanced, and the Weights shall remain equal to the Weights in respect of the Index Rebalancing Day preceding such removal, or (iii) withdraw the Index. Index Rebalancing Entity Events include any of the following events and circumstances: a) Any governmental, legal or regulatory body cancels, suspends or revokes the registration, licence, or approval of the Index Rebalancing Entity; b) The activities of the Index Rebalancing Entity (or any of its affiliates) are subject to investigation, arbitration, regulatory action, government action, proceeding or litigation; c) The Index Rebalancing Entity ceases to exist, or ceases to perform any of its obligations or duties; d) The Index rebalancing agreement terminates. Strategy Specific Risks The allocation performed by the Index Rebalancing Entity is a significant factor impacting the return of the Index The initial Weight allocated to each Index Component, in addition to any subsequent rebalancing is performed by the Index Rebalancing Entity in accordance with the Index Rebalancing Methodology. Although the Index includes Investment Restrictions, the Index Rebalancing Entity has total discretion over the allocation, both in terms of timing and in terms of the allocation of Weights amongst the Index Components. Any allocation to Index Components that subsequently decrease in value will result in a decline in the value and/or underperformance of the Index. Furthermore, although the Index Rebalancing Entity can allocate to a wide universe of assets, it may select a concentrated allocation of assets which may result in additional downside risk to the performance of the Index. As a result, the performance of the Index will be reliant on the allocation methodology of the Index Rebalancing Entity. There can be no assurance that the Index Rebalancing Entity will be successful in allocating to Index Components. Provided that a rebalancing request made by the Index Rebalancing Entity is compliant with the Investment Restrictions, the Licensor/Index Sponsor will typically accept and implement the relevant request. In certain limited circumstances (for example if the Index Rebalancing Entity fails to comply with the terms of its appointment), the Licensor/Index Sponsor may exercise its right to reject a rebalancing request made by the Index Rebalancing Entity, which may affect the performance of the Index. In certain circumstances, as set out in the Index Rules, the Index Rebalancing Entity may be removed or substituted, which may also affect the performance of the Index. The Index is sensitive to the volatility of the Base Index Due to the in-built volatility control mechanism, the exposure of the Index to the Base Index varies according to the volatility of the Base Index. As volatility rises, the Index reduces exposure to the Base Index and conversely, as volatility falls, the Index's exposure to the Base Index increases. Therefore the Index may underperform relative to the Base Index where high volatility followed by positive performance of the Base Index: here an investor would not benefit as greatly as an investor who had a direct exposure to the Base Index because the volatility control mechanism is likely to have reduced the exposure to the Base Index to a percentage below 100%. Volatility is observed with a lag The Index observes volatility 3 Index Calculation Days in arrears. This lag results in the exposure of the Index to the Base Index being adjusted 3 days in arrears. In the event there is a large movement in the price of the Base Index, the Index will not be recalibrated until 3 Index Calculation Days following, meaning that the Index could be exposed to a spike in volatility before any rebalancing due to the volatility control mechanism which may involve greater losses to investors. Measure of volatility Measuring volatility as the higher of (i) volatility over the preceding 21 Index Calculation Days and (ii) volatility over the preceding 84 Index Calculation Days is not the only way to measure volatility. For the purposes of assessing volatility, different time periods could have been used. Moreover, it is possible to measure volatility on a future basis (known as implied volatility ). Using any of: (i) implied volatility; (ii) a combination of implied and realised volatility and/or; (iii) a different time period(s) for measuring realised volatility could each produce a different (and potentially better) Index performance. Price of Index Components may be influenced by asymmetries in demand and supply The price of each Index Component may be influenced by external factors related to the demand and supply for exposure. For example, any purchases or disposals of the constituent assets underlying an Index Component may be contingent upon there being a market for such assets. In cases where there is not a ready market, or where there is only a limited market, the prices at which such assets may be purchased or sold may vary significantly (such variation between the prices at which the asset can be bought or sold is referred to as a bid-offer spread ). If trying to dispose of an asset in a limited market, the effect of the bid-offer spread may be that the value realised on a disposal is markedly less than the previously reported value of the asset. This will have an impact on the value of the Index Component and, consequently, the Index Value. This is one example of external factors which may affect the supply and demand for the component security, but other factors may also exist which may negatively impact the performance of the Index. The price of futures contracts may be delinked from the price of the underlying security or index Under certain market conditions, the prices of futures contracts may not maintain their usual relationship to the price of their underlying security or index. Such disparities could occur when the market for such futures contract is illiquid, when trading of the underlying security or index is suspended or when the security or index exchange is closed. Potential losses from rebalancing costs The Index is rebalanced by the Index Rebalancing Entity, and can be rebalanced daily under the volatility control mechanism. Costs associated with rebalancing may have an adverse impact on the performance of the Index. Use of derivative instruments The Index has exposure to derivative instruments in the form of futures/forward/cds contracts are used in two ways, (i) to obtain exposure to Index Components defined as Excess Return, and (ii) to FX hedge total return Index Components. These may represent significant investment risks and are only suitable for investors who understand the risks involved in trading in sophisticated and volatile markets. As a result of gaining exposure through derivatives, including in the form of futures/forward/cds contracts, relatively small price movements may result in magnified losses or gains. Total Return Index The term Total Return as used herein in respect of the Index shall refer solely to the reinvestment of net dividends and to the addition of a cash element to its performance, not to any element of capital protection. Potential conflicts of interest Credit Suisse expects to engage in trading activities related to constituents of the Index during the course of its normal business for both its proprietary accounts and/or in client related transactions. Such trading activities may involve the sale or purchase of index constituents, assets referencing the index constituents and/or derivative financial instruments relating to the constituents of the Index. These trading activities may present a conflict between the interests of investors with exposure to the Index and Credit Suisse s own interests. These trading activities, if they have an influence on the share prices or 8/19

9 levels (as applicable) of the Index constituents may have an adverse effect on the performance of the Index. Credit Suisse may hedge its obligations under any investments linked to the Index by buying or selling shares, bonds or derivative securities linked to the Index constituents. Although they are not expected to, any of these hedging activities may adversely affect the market price of such securities and, therefore, the performance of the Index. It is possible that Credit Suisse could receive substantial returns from these hedging activities while the performance of the Index declines. Credit Suisse may also engage in trading shares, assets referencing the index constituents or derivatives securities in the Index constituents on a regular basis as part of our general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers. Any of these activities could adversely affect the market price of such securities and therefore the performance of the Index. Credit Suisse may have and in the future may publish research reports with respect to the index constituents or asset classes which may express opinions or provide recommendations that either support or are inconsistent with investments into the Index. This research should not be viewed as a recommendation or endorsement of the Index in any way and investors must make their own independent investigation of the merits of this investment. Credit Suisse acts as Index Calculation Agent and determines the Index value at any time, and Credit Suisse may also serve as the calculation agent for investment products linked to the Index. Credit Suisse will, among other things, decide valuation, final settlement amount and make any other relevant calculations or determinations in respect of the investment products. To the extent that the prices of any Index constituents are unavailable and/or there is a breakdown in the infrastructure used by the Index Calculation Agent, Index values may, in accordance with the Index Rules, be calculated and published by Credit Suisse with reference to estimated or adjusted data. With respect to any of the activities described above, except as required by applicable law and regulation (and unless cause by CS s Fault), Credit Suisse shall not be liable to any investor in products linked to the Index. Fees The Index is published net of all fees. A Long Access Fee, Fee-In and Fee-Out are also deducted from the Index in accordance with the Index Rules. Currency Risk of the Index Investors may be exposed to currency risks because (i) an Index Component underlying investments may be denominated or priced in currencies other than the currency in which the Index is denominated, or (ii) the Index and/or such Index Component may be denominated in currencies other than the currency of the country in which the investor is resident. The Index levels may therefore increase or decrease as a result of fluctuations in those currencies. Furthermore, each Index Component denominated in a currency other than the Base Currency is formulaically hedged against currency fluctuations of the Base Currency. However such hedging shall reduce but not eliminate the foreign exchange risk and the Index shall be subject to the longer term foreign exchange fluctuation between such currencies and the Base Currency. Index performance is linked to the overnight interest rate The Cash Component of the notional portfolio of the Index is linked to the rate of interest that could be earned on a notional investment in the Base Currency rate. A fall in this rate may adversely impact the performance of the Index. Fixed-income risks Where the investment objective of an Index Component is to track the performance of bonds, investors will be exposed to the performance of such bonds. The performance of bonds may be volatile and will be affected by, amongst other things, the time remaining to the maturity date, prevailing credit spreads, interest rates and the creditworthiness of the bond issuers, which in turn may be affected by the economic, financial and political events in one or more jurisdictions. A bond s performance is dependent upon interest rates. As interest rates rise, the present value of future payments decreases and the price of a bond trading in the marketplace subsequently decreases. Furthermore, a bond s performance is depending on the ability of the bond issuer to pay interest and principal in a timely manner. Failure to pay or negative perception of the issuer s ability to make such payment will cause the price of that bond to decline. As such factors may adversely affect the value of a bond which is referenced by the futures contract, or in which the Index Component invests, such factors will similarly adversely affect the price of the Index Component and therefore the performance of the Index. Risks associated with equity indices (i) Factors affecting the performance of Index Components that are equity indices may adversely affect the Index values Equity indices are comprised of a synthetic portfolio of shares or other assets, and as such, the performance of an equity index is dependent upon the macroeconomic factors relating to the shares or other components that comprise such equity indices, which may include interest and price levels on the capital markets, currency developments, political factors and (in the case of shares) company-specific factors such as earnings position, market position, risk situation, shareholder structure and distribution policy. (ii) A change in the composition or discontinuance of an equity index could have a negative impact on the value of the Index The sponsor of an equity index can add, delete or substitute the constituents of such equity index or make other methodological changes that could change the level of one or more constituents. The changing of the constituents of an equity index may affect the level of such equity index as a newly added constituent may perform significantly worse or better than the constituent it replaces, which in turn may adversely affect the value of the Index. The sponsor of an equity index may also alter, discontinue or suspend calculation or dissemination of such equity index. The sponsor of an equity index which constitutes (or is the underlying asset referenced by) an Index Component in the Index will have no involvement in the Index and will have no obligation to any investor in investment products linked to the Index (unless such sponsor is also the Licensor/Index Sponsor or an affiliate of the Licensor/Index Sponsor). The sponsor of an equity index may take any actions in respect of such equity index without regard to the interests of the investors in investment products linked to the Index, and any of these actions could have an adverse effect on the value of the Index. Risks associated with commodity indices (i) Commodity prices may be more volatile than other asset classes Trading in commodities is speculative and may be extremely volatile. Commodity prices are affected by a variety of factors that are unpredictable including, for example, changes in supply and demand relationships, weather patterns and extreme weather conditions, governmental programmes and policies, national and international political, military, terrorist and economic events, fiscal, monetary and exchange control programmes and changes in interest and exchange rates. Commodities markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, the participation of speculators and government regulation and intervention. The current or "spot" prices of physical commodities may also affect, in a volatile and inconsistent manner, the prices of futures contracts in respect of a commodity. Certain emerging market countries such as China have become very significant users of certain commodities. Therefore, economic developments in such jurisdictions may have a disproportionate impact on demand for such commodities. Certain commodities may be produced in a limited number of countries and may be controlled by a small number of producers. Therefore, developments in relation to such countries or producers could have a disproportionate impact on the prices of such commodities. In summary, commodity prices may be more volatile than other asset classes and investments in commodities may be riskier than other investments. Any of the circumstances described in this section could adversely affect prices of the relevant commodity, and therefore sharply reduce the value of the Index to the extent that it is allocated to commodities. (ii) Suspension or disruptions of market trading in commodities and related futures contracts may adversely affect the values of commodity indices that are Index Components. 9/19

10 The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in contract prices which 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, trading in the contract will follow the regulations set forth by the trading facility on which the contract is listed. Limit prices may have the effect of precluding trading in a particular commodity contract, which could adversely affect the value of a commodity index and, therefore, the Index values and the value of any investments products linked to the Index. (iii) Legal and regulatory changes Commodities are subject to legal and regulatory regimes that may change in ways that could affect the ability of Credit Suisse and/or any of its affiliates to hedge the obligations under any investment products linked to the Index. Such legal and regulatory changes could lead to the Index being supplemented, amended, revised, rebalanced or withdrawn in accordance with the Index Rules. Commodities are subject to legal and regulatory regimes in the United States and, in some cases, in other countries that may change in ways that could adversely affect the value of commodity indices that are Index Components. (iv) Future prices of commodities within a commodity index that are different relative to their current prices may impact the values of Index Components that are commodity indices. Commodity contracts have a predetermined expiration date - a date on which trading of the commodity contract ceases. Holding a commodity contract until expiration will result in delivery of the underlying physical commodity or the requirement to make or receive a cash settlement. Alternatively, "rolling" the commodity contracts means that the commodity contracts that are nearing expiration (the "near-dated" commodity contracts) are sold before they expire and commodity contracts that have an expiration date further in the future (the "longer-dated" commodity contracts) are purchased. Investments in commodities apply "rolling" of the component commodity contracts in order to maintain an on-going exposure to such commodities. If the market for a commodity contract is in "backwardation", then the price of the longer-dated commodity contract is lower than in the near-dated commodity contract. The rolling therefore from the near-dated commodity contract to the longer-dated commodity contract creates a "roll yield", the amount of which will depend on the amount by which the unwind price of the former exceeds the spot price of the latter at the time of rolling. Conversely, if the market for a commodity contract is in "contango", then the price of the longer-dated contract is higher than the near-dated commodity contract. This could result in negative "roll yields". As a result of rollover gains/costs that have to be taken into account within the calculation of such indices and under certain market conditions, such indices may outperform or underperform the underlying commodities contained in such indices. Furthermore, the prices of the underlying commodities may be referenced by the price of the current futures contract or active front contract and rolled into the following futures contract before expiry. The value of a commodity index is, therefore, sensitive to fluctuations in the expected futures prices of the relevant commodities contracts comprising such commodity index. A commodity index may outperform or underperform its underlying commodities. In a "contango" market, this could result in negative "roll yields" which, in turn, could reduce the level of such Commodity Index and, therefore, have an adverse effect on the Index values. (v) Commodity indices may include contracts that are not traded on regulated futures exchanges. Commodity indices are typically based solely on futures contracts traded on regulated futures exchanges. However, a commodity index may include overthe-counter contracts (such as swaps and forward contracts) traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the provisions of, and the protections afforded by, for example, the U.S. Commodity Exchange Act of 1936, or other applicable statutes and related regulations that govern trading on regulated U.S. futures exchanges, or similar statutes and regulations that govern trading on regulated UK futures exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on such facilities, and the inclusion of such contracts in a commodity index, may be subject to certain risks not presented by, for example, U.S. or UK exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant contracts. (vi) A change in the composition or discontinuance of a Commodity Index could have a negative impact on the value of the Index The sponsor of a commodity index that is an Index Component can add, delete or substitute the components of such commodity index or make other methodological changes that could change the level of one or more components. The changing of components of any commodity index may affect the level of such commodity index as a newly added component may perform significantly worse or better than the component it replaces, which in turn may adversely affect the Index values. The sponsor of a commodity index may also alter, discontinue or suspend calculation or dissemination of such commodity index. The sponsor of a commodity index will have no involvement in the Index and will have no obligation to any investor in investment products linked to the Index. The sponsor of a commodity index may take any actions in respect of such commodity index without regard to the interests of investors in investment products linked to the Index, and any of these actions could adversely affect the value of the Index. (vii) Continuation of calculation of commodity index value upon the occurrence of a disruption event in relation to a component If a disruption event occurs with respect to any component included in a commodity index, the adjustment provisions included in the Index Rules will apply, including the determination by Credit Suisse of the value of the relevant disrupted component and, in turn, the value of such commodity index. However, regardless of the disruption event, the sponsor of the Commodity Index may continue to calculate and publish the level of such commodity index. In such circumstances, the value of the relevant Index Component that is a commodity index shall be determined by Credit Suisse upon the occurrence of a disruption event may not reflect the value of the commodity index as calculated and published by the sponsor of such commodity index for the relevant valuation date, nor would Credit Suisse be willing to settle, unwind or otherwise any investment products linked to the Index using any such published value while a disruption event is occurring with respect to any component included in a commodity index that is an Index Component. Any of these actions could have an adverse effect on the Index values. Emerging markets risks The Index includes exposure to emerging markets. Emerging markets are located in countries that possess one or more of the following characteristics: a certain degree of political instability, relatively unpredictable financial markets and economic growth patterns, a financial market that is still at the development state or a weak economy. Emerging markets investments usually result in higher risks such as event risk, political risk, economic risk, credit risk, currency rate risk, market risk, regulatory/legal risk and trade settlement, processing and clearing risks as further described below. Investors should note that the risk of occurrence and the severity of the consequences of such risks may be greater than they would otherwise be in relation to more developed countries. (i) Event Risk: On occasion, a country or region will suffer an unforeseen catastrophic event (for example, a natural disaster) which causes disturbances in its financial markets, including rapid movements in its currency, that will affect the value of securities in, or which relate to, that country. Furthermore, the performance of constituents of the Index can be affected by global events, including events (political, economic or otherwise) occurring in a country other than that in which such constituent is issued or traded. (ii) Political Risk: Many emerging markets countries are undergoing, or have undergone in recent years, significant political change which has affected government policy, including the regulation of industry, trade, financial markets and foreign and domestic investment. The relative inexperience with such policies and instability of these political systems leaves them more vulnerable to economic hardship, public unrest or popular dissatisfaction with reform, political or diplomatic developments, social, ethnic, or religious instability or changes in government policies. Such circumstances, in turn, could lead to a reversal of some or all political reforms, a backlash against foreign investment, and possibly even a turn away from a market-oriented economy. For investors, the results may include confiscatory taxation, exchange controls, compulsory re-acquisition, nationalisation or expropriation of foreign-owned assets without adequate compensation or the restructuring of particular industry sectors in a way that could adversely affect investments in those sectors. Any perceived, actual or expected disruptions or changes in government policies of a country, by elections or otherwise, can have a major impact on the performance of an Index 10/19

11 linked to such countries. (iii) Economic Risk: The economies of emerging markets countries are by their nature in early or intermediate stages of economic development, and therefore more vulnerable to rising interest rates and inflation. In fact, in many countries, high interest and inflation rates are the norm. Rates of economic growth, corporate profits, domestic and international flows of funds, external and sovereign debt, dependence on international trades and sensitivity to world commodity prices play key roles in economic development, yet vary greatly from country to country. Businesses and governments in these countries may have a limited history of operating under market conditions. Accordingly, when compared to more developed countries, businesses and governments of emerging markets countries are relatively inexperienced in dealing with market conditions and have a limited capital base from which to borrow funds and develop their operations and economies. In addition, the lack of an economically feasible tax regime in certain countries poses the risk of sudden imposition of arbitrary or excessive taxes, which could adversely affect foreign investors. Furthermore, many emerging markets countries lack a strong infrastructure and banks and other financial institutions may not be well-developed or well-regulated. All of the above factors, among others, can affect the proper functioning of the economy and have a corresponding adverse effect on the performance of a Index constituents linked to a particular market. (iv) Credit Risk: Emerging markets sovereign and corporate debt tends to be riskier than sovereign and corporate debt in established markets. Issuers and obligors of debt in these countries are more likely to be unable to make timely coupon or principal payments, thereby causing the underlying debt or loan to go into default. The sovereign debt of some countries is currently in technical default and there are no guarantees that such debt will eventually be restructured allowing for a more liquid market in that debt. The measure of a company's or government's ability to repay its debt affects not only the market for that particular debt, but also the market for all securities related to that company or country. Additionally, evaluating credit risk for foreign bonds involves greater uncertainty because credit rating agencies throughout the world have different standards, making comparisons across countries difficult. Many debt securities are simply unrated and may already be in default or considered distressed. There is often less publicly available business and financial information about foreign issuers than those in developed countries. Furthermore, foreign companies are often not subject to uniform accounting, auditing and financial reporting standards. Also, some emerging markets countries may have accounting standards that bear little or no resemblance to, or may not even be reconcilable with, U.S. generally accepted accounting principles. (v) Currency Risk: An Index constituent may be denominated in a currency other than the Base Currency. The weakening of a country's currency relative to the Base Currency will negatively affect the value (in the Base Currency) of an instrument denominated in that currency. Currency valuations are linked to a host of economic, social and political factors and can fluctuate greatly, even during intra-day trading. It is important to note that some countries have foreign exchange controls which may include the suspension of the ability to exchange or transfer currency, or the devaluation of the currency. Hedging can increase or decrease the exposure to any one currency, but may not eliminate completely exposure to changing currency values. (vi) Market Risk: The emerging equity and debt markets of many emerging markets countries, like their economies, are in the early stages of development. These financial markets generally lack the level of transparency, liquidity, efficiency and regulation found in more developed markets. It is important, therefore, to be familiar with secondary market trading in emerging markets securities and the terminology and conventions applicable to transactions in these markets. Price volatility in many of these markets can be extreme. Price discrepancies can be common and market dislocation is not uncommon. Additionally, as news about a country becomes available, the financial markets may react with dramatic upswings and/or downswings in prices during a very short period of time. These markets also might not have regulations governing manipulation and insider trading or other provisions designed to "level the playing field" with respect to the availability of information and the use or misuse thereof in such markets. It may be difficult to employ certain risk management practices for emerging markets securities, such as forward currency exchange contracts, stock options, currency options, stock and stock index options, futures contracts and options on futures contracts. (vii) Regulatory/Legal Risk: In emerging market countries there is generally less government supervision and regulation of business and industry practices, stock exchanges, over-thecounter markets, brokers, dealers and issuers than in more developed countries. Whatever supervision is in place may be subject to manipulation or control. Many countries have mature legal systems comparable to those of more developed countries, while others do not. The process of regulatory and legal reform may not proceed at the same pace as market developments, which could result in confusion and uncertainty and, ultimately, increased investment risk. Legislation to safeguard the rights of private ownership may not yet be in place in certain areas, and there may be the risk of conflict among local, regional and national requirements. In certain areas, the laws and regulations governing investments in securities may not exist or may be subject to inconsistent or arbitrary application or interpretation and may be changed with retroactive effect. Both the independence of judicial systems and their immunity from economic, political or nationalistic influences remain largely untested in many countries. Judges and courts in many countries are generally inexperienced in the areas of business and corporate law. Companies are exposed to the risk that legislatures will revise established law solely in response to economic or political pressure or popular discontent. There is no guarantee that a foreign investor would obtain a satisfactory remedy in local courts in case of a breach of local laws or regulations or a dispute over ownership of assets. An investor may also encounter difficulties in pursuing legal remedies or in obtaining and enforcing judgments in foreign courts. (viii) Trade Settlement, Processing and Clearing: Many emerging markets have different clearance and settlement procedures from those in more developed countries. For many emerging markets securities, there is no central clearing mechanism for settling trades and no central depository or custodian for the safekeeping of securities. Custodians can include domestic and foreign custodian banks and depositaries, among others. The registration, recordkeeping and transfer of securities may be carried out manually, which may cause delays in the recording of ownership. Where applicable, Credit Suisse will settle trades in emerging markets securities in accordance with the currency market practice developed for such transactions by the Emerging Markets Traders Association. Otherwise, the transaction may be settled in accordance with the practice and procedure (to the extent applicable) of the relevant market. There are times when settlement dates are extended and during the interim the market price of any Index constituent and in turn the value of the Index, may change. Moreover, certain markets have experienced times when settlements did not keep pace with the volume of transactions resulting in settlement difficulties. Because of the lack of standardised settlement procedures, settlement risk is more prominent than in more mature markets. In addition, investors may be subject to operational risks in the event that investors do not have in place appropriate internal systems and controls to monitor the various risks, funding and other requirements to which investors may be subject by virtue of their activities with respect to emerging market securities. Risks associated with ETFs (i) Where an Index Component is an ETF, there is a risk that an ETF will not accurately track its underlying share or index. Where the Index is linked to an ETF and the investment objective of such ETF is to track the performance of a share, bond or an index, the investors in the Index are exposed to the performance of such ETF rather than the underlying share, bond or index such ETF tracks. For certain reasons, including compliance with certain tax and regulatory constraints, an ETF may not be able to track or replicate the constituent securities of the underlying asset, which could give rise to a difference between the performance of the underlying share or index and such ETF. Accordingly, the performance of the portion of the Index invested in Index Components that are ETFs may be lower than if the Index Components were the shares, bonds or the index underlying such ETF directly. (ii) Action by fund adviser, fund administrator or sponsor of an ETF may adversely affect the Index. The fund adviser, fund administrator or sponsor of an ETF will have no involvement in the Index and will have no obligation to any purchaser of investment products linked to the Index. The fund adviser, fund administrator or sponsor of an ETF may take any actions in respect of such ETF without regard to the interests of the purchasers of investment products linked to the Index, and any of these actions could adversely affect the Index values. Risks associated with Funds 11/19

12 (i) Each fund is subject to its own unique risks and investors should review the offering documents of such fund including any description of risk factors - prior to making an investment decision regarding the Index Investors in products linked to the Index should review the relevant fund offering documents, including the description of risk factors contained therein, prior to making an investment decision regarding the Index. However, neither the Licensor/Index Sponsor nor any of its affiliates takes any responsibility for any such fund offering documents. Such fund offering documents will include more complete descriptions of the risks associated with investing into the relevant fund and the investments that the relevant fund intends to make. Any investment decision must be based solely on information in the relevant fund offering documents, this document, and such investigations as the investor deems necessary, and consultation with the investor's own legal, regulatory, tax, accounting and investment advisers in order to make an independent determination of the suitability and consequences of an investment in the fund. (ii) The performance of a fund is subject to many factors, including the fund strategies, underlying fund investments, the fund manager and other factors A fund, and any underlying fund components in which it may invest, may utilise strategies such as short-selling, leverage, securities lending and borrowing, investment in sub-investment grade or non-readily realisable investments, uncovered options transactions, options and futures transactions and foreign exchange transactions and the use of concentrated portfolios, each of which could, in certain circumstances, magnify adverse market developments and losses. Funds, and any underlying fund components in which it may invest, may make investments in markets that are volatile and/or illiquid and it may be difficult or costly for positions therein to be opened or liquidated. No assurance can be given relating to the present or future performance of a fund and any underlying fund component in which it may invest. The performance of a fund and any underlying fund component in which it may invest is dependent on the performance of the fund manager in selecting underlying fund components and the management of the relevant component in respect of the underlying fund components. No assurance can be given that these persons will succeed in meeting the investment objectives of the fund, that any analytical model used thereby will prove to be correct or that any assessments of the short-term or long-term prospects, volatility and correlation of the types of investments in which a fund has or may invest will prove accurate. (iii) Illiquidity of fund investments The net asset value of a fund will fluctuate with, among other changes, changes in market rates of interest, general economic conditions, economic conditions in particular industries, the condition of financial markets and the performance of a fund's underlying investments. Investments by a fund in certain underlying assets will provide limited liquidity. Interests in a fund may be subject to certain transfer restrictions, including, without limitation, the requirement to obtain the fund manager's consent (which may be given or withheld in its discretion). Furthermore, the relevant fund offering documents typically provide that interests therein may be voluntarily redeemed only on specific dates of certain calendar months, quarters or years and only if an investor has given the requisite number of days' prior notice to the fund manager. A fund may also reserve the right to suspend redemption rights or make in kind distributions in the event of market disruptions. A fund is likely to retain a portion of the redemption proceeds pending the completion of the annual audit of the financial statements of such fund, resulting in considerable delay before the full redemption proceeds are received. Such illiquidity may adversely affect the price and timing of any liquidation of a fund investment. (iv) Reliance on trading models Some of the strategies and techniques used by the fund manager may employ a high degree of reliance on statistical trading models developed from historical analysis of the performance or correlations of certain companies, securities, industries, countries, or markets. There can be no assurance that historical performance that is used to determine such statistical trading models will be a good indication of future performance of a fund. If future performance or such correlations vary significantly from the assumptions in such statistical models, then the fund manager may not achieve its intended results or investment performance. (v) Diversification The number and diversity of investments held by a fund may be limited, even where such fund holds investments in other funds particularly where such underlying funds hold similar investments or follow similar investment strategies. (vi) Fund leverage The fund manager of a fund may utilise leverage techniques, including the use of borrowed funds, repurchase agreements, swaps and options and other derivative transactions. While such strategies and techniques may increase the opportunity to achieve higher returns on the amounts invested, they will generally also increase the risk of loss. (vii) Trading limitations and frequency Suspensions or limits for securities listed on a public exchange could render certain strategies followed by a fund difficult to complete or continue. The frequency of a fund's trading may result in portfolio turnover and brokerage commissions that are greater than other investment entities of similar size. (viii) Valuations The valuation of a fund is generally controlled by the fund manager. Valuations are performed in accordance with the terms and conditions governing the fund. Such valuations may be based upon the unaudited financial records of the fund and any accounts pertaining thereto. Such valuations may be preliminary calculations of the net asset values of the fund and accounts. The fund may hold a significant number of investments which are illiquid or otherwise not actively traded and in respect of which reliable prices may be difficult to obtain. In consequence, the fund may vary certain quotations for such investments held by the fund in order to reflect its judgement as to the fair value thereof. Therefore, valuations may be subject to subsequent adjustments upward or downward. Uncertainties as to the valuation of the fund assets and/or accounts may have an adverse effect on the net asset value of the fund where such judgements regarding valuations prove to be incorrect. (ix) Dependence on the expertise of key persons The performance of a fund will depend greatly on the experience of the investment professionals associated with the fund manager. The loss of one or more of such individuals could have a material adverse effect on the performance of a fund. Risks associated with systematic investment strategies Where an Index Component is a systematic investment strategy (each a Proprietary Index ), such Proprietary Index may be composed or sponsored by a third party (the "Index Creator"). Risks associated with a Proprietary Index include the following: (i) The rules of the Proprietary Index may be amended by the Index Creator. No assurance can be given that any such amendment would not be prejudicial to the Index The Index Creator has no obligation to take into account the interests of the purchasers of investment products linked to the Index when determining, composing or calculating such Proprietary Index and the Index Creator can at any time, and in its sole discretion, modify or change the method of calculating such Proprietary Index or cease its calculation, publication or dissemination. Accordingly, actions and omissions of the Index Creator may affect the value of such Proprietary Index and, consequently, the value of the Index. The Index Creator is under no obligation to continue the calculation, publication and dissemination of a Proprietary Index. (ii) Publication of Proprietary Index values The value of a Proprietary Index is published subject to the provisions in the rules of such Proprietary Index. Neither the Index Creator nor the relevant publisher is obliged to publish any information regarding such Proprietary Index other than as stipulated in the rules of such Proprietary Index. (iii) Deductions or adjustments included in the Proprietary Index A Proprietary Index may be calculated so as to include certain deductions or adjustments that synthetically reflect certain factors which may include (A) the transaction and servicing costs that a hypothetical investor would incur if such hypothetical investor were to enter into and maintain a series of direct investment positions to provide the same exposure to the constituents of such Proprietary Index, or (B) a notional fee representing the running and maintenance costs of such Proprietary Index. Such deductions will act as a drag on the performance of a Proprietary Index such that the level of such Proprietary Index would be lower than it would otherwise be, and this may result in an adverse effect on the value of the Securities. 12/19

13 Important Notices By investing in the Complex Products, an investor acknowledges having read and understood the following terms: Any information regarding the Underlying(s) contained in this document consists only of a summary of certain publicly available information. Any such information does not purport to be a complete summary of all material information about such Underlying(s) contained in the relevant publicly available information. The Issuer only accepts responsibility for accurately reproducing such information contained in publicly available information. Otherwise neither the Issuer nor any of its affiliates accept further or other responsibility or make any representation or warranty (express or implied) in respect of such information. The Issuer is acting solely as an arm s length contractual counterparty and neither the Issuer nor any affiliate is acting as the financial advisor or fiduciary of any potential investor in the Complex Products unless it has agreed to do so in writing. The information and views contained herein are those of the Issuer and/or are derived from sources believed to be reliable. This document is not the result of a financial analysis and, therefore, is not subject to the Directives on the Independence of Financial Research issued by the Swiss Bankers Association. The contents of this document therefore do not fulfil the legal requirements for the independence of financial analyses and there is no restriction on trading prior to publication of financial research. In connection with this Complex Product, the Issuer and/or its affiliates may pay to third parties, including affiliates, remunerations (distribution fee) that may be factored into the terms of this Complex Product. The Issuer and/or its affiliates may also offer such remunerations to third parties in the form of a discount on the price of the product. Receipt or potential receipt of such remunerations may lead to a conflict of interests. Internal revenue allocation may lead to a similar effect. Further information can be found under Product Description. Finally, third parties or the investor s bank may impose a commission/brokerage fee in connection with the purchase/sale of or subscription to the Complex Product. Investors in the Complex Product may request further information from their bank/relationship manager. Where not explicitly otherwise stated, the Issuer has no duty to invest in the Underlying(s) and an investo r in Complex Products has no recourse to the Underlying(s) or to any return thereon. The issue price of the Complex Products will reflect the customary fees and costs charged on the level of the Underlying(s). Certain built-in costs are likely to adversely affect the value of the Complex Products. The Complex Products are complex structured financial instruments and involve a high degree of risk. They are intended only f or investors who understand and are capable of assuming all risks involved. Before entering into any transaction involving the Complex Products, a potential investor should determine if the Complex Products suit his or her particular circumstance and should independently assess (with his or her professional advisors) the specific risks (maximum loss, currency risks, etc.) and the legal, regulatory, credit, tax and accounting consequences. The Issuer makes no representation as to the suitability or appropriateness of the Complex Products for any particular potential investor or a s to the future performance of the Complex Products. This document does not replace a personal conversation between a potential investor and his or her r elationship manager and/or professional advisor (e.g. legal, tax or accounting advisor), which is recommended by the Issuer before any investment decision. Therefore, any potential investor in Complex Products is requested to ask his or her relationship manager to provide him or her with any ava ilable additional information regarding Complex Products. Historical data on the performance of the Complex Products or the Underlying(s) is no indication of future performance. No representatio n or warranty is made that any indicative performance or return indicated will be achieved in the future. Neither this document nor any copy thereof may be sent, taken into or distributed in the United States or to any U.S. person or in any other jurisdiction except under circumstances that will result in compliance with the applicable laws thereof. Index Description The Credit Suisse Managed Multi-Asset USD Total Return Index is a rule-based index that measures the rate of return of a Credit Suisse proprietary strategy (the Strategy ) which aims to achieve long-term capital appreciation through: - A long-only exposure to a range of indices, ETFs and/or mutual funds which provide exposure across asset classes, including government bonds, inflation-linked bonds, investment grade debt, high yield and emerging market bonds, developed market equities, emerging market equities commodities and hedge funds (each an Index Component and collectively the Index Components ), as further set out in Table 1. For more details see Section: Assets Included in the Index. - A discretionary allocation to each Index Component will be determined by the Index Rebalancing Entity (as defined under Main Roles ) based on investment views generated by its investment committee. The Index Rebalancing Entity uses a proprietary optimisation methodology which processes the views of the investment committee to allocate Index Component weightings across equity regions, fixed income and alternative investments. The Index Specific Strategy therefore represents the strategic investment views of the Index Rebalancing Entity. For more details see Section: Index Rebalancing Methodology. - A volatility control mechanism that automatically adjusts the exposure between the Index Components and a notional cash deposit in order to maintain volatility of the Index at or below a target of 6%. For more detail see Section: Volatility Control Methodology. The Index is constructed on notional investments and described as a synthetic portfolio as there are no actual assets held in respect of the Index. The Index simply reflects an actively rebalanced trading strategy, calculated using the value of assumed investments in each of the relevant Index Components. The Index measures the rate of return of a hypothetical portfolio consisting of long positions in the Index Components, as specified in Table 1: Index Components Description. Long positions refer to the practice of buying an asset with the intention of subsequently selling it at a later stage. The Index is constructed as a Total Return asset. Total Return means the rate of return of the index is measured taking into account not only the capital appreciation of the notional assets comprising the constituent components of the index but also the income generated by those assets in the form of interest and dividends as it assumes that all such distributions are reinvested in the Index. For instance, in order to replicate a Total Return equity index, any prospective investor would need to purchase the portfolio of securities representing that specific equity index, and to reinvest all dividend payments. The Index implements a mechanism of risk control based on its volatility. Volatility is a measure of the variation of the level/ price of an asset over time, as further described in Section: Volatility Control Mechanism. Main roles Credit Suisse Securities (Europe) Limited is the sponsor of the Index (the Licensor/Index Sponsor ). The Licensor/Index Sponsor makes various determinations in accordance with the Index Rules. Representatives of the Index Sponsor comprise the Index Committee. Credit Suisse International, acting through its Fixed Income Research Department, is the calculation agent for the Index (the Index Calculation Agent ). The Index Calculation Agent will, in accordance with the Index Rules, calculate and publish the value of the Index (the Index Value ) in respect of each day on which the Index is scheduled to be published (each such day an Index Calculation Day ). All calculations, determinations and exercises of discretion made by the Licensor/Index Sponsor or the Index Calculation Agent will be made in good faith and in a commercially reasonable manner and (where there is a corresponding applicable regulatory obligation) shall take into account whether fair treatment is achieved by any such calculation, determination and exercise of discretion in accordance with its applicable regulatory obligations. The Licensor/Index Sponsor is the stock calculation agent from the Index Start Date to and including the Calculation Migration Date (the Initial Index Period ), and S&P Opco, LLC is the calculation agent from but excluding the Calculation Migration Date (the Remaining Index Period ) (each the 13/19

14 Stock Calculation Agent with respect to relevant time period). The Stock Calculation Agent is responsible for calculating the adjusted values in respect of the Index Components that are of the Asset Type ETF (each a ETF ). The Stock Calculation Agent will calculate and maintain the adjusted values for each ETF (the Adjusted Value ) in respect of each day that is a Stock/ETF Calculation Day, adjusting for any dividend payments and/or corporate events with respect to such ETF. Stock Calculation Agent during the Remaining Index Period During the Remaining Index Period, S&P Opco LLC is the Stock Calculation Agent and will calculate and maintain the Adjusted Values, in accordance with the S&P Dow Jones Indices Index mathematics document located on the Stock Calculation Agent s web site, as amended from time to time (the Stock Calculation Agent Methodology ) and the S&P Dow Jones Indices Equity Indices Policies & Practices document located on the website, (treatment relevant to Modified Market Cap Weighted Indices ), as amended from time to time (the Corporate Action Policy ). Stock Calculation Agent during the Initial Index Period During the Initial Index Period, the Licensor/Index Sponsor is the Stock Calculation Agent and will calculate and maintain the Adjusted Values in accordance with the Stock Calculation Agent Methodology and the Corporate Action Policy, provided that every reference to S&P Opco LLC in the Stock Calculation Agent Methodology and Corporate Action Policy shall be construed as a reference to the Licensor/Index Sponsor for the purpose of the Licensor/Index Rules. The Licensor/Index Sponsor will, when acting as Stock Calculation Agent, seek to apply and observe the same policies and methodologies that S&P Opco LLC would have applied had it been the stock calculation agent, however the Licensor/Index Sponsor may nevertheless reach a different conclusion with respect to any adjustment(s) to be made following a corporate action, to that which would have been reached by S&P Opco LLC. Credit Suisse AG is the rebalancing entity for the Index (the Index Rebalancing Entity ). The Index Rebalancing Entity will, in accordance with the investment restrictions (the Investment Restrictions ), as further described in Section: Investment Restrictions, determine the allocation between the Index Components. Assets Included in the Index The Index measures the performance of a notional investment in a synthetic portfolio consisting of up to 48 Index Components as specified in Table 1 below: Index Components Description, and an amount held in cash generating interest at US Federal Funds Effective Rate per annum (the Cash Component ). Table 1: Index Components Description i Index Component i ( ICi ) Bloomberg Ticker Currency Asset Class Asset Type Return Type Value 1 S&P GSCI Energy Index SPGCENP USD Commodity Commodity Index Excess Return Closing Price 2 S&P GSCI Gold Index SPGCGCP USD Commodity Commodity Index Excess Return Closing Price 3 S&P GSCI Index SPGCCIP USD Commodity Commodity Index Excess Return Closing Price 4 S&P GSCI Industrial Metals Index SPGCINP USD Commodity Commodity Index Excess Return Closing Price 5 S&P GSCI Precious Metals Index SPGCPMP USD Commodity Commodity Index Excess Return Closing Price 6 Credit Suisse Event Driven Liquid Index - Swap CSLASED USD Hedge Funds Index Total Return Closing Price Series 7 Credit Suisse Global Strategies Liquid Index - CSLASGS USD Hedge Funds Index Total Return Closing Price Swap Series 8 Credit Suisse LAB Index - Swap Series CSLASW USD Hedge Funds Index Total Return Closing Price 9 CS Canadian Equity Futures Index CSRFPTCE CAD Developed Equity Equity Index Excess Return Closing Price 10 CS European Equity Futures Index CSRFVGEE EUR Developed Equity Equity Index Excess Return Closing Price 11 CS French Equity Futures Index CSRFCFEE EUR Developed Equity Equity Index Excess Return Closing Price 12 CS German Equity Futures Index CSRFGXEE EUR Developed Equity Equity Index Excess Return Closing Price 13 CS Italian Equity Futures Index CSRFSTEE EUR Developed Equity Equity Index Excess Return Closing Price 14 CS Japanese Equity Futures Index CSRFNKJE JPY Developed Equity Equity Index Excess Return Closing Price 15 CS Spanish Equity Futures Index CSRFIBEE EUR Developed Equity Equity Index Excess Return Closing Price 16 CS Swedish Equity Futures Index CSRFQCSE SEK Developed Equity Equity Index Excess Return Closing Price 17 CS Swiss Equity Futures Index CSRFSMCE CHF Developed Equity Equity Index Excess Return Closing Price 18 CS UK Equity Futures Index CSRFZGE GBP Developed Equity Equity Index Excess Return Closing Price 19 CS US Equity Futures Index CSRFESUE USD Developed Equity Equity Index Excess Return Closing Price 20 CS US Industrial Equity Futures Index CSRFDMUE USD Developed Equity Equity Index Excess Return Closing Price 21 CS US Technology Equity Futures Index CSRFNQUE USD Developed Equity Equity Index Excess Return Closing Price 22 CS Emerging Market Equity Futures Index CSRFMEUE USD EM Equity Equity Index Excess Return Closing Price 23 CS US Small-Cap Equity Futures Index CSRFRTUE USD Small Cap Equity Equity Index Excess Return Closing Price 24 ishares JP Morgan $ Emerging Markets Bond IEMB LN USD EM Hard Currency ETF Total Return Closing Price UCITS ETF 25 SPDR Barclays Emerging Markets Local Bond EMDD LN USD EM Local Currency ETF Total Return Closing Price UCITS ETF 26 DBX GLBL INFL LINKED USD ACC XG7U LN USD Inflation-Linked ETF Total Return Closing Price 27 ishares $ TIPS UCITS ETF IDTP LN USD Inflation-Linked ETF Total Return Closing Price 28 MFS Meridian Funds - Emerging Markets Debt MEMDIU1 LX USD EM Hard Currency Mutual Fund Total Return Net Asset Value Fund 29 Julius Baer Multibond - Local Emerging Bond JBLEMBC LX USD EM Local Currency Mutual Fund Total Return Net Asset Value Fund 30 Pictet - Emerging Local Currency Debt PFEMGDI LX USD EM Local Currency Mutual Fund Total Return Net Asset Value 31 AXA IM Fixed Income Investment Strategies - AXASDHY LX USD High Yield Mutual Fund Total Return Net Asset Value US Short Duration High Yield 32 Nomura Funds Ireland - Nomura US High Yield NUSHYIU ID USD High Yield Mutual Fund Total Return Net Asset Value Bond Fund 33 Nordea 1 SICAV - European High Yield Bond NIMEHHU LX USD High Yield Mutual Fund Total Return Net Asset Value Fund 34 AXA WORLD FD-GL INFL-IH USDA AXAGIHA LX USD Inflation-Linked Mutual Fund Total Return Net Asset Value 35 CS 10-Year US Treasury Note Futures Index CSRFTYUE USD Government Bonds Index Excess Return Closing Price 36 CS 2-Year US Treasury Note Futures Index CSRFTUUE USD Government Bonds Index Excess Return Closing Price 37 CS 5-Year US Treasury Note Futures Index CSRFFVUE USD Government Bonds Index Excess Return Closing Price 38 CS BTP Futures Index CSRFIKEE EUR Government Bonds Index Excess Return Closing Price 39 CS Euro-Bobl Futures Index CSRFOEEE EUR Government Bonds Index Excess Return Closing Price 40 CS Euro-Bund Futures Index CSRFRXEE EUR Government Bonds Index Excess Return Closing Price 41 CS Euro-Schatz Futures Index CSRFDUEE EUR Government Bonds Index Excess Return Closing Price 42 CS Japanese Treasury Futures Index CSRFJBJE JPY Government Bonds Index Excess Return Closing Price 43 CS OAT Futures Index CSRFOAEE EUR Government Bonds Index Excess Return Closing Price 44 CS US Treasury Long Bond Futures Index CSRFUSUE USD Long-Term Government Bonds Index Excess Return Closing Price 45 itraxx Crossover 5Y Total Return Index ITRXTX5I EUR High Yield Index Total Return Closing Price 46 Markit CDX.NA.HY 5Y Total Return Index CDXTHL15 USD High Yield Index Total Return Closing Price 47 itraxx Europe 5Y Long Total Return Index ITRXTE5I EUR Investment Grade Index Total Return Closing Price 48 Markit CDX.NA.IG 5Y Total Return Index CDXTIL15 USD Investment Grade Index Total Return Closing Price 14/19

15 Table 2: Index Components Costs and Restrictions i Index Component i ( ICi ) Minimum Maximum Maximum Short Access Long Access Weight Weight Rebalancing Fee Fee Fee-In Fee-Out 1 S&P GSCI Energy Index 0.00% 10.00% 10.00% Not Applicable 0.25% 0.10% 0.10% 2 S&P GSCI Gold Index 0.00% 10.00% 10.00% Not Applicable 0.25% 0.10% 0.10% 3 S&P GSCI Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.10% 0.10% 4 S&P GSCI Industrial Metals Index 0.00% 10.00% 10.00% Not Applicable 0.25% 0.10% 0.10% 5 S&P GSCI Precious Metals Index 0.00% 10.00% 10.00% Not Applicable 0.25% 0.10% 0.10% 6 Credit Suisse Event Driven Liquid Index - Swap Series 0.00% 5.00% 5.00% Not Applicable 0.90% 0.05% 0.05% 7 Credit Suisse Global Strategies Liquid Index - Swap Series 0.00% 5.00% 5.00% Not Applicable 0.90% 0.05% 0.05% 8 Credit Suisse LAB Index - Swap Series 0.00% 10.00% 10.00% Not Applicable 0.90% 0.05% 0.05% 9 CS Canadian Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 10 CS European Equity Futures Index 0.00% 30.00% 30.00% Not Applicable 0.25% 0.05% 0.05% 11 CS French Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 12 CS German Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 13 CS Italian Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 14 CS Japanese Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 15 CS Spanish Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.42% 0.07% 0.07% 16 CS Swedish Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.36% 0.06% 0.06% 17 CS Swiss Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 18 CS UK Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 19 CS US Equity Futures Index 0.00% 30.00% 30.00% Not Applicable 0.25% 0.05% 0.05% 20 CS US Industrial Equity Futures Index 0.00% 30.00% 30.00% Not Applicable 0.25% 0.05% 0.05% 21 CS US Technology Equity Futures Index 0.00% 15.00% 15.00% Not Applicable 0.25% 0.05% 0.05% 22 CS Emerging Market Equity Futures Index 0.00% 5.00% 5.00% Not Applicable 0.35% 0.10% 0.10% 23 CS US Small-Cap Equity Futures Index 0.00% 5.00% 5.00% Not Applicable 0.25% 0.05% 0.05% 24 ishares JP Morgan $ Emerging Markets Bond UCITS ETF 0.00% 10.00% 10.00% Not Applicable 0.00% 0.05% 0.05% 25 SPDR Barclays Emerging Markets Local Bond UCITS ETF 0.00% 10.00% 10.00% Not Applicable 0.00% 0.05% 0.05% 26 DBX GLBL INFL LINKED USD ACC 0.00% 15.00% 15.00% Not Applicable 0.00% 0.05% 0.05% 27 ishares $ TIPS UCITS ETF 0.00% 15.00% 15.00% Not Applicable 0.00% 0.05% 0.05% 28 MFS Meridian Funds - Emerging Markets Debt Fund 0.00% 10.00% 10.00% Not Applicable 0.00% 0.00% 0.00% 29 Julius Baer Multibond - Local Emerging Bond Fund 0.00% 10.00% 10.00% Not Applicable 0.00% 0.00% 0.00% 30 Pictet - Emerging Local Currency Debt 0.00% 10.00% 10.00% Not Applicable 0.00% 0.00% 0.00% 31 AXA IM Fixed Income Investment Strategies - US Short Duration High Yield 0.00% 10.00% 10.00% Not Applicable 0.00% 0.00% 0.00% 32 Nomura Funds Ireland - Nomura US High Yield Bond Fund 0.00% 10.00% 10.00% Not Applicable 0.00% 0.00% 0.00% 33 Nordea 1 SICAV - European High Yield Bond Fund 0.00% 10.00% 10.00% Not Applicable 0.00% 0.00% 0.00% 34 AXA WORLD FD-GL INFL-IH USDA 0.00% 15.00% 15.00% Not Applicable 0.00% 0.00% 0.00% 35 CS 10-Year US Treasury Note Futures Index 0.00% % % Not Applicable 0.20% 0.025% 0.025% 36 CS 2-Year US Treasury Note Futures Index 0.00% % % Not Applicable 0.20% 0.025% 0.025% 37 CS 5-Year US Treasury Note Futures Index 0.00% % % Not Applicable 0.20% 0.025% 0.025% 38 CS BTP Futures Index 0.00% 25.00% 25.00% Not Applicable 0.20% 0.025% 0.025% 39 CS Euro-Bobl Futures Index 0.00% % % Not Applicable 0.20% 0.025% 0.025% 40 CS Euro-Bund Futures Index 0.00% % % Not Applicable 0.20% 0.025% 0.025% 41 CS Euro-Schatz Futures Index 0.00% % % Not Applicable 0.20% 0.025% 0.025% 42 CS Japanese Treasury Futures Index 0.00% 25.00% 25.00% Not Applicable 0.20% 0.025% 0.025% 43 CS OAT Futures Index 0.00% 25.00% 25.00% Not Applicable 0.20% 0.025% 0.025% 44 CS US Treasury Long Bond Futures Index 0.00% 25.00% 25.00% Not Applicable 0.20% 0.025% 0.025% 45 itraxx Crossover 5Y Total Return Index 0.00% 10.00% 10.00% Not Applicable 0.15% 0.15% 0.15% 46 Markit CDX.NA.HY 5Y Total Return Index 0.00% 10.00% 10.00% Not Applicable 0.15% 0.15% 0.15% 47 itraxx Europe 5Y Long Total Return Index 0.00% 50.00% 50.00% Not Applicable 0.15% 0.15% 0.15% 48 Markit CDX.NA.IG 5Y Total Return Index 0.00% 50.00% 50.00% Not Applicable 0.15% 0.15% 0.15% ETF Adjusted Value Calculation Methodology & Corporate Actions The Stock Calculation Agent calculates the Adjusted Value of each ETF in respect of each relevant Stock/ETF Calculation Day that reflects the value of a hypothetical portfolio holding shares in such ETF, in accordance with the Stock Calculation Agent Methodology, adjusting for any dividend payments and/or corporate events with respect to such ETF, in accordance with its Corporate Action Policy. The Index Rules set out the basic principles which will be applied by the Stock Calculation Agent in calculating the adjusted values of ETFs. In the event of any conflict or inconsistency between the information provided in the Index Rules and the Stock Calculation Agent Methodology, with respect to the calculation of Adjusted Price Value, Adjusted Value and Divisor of ETFs, the Stock Calculation Agent Methodology shall prevail. Operational Corporate Actions Corporate events are partially applied via a divisor (the Divisor ) that is unique to each ETF. Operational adjustments with respect to corporate actions such as Rights Offering, Stock Split, Stock Issuance or Stock Repurchase and Special Dividends (each an Operational Corporate Action ), might require adjustments to each Divisor or to the allocated number of shares in the Index Component, as described in the Index Rules. Extraordinary Corporate Actions Corporate actions such as Stock Redenomination, Merger, Takeover/Acquisition, Demerger/Spin-Off, Bankruptcy, Change of Listing, Suspension (each an Extraordinary Corporate Action ) with respect to a ETF, may lead to the removal of the affected ETF from the Index as a consequence, in accordance with the Stock Removal Procedure as described in the Index Rules, such that the Weight of the ETF being removed will be allocated to the Cash Component and the respective Weight of the each other Index Component stays unaffected by this removal. The Index Rules set out the basic principles which will be applied by the Stock Calculation Agent in determining the occurrence of corporate events in respect of an ETF and the adjustment to be implemented as a consequence of such corporate event. Neither the Licensor/Index Sponsor nor the Index Calculation Agent is responsible for the determination of the Stock Calculation Agent in terms of the occurrence or non-occurrence of such corporate action or the determination by the Stock Calculation Agent of any adjustment made to an ETF as a consequence thereof. In the event of any conflict or inconsistency between the information provided in relation to (i) Operational Corporate Actions in the Index Rules and the Corporate Actions Policy, the Corporate Actions Policy shall prevail, and (ii) to Extraordinary Corporate Actions in the Index Rules and the Corporate Actions Policy in respect of the determination of an Extraordinary Corporate Action, the Corporate Actions Policy shall prevail. In addition, if the Licensor/Index Sponsor determines that there has been a suspension or limitation of trading in an ETF imposed by the relevant Exchange or otherwise, which has remained in place for the Maximum Stock/ETF Suspension Period, and in respect of which the Stock Calculation Agent has not notified the Licensor/Index Sponsor, the Licensor/Index Sponsor shall remove the relevant ETF from the Index in accordance with the Stock Removal Procedure as described in the Index Rules. In addition, any outstanding rebalancing of the affected ETF will be cancelled and such ETF will be valued using the last Value available prior to such suspension. Furthermore any ETF which becomes non-freely tradable, including, in the determination of the Licensor/Index Sponsor, if such ETF is placed on a 15/19

16 restricted trading list by the Licensor/Index Sponsor or its affiliates, such ETF will be removed from the Index following the Stock Removal Procedure as described in the Index Rules. Index Methodology Index Rebalancing Methodology The weights within the Base Index allocated to each Index Component (each a Weight and combined, the Weights ) will be initially set out in the Index Rules. However, the Weights are not fixed and may be changed following the Index start date. Such weights determine the notional exposure of the Index to each Index Component. Following the Index start date, the Index Rebalancing Entity may, in furtherance of the Strategy, rebalance the Weight of each Index Component on each Index Calculation Day up to 20 times per calendar year (each an Optional Rebalancing Day ), subject to the new allocation being compliant with the Investment Restrictions as described in Section: Investment Restrictions. As such, the Index Rebalancing Entity s reallocation of the Weight of each Index Component will be a significant variable impacting the performance of the Index. The Index Rebalancing Entity acts with absolute discretion, subject to the Investment Restrictions. The Index Rebalancing Entity may, in furtherance of the Strategy, by providing a valid notice to the Licensor/Index Sponsor (the Rebalancing Notice ) make a proposal for the Weight of each Index Component within the Base Index in respect of any Optional Rebalancing Day Subject to the proposed Weights complying with the Investment Restrictions and the proposed allocation being confirmed by the Licensor/Index Sponsor, with the Licensor/Index Sponsor having the discretion to withhold such confirmation, the Index shall be rebalanced in such a manner on such Optional Rebalancing Day. The Licensor/Index Sponsor has no obligation to monitor the Index Rebalancing Entity s exercise of discretion in relation to proposing Weights and providing Rebalancing Notices, or its compliance with the Strategy. Each such Optional Rebalancing Day will henceforth be deemed to be an Index Rebalancing Day. Investment Restrictions The following restrictions (the Investment Restrictions ) will apply to the weight that the Index Rebalancing Entity may allocate to each Index Component on each Optional Rebalancing Day: - Each Weight shall be a percentage number between the relevant Minimum Weight and Maximum Weight, as specified in Table 2: Index Components Costs and Restrictions, under the columns entitled Minimum Weight and Maximum Weight ; - The absolute value of each Weight shall be a percentage number either larger than or equal to 0%; - The absolute value of the difference between the Weight of each Index Component on the Index Rebalancing Day and on the previous Index Rebalancing Day shall be a percentage number between 0 and the relevant Maximum Rebalancing, as specified in Table 2: Index Components Costs and Restrictions, under the columns entitled Maximum Rebalancing; - The sum of the absolute value of the Weights of all Index Components shall be between 0% and 100%; - The sum of the Weights of all Index Components shall be between 0% and 100%; - The sum of the absolute value of the Weights of all Index Component belonging to the same Affected Asset Class shall be between 0% and the relevant Maximum Aggregate Gross, as specified in Table 3: Aggregate Weight Limit, under the column entitled Maximum Aggregate Gross ; - The sum of the Weights of all Index Components belonging to the same Affected Asset Class shall be between the Minimum Aggregate Net and the Maximum Aggregate Net, as specified in Table 3: Aggregate Weight Limit, under the columns entitled Minimum Aggregate Net and Maximum Aggregate Net ; and - The sum of the Weights of all Index Components that have an Asset Type that is ETF or Mutual Fund (as defined in Table 1) must be less than or equal to 20%. Table 3: Aggregate Weight Limits Limit Type Affected Asset Class Maximum Aggregate Gross Minimum Aggregate Short Minimum Aggregate Net Developed Equity Developed Equity 30% 0% 0% 30% High Yield High Yield 15% 0% 0% 15% Emerging Market EM Hard Currency / EM Local Currency 15% 0% 0% 15% Debt Risky Bonds Long-Term Government Bonds / Inflation-Linked / High Yield / EM Hard Currency / EM Local Currency 25% 0% 0% 25% Hedge Funds Hedge Funds 15% 0% 0% 15% Commodity Commodity 15% 0% 0% 15% Alternatives Hedge Funds / Commodity 20% 0% 0% 20% Equity Developed Equity / EM Equity 40% 0% 0% 40% Risky Assets Developed Equity / EM Equity / EM Hard Currency / EM Local Currency / Long-Term Government Bond / Inflation-Linked / High Yield / Hedge Funds / Commodity Index The Index measures the rate of return of a hypothetical portfolio consisting: - A notional investment to the Base Index, as defined in Section: Base Index; 55% 0% 0% 55% - A notional investment in the Cash Component in respect of any amounts not invested in the Base Index. The allocation mechanism between the Base Index and the Cash Component is further described in Section: Volatility Control Mechanism. The Index is denominated in USD (the Base Currency ) and is calculated net of: Maximum Aggregate Net - A transaction fee, being equal to the weighted average of the Weights and the Fee-In, as specified in Table 2: Index Components Costs and Restrictions, under the column entitled Fee-In for each Index Component, charged on any increase in Volatility Control Weight, as defined in Section: Volatility Control Methodology; and - A transaction fee, being equal to the weighted average of the Weights and the Fee-Out, as specified in Table 2: Index Components Costs and Restrictions, under the column entitled Fee-Out for each Index Component, charged on any decrease in Volatility Control Weight. The aforementioned transaction fees are deducted upon each rebalancing. The Index is constructed as a Total Return asset. As such if the allocation to the Base Index is lower or equal than 100%, the Base Index will invest in the Cash Component in respect of any amounts not invested in the Base Index. Base Index The Base Index is a weighted basket of the Index Components, which measures the total return rate of return of a notional investment in a synthetic portfolio 16/19

17 consisting of: - Up to 48 Index Components, and - An amount held in the Cash Component. The Base Index is denominated in the Base Currency and is calculated net of: - The access fee for each Index Component, specified in Table 2: Index Components Costs and Restrictions under the columns entitled Long Access Fee for long positions and Short Access Fee for short positions; - The transaction fee associated with an increase in the Weight of each Index Component, as specified in Table 2: Index Components Costs and Restrictions under the column entitled Fee-In, is charged on any increase in Weight of any Index Component; - The transaction fee associated with a decrease in the Weight of each Index Component, as specified in Table 2: Index Components Costs and Restrictions, under the column entitled Fee-Out is charged on any decrease in Weight of any Index Component; and - The FX hedging cost equal to 0.02%. The Base Index performance will take into account synthetic reinvestment of dividends for ETFs and mutual funds net of withholding tax. The aforementioned access fees are deducted on a daily basis, as applicable, and the aforementioned transaction fees are deducted upon each volatility control rebalancing. Each Index Component denominated in a currency other than the Base Currency is formulaically hedged against currency fluctuations of the Base Currency; however such hedging shall reduce but not eliminate the foreign exchange risk /converted at the prevailing spot FX rate into the Base Currency. The Base Index is constructed as a Total Return asset. As such if the aggregate allocation to Index Components defined as Total Return, as specified in Table 1: Index Components Description, under the column entitled Return Type, is lower or equal than 100%, then the remaining will be invested in the Cash Component. Volatility Control Methodology Volatility Control is Target: The Index targets a volatility level at or below 6% (the Volatility Control ) by allocating its exposure to the Base Index, based on the realised volatility (the Realised Volatility ) of the Base Index (calculated as the greater of (i) the Realised Volatility over the preceding 21 Index Calculation Days and (ii) the Realised Volatility over the preceding 84 Index Calculation Days). The target volatility controlled weight assigned to the Base Index (the Target Volatility Control Weight ) on any Index Calculation Day is equal to the ratio of the Volatility Control to the Realised Volatility of the Base Index calculated in respect of the Index Calculation Day falling 3 Index Calculation Days prior to such day. Realised volatility is calculated formulaically with reference to the magnitude of daily movements (in either direction) for the Base Index. For example, the Base Index would have a higher realised volatility if its level moved by 2% each day than if its level only moved by 0.50% each day. The weight assigned to the Base Index (the Volatility Control Weight ) on any Index Calculation Day is equal to either: - The Target Volatility Control Weight, if the Target Volatility Control Weight is different from the previous Index Calculation Day s Volatility Control Weight by more than 5%; or - 100%, if the Target Volatility Control Weight assigned to the Base Index is greater than 100%; or - The Volatility Control Weight applied in respect of the previous Index Calculation Day. Derivatives, including in the form of futures/forward/cds contracts, are used in two ways, (i) to obtain exposure to Index Components defined as Excess Return, and (ii) to FX hedge total return Index Components. Trademark/Disclaimer Credit Suisse This disclaimer extends to Credit Suisse Securities (Europe) Limited ( CS ), its affiliates or its designate in any of its capacities. This document is published by CS. CS is authorised by the Prudential Regulation Authority ( PRA ) and regulated by the Financial Conduct Authority ( FCA ) and the PRA. Notwithstanding that CS is so regulated, the rules of neither the FCA nor the PRA are incorporated into this document. The Licensor/Index Sponsor, the Index Calculation Agent and the Index Rebalancing Entity are part of the same group. CS or its affiliates may also offer securities or other financial products ( Investment Products ) the return of which is linked to the performance of the Index. CS may, therefore, in each of its capacities face a conflict in its obligations carrying out such role with investors in the Investment Products. In addition, this document is not to be used or considered as an offer or solicitation to buy or subscribe for such Investment Products nor is it to be considered to be or to contain any advice or a recommendation with respect to such products. Before making an investment decision in relation to such products one should refer to the prospectus or other disclosure document relating to such products. This document is published for information purposes only and CS and its affiliates expressly disclaim (to the fullest extent permitted by applicable law except for where loss is caused by the Fault of CS or its affiliates) all warranties (express, statutory or implied) regarding this document and the Index, including but not limited to all warranties of merchantability, fitness for a particular purpose of use and all warranties arising from course of performance, course of dealing or usage of trade and their equivalents under applicable laws of any jurisdiction unless losses result from the breach of such warranties where such losses are caused by the Fault of CS or its affiliates. Fault means negligence, fraud or wilful default. CS is described as Licensor/Index Sponsor under the Index Rules and Credit Suisse International ( CSI ) is described as the Index Calculation Agent. Each of CS and CSI may transfer or delegate to another entity, at its discretion, some or all of the functions and calculations associated with the role of Licensor/Index Sponsor and Index Calculation Agent respectively under the Index Rules. CS as Licensor/Index Sponsor is the final authority on the Index and the interpretation and application of the Index Rules. CS as Licensor/Index Sponsor may supplement, amend (in whole or in part), revise or withdraw the Index Rules at any time. The Index Rules may change without prior notice. CS will apply the Index Rules in its discretion acting in good faith and in a commercially reasonable manner and (where there is a corresponding applicable regulatory obligation) shall take into account whether fair treatment is achieved by any such calculation, determination and exercise of discretion in accordance with its applicable regulatory obligations, and in doing so may rely upon other sources of market information. CS as Licensor/Index Sponsor does not warrant or guarantee the accuracy or timeliness of calculations of Index Values or the availability of an Index Value on any particular date or at any particular time. Neither CS nor any of its affiliates (including their respective officers, employees and delegates) shall be under any liability to any party on account of any loss suffered by such party (however such loss may have been incurred) in connection with anything done, determined, interpreted, amended or selected (or omitted to be done, determined or selected) by it in connection with the Index and the Index Rules unless such loss is caused by CS s or any of its affiliates negligence, fraud or wilful default. Without prejudice to the generality of the foregoing and unless caused by CS s or any of its affiliates negligence, fraud or wilful default, neither CS nor any of its affiliates shall be liable for any loss suffered by any party as a result of any determination, calculation, interpretation, amendment or selection it makes (or fails to make) in relation to the construction or the valuation of the Index and the application of the Index Rules and, 17/19

18 once made, neither CS nor any of its affiliates shall be under any obligation to revise any calculation, determination, amendment, interpretation and selection made by it for any reason. Neither CS nor any of its affiliates makes any warranty or representation whatsoever, express or implied, as to the results to be obtained from the use of the Index, or as to the performance and/or the value thereof at any time (past, present or future). The Index Strategy is a proprietary strategy of the Licensor/Index Sponsor. The Index Strategy is subject to change at any time by the Licensor/Index Sponsor but subject to consultation with the Index Committee. Neither CS nor its affiliates shall be under any liability to any party on account of any loss suffered by such party, unless such loss is caused by CS s Fault, in connection with any change in any such strategy, or determination or omission in respect of such strategy. Neither CS nor any of its affiliates is under any obligation to monitor whether or not an Index Disruption Event has occurred and shall not be liable for any losses unless caused by CS s Fault resulting from (i) any determination that an Index Disruption Event has occurred or has not occurred, (ii) the timing relating to the determination that an Index Disruption Event has occurred or (iii) any actions taken or not taken by CS or any of its affiliates as a result of such determination. Unless otherwise specified, CS shall make all calculations, determinations, amendments, interpretations and selections in respect of the Index. Neither CS nor any of its affiliates (including their respective officers, employees and delegates) shall have any responsibility for good faith errors or omissions in its calculations, determinations, amendments, interpretations and selections as provided in the Index Rules unless caused by CS s Fault. The calculations, determinations, amendments, interpretations and selections of CS and CSI shall be made by it in accordance with the Index Rules, acting in good faith and in a commercially reasonable manner and (where there is a corresponding applicable regulatory obligation) shall take into account whether fair treatment is achieved by any such calculation, determination, amendment, interpretation and selections in accordance with its applicable regulatory obligations (having regard in each case to the criteria stipulated herein and (where relevant) on the basis of information provided to or obtained by employees or officers of CS and CSI responsible for making the relevant calculations, determinations, amendments, interpretations and selections). For the avoidance of doubt, any calculations or determinations made by CS or CSI under the Index Rules on an estimated basis may not be revised following the making of such calculation or determination. Except where CS is the Stock Calculation Agent neither the Licensor/Index Sponsor, nor the Index Calculation Agent, is responsible for the determinations or calculations made by the Stock Calculation Agent in respect of any Index Components which are Stocks (including, but not limited to, adjustments following corporate actions). Further information on the principles and methodology employed by the Stock Calculation Agent can be found in the Stock Calculation Agent s Corporate Actions Policy and the Stock Calculation Agent Methodology. No person may reproduce or disseminate the Index Rules, any Index Value and any other information contained in this document without the prior written consent of CS. This document is not intended for distribution to, or use by any person in a jurisdiction where such distribution or use is prohibited by law or regulation. 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S&P s and its third party licensor s only relationship to Credit Suisse is the licensing of certain trademarks, service marks and trade names of S&P and/or its third party licensors and for the providing of calculation and maintenance services related to the calculated indices. Neither S&P, its affiliates nor their third party licensors is responsible for and has not participated in the determination of the prices and amount of the calculated indices or the timing of the issuance or sale of the calculated indices or in the determination or calculation of the equation by which the calculated indices is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the calculated indices. NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A 18/19

19 PARTICULAR PURPOSE OR USE WITH RESPECT TO ITS TRADEMARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. Standard & Poor s and S&P are registered trademarks of Standard & Poor s Financial Services LLC. Calculated by S&P Custom Indices and its related stylized mark are service marks of Standard & Poor s Financial Services LLC and have been licensed for use by Credit Suisse. The GSCI is not owned, endorsed, or approved by or associated with Goldman Sachs & Co. or its affiliated companies. Markit Markit itraxx is a trade mark of International Index Company, Markit Group and has been licensed for use by Credit Suisse. International Index Company does not approve, endorse or recommend any Credit Suisse entity or any Index for which Credit Suisse Securities (Europe) Limited is Licensor/Index Sponsor. The itraxx Crossover 5-Year Total Return Index is derived from a source considered reliable, but International Index Company Limited and its employees, suppliers, subcontractors and agents (together the International Index Company Associates ) do not guarantee the veracity, completeness or accuracy of the itraxx Crossover 5-Year Total Return Index or other information furnished in connection with the itraxx Crossover 5-Year Total Return Index. No representation, warranty or condition, express or implied, statutory or otherwise, as to condition, satisfactory quality, performance, or fitness for purpose are given or assumed by International Index Company Limited or any of the International Index Company Associates in respect of the itraxx Crossover 5-Year Total Return Index or any data included in it or the use by any person or entity of the itraxx Crossover 5-Year Total Return Index or that data and all those representations, warranties and conditions are excluded save to the extent that such exclusion is prohibited by law. International Index Company Limited and the International Index Company Associates shall have no liability or responsibility to any person or entity for any loss, damages, costs, charges, expenses or other liabilities whether caused by the negligence of International Index Company Limited or any of the International Index Company Associates or otherwise, arising in connection with the use of the itraxx Crossover 5-Year Total Return Index. ishares The ishares JP Morgan $ Emerging Markets Bond UCITS ETF, and ishares $ TIPS UCITS ETF are distributed by SEI Investments Distribution Co. ("SEI"). BlackRock Fund Advisors ("BRFA") serves as the investment advisor to these ETFs. The Index is not in any way sponsored, endorsed, sold or promoted by SEI or BRFA and neither of them makes any warranty or representation whatsoever, expressly or impliedly as to the results to be obtained from the use of these ETFs in the Index. This document constitutes the Simplified Prospectus for the Complex Products in accordance with Article 5 CISA. The prospectus requirements of Article 652a/Article 1156 of the Swiss Code of Obligations are not applicable. The Simplified Prospectus is of summary nature with a view to include the information required by Article 5 CISA and the Guidelines of the Swiss Bankers Association. The legally binding terms and conditions for the Complex Products are set forth in the final terms (the Final Terms), which must be read together with the Base Prospectus dated 23 June 2016 (as supplemented as of the date of the Final Terms, the Base Prospectus). The Final Terms together with the Base Prospectus form the prospectus (the Prospectus). Copies of the Prospectus and the documents incorporated by reference therein may be obtained free of charge from Credit Suisse AG, Transaction Advisory Group, ZUGG 3, P.O. Box, 8070 Zurich, Switzerland. This document does not constitute an offer or an invitation to enter into any type of financial transaction. This document may not be reproduced either in whole or in part without the prior written approval of the Issuer. 19/19