Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)

Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 October 28, 2013

 

Credit Suisse MLP Index ETN

The Credit Suisse MLP Index Exchange Traded Notes (the “ETNs”) are senior, unsecured debt securities issued by Credit Suisse AG (“Credit Suisse”), acting through its Nassau Branch that are linked to the return of the Cushing ^® 30 MLP Index (the “Index”). The ETNs are designed to provide investors with exposure to the Cushing ^® 30 MLP Index and may pay a variable quarterly coupon linked to the cash distributions paid on the constituent MLPs in the Index, as reduced by the investor fee. The ETNs are listed on NYSE Arca under the ticker symbol “MLPN.” ¹ The ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the ETNs.

ETN Details
ETN Ticker			MLPN
Intraday indicative value ticker			MLPN.IV
Bloomberg index ticker			MLPX
CUSIP/ISIN			22542D852/US22542D8520
Primary exchange			NYSE Arca
ETN annual investor fee			0.85%*
12-month yield			4.65%**
12-month total return			22.89%***
12-month price return			17.43%
ETN inception date			April 13, 2010
Underlying index			Cushing® 30 MLP Index
*Because of daily compounding, the actual investor fee realized may exceed 0.85% per annum.
**Actual coupons over previous 12 months ended 9/30/2013 divided by indicative value of MLPN on 9/30/2013.
***Return based on the change in the indicative value of the ETN from 9/28/2012- 9/30/2013 plus any coupon payments paid to holders of the ETN during that period.
Index Returns (as of 9/30/2013)
1 month			2.44%
3 month			-1.15%
1 year			17.44%
Since Inception Annualized*			22.15%
*Index Inception date was November 1, 2009
Index Statistics (9/30/12-9/30/2013)
Correlation to S&P 500 TR index			0.64
Correlation to Barclays
US Aggregate TR index			-0.05
Annualized volatility			15.87%
1-Year Sharpe Ratio*			1.09
*Sharpe ratio calculated using the Federal Funds
Effective Rate as of September 30, 2013.

 

¹ Credit Suisse has no obligation to maintain any listing on NYSE Arca or any other exchange and we may delist the ETNs at any time.

Strategy Focus

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MLPs are publicly traded limited or general partnership interests. MLPs included in the Index hold mid-stream energy infrastructure assets in North America.

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Characteristics of MLPs as an asset class:

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Income: Although the ETN holders have no interest or rights in the underlying MLPs, they may receive cash distributions as reduced by the investor fee.

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Essential Infrastructure: The mid-stream energy sector involves the gathering, processing, transporting, and storage of crude oil and natural gas.

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Growing asset class: Cash flows generated are generally thought to be predictable with growth potential.

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Inflation Protection: If distributions on the MLPs grow, they may provide an effective inflation hedge.

Index Performance (November 1, 2009 - September 30, 2013)

The above graph sets forth the historical performance of the Index from November 1, 2009 through September 30, 2013. Historical performance is not indicative of future performance. The above graph does not reflect the accrued fee amount or the potential coupons associated with the ETNs, which may increase or decrease the amount of the return on the ETNs at maturity or upon repurchase by Credit Suisse.

For More Information
ETN Desk : 212 538 7333	Email : [e-mail]	Website : www.credit-suisse.com/etn

 

Index Overview

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The Index is an equally-weighted index that uses a formulaic, proprietary valuation methodology (SValuES © ) to rank the MLPs for inclusion in the index.

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The Index only tracks midstream MLPs, and does not hold any upstream or downstream MLPs, which may be more sensitive to movements in commodity prices.

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The SValuES © formulaic ranking system emphasizes the importance of balance sheet, cash flow, and cash distribution metrics rather than market capitalization.

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The MLPs underlying the Index are reset to equal weighting on a quarterly basis.

MLPN Coupon Amounts

Selected Investment Considerations

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The ETNs do not have a minimum payment at maturity or daily repurchase value and are fully exposed to any decline in the Index. Furthermore, the return at maturity or upon repurchase will be reduced by the fees and charges associated with the ETNs. Therefore, the level of the Index must increase by an amount sufficient to offset the applicable fees.

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You will not receive fixed periodic payments on the ETNs, and your coupon payments may vary and may be zero.

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We have listed the ETNs on NYSE Arca under the symbol “MLPN”. We expect that investors will purchase and sell the ETNs primarily in the secondary market. We have no obligation to maintain this listing on NYSE Arca or any listing on any other exchange, and may delist the ETNs at any time.

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The indicative value of the ETNs is not the same as the closing price or any other trading price of the ETNs in the secondary market. The trading price of the ETNs at any time is the price at which you may be able to sell your ETNs in the secondary market at such time, if one exists. The trading price of the ETNs at any time may vary significantly from the indicative value of such ETNs at such time. Before trading in the secondary market, you should compare the indicative value with the then-prevailing trading price of the ETNs.

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Although the return on the ETNs will be based on the performance of the Index, the payment of any amount due on the ETNs, including any payment upon repurchase or at maturity, and coupon payments, if any, is subject to the credit risk of Credit Suisse. Investors are dependent on

Credit Suisse’s ability to pay all amounts due on the ETNs, and therefore investors are subject to our credit risk. In addition, any decline in our credit ratings, any adverse changes in the market’s view of our creditworthiness or any increase in our credit spreads is likely to adversely affect the market value of the ETNs prior to maturity.

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You will not have any partnership interests or other rights in the MLPs underlying the Index.

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MLPs are concentrated in the energy industry. Some of the MLPs underlying the Index may be smaller, non-diversified businesses that are exposed to the risks associated with such businesses.

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The Index may not be representative of the entire mid-stream energy infrastructure industry.

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Tax consequences of the ETNs are uncertain and potential investors should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the ETNs.

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We have the right to repurchase your ETNs in whole but not in part if the principal amount of the ETNs outstanding is $10,000,000 or less. In addition, we have the right to repurchase your ETNs in whole and not in part upon the occurrence of certain events as described in the applicable pricing supplement. The amount you may receive upon a repurchase by Credit Suisse may be less than the amount you would receive on your investment at maturity or if you had elected to have us repurchase your ETNs at a time of your choosing.