RISK FACTORS

The ETNs are senior unsecured debt obligations of Credit Suisse AG (“Credit Suisse”). The ETNs are Senior Medium-Term Notes as described in the accompanying prospectus supplement and prospectus and are riskier than ordinary unsecured debt securities. The return on the ETNs is linked to the performance of the Index. Investing in the ETNs is not equivalent to investing directly in the Constituent MLPs. See “The Index,” below, for more information.

This section describes the most significant risks relating to an investment in the ETNs. We urge you to read the following information about these risks, together with the other information in or incorporated by reference into this pricing supplement and the accompanying prospectus supplement and prospectus before investing in the ETNs .

The ETNs do not have a minimum redemption or repurchase amount and you may lose all or a significant portion of your investment in the ETNs

The ETNs do not have a minimum redemption or repurchase amount and you may receive less, and possibly significantly less, at maturity or upon repurchase than the amount you originally invested. Our cash payment on your ETNs at maturity or upon repurchase will be based primarily on any increase or decrease in the level of the Index. You may lose all or a significant amount of your investment in the ETNs if the level of the Index decreases substantially. Any payment you will be entitled to receive is subject to our ability to pay our obligations as they become due.

The ETNs are subject to the credit risk of Credit Suisse

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

Even if the level of the Index at maturity or upon repurchase by Credit Suisse exceeds the initial Index level, you may receive less than the amount of your initial investment on the ETNs

Because the Investor Fee reduces the Coupon Payment and may reduce the amount of your return at maturity or upon repurchase, the level of the Index must increase by an amount equal to the percentage of the principal amount represented by the Investor Fee, minus the Coupon Payments, in order for you to receive an aggregated amount over the term of the ETNs equal to at least the amount of your initial investment. If the level of the Index decreases or does not increase sufficiently, you will receive less, and possibly significantly less, than the amount of your initial investment at maturity or upon repurchase of your ETNs by Credit Suisse. You should also be aware that the deduction of the Investor Fee from the Coupon Payment on a quarterly basis could result in the aggregate Investor Fee being greater than it would have otherwise been if the deduction of Investor Fee was taken only at maturity or upon repurchase.

The closing level of the Index on the Final Valuation Date or another Valuation Date may be less than the level of the Index on the Maturity Date, on a Repurchase Date, or at other times during the term of the ETNs

The closing level of the Index on the Maturity Date, on a Repurchase Date, or at other times during the term of the ETNs, including dates near the Final Valuation Date or another Valuation Date, as applicable, could be higher than the level of the Index on the Final Valuation Date or on another Valuation Date. Because in connection with a payment at maturity or upon repurchase the Index Factor is only calculated only by reference to the closing level of the Index on the Final Valuation Date or on the Valuation Date applicable to such repurchase, the Index Factor may be lower than it would otherwise have been if levels of the Index on other dates were considered. If such other levels were considered in determining the Index Factor, the Index Factor may have been higher, resulting in a greater amount payable on the ETNs at maturity or upon repurchase. This discrepancy could be particularly large if there are significant increases in the level of the Index after the Final Valuation Date or another Valuation Date, as applicable, if there are significant decreases in the level of the Index around the Final Valuation Date or another Valuation Date, as applicable, or if there is significant volatility in the level of the Index during the term of the ETNs.

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There are restrictions on the minimum number of ETNs you may offer to Credit Suisse for repurchase

Credit Suisse will repurchase your ETNs at your election only if you are offering at least $1,000,000 stated principal amount of ETNs (50,000 ETNs) for any single repurchase and you have followed the procedures for repurchase detailed herein. However, we or CSI as the calculation agent may from time to time reduce, in part or in whole, the minimum repurchase amount. Any such reduction will be applied on a consistent basis for all holders of the ETNs at the time the reduction becomes effective. The minimum repurchase amount of $1,000,000 stated principal amount of ETNs (50,000 ETNs) and the procedures involved in the offer of any repurchase represent substantial restrictions on your ability to cause Credit Suisse to repurchase your ETNs. If you own ETNs with an aggregate stated principal amount of less than $1,000,000, you will not be able to cause Credit Suisse to repurchase your ETNs. In addition, your offer to Credit Suisse to repurchase your ETNs on a Repurchase Date is only valid if Credit Suisse receives your offer for repurchase from your broker by no later than 10:00 a.m., New York City time, on the Business Day immediately preceding the Valuation Date applicable to the Repurchase Date. If Credit Suisse does not receive your offer for repurchase by 10:00 a.m., New York City time, on the Business Day immediately preceding the applicable Valuation Date, your offer will not be effective and we will not repurchase your ETNs on the applicable Repurchase Date. Also, unless the scheduled Repurchase Date is postponed due to a Market Disruption Event, the final day on which Credit Suisse will repurchase your ETNs will be April 13, 2020. As such, we anticipate that you must offer your ETNs for repurchase no later than April 7, 2020. A Repurchase Date is the third Business Day following the applicable Valuation Date. See “Specific Terms of the ETNs—Repurchase Procedures” for more information.

The daily repurchase feature is intended to induce arbitrageurs to counteract any trading of the ETNs at a premium or discount to their indicative value. There can be no assurance that arbitrageurs will employ the repurchase feature in this manner.

You will not know the daily repurchase value you will receive at the time an election is made to repurchase your ETNs

You will not know the daily repurchase value you will receive at the time you elect to request that we repurchase your ETNs or that we elect to repurchase your ETNs. Your election to have us repurchase your ETNs will become irrevocable after we confirm your request. You will not know the daily repurchase value until after the applicable Valuation Date, which shall be the Trading Day immediately following the Business Day on which either you deliver the repurchase offer to Credit Suisse or on which we deliver a call notice to DTC. We will pay you the daily repurchase value, if any, on the Repurchase Date, which is the third Business Day following the applicable Valuation Date. These dates may be postponed due to the occurrence of Market Disruption Events. See “Specific Terms of the ETNs—Payment Upon Repurchase.” As a result, you will be exposed to market risk in the event the market fluctuates between the time either you deliver the repurchase offer to Credit Suisse or on which we deliver a call notice to DTC and the applicable Valuation Date.

Credit Suisse may repurchase your ETNs at its option

We have the right to repurchase your ETNs, in whole and not in part, on any Business Day during the term of the ETNs if the principal amount of the ETNs outstanding is $10,000,000 (500,000 ETNs) or less. We will also have the right to repurchase the ETNs in the event the ETNs are not currently listed on a national stock exchange or the publication of the Index is discontinued and no successor index is appointed. Our right to repurchase the ETNs will expire on the Business Day immediately preceding the last scheduled Valuation Date that is not the Final Valuation Date, which we anticipate will be April 7, 2020. 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 Credit Suisse repurchase your ETNs at a time of your choosing. If Credit Suisse exercises its right to repurchase your ETNs, you will receive a cash payment in an amount equal to the daily repurchase value, which is a cash payment per $20 principal amount ETN equal to (a) the product of (i) $20 and (ii) the Index Factor on the applicable Valuation Date, plus (b) the Coupon Payment determined on the applicable Valuation Date, if any, minus (c) the fee shortfall on such Valuation Date, if any. In no event, however, will the daily repurchase value be less than zero. In addition, you will receive the Coupon Payment with respect to the Coupon Valuation Date immediately preceding the applicable Valuation Date if, on the relevant Valuation Date, the Ex-Date with respect to such Coupon Payment has not yet occurred. Credit Suisse has no obligation to take your interests into account when deciding whether to call the ETNs.

You are not guaranteed a Coupon Payment on any Coupon Valuation Date

Your Coupon Payments, if any, are not fixed and could be zero with respect to each Coupon Payment Date. You will not receive a Coupon Payment with respect to a Coupon Valuation Date if the MLP Distribution Amount on such date is

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less than or equal to the Investor Fee on such Coupon Valuation Date. If such MLP Distribution Amount is less than such Investor Fee, the absolute value of the resulting difference between such MLP Distribution Amount and such Investor Fee, the fee shortfall, will be included in the Investor Fee for the next Coupon Valuation Date. This process will be repeated to the extent necessary until the MLP Distribution Amount for a Coupon Valuation Date is greater than the Investor Fee for such Coupon Valuation Date. Any fee shortfall will be deducted from the payment at maturity or upon any repurchase.

Credit Suisse is subject to Swiss Regulation

As a Swiss bank, Credit Suisse is subject to regulation by governmental agencies, supervisory authorities and self-regulatory organizations in Switzerland. Such regulation is increasingly more extensive and complex and subjects Credit Suisse to risks. For example, pursuant to Swiss banking laws, the Swiss Financial Market Supervisory Authority (FINMA) may open resolution proceedings if there are justified concerns that Credit Suisse is over-indebted, has serious liquidity problems or no longer fulfills capital adequacy requirements. FINMA has broad powers and discretion in the case of resolution proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity and/or cancel such liabilities in whole or in part. If one or more of these measures were imposed, such measures may adversely affect the terms and market value of the Securities and/or the ability of Credit Suisse to make payments thereunder and you may not receive any amounts owed to you under the Securities.

The market value of the ETNs may be influenced by many unpredictable factors

The market value of your ETNs may fluctuate between the date you purchase them and the applicable Valuation Date. You may also sustain a significant loss if you sell the ETNs in the secondary market. Several factors, many of which are beyond our control, will influence the market value of the ETNs. We expect that generally the level of the Index will affect the market value of the ETNs more than any other factor. Other factors that may influence the market value of the ETNs include:

·                   the time remaining to the maturity of the ETNs;

·                   supply and demand for the ETNs, including inventory positions with any market maker (the supply and demand for the ETNs may be affected by the amount of ETNs we decide to issue and we are under no obligation to issue any ETNs to increase the supply);

·                   economic, financial, political, regulatory or judicial events that affect the level of the Index or the values of the Constituent MLPs;

·                   the Investor Fee then applicable to the ETNs, including the amount of the fee shortfall;

·                   the Constituent MLPs and changes to those Constituent MLPs;

·                   the market price and expected distributions on the Constituent MLPs;

·                   the prevailing rate of interest; and

·                   the actual or perceived creditworthiness of Credit Suisse.

These factors interrelate in complex ways, and the effect of one factor on the market value of your ETNs may offset or enhance the effect of another factor.

The liquidity of the market for the ETNs may vary materially over time

As stated on the cover of this pricing supplement, we sold a portion of the ETNs on the initial settlement date, and additional ETNs may be issued and sold from time to time through CSSU, an affiliate of ours. Also, the number of ETNs outstanding could be reduced at any time due to repurchases of the ETNs by Credit Suisse as described in this pricing supplement. Additionally, any ETNs held by us or an affiliate in inventory may be resold at prevailing market prices or lent to market participants who may have made short sales of the ETNs. Accordingly, the liquidity of the market for the ETNs could vary materially over the term of the ETNs. While you may elect to offer your ETNs for repurchase by Credit Suisse prior to maturity, such repurchase is subject to the restrictive conditions and procedures described elsewhere in this pricing supplement, including the condition that you must offer at least the applicable minimum repurchase amount to Credit Suisse at one time for repurchase on any repurchase date.

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There may not be an active trading market in the ETNs

Although we have listed the ETNs on NYSE Arca under the symbol “MLPN”, a trading market for your ETNs may not continue for the term of the ETNs. In addition, no assurances can be given as to the continuation of the listing during the term of the ETNs. We are not required to maintain any listing of the ETNs on NYSE Arca or any other exchange or quotation system.

The intraday indicative value and the closing indicative value are not the same as the closing price or any other trading price of the ETNs in the secondary market

The intraday indicative value of the ETNs will be calculated and published by the IV Calculation Agent every 15 seconds on each Index Business Day, during normal trading hours under the Bloomberg ticker symbol “ MLPNIV ” and under the Yahoo! Finance ticker symbol “ ^MLPN-IV ” so long as no Market Disruption Event has occurred or is continuing. The intraday indicative value at any time is based on the most recent intraday level of the Index. The intraday indicative value of the ETNs at any time is based on the most recent intraday level of the Index.  At any time at which a Market Disruption Event has occurred and is continuing, there shall be no intraday indicative value.  See “Description of the ETNs—Indicative Value” in this pricing supplement.  The Calculation Agent or its affiliate is responsible for computing and disseminating the intraday indicative value.

Neither the intraday indicative value nor the closing indicative value of the ETNs is necessarily the same as the trading price of the ETNs in the secondary market at such time. The closing indicative value on each calendar day following the inception date will be calculated by the IV Calculation Agent and will be equal to (1) the stated principal amount per security times (2) the percentage change of the Index from the inception date to such calendar day times (3) the current fee factor. The closing indicative value for each trading day will be published on such trading day under the Bloomberg ticker symbol “MLPNIV.” If your ETNs have not previously been repurchased by Credit Suisse, at maturity you will receive a cash payment, per $20 principal amount ETN, based on the closing indicative value of the ETNs on the final valuation date, calculated as (a) the product of (i) $20 and (ii) the Index Factor on the Final Valuation Date, plus (b) the final Coupon Payment determined on the Final Valuation Date, if any, minus (c) the fee shortfall on the Final Valuation Date, if any. If you elect to offer your ETNs for repurchase, and the requirements for acceptance by Credit Suisse are met, you will receive a cash payment in an amount equal to the “daily repurchase value”, based on the closing indicative value of the ETNs on the applicable Valuation Date.

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 their indicative value at such time due to, among other things, imbalances of supply and demand, lack of liquidity, transaction costs, credit considerations and bid-offer spreads, and any corresponding premium in the trading price may be reduced or eliminated at any time. Paying a premium purchase price over the indicative value of the ETNs could lead to significant losses in the event the investor sells the ETNs at a time when such premium is no longer present in the marketplace or the ETNs are repurchased by us (including at our option if the principal amount of the ETNs outstanding is $10,000,000 (500,000 ETNs) or less), in which case investors will receive a cash payment equal to the daily repurchase value.

We may, without providing you notice or obtaining your consent, create and issue ETNs in addition to those offered by this pricing supplement having the same terms and conditions as the ETNs. However, we are under no obligation to sell additional ETNs at any time, and we may suspend issuance of new ETNs at any time without providing you notice or obtaining your consent. If we stop selling additional ETNs, the price and liquidity of the ETNs could be materially and adversely affected, including an increase in the premium purchase price of the ETNs over the intraday indicative value of the ETNs. Before trading in the secondary market, you should compare the closing indicative value and intraday indicative value with the then-prevailing trading price of the ETNs. Furthermore, unless we indicate otherwise, if we suspend selling additional ETNs, we reserve the right to resume selling additional ETNs at any time, which might result in the reduction or elimination of any premium in the trading price.

Suspension of additional issuances of the ETNs can also result in a significant reduction in the number of outstanding ETNs if investors subsequently exercise their right to have the ETNs repurchased by us. If the total number of outstanding ETNs has fallen to a level that is close to or below the minimum redemption amount, you may not be able to purchase enough ETNs to meet the minimum size requirement in order to exercise your early repurchase right. The unavailability of the repurchase right can result in the ETNs trading in the secondary market at discounted prices below the intraday indicative value. Having to sell your ETNs at a discounted sale price below the intraday indicative value of the ETNs could lead to significant losses. Prior to making an investment in the ETNs, you should take into account whether or not the trading price is tracking the intraday indicative value of the ETNs.

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The ETNs may not be a suitable investment for you

The ETNs may not be a suitable investment for you if you are not willing to be exposed to fluctuations in the level of the Index; you seek a guaranteed return of your initial investment; you believe the level of the Index will decrease or will not increase by an amount equal to the percentage of the principal amount represented by the Investor Fee, minus the Coupon Payments, during the term of the ETNs; you prefer the lower risk and therefore accept the potentially lower but more predictable returns of conventional debt securities with comparable maturities and credit ratings; or you are not willing to be exposed to the trading price of the ETNs which, at any time, may vary significantly from the intraday indicative value and the closing indicative value.

MLPs are concentrated in the energy industry

The Index is comprised of solely securities of MLPs which hold mid-stream energy infrastructure assets in North America. The mid-stream energy sector involves the gathering, processing, transportation and storage of crude oil and natural gas. Some of the Constituent MLPs may be smaller, non-diversified businesses that are exposed to the risks associated with such businesses, including the lack of capital funding to sustain or grow businesses and potential competition from later, better financed and more diversified businesses. Generally, MLPs may be significantly affected by a number of factors, including:

·                   worldwide and domestic supplies of, and demand for, crude oil, natural gas, natural gas liquids, hydrocarbon products and refined products;

·                   changes in tax or other laws affecting master limited partnerships generally;

·                   regulatory changes affecting pipeline fees and other regulatory fees in the energy sector;

·                   changes in the relative prices of competing energy products;

·                   the impact of environmental laws and regulations and technological changes affecting the cost of producing and processing, and the demand for, energy products;

·                   decreased supply of hydrocarbon products available to be processed due to fewer discoveries of new hydrocarbon reserves, short- or long-terms supply disruptions or otherwise;

·                   risks of regulatory actions and/or litigation, including as a result of leaks, explosions or other accidents relating to energy products;

·                   uncertainty or instability resulting from an escalation or additional outbreak of armed hostilities or further acts of terrorism in the United States or elsewhere; and

·                   general economic and geopolitical conditions in the United States and worldwide.

These or other factors, or the absence of such factors, could cause a downturn in the energy industry generally or regionally and could cause the value of some or all of the Constituent MLPs to decline during the term of the ETNs.

The Index may not be representative of the North American mid-stream energy infrastructure industry

While the Constituent MLPs are considered by the Index Sponsor to be involved in the North American mid-stream energy infrastructure industry, these Constituent MLPs and the Index itself may not be representative of the entire mid-stream energy infrastructure industry generally, which is comprised of more than the 30 Constituent MLPs represented by the Index. If the securities of the Constituent MLPs decline in value, the Index will decline in value even if prices of equity interests in a broader range of companies in the mid-stream energy infrastructure-related industry generally increase in value.

You will not have any partnership interests or other rights in the Constituent MLPs

As an owner of the ETNs, you will not have the rights that investors in the securities of the Constituent MLPs have. You will not own or have any beneficial or other legal interest in, and will not be entitled to any rights with respect to, any of

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the Constituent MLPs. You will not have any voting rights, any right to receive distributions, if any, made on the securities of the Constituent MLPs or any other rights with respect to the Constituent MLPs as a result of your ownership of the ETNs.

The Index Sponsor or S&P may discontinue the publication of the Index

Neither the Index Sponser or S&P is under any obligation to continue to calculate and publish values of the Index, including the intraday values and the end-of-day official closing value. Furthermore, neither is required to publish, or calculate similar values for, any successor index (as defined under “Specific Terms of the ETNs—Discontinuation or Modification of the Index” below). If publication of the Index is discontinued, we may not be able to provide the intraday values of the Index required to maintain any listing of the ETNs on the NYSE Arca. If the ETNs are not approved for listing, or if they are approved and later become delisted, the liquidity of the market for the ETNs may be materially and adversely affected and you may sustain significant losses if you sell your ETNs in the secondary market. In the event the publication of the Index is discontinued or the ETNs are not currently listed on a national securities exchange, we will have the right to repurchase the ETNs. Regardless of whether we decide to exercise this right, in the event that the level of the Index is not available, the Calculation Agent may be required to make a good faith estimate in its reasonable discretion of the level of the Index, which could adversely affect the value of your ETNs or the amount payable on your ETNs at maturity or upon repurchase. The circumstances in which the Calculation Agent will be required to make such a determination are described more fully under “Specific Terms of the ETNs—Market Disruption Events,” “—Discontinuation or Modification of the Index” and “—Role of Calculation Agent.”

We or our affiliates may have economic interests adverse to those of the holders of the ETNs

Because our affiliate, Credit Suisse International, is initially acting as the Calculation Agent for the ETNs, potential conflicts of interest may exist between it and you, including with respect to certain determinations and judgments that it must make in determining amounts due to you, either at maturity or upon repurchase of the ETNs. You should also be aware that our affiliate, CSSU, will act as our agent in connection with the distribution of the ETNs and will charge normal commissions for the purchase of the ETNs and will also receive all or a portion of the Investor Fee.

In addition, we and other affiliates of ours expect to engage in trading activities related to one or more Constituent MLPs, futures or options on one or more Constituent MLPs or the Index itself, or other derivative instruments with returns linked to the performance of one or more Constituent MLPs or the Index itself, including certain exchange traded notes issued by Credit Suisse, for their accounts and for other accounts under their management. We and these affiliates may also issue or underwrite or assist unaffiliated entities in the issuance or underwriting of other securities or financial instruments linked or related to the performance of the Index or one or more Constituent MLP. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates could adversely affect the value of the ETNs. To the extent that we or one of our affiliates serves as issuer, agent or underwriter for such securities or financial instruments, our or their interests with respect to such products may be adverse to those of the holders of the ETNs. Any of these trading activities could potentially affect the level of the Index and, accordingly, could affect the value of the ETNs and the amount payable to you at maturity or upon repurchase, as applicable.

We or our affiliates may currently or from time to time engage in business with one or more Constituent MLPs, including extending loans to, making equity investments in, or providing advisory services to, them, including merger and acquisition advisory services. In the course of this business, we or our affiliates may acquire non-public information about one or more Constituent MLPs, and we will not disclose any such information to you. In addition, we or one or more of our affiliates may publish research reports or otherwise express views or provide recommendations about any Constituent MLP or the Index. Any such views or recommendations may be inconsistent with purchasing or holding the ETNs. Any prospective purchaser of ETNs should undertake such independent investigation of the Index and each Constituent MLP as in its judgment is appropriate to make an informed decision with respect to an investment in the ETNs.

In our sole discretion, we may decide to issue and sell additional ETNs from time to time at a price that is higher or lower than the stated principal amount, based on the indicative value of the ETNs at that time, and any ETNs held by us or an affiliate in inventory may be resold at prevailing market prices or lent to market participants who may have made short sales of the ETNs. See “—However, we are under no obligation to issue or sell additional ETNs at any time, and if we do sell additional ETNs, we may limit or restrict such sales, and we may stop and subsequently resume selling additional ETNs at any time” above.

With respect to any of the activities described above, neither we nor our affiliates have any obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time.

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If a Market Disruption Event has occurred or is continuing on a Valuation Date, the Calculation Agent will postpone the Valuation Date (and the applicable Maturity Date or a Repurchase Date) and will determine the closing level of the Index applicable to such Valuation Date

The determination of the closing level of the Index on a Valuation Date, including the Final Valuation Date, may be postponed if the Calculation Agent reasonably determines that a Market Disruption Event has occurred or is continuing on such Valuation Date.

If postponement of a Valuation Date occurs, then such Valuation Date will be postponed to the next Trading Day on which the Calculation Agent determines that no Market Disruption Event occurs or is continuing, unless the Calculation Agent determines that a Market Disruption occurs or is continuing on each of the six scheduled Trading Days immediately following such scheduled Valuation Date. In that case, (a) the sixth scheduled Trading Day following the scheduled Valuation Date will be deemed to be the Valuation Date, notwithstanding the existence of a Market Disruption Event, and (b) the Calculation Agent will determine the closing level for such Valuation Date on that sixth scheduled Trading Day in accordance with the formula for and method of calculating the Index last in effect prior to the commencement of the Market Disruption Event using exchange traded prices of the Constituent MLPs on the relevant exchanges (as determined by the Calculation Agent in its sole and absolute discretion) or, if trading in any Constituent MLP has been materially suspended or materially limited, its good faith estimate of the prices that would have prevailed on the applicable exchanges (as determined by the Calculation Agent in its sole and absolute discretion) but for the suspension or limitation, as of the Valuation Time (as defined below) on that deemed Valuation Date, of each Constituent MLP (subject to the provisions described under “Specific Terms of the ETNs—Discontinuation or Modification of the Index” below).

If a scheduled Valuation Date, including the Final Valuation Date, is postponed due to a Market Disruption Event, the Repurchase Date will also be postponed so that such Repurchase Date occurs on the third Business Day following the Valuation Date as postponed. If the Final Valuation Date is postponed due to a Market Disruption Event, the Maturity Date will also be postponed so that the Maturity Date occurs on the fifth Business Day following the Final Valuation Date as postponed. Any such postponement or determinations by the Calculation Agent may adversely affect your return on the ETNs. In addition, no interest or other payment will be payable as a result of such postponement.

You will have no rights against any Constituent MLP or the entities with discretion over the Index

As an owner of the ETNs, you will have no rights against any Constituent MLP, the Index Sponsor or S&P, as the Index calculation agent, even though the amount you receive at maturity or upon repurchase of your ETNs by Credit Suisse will depend, in part, on the level of the Index, and such level is based on the prices of the Constituent MLPs. By investing in the ETNs, you will not acquire any interest in any Constituent MLP and you will not receive any distributions, if any, with respect to any Constituent MLP. Your ETNs will be paid in cash, and you will have no right to receive delivery of any of the Constituent MLPs or any options of futures contracts on the forgoing. None of the Constituent MLPs, the Index Sponsor or S&P are in any way involved in this offering and have no obligations relating to the ETNs or to the holders of the ETNs.

The ETNs do not pay fixed periodic interest payments

We will not pay fixed periodic interest on the ETNs, instead you may receive a quarterly Coupon Payment as described herein. You may receive less at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities, including other of our debt securities, since the payment at maturity is based on the appreciation or depreciation of the Index. Because the payment due at maturity may be less than the amount originally invested in the ETNs, the return on the ETNs (the effective yield to maturity) may be negative. Even if it is positive, the return payable on the ETNs may not be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time.

The United States federal income tax consequences of the ETNs are uncertain

No ruling is being requested from the IRS with respect to the tax consequences of the ETNs. There is no direct authority dealing with securities such as the ETNs, and there can be no assurance that the IRS will accept, or that a court will uphold, the tax consequences described in this pricing supplement. In addition, you should note that the IRS and the U.S. Treasury Department have announced a review of the tax treatment of prepaid forward contracts. Accordingly, no assurance can be given that future tax legislation, regulations or other guidance may not change the tax treatment of the ETNs. Potential investors should consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the ETNs, including possible alternative treatments.

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Our hedging activity may affect the value of the Constituent MLPs and therefore the market value of the ETNs

We expect to hedge our obligations under the ETNs through one or more of our affiliates. This hedging activity may involve trading in one or more of the Constituent MLPs or in other instruments, such as options, swaps or futures, based upon the Index or one or more of the Constituent MLPs and/or issuing or trading certain exchange traded notes issued by Credit Suisse. This hedging activity could affect the value of the Constituent MLPs and therefore the market value of the ETNs. Moreover, this hedging activity may result in us or our affiliates receiving a profit, even if the market value of the ETNs declines.

We may also issue other securities or financial or derivative instruments with returns linked or related to changes in the performance of any of the foregoing. By introducing competing products into the marketplace in this manner, we could adversely affect the market value of the ETNs.

With respect to any of the activities described above, we have no obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time.

The Index has limited history and may perform in unexpected ways

The amount payable at maturity or repurchase is linked to the performance of the Index, which was first calculated in November 2009. There is no actual historical Index level information available before this date for you to consider in making an independent investigation of the Index performance. Any data relating to the Index included in this pricing supplement for any date prior to November 2009 is hypothetical historical data. In addition, the actual performance of the Index over the term of the ETNs, as well as the amount payable at maturity or upon repurchase, may bear little relation to the historical and hypothetical historical levels of the Index. Changes in the level of the Index will affect the trading price of the ETNs and it is impossible to predict whether the level of the Index will rise or fall.

We and our affiliates do not have any affiliation with the Index Sponsor and are not responsible for its public disclosure of information

The Index Sponsor is responsible for the methodology for determining the composition of the Index and for all matters relating to the policies, maintenance and calculation of the Index. While we and our affiliates may currently or from time to time engage in business with the Index Sponsor and funds they manage, we and our affiliates are not affiliated with Index Sponsor in any way (except for licensing arrangements) and have no ability to control or predict its actions, including any errors in or discontinuance of disclosure regarding their methods or policies relating to the Index. The Index Sponsor is not involved in the offering of the ETNs in any way and has no obligation to consider your interests as an owner of the ETNs in taking any actions relating to the Index that might affect the value of your ETNs. Neither we nor any of our affiliates assumes any responsibility for the adequacy or accuracy of the information about the contained in any public disclosure of information by the Index Sponsor. You, as an investor in the ETNs, should make your own investigation into the Index.

The policies of the Index Sponsor and any changes thereto that affect the composition and valuation of the Index could affect the amount payable on your ETNs and their market value

The policies of the Index Sponsor concerning additions, deletions or substitutions of the Constituent MLPs and the manner in which changes affecting the Index are reflected could affect the level of the Index and, therefore, the amount payable on your ETNs at maturity or upon repurchase by Credit Suisse and the market value of your ETNs prior to maturity. See “The Index,” below for a discussion of these policies.

Additional MLPs may satisfy the eligibility criteria for inclusion in the Index, and the MLPs whose securities are currently included in the Index may fail to satisfy such criteria. In addition, the Index Sponsor may at any time supplement, amend, revise or withdraw the methodology for determining the composition and weighting of the Index, or for calculating the level of the Index, although any such changes will be in a manner consistent with the Index’s purpose of tracking North American MLPs that hold mid-stream energy infrastructure assets. The Index Sponsor may also discontinue or suspend compilation or publication of the Index and if no successor index is appointed, we will have the right to repurchase the ETNs. Regardless of whether we decide to exercise this right, it may become difficult to determine the level of the Index and therefore the value of, or the amount payable on, your ETNs.

If events such as these occur, or if the level of the Index is not available or cannot be calculated because of a market disruption event or for any other reason, the Calculation Agent may be required to make a good faith estimate in its

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reasonable discretion of the level of the Index. The circumstances in which the Calculation Agent will be required to make such a determination are described more fully under “Specific Terms of the ETNs—Market Disruption Events,” “—Discontinuation or Modification of the Index” and “—Role of Calculation Agent.”

One or more Constituent MLPs may be substituted with other MLPs under certain circumstances

As further explained in “The Index—Operational Adjustments to the Index Constituents,” one or more of the Constituent MLPs at any given time may be substituted with other MLPs in the event that such Constituent MLP is subject to certain extraordinary corporate actions such as mergers, spin-offs or bankruptcy. Such new MLP may perform worse than the MLP it replaced. In addition, any such new MLP may have risks associated with it that may not be present in the MLP it replaced.

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THE INDEX

The Cushing ®  30 MLP Index (the “Index”) is comprised of equity securities of 30 companies that hold mid-stream energy infrastructure assets in North America. The mid-stream energy sector involves the gathering, processing, transportation and storage of crude oil and natural gas. The 30 securities included in the Index are publicly traded limited or general partnership interests of partnerships or common units of limited liability companies or C corporations of operating companies (each, an “MLP”) and are chosen for inclusion in the Index according to a proprietary scoring model (SValuES © ) developed by Swank Energy Income Advisors, LP (“Swank” or the “Index Sponsor”) which evaluates various financial measures to rank potential MLPs for inclusion in the Index. We refer to the MLPs whose securities are included in the Index as “Constituent MLPs”. The methodology for determining the composition, weighting and calculation of the Index was developed by the Index Sponsor. Although the Index Sponsor may at any time supplement, amend, revise or withdraw this methodology, any of these changes will be made in a manner consistent with the Index’s purpose of tracking North American MLPs that hold mid-stream energy infrastructure assets. The value of the Index is calculated and published by S&P Dow Jones Indices or, the “Index calculation agent”.

All disclosure contained in this pricing supplement regarding the Index, including, without limitation, its make-up, performance and method of calculation has been derived from publicly available information prepared by the Index Sponsor. We have not independently verified, and we make no representation as to the accuracy, completeness, or adequacy, of such information. We are not responsible for the calculation, maintenance or publication of the Index.

We cannot give any assurance that all events occurring prior to the date of this pricing supplement (including events that would affect the accuracy or completeness of the publicly available information described in the preceding paragraph) that may affect the level of the Index have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Index could affect the coupon payments or the amounts payable at maturity or upon repurchase, and therefore the market value of the ETNs in the secondary market, if any. You, as an investor in the ETNs, should make your own investigation into the Index, the Index Sponsor and the Index calculation agent. The Index Sponsor and the Index calculation agent are not involved in the offer of the ETNs in any way and have no obligation to consider your interests as a holder of the ETNs. The Index Sponsor and the Index calculation agent have no obligation to continue to publish the Index, and may discontinue or suspend publication of the Index at any time in their sole discretion.

Index Constituent Eligibility Requirements

All of the following requirements must be met in order for a Constituent MLP to be eligible for inclusion in the Index:

1.                                       Must be U.S.-based. The Index Sponsor uses several factors in determining a company’s nationality, including, but not limited to, location of formation, accounting principles used for financial reporting, and location of headquarters.

2.                                       Must be a “reported security” as defined in Rule 11Aa3-1 under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (or any similar successor definition in the Securities and Exchange Act or its rules), and its common equity listed on the NYSE, NYSE Amex (formerly the American Stock Exchange LLC) or National Association of Securities Dealers Automated Quotations System (“NASDAQ”) (or any successor exchanges).

3.                                       Must be or have an interest in a publicly traded partnership or limited liability company exempt from corporate taxation as a result of the 1986 Tax Reform Act, and engaged in the transportation, storage, processing, or production of energy commodities. Companies that are solely focused on the exploration and production of crude oil and natural gas or marine transportation are not eligible for inclusion.

4.                                       Must represent either the limited or general partner interests, or both, of a partnership that is an operating company, or common units of a limited liability company or C corporation that is an operating company. Closed-end funds, exchange traded funds (ETFs), investment vehicles, and royalty or income trusts are not eligible for inclusion.

Following the commencement of the Index in November 2009, new Index Constituent MLPs, in addition to the eligibility requirements listed above, will also be subject to the eligibility conditions listed below. The Constituent MLPs

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included in the Index as of the commencement of the Index in November 2009 were not subject to the eligibility conditions listed below and will be exempt from such eligibility conditions for as long as they remain in the Index.

A.                                     Market capitalization . Must have a market capitalization of at least $500 million. This minimum requirement may be adjusted upward or downward to maintain a consistent number of securities that are eligible for inclusion in the Index.

B.                                     Adequate trading liquidity . Must maintain a ratio of annual dollar value traded to market capitalization of 0.30 or greater. Trading volume of each Index eligible Constituent MLP is required to have been in excess of 500,000 units per month for each of the last six months.

C.                                     Public float . Must have a public float of at least 20% of the total outstanding common units. Public float for a Constituent MLP is determined by calculating the ratio of the value of its common units outstanding not held by its general partner or its affiliates relative to the total value of its outstanding common equity.

D.                                     Distribution Stability . Must have maintained or increased the distribution over the previous four (4) quarters. An exception will be made for new listings or companies that move to one of the main exchanges (defined as NYSE, NYSE MKT or NASDAQ)  from another dealer market or over the counter exchange. Those companies must maintain the above standards moving forward from the new or relisting date.

In order to avoid turnover in the Constituent MLPs in the Index, the Index Sponsor may choose not to deem a Constituent MLP ineligible where it appears that the security temporarily violates one or more of the Index eligibility criteria listed in letters A through D above, and may choose not to deem a Constituent MLP eligible where it appears that the Constituent MLP meets the Index eligibility criteria listed in letters A through D above only temporarily.

Proprietary scoring model

To determine the Index Constituent MLPs, an eligible universe of MLPs are selected based on the eligibility requirements specified above. Once the eligible universe is selected, MLPs in the eligible universe are ranked based on a proprietary scoring model with the 30 MLPs having the highest scores included in the Index.

The proprietary scoring model is a formula-based scoring model developed by Cushing and used to rank MLPs for inclusion in the Cushing ®  30 MLP Index. The ranking system emphasizes balance sheet, cash flow and cash distribution metrics rather than market capitalization.

The scoring model attributes points to MLPs via a weighted average methodology across numerous criteria. The criteria incorporate objective rankings measures relative to the broader MLP universe and the specific sub-sector in which the relevant MLP has its primary operations.

Each of the criteria fall under one of three categories: Operational, Valuation, and Strategic Position.

Operational . The Operational category is intended to identify MLPs with positive corporate performance characteristics. Criteria in the Operational category measure exposure by examining income and historical and projected future distribution growth relative to peers.

Valuation . The Valuation category is intended to identify MLPs that are attractively valued. Criteria in the Valuation category measure a MLP’s current yield and earnings relative to enterprise value relative to the specific sub-sector in which the relevant MLP has its primary operations.

Strategic Position . The Strategic Position category is intended to identify MLPs with strong strategic positions. Criteria in the Strategic Position category measure a MLP’s debt relative to its capitalization with the relevant measure adjusted if the debt is investment grade and certain measures of its financial status.

The 30 initial Constituent MLPs were initially equally weighted as of December 29, 1995 (the “Base Date”) and the value of the Index on the Base Date was set to 54.7561. A current list of the Constituent MLPs can be found at http://www.swankcapital.com/what-we-do/cushing-indices/cushing-30-mlp-index/overview.aspx. Reference to this “uniform resource locator” or “URL” is made as an inactive textual reference for informational purposes only. Neither it nor other information found at this website is incorporated by reference into this pricing supplement.

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Index Calculation Methodology

The Index is calculated using a base-weighted aggregate methodology in that the level of the Index reflects the total market value of all the Constituent MLPs relative to its Base Date. An indexed number called the Index divisor is used to represent the results of this calculation in order to make the value easier to work with and track over time.

On each Quarterly Rebalancing Date (as defined below), the Index calculation agent begins by determining an investable weight factor (“IWF”) for each Constituent MLP. The IWF is designed to reflect only those equity interests that are available to investors (and not all of a Constituent MLP’s outstanding equity interests) and is calculated by dividing (i) the available float equity interests, defined as the total equity interests outstanding less equity interests held by certain institutional investors, governmental entities and insiders by (ii) the total equity interests outstanding. The market capitalization for each Constituent MLP is further adjusted so that each Constituent MLP has an equal weight in the Index at each Quarterly Rebalancing Date. To establish equal weighting, on each Quarterly Rebalancing Date the Index calculation agent multiplies the price of each security, the number of equity interests outstanding, the IWF for such security and an adjustment factor for such security (a value assigned to each security to make all the modified market capitalization of each Constituent MLP equal while maintaining the total market value of the overall Index) to obtain each security’s adjusted equity interest count used in the Index calculation.

In the daily calculation of the Index by the Index calculation agent, the adjusted equity interest count for each Constituent MLP is multiplied by the price of the security and the sum is divided by the Index divisor.

The initial Index divisor was set to have a value of 5,000,000 on the Base Date and is adjusted quarterly as described below. As of the date of this pricing supplement, the Index divisor was equal to 1,131,626.87693146.

Index Rebalancing

The weights of the Constituent MLPs are rebalanced quarterly in March, June, September, and December of each year so that each Constituent MLP is equally weighted. Rebalancings occur after the closing of the primary trading markets for the Index Constituent MLPs on the third Friday of the quarter ending month, and become effective at the opening on the next Trading Day (each a “Quarterly Rebalancing Date”). On each Quarterly Rebalancing Date, each security in the Index is equally weighted, with a weight equal 1 / 30  of the value of the Index.

In addition, because the level of the Index is not altered by the rebalancings, but the prices and the outstanding equity interests of the Constituents have likely changed since the last rebalancing, the Index divisor is adjusted on each Quarterly Rebalancing Date as follows:

(Index Value) after rebalancing  = (Index Value) before rebalancing

Therefore:

(Index Divisor) after rebalancing  = (Index Market Value) after rebalancing  / (Index Value) before rebalancing

Operational Adjustments to the Index Constituents

In addition to the quarterly rebalancings, the Index is continually reviewed for operational adjustments to the Constituent MLPs in the Index necessitated by extraordinary corporate actions, including mergers, takeovers, spin-offs, listings and delistings, bankruptcy filings and distribution reductions. The following events will cause a Constituent MLP to be removed from the Index:

When one of the foregoing events requires the addition of a new constituent MLP to the Index, such MLP will be selected by scoring each remaining MLP in the eligible universe that is not currently included in the Index according to the scoring model methodology. The MLP receiving the highest score will be selected as the new Constituent MLP. When a new Constituent MLP is added to the Index between Quarterly Rebalancing Dates, it will assume the same weight of the Constituent MLP that it replaced. The one exception is when a Constituent MLP is removed from the Index at a price of $0.00. In such a case, the Constituent MLP’s replacement will be added to the Index at the weight using the previous day’s closing value, or the most immediate prior Business Day that the removed Constituent MLP was not valued at $0.00.

Adjustments to the Index will also be required due to certain corporate actions or constituent eligibility changes as described below. These changes will also require Index divisor adjustments so that the level of the Index is not altered by such corporate actions or constituent eligibility changes.

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Index divisor changes are usually made on the date the corporate action becomes effective.

Stock splits and reverse splits do not require Index divisor adjustments because the corresponding change to the Constituent MLP’s price equally offsets the change in the number of units, therefore not affecting the Constituent MLP’s weighting in the Index.

Index Calculation and Data Dissemination

The Index is calculated and disseminated on a real-time basis by S&P Dow Jones Indices. The Index is calculated using the last traded price for the security of each Constituent MLP from the relevant exchanges and markets. Index values are rounded to two decimal places and the Index divisor is rounded to 14 decimal places.

The Index is calculated on a real-time basis beginning when the first traded price of any constituent security is received by S&P Dow Jones Indices. Prices are delivered to the NYSE every 15 seconds and subsequently published to data vendors under the ticker symbol “MLPX”. If trading in a constituent security is suspended prior to the market opening, the constituent security’s adjusted closing price from the previous day will be used in the Index calculation until trading commences. If trading in a constituent security is suspended while the relevant market is open, the last traded price for that MLP will be used for all subsequent Index calculations until trading resumes.

The Index closing price is calculated using the closing prices issued by the primary exchange for each MLP in the Index. If the primary exchange changes the closing price of a MLP included in the Index, the new price will be used to calculate the Index closing price. A final check of closing prices is done between one hour and one and one half hours after the close of markets. This time frame may be expanded at Standard & Poor’s discretion on days where trading volume is unusually large at the close. For example, futures and options expiration dates, and large Index rebalancing dates often result in unusually large volume. Only changes received prior to this final check are used in the closing price calculation.

Incorrect Index constituent data, corporate action data, or an incorrect Index divisor will be corrected upon detection. If such errors are discovered within five days of occurrence, they will be corrected that same day. If discovered after five days, adjustments will be handled on a case-by-case basis depending on the significance of the error and the feasibility of a correction. Incorrect intraday Index data will not be corrected. However, incorrect opening and closing values will be corrected as soon as possible after detection.

Disclaimers

The ETNs are not in any way sponsored, endorsed or promoted by Cushing. Cushing has no obligation to take the needs of any person into consideration in composing, determining, rebalancing or calculating the Index (or causing the Index to be calculated). In addition, Cushing makes no warranty or representation whatsoever, express or implied, as to the results to be obtained from the use of the Index and/or the value of the Index at any particular time on any particular day or otherwise, and Cushing shall not be liable, whether in negligence or otherwise, to any person for any errors or omissions in the Index or in the calculation of the Index nor is Cushing under any obligation to advise any person of any errors or omissions therein.

The ETNs are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices, its affiliates or its third party licensors. Neither S&P Dow Jones Indices, its affiliates nor their third party licensors make any representation or warranty, express or implied, to the owners of the ETNs or any member of the public regarding the advisability of investing in securities generally or in the ETNs particularly or the ability of the Index to track general stock market performance. S&P Dow Jones Indices’ and its third party licensor’s only relationship to Cushing is the licensing of certain trademarks, service marks and trade names of S&P Dow Jones Indices and/or its third party licensors and for the providing of calculation and maintenance services related to the Index. Neither S&P Dow Jones Indices, its affiliates nor their third party licensors is responsible for and has not participated in the determination of  the prices and amount of the ETNs or the timing of the issuance or sale of the ETNs or in the determination or calculation of the equation by which the ETNs are to be converted into cash. S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the ETNs.

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The Cushing® 30 MLP Index (the “Index”) is the exclusive property of Cushing Asset Management, LP, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to calculate and maintain the Index.  S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and, these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices” and its related stylized mark(s) have been licensed for use by Cushing Asset Management, LP. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.

NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE CUSHING ®  30 MLP 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 PARTICULAR PURPOSE OR USE WITH RESPECT TO ITS TRADEMARKS, THE CUSHING ®  30 MLP 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 Cushing.

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Hypothetical Historical and Actual Historical Data on the Index

The following graph sets forth the hypothetical and actual historical daily performance of the Index from the Base Date through April 21, 2015. The hypothetical historical daily Index performance figures were calculated using the Index methodology described above on historical prices of the securities of the Constituent MLPs. The closing level of the Index on April 21, 2015 was equal to 443.88.

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Cushing ®  30 MLP Index

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The following table sets forth the hypothetical and actual historical distributions on the Constituent MLPs based upon a hypothetical $100 investment in the Index as of the Base Date. The following distributions do not reflect any application of the Multiplier or the Investor Fee and therefore do not reflect the distributions a reference holder would have received.

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The foregoing information is not necessarily indicative of the future performance of the Index, the distributions on the Constituent MLPs or of what the value of the ETNs may be. Any historical upward or downward trend in the level of the Index or the amount of the distributions during any period set forth above is not any indication that the Index or the distributions are more or less likely to increase or decrease at any time over the term of the ETNs.

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DESCRIPTION OF THE ETNS

The market value of the ETNs will be affected by several factors, many of which are beyond our control. We expect that generally the level of the Index on any day will affect the market value of the ETNs more than any other factor. Other factors that may influence the market value of the ETNs include, but are not limited to, supply and demand for the ETNs, the volatility of the Index, the market value of the Constituent MLPs, prevailing rates of interest, the volatility of securities markets, economic, financial, political, regulatory or judicial events that affect the level of the Index, the general interest rate environment, as well as the perceived creditworthiness of Credit Suisse. See “Risk Factors” in this pricing supplement for a discussion of the factors that may influence the market value of the ETNs prior to maturity.

Indicative Value

An intraday “indicative value” meant to approximate the intrinsic economic value of the ETNs will be calculated and published by the IV Calculation Agent every fifteen (15) seconds on each Trading Day during normal trading hours under the Bloomberg ticker symbol “ MLPNIV ” and under the Yahoo! Finance ticker symbol “ ^MLPN-IV ” so long as no Market Disruption Event has occurred or is continuing and will be disseminated over the consolidated tape or other major market data vendor. In addition, the IV Calculation Agent expects to calculate and publish the closing indicative value of your ETNs on each Trading Day. In connection with your ETNs, we use the term “indicative value” to refer to the value at a given time determined based on the following equation. The trading price of the ETNs in the secondary market at any time may vary significantly from their indicative value at such time. The trading price of the ETNs at any time is the price that you may be able to sell your ETNs in the secondary market at such time, if one exists.

Indicative Value = Stated Principal Amount per Security × (Current Index Level / Initial Index Level) + Current Coupon Payment — Current Fee Shortfall

where:

Stated Principal Amount per Security = $20;

Current Index Level = The most recent published closing level of the Index available;

Initial Index Level = 282.92, the closing level of the Index on the inception date;

Current Coupon Payment = The calculation of the Coupon Payment with respect to your ETNs, determined as though such date were a valuation date applicable to a repurchase date, calculated as described below under “Specific Terms of the ETNs”. For the avoidance of doubt, the Current Coupon Payment will include the Coupon Payment with respect to the Coupon Valuation Date immediately preceding such date if, on such date, the Ex-Date with respect to such Coupon Payment has not yet occurred; and

Current Fee Shortfall = The fee shortfall calculated as of such date, after calculation of the Current Coupon Payment.

The indicative value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer or solicitation for the purchase, sale or termination of your ETNs, nor will it reflect hedging or transaction costs, credit considerations, market liquidity or bid-offer spreads. The trading price of the ETNs may vary significantly from their indicative value.

The intraday indicative value and the closing indicative value of the ETNs are not the same as the closing price or any other trading price of such ETNs in the secondary market, if one exists. The closing indicative value will never be less than zero. The closing indicative value will be published on each Trading Day under the Bloomberg ticker symbol “MLPNIV”.

The Index is a proprietary index that Swank, as Index Sponsor, developed and owns. S&P, as Index calculation agent pursuant to an agreement with the Index Sponsor, calculates and disseminates the Index level approximately every fifteen (15) seconds (assuming the Index level has changed within such fifteen-second interval) from 8:45 a.m. to 5:00 p.m. (New York City time) on each Business Day, and publishes the closing level of the Index for each Business Day at approximately 6:30 p.m. (New York City time) on each such day. For further information on the Index returns, see “The Index” above. Index levels are available on Bloomberg page “MLPX <INDEX>”.

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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 intraday indicative value of such ETNs at such time. Paying a premium purchase price over the intraday indicative value of the ETNs could lead to significant losses in the event the investor sells such ETNs at a time when such premium is no longer present in the market place or such ETNs are accelerated (including at our option), in which case investors will receive a cash payment based on the closing indicative value as described below. We may, without providing you notice or obtaining your consent, create and issue ETNs in addition to those offered by this pricing supplement having the same terms and conditions as the ETNs.  However, we are under no obligation to sell additional ETNs at any time, and we may suspend issuance of new ETNs at any time without providing you notice or obtaining your consent. If we stop selling additional ETNs, the price and liquidity of the ETNs could be materially and adversely affected, including an increase in the premium purchase price of the ETNs over the intraday indicative value of the ETNs. Before trading in the secondary market, you should compare the closing indicative value and intraday indicative value with the then-prevailing trading price of the ETNs.

As discussed in “Specific Terms of the ETNs—Payment Upon Repurchase” below, you may, subject to certain restrictions, choose to offer your ETNs for repurchase by Credit Suisse on any Business Day during the term of the ETNs through the Business Day immediately preceding the last scheduled Valuation Date that is not the Final Valuation Date, which we anticipate will be April 7, 2020 (for an anticipated April 8, 2020 Valuation Date and a Repurchase Date of April 13, 2020). If you elect to offer your ETNs to Credit Suisse for repurchase, you must offer at least the applicable minimum repurchase amount at one time for repurchase by Credit Suisse on any Repurchase Date. In addition, we have the right to repurchase the ETNs, in whole but not in part, on any Business Day during the term of the ETNs if the principal amount of ETNs is $10,000,000 (500,000 ETNs) or less. We will also have the right to repurchase the ETNs in the event the ETNs are not currently listed on a national stock exchange or the publication of the Index is discontinued and no successor index is appointed. Our right to repurchase the ETNs will expire on the Business Day immediately preceding the last scheduled Valuation Date that is not the Final Valuation Date, which we anticipate will be April 7, 2020. If your ETNs are repurchased (either at your election or ours), on the corresponding Repurchase Date, you will receive a cash payment on such date in an amount equal to the daily repurchase value, which is a cash payment per $20 principal amount ETN equal to (a) the product of (i) $20 and (ii) the Index Factor on the applicable Valuation Date, plus (b) the Coupon Payment determined on the applicable Valuation Date, if any, minus (c) the fee shortfall on such Valuation Date, if any. In no event, however, will the daily repurchase value be less than zero. In addition, you will receive the Coupon Payment with respect to the Coupon Valuation Date immediately preceding the applicable Valuation Date if, on the relevant Valuation Date, the Ex-Date with respect to such Coupon Payment has not yet occurred. Unless the scheduled Repurchase Date is postponed as described in this pricing supplement, the last date on which Credit Suisse will repurchase your ETNs will be April 13, 2020. As such, we anticipate that you must offer your ETNs for repurchase no later than April 7, 2020. The daily repurchase value is intended to induce arbitrageurs to counteract any trading of the ETNs at a premium or discount to their indicative value, though there can be no assurance that arbitrageurs will employ the repurchase feature in this manner.

Split or Reverse Split of the ETNs

Credit Suisse International, as the calculation agent, may initiate a split or reverse split of the ETNs on any trading day. If the calculation agent decides to initiate a split or reverse split, the calculation agent will issue a notice to holders of the ETNs and a press release announcing the split or reverse split, specifying the effective date of the split or reverse split. The calculation agent will determine the ratio of such split or reverse split, as the case may be, using relevant market indicia, and will adjust the terms of the ETNs accordingly. Any adjustment of the closing indicative value will be rounded to 8 decimal places.

In the case of a reverse split, we reserve the right to address odd numbers of ETNs (commonly referred to as “partials”) in a manner determined by the calculation agent in its sole discretion. For example, if the ETNs undergo a 1 for 4 reverse split, holders who own a number of ETNs on the record date that is not evenly divisible by 4 will receive the same treatment as all other holders for the maximum number of ETNs they hold that is evenly divisible by 4, and we will have the right to compensate holders for their remaining or “partial” ETNs in a manner determined by the calculation agent in its sole discretion. Our current intention is to provide holders with a cash payment for their partials in an amount equal to the appropriate percentage of the closing indicative value of the ETNs on a specified trading day following the announcement date.

A split or reverse split of the ETNs will not affect the aggregate principal amount of ETNs held by an investor, other than to the extent of any “partial” ETNs, but it will affect the number of ETNs an investor holds and the denominations used for trading purposes on the exchange. The minimum stated principal amount of ETNs an investor must offer for repurchase will not change as a result of any split or reverse split of the ETNs, but the number of ETNs corresponding to such minimum stated principal amount will change.

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