Risk Factors and Important Legal Information

The risk factors included in this section do not purport to be an exhaustive list of the risks related to the Index.

Key considerations related to the Index

  • The Index is rules-based and cannot be invested in directly.
  • There is no assurance that the strategy on which the Index is based will be successful in producing positive returns. The Index may not rise in value and may not outperform any alternative portfolio or strategy that tracks the Index components.
  • The CS ESG Macro 5 Index has a 0.5% per annum embedded fee deducted on a daily basis. The CS ESG Macro 5 Index also contains embedded transaction costs and holding costs. The CS ESG Macro 5 Index is an excess return index, which means that it reflects the return of components net of the cost of funding a hypothetical investment in them. The CS ESG Macro 5 Index returns are likely to be negatively affected by such costs of funding. These costs will reduce the performance of the index.
  • The Index and the Index Components contains embedded transaction costs and access costs. The impact of these costs will vary through time. Higher turnover among the Index components will result in larger transaction costs and lower Index returns. Larger exposures (whether positive or negative) to the Index components will result in larger access costs and lower Index returns.
  • There is currently no universal definition or exhaustive list defining the issues or factors that are covered by the concept of "ESG" (Environmental, Social, Governance). Credit Suisse's view of ESG is based solely on Credit Suisse's current opinions, assumptions, and interpretations, which may evolve over time and are subject to change.
  • Credit Suisse has relied, wholly or in part, on third-party sources of information (including, but not limited to, such information produced by the issuing/manufacturing company itself) and external guidance in determining whether an index has ESG objectives. These sources of information may be limited in terms of accuracy, availability and timeliness.
  • It is possible that the data from ESG data providers may be incorrect, unavailable (e.g., not existing, or absence of look-through), or not fully updated. Credit Suisse has not sought to independently verify information obtained from public and third-party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information. Additionally, as global laws, guidelines and regulations in relation to the tracking and provision of such data are evolving, all such disclosures are made on a non-reliance basis and are subject to change.
  • The Index utilizes components that reference futures contracts. The Index may underperform a similar investment linked to the spot prices or current levels of the underlying assets tracked by the futures contracts included in the Index components.
  • The Index has a limited operating history and may perform in unanticipated ways. Past performance is no indication or guarantee of future performance. No actual investment which allowed tracking of the performance of the Index was possible before the Index Launch Date. The return results provided herein are illustrative only and were derived by means of a retroactive application of a back-casted model designed with the benefit of hindsight. These back-casted, hypothetical, historical annualized Index returns have inherent limitations. No representation is made that the Index will have such returns in the future. Alternative modelling techniques or assumptions might produce significantly different results and may prove to be more appropriate. Actual annualized returns may vary materially from this analysis.
  • The Index involves risks associated with equity markets, government bonds, national markets, crude oil and precious metals markets, among others.
  • The Index also bears the risk of currency fluctuations: Some of the sub-components of the equity portion of the CS ESG Macro 5 Index are denominated in currencies other than USD. In order to publish levels in USD, the equity component systematically converts the returns of these sub-components from their currency to USD. This may produce a gain or loss due to the exchange rate risk inherent in such conversions.
  • Diversification across asset classes does not guarantee positive performance, and it is possible that the Index may underperform due to overexposure to declining assets or underexposure to growing assets.
  • Although the Index employs a mechanism designed to limit its volatility, no assurance can be given that it will achieve its volatility target. The actual realized volatility may differ from the Index's volatility target, which could negatively impact the performance of the Index, and the volatility-limiting mechanism may reduce the performance of the Index in rising markets.
  • The Index may have greater than 100% exposure (up to 175%) to the underlying Base Index at any time as a result of the Volatility Control Mechanism, which may exacerbate losses and subsequent deleveraging may increase the time taken to recover from a drawdown event.
  • The sub-components of the equity component are owned by MSCI, which is not affiliated with Credit Suisse. Any loss of Credit Suisse's ability to use MSCI's indices in calculating the equity component of the CS ESG Macro 5 Index, whether on a temporary or permanent basis, could adversely affect the performance of the Index.
  • Credit Suisse is the Index's Sponsor and it (or affiliates) plays a variety of roles in connection to the Index, including acting as calculation agent and overseeing the rulebook that governs the operations of the Index. In addition, Credit Suisse would be expected to hedge any financial instruments and obligations linked to the Index. In such circumstances the economic interests of Credit Suisse and its affiliates are potentially adverse to the interests of a purchaser of any such instrument or obligation linked to the Index.
  • The sub-components of the equity component of the CS ESG Macro 5 Index used to determine the level of the equity component are linked to overnight interest rates. The equity component will therefore be exposed to the risk of fluctuation in such rates, and changes in interest rates could adversely affect the level of the Index.
  • Interest rate benchmark reforms may mean that certain interest rates cease to be provided or are significantly modified. This may be a modification or disruption event, meaning that the Index Sponsor has the power to adjust the Index or replace the relevant interest rate or suspend, delay or in some circumstances terminate the Index. Any such action may have an adverse effect on the value of any products referencing the Index.
  • The Index Sponsor can make changes, in accordance with the Index Rules, that could change the level of the Index at any time. The Index Sponsor may discontinue or suspend calculation or dissemination of the Index. All determinations and adjustments to be made by the Index Calculation Agent with respect to the level of the Index may be made in the Index Calculation Agent's reasonable discretion. Any such action could have a material adverse impact on the value of the Index.

Attributions and Disclaimers with Respect to Credit Suisse

The "CS ESG Macro 5 Index", "Credit Suisse", and any trademarks, service marks and logos related thereto are service marks of Credit Suisse Group AG, Credit Suisse International, or one of their affiliates (collectively, "Credit Suisse"). Credit Suisse has no role in the issuance of any insurance product, other than certain hedging arrangements and the licensing of the CS ESG Macro 5 Index ("the Index") and its service marks for use in connection with insurance products and is not a party to any transaction contemplated hereby.

The rules of the Index may be amended by Credit Suisse International (the "Index Creator"). An amendment to the rules may result from, without limitation, a change to the construction or calculation rules for the Index or from the Index Creator determining that a change to the rules is required or desirable in order to update them or to address an error, omission or ambiguity. No assurance can be given that any such amendment would not affect parties to this document.

No actual investment which allowed tracking of the performance of the Index was possible before August 29, 2022.

While volatility controls may result in less fluctuation in rates of return as compared to indices without volatility controls, they may also reduce the overall rate of return as compared to products not subject to volatility controls.

The end-of-day value of the Index is published subject to the provisions in the rules of the Index. Neither the Index Creator nor any of its affiliates is obliged to publish any information regarding the Index other than as stipulated in the rules of the Index.

No actual investment which allowed tracking of the performance of the Index was possible before August 29, 2022. The return results provided herein are illustrative only and were derived by means of a retroactive application of a back-casted model designed with the benefit of hindsight. These back casted, hypothetical, historical annualized Index returns have inherent limitations. No representation is made that in the future the Index will have the returns shown. Alternative modelling techniques or assumptions might produce significantly different results and may prove to be more appropriate. Actual annualized returns may vary materially from this analysis. Any effective volatility controls may reduce the overall rate of return.

No insurance product linked to the Index is in any way sponsored, endorsed, sold or promoted by Credit Suisse and Credit Suisse does not make any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Index, the figure at which the Index stands at any particular time on any particular day or otherwise, or the advisability of or results to be obtained by using, investing in, or trading insurance products linked to the Index. The selection of the Index as a crediting option under an insurance product does not obligate the issuer of any such insurance product or Credit Suisse to invest annuity or premium payments in the components of the Index or in other products linked to the Index. Credit Suisse shall not be liable for the results obtained by using, investing in, or trading insurance products. The Index is compiled, maintained and calculated by Credit Suisse. However, Credit Suisse shall not be liable (whether in negligence or otherwise) to any person for any error in the Index and Credit Suisse shall not be under any obligation to advise any person of any error therein.

Prior to purchasing any insurance product linked to (or based on) the Index, retail clients should refer to the corresponding consumer product brochure for more information about additional risks involved when the Index is used within an insurance product.

Obligations to make payments under insurance products linked to the Index are solely the obligation of the issuer of any such insurance product and are not the responsibility of Credit Suisse.

The Index is the exclusive property of and currently sponsored by the Index Creator. Any insurance products linked to the Index are not in any way sponsored, endorsed or promoted by Credit Suisse. Credit Suisse has no obligation to take the needs of any person into consideration in composing, determining or calculating the Index (or causing the Index to be calculated). In addition, Credit Suisse 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 level at which the Index stands at any particular time on any particular day or otherwise, and Credit Suisse 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 or under any obligation to advise any person of any errors or omissions therein. Credit Suisse shall not be liable for the results obtained by using, investing in, or trading in any insurance products linked to the Index. This material has been prepared by Credit Suisse and not by the Credit Suisse research department. It is not investment research or a research recommendation, as it does not constitute substantive research or analysis. It is provided for informational purposes, is intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. The information provided is not intended to provide a sufficient basis on which to make an investment decision. It is intended only to provide observations and views of certain Credit Suisse personnel, which may be different from, or inconsistent with, the observations and views of Credit Suisse research department analysts, other Credit Suisse personnel, or the proprietary positions of Credit Suisse. Observations and views expressed herein may be changed by Credit Suisse personnel at any time without notice. You should assume that the trading desk makes markets and/or currently maintains positions in any of the securities mentioned above.

ESG Disclaimer: There is currently no universal definition or exhaustive list defining the issues or factors that are covered by the concept of "ESG" (Environmental, Social, Governance). If not indicated otherwise, "ESG" is used interchangeably with the terms "sustainable" and "sustainability". Unless indicated otherwise, the views expressed herein are based on CS' own assumptions and interpretation of ESG at the time of drafting. CS' views on ESG may evolve over time and are subject to change.

Where an index is identified as including elements which track environmental, social or governance (ESG) objectives, CS is, wholly or in part, reliant on third-party sources of information (including, but not limited to, such information produced by the issuing/manufacturing company itself) and external guidance. These sources of information may be limited in terms of accuracy, availability and timeliness. It is possible that the data from ESG data providers may be incorrect, unavailable (e.g. not existing, or absence of look-through), or not fully updated. CS has not sought to independently verify information obtained from public and third-party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information. Additionally, as global laws, guidelines and regulations in relation to the tracking and provision of such data are evolving, all such disclosures are made on a non-reliance basis and are subject to change. Unless required by applicable law, CS is not obliged to provide updates on sustainability assessments. Any updates might be subject to a time lag, due to e.g. lack of available data.

An ESG assessment reflects the opinion of the assessing party (CS or external parties such as rating agencies or other financial institutions). In the absence of a standardized ESG assessment system, each assessing party has its own research and analysis framework/methodology. Therefore, ESG assessment or risk levels given by different assessing parties to the same index can vary. Further, ESG assessment is limited to considering company performance against certain ESG criteria only and does not take into account the other factors needed to assess the value of a company.

Unless this has been explicitly communicated in the index documentation, no representation is given as to whether the index meets any specific regulatory framework or CS' own criteria for internal sustainability frameworks.

Tax Disclaimer: Credit Suisse does not provide any tax advice. Any tax statement herein regarding any US federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purpose of avoiding any penalties. Any such statement herein was written to support the marketing or promotion of the transaction(s) or matter(s) to which the statement relates. Each taxpayer should seek advice based on the taxpayer's particular circumstances from an independent tax advisor. Notwithstanding anything to the contrary herein, each party (and each of their employees, representatives, or other agents) may disclose to any and all persons, without limitation of any kind, the U.S. tax treatment and U.S. tax structure of any transaction that may described or included within the information contained herein relating to such U.S. tax treatment and U.S. tax structure. For this purpose, the tax treatment of a transaction is the purported or claimed U.S. federal income tax treatment of the transaction, and the tax structure of a transaction is any fact that may be relevant to understanding the purported or claimed U.S. federal income tax treatment of any transaction.

ERISA: You understand that (i) Credit Suisse neither has nor exercises investment discretion with respect to any assets on behalf of any employee benefit plans or individual retirement accounts (collectively, "Plans") that may be involved with the purchase, holding, or redemption of a security, (ii) Credit Suisse is not undertaking to provide impartial investment advice or give advice in a fiduciary capacity on behalf of such Plans within the meaning of the U.S. Department of Labor's final regulation defining "investment advice" for purposes of the Employee Retirement Income Security Act of 1974, as amended and Section 4975 of the Internal Revenue Code of 1986, as amended, and (iii) the information or communication provided herein or otherwise to the Plans or a fiduciary on behalf of any of the Plans is intended to be, and should be construed as, general information, and it does not and will not take into account your legal, regulatory, tax, business, investment, financial, accounting or other needs or priorities with respect to any Plans.

License Agreement with MSCI: The CS ESG Macro 5 Index referred to herein is based in part on an MSCI index. MSCI indexes are the exclusive property of MSCI Inc. ("MSCI"). MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by Credit Suisse. The CS ESG Macro 5 Index referred to herein is not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to such index. No purchaser, seller or holder of any financial products based on the CS ESG Macro 5 Index, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote this financial product without first contacting MSCI to determine whether MSCI's permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI. ESG Disclosures for Indexes pursuant to the EU Benchmark Regulation: https:// www.msci.com/index-profile. These ESG Indices contain data since at least 2008 (see https://www.msci.com/esg/30-years-of-esg)