Credit Suisse Announces Coupon Payments and Expected Coupon Payments on Credit Suisse X-Links® Exchange Traded Notes (the "ETNs")

ETN Ticker

ETN Name

Closing
Indicative
Value on  
7/30/21

Ex-Date

Record Date

Payment Date

Coupon
Amount
per ETN

Coupon
Frequency

Current Yield¹

REML

Credit Suisse
X-Links^® 
Monthly Pay
2xLeveraged
Mortgage
REIT  ETN

$    6.9009

8/11/21

8/12/21

8/20/21

$0.0567

Monthly

16.93%²

ETN Ticker

ETN Name

Closing
Indicative
Value on  
7/30/21

Ex-Date

Record Date

Payment Date

Expected 
Coupon
Amount
per ETN³

Coupon
Frequency

Expected
Current
Yield⁴

USOI

Credit Suisse
X-Links^® Crude
Oil Shares
Covered Call
ETN

$     5.3768

8/19/21

8/20/21

8/25/21

$0.0682

Monthly

14.54%⁵

GLDI

Credit Suisse
X-Links^® Gold
Shares
Covered Call
ETN

$      8.7389

8/19/21

8/20/21

8/25/21

$0.0773

Monthly

7.87%⁵

SLVO

Credit Suisse
X-Links^® Silver
Shares
Covered Call
ETN

$      5.8495

8/19/21

8/20/21

8/25/21

$0.0504

Monthly

19.25%⁵

1.

For each ETN, the Current Yield equals the Coupon Amount, annualized and divided by the Closing Indicative Value, as discussed in more detail below.  The Current Yield, which is based on an ETN's Coupon Amount and its two most recent coupon payments, is not indicative of future coupon payments, if any, on the ETNs.  In particular, future coupon payments on an ETN may differ significantly from its Current Yield, if its Closing Indicative Value fluctuates widely in a volatile market.  You are not guaranteed any coupon payment or distribution under the ETNs.  Coupon payments for the ETNs (if any) are variable and do not represent fixed, periodic interest payments.  The Coupon Amount for any ETN may vary significantly from coupon period to coupon period and may be zero.  Accordingly, the Current Yield will change over time, and such change may be significant. Any payment on the ETNs is subject to Credit Suisse's ability to pay its obligations as they become due.  For more information regarding any ETN's coupon payments, please refer to such ETN's pricing supplement.

2.

The Current Yield for the ETN equals the sum of (i) the Coupon Amount plus (ii) the amount of the ETN's two most recent coupon payments, multiplied by four (to annualize such amounts), divided by the Closing Indicative Value, and rounded to two decimal places for ease of analysis.

3.

 On July 12, 2021, the Credit Suisse Nasdaq Gold FLOWS^TM 103 Index, the Credit Suisse Nasdaq Silver FLOWS^TM 106 Index and the Credit Suisse Nasdaq WTI Crude Oil FLOWS^TM 106 Index (the "Indices") concluded the notional sale of options on GLD shares, SLV shares and USO shares, respectively, with August 2021 expiration.  We expect that the notional cash distribution generated by this sale of options will be withdrawn from the Indices on August 16, 2021, subject to adjustment in the event of any market disruption events.  Assuming no redemption or acceleration of GLDI, SLVO and USOI, and that the notional cash distribution is withdrawn from the Indices on August 16, 2021, we expect to declare a Coupon Amount for GLDI, SLVO and USOI, respectively, equal to the corresponding Expected Coupon Amount.  The Expected Coupon Amount is subject to change upon the occurrence of a disruption event or other unforeseen circumstances.

4.

  For each ETN, the Expected Current Yield equals the Expected Coupon Amount annualized and divided by the Closing Indicative Value, as discussed in more detail below.  The Expected Current Yield, which is based on an ETN's Expected Coupon Amount and its two most recent coupon payments, is not indicative of future coupon payments, if any, on the ETNs.  In particular, future coupon payments on an ETN may differ significantly from its Expected Current Yield, if its Closing Indicative Value fluctuates widely in a volatile market.  You are not guaranteed any coupon payment or distribution under the ETNs.  Coupon payments for the ETNs (if any) are variable and do not represent fixed, periodic interest payments.  The Expected Coupon Amount for any ETN may vary significantly from coupon period to coupon period and may be zero.  Accordingly, the Expected Current Yield will change over time, and such change may be significant.  Any payment on the ETNs is subject to Credit Suisse's ability to pay its obligations as they become due.  For more information regarding any ETN's coupon payments, please refer to such ETN's pricing supplement.

5.

The Expected Current Yield for the ETN equals the sum of (i) the Expected Coupon Amount, plus (ii) the amount of the ETN's two most recent coupon payments, multiplied by four (to annualize such amounts), divided by the Closing Indicative Value, and rounded to two decimal places for ease of analysis.  The Expected Current Yield is subject to change upon the occurrence of a disruption event or other unforeseen circumstances.