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Credit Suisse Announces the Launch of a Mortgage REIT Exchange Traded Note: Credit Suisse X-Links Monthly Pay 2xLeveraged Mortgage REIT ETN

Credit Suisse today announced the launch of its X-LinksTM Monthly Pay 2xLeveraged Mortgage REIT ETN, which is listed on NYSE Arca under the ticker symbol “REML” and will begin trading this morning

ETN Ticker


Underlying Index

FTSE NAREIT All Mortgage Capped Index (price return)

Index Ticker




2x Index Yield1


Income Potential

Variable monthly coupon2

Tracking Rate

0.50% per annum, accrued on a daily basis3

Financing Rate

3 Month LIBOR + 0.80% per annum, accrued on a daily basis3

Indicative Value Ticker4

REMLIV <INDEX> (Bloomberg) / ^REML-IV (Yahoo! Finance)

1 The 2x Index Yield was calculated by the Index Sponsor as of July 6, 2016 and represents two (2) times the weighted-average of the 12-month dividend yields of the current Index Constituents. The comparable 12-month yield of the ETNs is affected by a variety of factors, and at any given time may be less than the 2x Index Yield at such time.

2 Investors are not guaranteed any coupon or distribution amount under the ETN. Any payment on the ETNs is subject to our ability to pay our obligations as they become due.

3 In addition to the Accrued Tracking Fee (based on the Tracking Rate) and Accrued Financing Charge (based on the Financing Rate), if your ETNs are redeemed directly with Credit Suisse, you will be charged a Redemption Fee. Please see the pricing supplement for disclosure of fees and charges. Please consult your financial advisor to learn more about the costs associated with the purchase or sale of this ETN in the secondary market.

4 The Intraday Indicative Value and the Closing Indicative Value will be published on each Trading Day under the Bloomberg ticker symbol "REMLIV <INDEX>" and under the Yahoo! Finance ticker symbol "^REML-IV". The "indicative value" for the ETNs is designed to reflect the economic value of the ETNs at a given time. The indicative value is a calculated value and is not the same as the trading price of the ETNs and is not a price at which you can buy or sell the ETNs in the secondary market. The indicative value does not take into account the factors that influence the trading price of the ETNs, such as imbalances of supply and demand, lack of liquidity and credit considerations. The actual trading price of the ETNs in the secondary market may vary significantly from their indicative value. Investors can compare the trading price (if such concurrent trading price is available) of the ETNs against the indicative value to determine whether the ETNs are trading in the secondary market at a premium or a discount to the economic value of the ETNs at any given time. Investors are cautioned that paying a premium purchase price over the indicative value at any time could lead to the loss of any premium in the event the investor sells the ETNs when such premium is no longer present in the market place or your ETNs are repurchased by us (including if we exercise our right to call the ETNs). It is also possible that the ETNs will trade in the secondary market at a discount below the indicative value and that investors would receive less than the indicative value if they had to sell their ETNs in the market at such time.

About REML and the FTSE NAREIT All Mortgage Capped Index

REML provides a monthly compounded, 2x leveraged long exposure to the price return version of the FTSE NAREIT All Mortgage Capped Index (the "Index") and may pay a variable monthly coupon linked to the net cash distributions, if any, of the Index Constituents. The Index measures the performance of tax-qualified U.S. mortgage REITs. FTSE International Limited ("FTSE"), the Index Sponsor, selects the Index Constituents and, in its capacity as Index Calculation Agent, calculates the Index. Levels for the price return version of the Index are disseminated real-time under the Bloomberg ticker symbol "FNMRC" and the Reuters instrument code ".FTFNMRC". The Index was launched on December 19, 2008 and, therefore, has no performance history prior to that date.

"REML provides leveraged exposure to a diversified portfolio of tax-qualified U.S. mortgage REITs," said Paul Somma, Head of Exchange Traded Notes at Credit Suisse. "It is designed for investors who are familiar with mortgage REITs and the risks of leveraged investments and are attracted by the yield opportunity offered by this investment."

More information on the Credit Suisse X-Links Monthly Pay 2xLeveraged Mortgage REIT ETN can be found on: www.credit-suisse.com/etn

The ETNs may not be suitable for all investors and should be purchased only by knowledgeable

investors who understand the potential consequences of investing in the ETNs. The ETNs are subject to the credit risk of Credit Suisse. You may receive less, and possibly significantly less, than the principal amount of your investment at maturity or upon repurchase or sale. There is no actual portfolio of assets in which any investor in the ETNs has any ownership or other interest. An investment in the ETNs involves significant risks. For further information regarding risks, please see the section entitled "Risk Factors" in the applicable pricing supplement.