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Published on 2/18/2014 in the Prospect News Structured Products Daily.

New Issue: Credit Suisse prices $1.48 million additional VelocityShares 3x Long Silver ETNs

By Toni Weeks

San Luis Obispo, Calif., Feb. 18 - Credit Suisse AG, Nassau Branch priced another $1.48 million of 0% VelocityShares 3x Long Silver exchange-traded notes due Oct. 14, 2031 linked to the S&P GSCI Silver Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The $12.5 million principal amount of additional notes priced at 11.84542, or $59.2271 per $500 principal amount, for proceeds of $1,480,677.50.

The issuer has priced $2.01 billion of the notes since Oct. 14, 2011 at prices ranging from 8.51064 to 114.48.

On Aug. 30, 2013, the company implemented a 1-for-10 reverse split of the notes, increasing the face amount to $500 from $50, and changed the Cusip number.

The payout at maturity will be the closing indicative value of the notes on Oct. 8, 2031.

The adjusted closing indicative value of the notes on the inception date, Oct. 14, 2011, was $500. The closing indicative value on each subsequent day equals (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee.

The closing indicative value will never be less than zero. If the intraday indicative value of the notes is less than or equal to zero at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero.

The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) three times the index return on that day. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate.

The daily investor fee equals (a) the closing indicative value on the preceding day times (b) 0.0165 divided by (c) 365.

The notes are putable at a minimum of $1.25 million. Holders will receive the closing indicative value minus an early redemption charge of 0.05%.

The notes are listed on the NYSE Arca under the ticker symbol "USLV."

Credit Suisse Securities (USA) LLC is the agent.

Issuer:Credit Suisse AG, Nassau Branch
Issue:VelocityShares 3x Long Silver exchange-traded notes
Underlying index:S&P GSCI Silver Index Excess Return
Amount:$2,011,240,840, increased from original $5 million
Maturity:Oct. 14, 2031
Coupon:0%
Prices:Par of $500 for original $5 million; 11.84542 for latest $12.5 million
Payout at maturity:Closing indicative value on Oct. 8, 2031; closing indicative value equals (a) (i) closing indicative value on preceding day times (ii) daily ETN performance minus (b) daily investor fee
Daily ETN performance:One plus daily accrual plus three times index return on that day
Daily investor fee:Closing indicative value on preceding day times 0.0165 divided by 365
Initial indicative value:$500
Put option:Subject to minimum of $1.25 million notes; payout is closing indicative minus early redemption charge of 0.05%
Pricing dates:Oct. 14, 2011 for original $5 million; Feb. 14 for latest $12.5 million
Settlement dates:Oct. 19, 2011 for original issue; Feb. 20 for latest add-on
Agent:Credit Suisse Securities (USA) LLC
Fees:None
Listing:NYSE Arca: USLV
Cusip:22539T597, changed from 22542D662

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