Obligation Swiss Credit 0% ( US22547V6424 ) en USD

Swiss Credit

100 % ⇌

Suisse

US22547V6424 ( en USD )

28/09/2018 - Obligation échue

Prospectus brochure de l'obligation Credit Suisse US22547V6424 en USD 0%, échue

1 000 USD

31 146 620 USD

22547V642

N/A

Credit Suisse était une grande banque suisse, active dans la gestion de fortune, l'investissement bancaire et les services financiers, avant sa prise de contrôle par UBS en mars 2023 suite à une crise de confiance.

Credit Suisse, une institution financière d'envergure mondiale basée en Suisse, avait émis une obligation identifiable par le code ISIN US22547V6424 et le code CUSIP 22547V642, laquelle est arrivée à pleine maturité et a été intégralement remboursée ; libellée en dollars américains (USD), cette émission totalisait 31 146 620 unités avec une taille minimale d'achat de 1 000 USD, et se distinguait par un taux d'intérêt de 0% et une notation "NR" (Non Noté) attribuée par l'agence Moodys, et ce, bien que sa documentation ait mentionné une fréquence de paiement de deux fois par an, son échéance étant survenue le 28 septembre 2018, date à laquelle elle se négociait à 100% de sa valeur nominale sur le marché avant son remboursement effectif.

424B2 1 dp69210_424b2-sun98.htm FORM 424B2
Pricing Supplement SUN-98

File d Pursua nt t o Rule 4 2 4 (b)(2 )
(To the Prospectus dated May 4, 2015, the
Re gist ra t ion St a t e m e nt N os. 3 3 3 -2 0 2 9 1 3
Prospectus Supplement dated May 4, 2015,
a nd
and the Product Supplement EQUITY INDICES
3 3 3 -1 8 0 3 0 0 -0 3
SUN-2 dated May 14, 2015)
3,114,662 Units
Pricing Date
September 29, 2016
$10 principal amount per unit
Settlement Date
October 6, 2016
CUSIP No. 22547V642
Maturity Date
September 28, 2018

Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s
Link e d t o t he Ene rgy Se le c t Se c t or I nde x

Maturity of approximately two years, if not called prior to maturity

Automatic call of the notes per unit at $10 plus the Call Premium ($1.42 on the Observation Date) if the Index is flat or increases above
100% of the Starting Value on the Observation Date

The Observation Date will occur approximately one year after the pricing date

If the notes are not called, at maturity:

a return of 26% if the Index is flat or increases up to the Step Up Value

a return equal to the percentage increase in the Index if the Index increases above the Step Up Value

1-to-1 downside exposure to decreases in the Index, with up to 100% of your principal at risk

All payments are subject to the credit risk of Credit Suisse AG

No periodic interest payments

In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See "Structuring the
Notes"

Limited secondary market liquidity, with no exchange listing

The notes are senior unsecured debt securities and are not insured or guaranteed by the U.S. Federal Deposit Insurance Corporation or
any other governmental agency of the United States, Switzerland or any other jurisdiction

T he not e s a re be ing issue d by Cre dit Suisse AG ("Cre dit Suisse "). T he re a re im port a nt diffe re nc e s be t w e e n t he
not e s a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt risk s a nd c e rt a in a ddit iona l c ost s. Se e "Risk
Fa c t ors" a nd "Addit iona l Risk Fa c t ors" be ginning on pa ge T S -7 of t his t e rm she e t a nd "Risk Fa c t ors" be ginning on
pa ge PS -7 of produc t supple m e nt EQU I T Y I N DI CES SU N -2 .

T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .7 0 pe r unit , w hic h is le ss t ha n t he public
offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-7 of this term sheet and
"Structuring the Notes" on page TS-14 of this term sheet for additional information. The actual value of your notes at any time will reflect many
factors and cannot be predicted with accuracy.
_________________________

None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has approved or
disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the
contrary is a criminal offense.
_________________________

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Per Unit
Total
Public offering price
$ 10.00
$31,146,620.00
Underwriting discount
$ 0.20
$622,932.40
Proceeds, before expenses, to Credit Suisse
$ 9.80
$30,523,687.60

T he not e s:
Are N ot FDI C I nsure d
Are N ot Ba nk Gua ra nt e e d
M a y Lose V a lue

M e rrill Lync h & Co.
September 29, 2016

Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
Summary

The Autocallable Market-Linked Step Up Notes Linked to the Energy Select Sector Index, due September 28, 2018 (the "notes") are our senior
unsecured debt securities. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or any other governmental
agency of the United States, Switzerland or any other jurisdiction and are not secured by collateral. T he not e s w ill ra nk e qua lly w it h a ll
of our ot he r unse c ure d a nd unsubordina t e d de bt . Any pa ym e nt s due on t he not e s, inc luding a ny re pa ym e nt of
princ ipa l, w ill be subje c t t o t he c re dit risk of Cre dit Suisse . The notes will be automatically called at the Call Amount if the
Observation Level of the Market Measure, which is the Energy Select Sector Index (the "Index"), is equal to or greater than the Call Level on the
Observation Date. If not called, at maturity, the notes provide you with a Step Up Payment if the Ending Value of the Index is equal to or greater
than its Starting Value, but is not greater than the Step Up Value. If the Ending Value is greater than the Step Up Value, you will participate on a
1-for-1 basis in the increase in the level of the Index above the Starting Value. If the Ending Value is less than the Starting Value, you will lose
all or a portion of the principal amount of your notes. Payments on the notes, including the amount you receive at maturity or upon an automatic
call, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to our credit risk.
See "Terms of the Notes" below.

The economic terms of the notes (including the Call Premium and the Call Amount) are based on the rate we are currently paying to borrow
funds through the issuance of market-linked notes (our "internal funding rate") and the economic terms of certain related hedging arrangements.
Our internal funding rate for market-linked notes is typically lower than a rate reflecting the yield on our conventional debt securities of similar
maturity in the secondary market (our "secondary market credit rate"). This difference in borrowing rate, as well as the underwriting discount and
the hedging related charge described below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the
pricing date. These costs will be effectively borne by you as an investor in the notes, and will be retained by us and MLPF&S or any of our
respective affiliates in connection with our structuring and offering of the notes. Due to these factors, the public offering price you pay to
purchase the notes is greater than the initial estimated value of the notes.

On the cover page of this term sheet, we have provided the initial estimated value for the notes. This estimated value was determined based on
our valuation of the theoretical components of the notes in accordance with our pricing models. These include a theoretical bond component
valued using our internal funding rate, and theoretical individual option components valued using mid-market pricing. You will not have any
interest in, or rights to, the theoretical components we use to determine the estimated value of the notes. The notes are subject to an automatic
call, and the initial estimated value is based on an assumed tenor of the notes. For more information about the initial estimated value and the
structuring of the notes, see "Structuring the Notes" on page TS-14.

Terms of the Notes

I ssue r:
Credit Suisse AG ("Credit Suisse"), acting
Ca ll Se t t le m e nt
Approximately the fifth business day following the

through its London branch.
Da t e :
Observation Date, subject to postponement if the
Observation Date is postponed, as described on page
PS-20 of product supplement EQUITY INDICES SUN-
2.
Princ ipa l
$10.00 per unit
Ca ll Pre m ium :
$1.42 per unit if called on October 5, 2017 (which
Am ount :
represents a return of 14.20% over the principal
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amount).
T e rm :
Approximately two years, if not called
Ending V a lue :
The closing level of the Market Measure on the

scheduled calculation day. The calculation day is
subject to postponement in the event of Market
Disruption Events, as described beginning on page
PS-20 of product supplement EQUITY INDICES SUN-
2.
M a rk e t
The Energy Select Sector Index (Bloomberg
St e p U p V a lue :
881.41 (126.00% of the Starting Value, rounded to
M e a sure :
symbol: "IXE"), a price return index
two decimal places).

St a rt ing V a lue : 699.53
St e p U p
$2.60 per unit, which represents a return of 26% over

Pa ym e nt :
the principal amount.
Obse rva t ion
The closing level of the Market Measure on
T hre shold
100% of the Starting Value.
Le ve l:
the Observation Date.
V a lue :

Obse rva t ion
October 5, 2017, subject to postponement
Ca lc ula t ion
September 21, 2018
Da t e :
in the event of Market Disruption Events, as
Da y:
described on page PS-20 of product
supplement EQUITY INDICES SUN-2.
Ca ll Le ve l:
100% of the Starting Value
Fe e s a nd
The underwriting discount of $0.20 per unit listed on

Cha rge s :
the cover page and the hedging related charge of
$0.075 per unit described in "Structuring the Notes" on
page TS-14.
Ca ll Am ount
$11.42 if called on October 5, 2017.
J oint
Credit Suisse International and Merrill Lynch, Pierce,
(pe r U nit ):
Ca lc ula t ion
Fenner & Smith Incorporated ("MLPF&S"), acting
Age nt s :
jointly.
Autocallable Market-Linked Step Up Notes
TS-2
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
Determining Payment on the Notes

Aut om a t ic Ca ll Provision

The notes will be called automatically on the Observation Date if the Observation Level on the Observation Date is equal to or greater than the
Call Level. If the notes are called, you will receive $10 per unit plus the Call Premium.

Re de m pt ion Am ount De t e rm ina t ion

If the notes are not automatically called, on the maturity date, you will receive a cash payment per unit determined as follows:

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Autocallable Market-Linked Step Up Notes
TS-3
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
The terms and risks of the notes are contained in this term sheet and in the following:

Product supplement EQUITY INDICES SUN-2 dated May 14, 2015:
http://www.sec.gov/Archives/edgar/data/1053092/000095010315003904/dp56236_424b2-sun2.htm

Prospectus supplement and prospectus dated May 4, 2015:
http://www.sec.gov/Archives/edgar/data/1053092/000104746915004333/a2224570z424b2.htm

These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may, without cost,
be accessed on the SEC website as indicated above or obtained from MLPF&S by calling 1-800-294-1322. Before you invest, you should read
the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any
other written materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet
have the meanings set forth in product supplement EQUITY INDICES SUN-2. Unless otherwise indicated or unless the context requires
otherwise, all references in this document to "we," "us," "our," or similar references are to Credit Suisse.

Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s if:
T he not e s m a y not be a n a ppropria t e inve st m e nt for you
if:

You are willing to receive a return on your investment capped at
You want to hold your notes for the full term.
the return represented by the Call Premium if the Observation

Level is equal to or greater than the Call Level.
You believe that the notes will not be automatically called and the

Index will decrease from the Starting Value to the Ending Value.
You anticipate that the notes will be automatically called or the

Index will increase from the Starting Value to the Ending Value.
You seek principal repayment or preservation of capital.

You are willing to risk a loss of principal and return if the notes
You seek interest payments or other current income on your
are not automatically called and the Index decreases from the
investment.
Starting Value to the Ending Value.

You want to receive dividends or other distributions paid on the
You are willing to forgo the interest payments that are paid on
stocks included in the Index.
traditional interest bearing debt securities.

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You seek an investment for which there will be a liquid secondary
You are willing to forgo dividends or other benefits of owning the
market.
stocks included in the Index.

You are unwilling or are unable to take market risk on the notes or
You are willing to accept a limited or no market for sales prior to
to take our credit risk as issuer of the notes.
maturity, and understand that the market prices for the notes, if

any, will be affected by various factors, including our actual and
perceived creditworthiness, our internal funding rate and fees
and charges on the notes.

You are willing to assume our credit risk, as issuer of the notes,
for all payments under the notes, including the Redemption
Amount.

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Autocallable Market-Linked Step Up Notes
TS-4
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
Hypothetical Payout Profile at Maturity

T he se hypot he t ic a l va lue s show a pa yout profile a t m a t urit y, w hic h w ould only a pply if t he not e s a re not c a lle d on
t he Obse rva t ion Da t e .

Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s
This graph reflects the returns on the notes, based on the Threshold
Value of 100% of the Starting Value, the Step Up Payment of $2.60 per
unit and the Step Up Value of 126% of the Starting Value. The green
line reflects the returns on the notes, while the dotted gray line reflects
the returns of a direct investment in the stocks included in the Index,
excluding dividends.

This graph has been prepared for purposes of illustration only.
See below table for a further illustration of the range of hypothetical
payments at maturity.

Hypothetical Payments at Maturity

The following table and examples are for purposes of illustration only. They are based on hypot he t ic a l values and show hypot he t ic a l
returns on the notes, assuming the notes are not called on the Observation Date. T he a c t ua l a m ount you re c e ive a nd t he re sult ing
t ot a l ra t e of re t urn w ill de pe nd on t he a c t ua l St a rt ing V a lue , T hre shold V a lue , Ending V a lue , St e p U p V a lue , w he t he r
t he not e s a re c a lle d on t he Obse rva t ion Da t e , a nd t e rm of your inve st m e nt .

The following table is based on a Starting Value of 100, a Threshold Value of 100, a Step Up Value of 126 and the Step Up Payment of $2.60
per unit. It illustrates the effect of a range of Ending Values on the Redemption Amount per unit of the notes and the total rate of return to
holders of the notes. The following examples do not take into account any tax consequences from investing in the notes.

Pe rc e nt a ge Cha nge from
t he St a rt ing V a lue t o t he
Re de m pt ion Am ount pe r
T ot a l Ra t e of Re t urn on t he
Ending V a lue
Ending V a lue
U nit
N ot e s
0.00
-100.00%
$0.00
-100.00%
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50.00
-50.00%
$5.00
-50.00%
80.00
-20.00%
$8.00
-20.00%
90.00
-10.00%
$9.00
-10.00%
100.00(1)(2)
0.00%
$12.60(3)
26.00%
110.00
10.00%
$12.60
26.00%
120.00
20.00%
$12.60
26.00%
126.00(4)
26.00%
$12.60
26.00%
130.00
30.00%
$13.00
30.00%
140.00
40.00%
$14.00
40.00%
150.00
50.00%
$15.00
50.00%
160.00
60.00%
$16.00
60.00%
(1)
The hypot he t ic a l Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual Starting
Value is 699.53, which was the closing level of the Market Measure on the pricing date.
(2)
This is the hypot he t ic a l Threshold Value.
(3)
This amount represents the sum of the principal amount and the Step Up Payment of $2.60.
(4)
This is the hypot he t ic a l Step Up Value.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the Ending Value
will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if
you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.

Autocallable Market-Linked Step Up Notes
TS-5
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s

Ex a m ple 1
The Ending Value is 90.00, or 90.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
100.00
Ending Value:
90.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
126.00
Ending Value:
110.00
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending Value is
equal to or greater than the Starting Value, but less than the Step Up Value.

Ex a m ple 3
The Ending Value is 140.00, or 140.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
126.00
Ending Value:
140.00
Redemption Amount per unit
Autocallable Market-Linked Step Up Notes
TS-6
Autocallable Market-Linked Step Up Notes
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Linked to the Energy Select Sector Index, due September 28, 2018
Risk Factors

There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks,
including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the "Risk Factors"
sections beginning on page PS-7 of product supplement EQUITY INDICES SUN-2 identified above. We also urge you to consult your
investment, legal, tax, accounting, and other advisors before you invest in the notes.

If the notes are not automatically called, depending on the performance of the Index as measured shortly before the maturity date, your
investment may result in a loss; there is no guaranteed return of principal.

Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of
comparable maturity.

Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the
value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.

If the notes are called, your investment return is limited to the return represented by the Call Premium.

Your investment return may be less than a comparable investment directly in the stocks included in the Index.

The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to our proprietary
pricing models. These pricing models consider certain factors, such as our internal funding rate on the pricing date, interest rates,
volatility and time to maturity of the notes, and they rely in part on certain assumptions about future events, which may prove to be
incorrect. Because our pricing models may differ from other issuers' valuation models, and because funding rates taken into account by
other issuers may vary materially from the rates used by us (even among issuers with similar creditworthiness), our estimated value
may not be comparable to estimated values of similar notes of other issuers.

Our internal funding rate for market-linked notes is typically lower than our secondary market credit rates, as further described in
"Structuring the Notes" on page TS-14. Because we use our internal funding rate to determine the value of the theoretical bond
component, if on the pricing date our internal funding rate is lower than our secondary market credit rates, the initial estimated value of
the notes will be greater than if we had used our secondary market credit rates in valuing the notes.

The public offering price you pay for the notes exceeds the initial estimated value. This is due to, among other transaction costs, the
inclusion in the public offering price of the underwriting discount and the hedging related charge, as further described in "Structuring the
Notes" on page TS-14.

Assuming no change in market conditions or other relevant factors after the pricing date, the market value of your notes may be lower
than the price you paid for them and lower than the initial estimated value. This is due to, among other things, the inclusion in the public
offering price of the underwriting discount and the hedging related charge and the internal funding rate we used in pricing the notes, as
further described in "Structuring the Notes" on page TS-14. These factors, together with customary bid ask spreads, other transaction
costs and various credit, market and economic factors over the term of the notes, including changes in the level of the Index, are
expected to reduce the price at which you may be able to sell the notes in any secondary market and will affect the value of the notes in
complex and unpredictable ways.

A trading market is not expected to develop for the notes. Neither we nor MLPF&S is obligated to make a market for, or to repurchase,
the notes. The initial estimated value does not represent a minimum or maximum price at which we, MLPF&S or any of our affiliates
would be willing to purchase your notes in any secondary market (if any exists) at any time. MLPF&S has advised us that any
repurchases by them or their affiliates will be made at prices determined by reference to their pricing models and at their discretion, and
these prices will include MLPF&S's trading commissions and mark-ups. If you sell your notes to a dealer other than MLPF&S in a
secondary market transaction, the dealer may impose its own discount or commission. MLPF&S has also advised us that, at its
discretion and for your benefit, assuming no changes in market conditions from the pricing date, MLPF&S may offer to buy the notes in
the secondary market at a price that may exceed the initial estimated value of the notes for a short initial period after the issuance of
the notes. That higher price reflects costs that were included in the public offering price of the notes, and that higher price may also be
initially used for account statements or otherwise. There is no assurance that any party will be willing to purchase your notes at any
price in any secondary market.

Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trading in shares of
companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective affiliates engage in for our
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clients' accounts, may affect the market value and return of the notes and may create conflicts of interest with you.

The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.

You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or
dividends or other distributions by the issuers of those securities.

While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index, we, MLPF&S
and our respective affiliates do not control any company included in the Index, and are not responsible for any disclosure made by any
other company.

There may be potential conflicts of interest involving the calculation agents. We have the right to appoint and remove the calculation
agents.

Autocallable Market-Linked Step Up Notes
TS-7
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018

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, 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.

The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See "Material U.S.
Federal Income Tax Considerations" below and "Material U.S. Federal Income Tax Considerations" beginning on page PS-29 of
product supplement EQUITY INDICES SUN-2.

Autocallable Market-Linked Step Up Notes
TS-8
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
Additional Risk Factors

M LPF& S, a c t ing a s t he I nde x Com pila t ion Age nt , de t e rm ine s t he c om posit ion of t he I nde x ba se d on t he se c t or
c la ssific a t ion m e t hodology of S& P Dow J one s I ndic e s (a s de fine d be low ).

The stocks included in the Index are selected by MLPF&S (the "Index Compilation Agent"). The Index Compilation Agent assigns a company's
stock to the Index based on S&P Dow Jones Indices's sector classification methodology as set forth in its Global Industry Classification
Standard. S&P Dow Jones Indices has sole control over the removal of stocks from the S&P 500® Index and the selection of replacement
stocks to be added to the S&P 500® Index. The Index Compilation Agent will compile the Index without regard to the notes. The Index
Compilation Agent has no obligation to take the interests of the holders of the notes into consideration in compiling the Index.

S& P Dow J one s I ndic e s m a y c a use a n a djust m e nt t o t he S& P 5 0 0 ® I nde x in a w a y t ha t a ffe c t s it s le ve l, a nd ha s no
obliga t ion t o c onside r your int e re st s.

S&P Dow Jones Indices is responsible for calculating and maintaining the S&P 500® Index, from which the stocks included in the Index are
selected. S&P Dow Jones Indices can add, delete, or substitute the stocks included in the S&P 500® Index or make other methodological
changes that could change the level of the S&P 500® Index and therefore the composition and level of the Index. Changing the companies
included in the Index may affect the level of the Index, as a newly added company may perform significantly better or worse than the company or
companies it replaces. Additionally, S&P Dow Jones Indices may alter, discontinue or suspend calculation or dissemination of the S&P 500®
Index, any of which could adversely affect the value of the notes. S&P Dow Jones Indices has no obligation to consider your interests in
calculating or revising the S&P 500® Index.

T he st oc k s inc lude d in t he I nde x a re c onc e nt ra t e d in one se c t or.

All of the stocks included in the Index are issued by companies in the energy sector. As a result, the stocks that will determine the performance
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of the notes are concentrated in one sector. Although an investment in the notes will not give holders any ownership or other direct interests in
the stocks underlying the Index, the return on an investment in the notes will be subject to certain risks associated with a direct equity
investment in companies in the energy sector. Accordingly, by investing in the notes, you will not benefit from the diversification which could
result from an investment linked to companies that operate in multiple sectors.

A lim it e d num be r of I nde x c om pone nt s m a y a ffe c t t he I nde x le ve l a nd t he I nde x is not ne c e ssa rily re pre se nt a t ive of
t he e ne rgy se c t or.

As of September 28, 2016, the top three Index components constituted 39.81% of the total weight of the Index. Any reduction in the market price
of those securities is likely to have a substantial adverse impact on the level of the Index and the value of the notes.

While the securities included in the Index are common stocks of companies generally considered to be involved in various segments of the
energy sector, the securities included in the Index may not follow the price movements of the entire energy sector generally. If the securities
included in the Index decline in value, the Index will decline in value even if security prices in the energy sector generally increase in value.

T he st oc k s of c om pa nie s in t he e ne rgy se c t or a re subje c t t o sw ift pric e fluc t ua t ions.

The issuers of the stocks included in the Index develop and produce, among other things, crude oil and natural gas, and provide, among other
things, drilling services and other services related to energy resources production and distribution. Stock prices for these types of companies
are affected by supply and demand both for their specific product or service and for energy products in general. The price of oil and gas,
exploration and production spending, government regulation, world events and economic conditions will likewise affect the performance of these
companies. Correspondingly, the stocks of companies in the energy sector are subject to swift price fluctuations caused by events relating to
international politics, energy conservation, the success of exploration projects and tax and other governmental regulatory policies. Weak
demand for the companies' products or services or for energy products and services in general, as well as negative developments in these other
areas, would adversely impact the value of the stocks included in the Index and, therefore, the level of the Index and the value of the notes.

Autocallable Market-Linked Step Up Notes
TS-9
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
The Index

All disclosures contained in this term sheet regarding the Index, the Select Sector Indices, and the S&P 500® Index, including, without limitation,
their make-up, method of their calculation, and changes in their components, have been derived from publicly available sources. The information
reflects the policies of, and is subject to change by, S&P Dow Jones Indices LLC and MLPF&S, as described in this section and in the sections
"Risk Factors" and "Additional Risk Factors" above. The consequences of any discontinuance of the Index are discussed in the section entitled
"Description of the Notes--Discontinuance of an Index" beginning on page PS-22 of product supplement EQUITY INDICES SUN-2. None of us,
the calculation agents; or MLPF&S accepts any responsibility for the calculation, maintenance, or publication of the Index or any successor
index.

T he Se le c t Se c t or I ndic e s

The Index is one of the Select Sector Indices. The Select Sector Indices are sub-indices of the S&P 500® Index. Each stock in the S&P 500®
Index is allocated to only one Select Sector Index, and the combined companies of the eleven Select Sector Indices represent all of the
companies in the S&P 500® Index. The industry indices are sub-categories within each Select Sector Index and represent a specific industry
segment of the overall Select Sector Index. The eleven Select Sector Indices seek to represent the ten S&P 500® Index sectors. The S&P 500®
Index sectors, with the approximate percentage of the market capitalization of the S&P 500® Index included in each sector as of August 31,
2016 indicated in parentheses: Consumer Discretionary (12.2%); Consumer Staples (10.1%); Energy (7.0%); Financials (16.3%); Health Care
(14.6%); Industrials (9.9%); Information Technology (21.0%); Materials (2.9%); Telecommunication Services (2.7%); and Utilities (3.2%).
MLPF&S, acting as the Index Compilation Agent, determines the composition of the Select Sector Indices based on S&P's sector classification
methodology.

Each Select Sector Index was developed and is maintained in accordance with the following criteria:

·
Each of the component stocks in a Select Sector Index (the "Component Stocks") is a constituent company of the S&P 500® Index.

·
The eleven Select Sector Indices together will include all of the companies represented in the S&P 500® Index and each of the stocks
®
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in the S&P 500 Index will be allocated to one and only one of the Select Sector Indices.

·
The Index Compilation Agent assigns each constituent stock of the S&P 500® Index to a Select Sector Index. The Index Compilation
Agent assigns a company's stock to a particular Select Sector Index based on S&P Dow Jones Indices's sector classification
methodology as set forth in its Global Industry Classification Standard.

·
Each Select Sector Index is calculated by S&P Dow Jones Indices using a modified "market capitalization" methodology. This design
ensures that each of the component stocks within a Select Sector Index is represented in a proportion consistent with its percentage
with respect to the total market capitalization of that Select Sector Index. However, under certain conditions, the number of shares of a
component stock within the Select Sector Index may be adjusted to conform to Internal Revenue Code requirements.

·
For reweighting purposes, each Select Sector Index is rebalanced quarterly after the close of business on the second to last calculation
day of March, June, September and December using the following procedures: (1) The rebalancing reference date is two business days
prior to the last calculation day of each quarter; (2) With prices reflected on the rebalancing reference date, and membership, shares
outstanding, additional weight factor (capping factor) and investable weight factors (as described in the section "Computation of the
S&P 500 Index®" below) as of the rebalancing effective date, each company is weighted using the modified market capitalization
methodology. Modifications are made as defined below.

(i) The indices are first evaluated to ensure none of the indices breach the maximum allowable limits defined in rules (ii) and (v)
below. If any of the allowable limits are breached, the component stocks are reweighted based on their float-adjusted market
capitalization weights.

(ii) If any component stock has a weight greater than 24%, that component stock has its float-adjusted market capitalization weight
capped at 23%. The 23% weight cap creates a 2% buffer to ensure that no component stock exceeds 25% as of the quarter-end
diversification requirement date.

(iii) All excess weight is equally redistributed to all uncapped component stocks within the relevant Select Sector Index.

(iv) After this redistribution, if the float-adjusted market capitalization weight of any other component stock(s) then breaches 23%,
the process is repeated iteratively until no component stock s breaches the 23% weight cap.

(v) The sum of the component stocks with weight greater than 4.8% cannot exceed 50% of the total index weight. These caps are
set to allow for a buffer below the 5% limit.

(vi) If the rule in step (v) is breached, all the component stocks are ranked in descending order of their float-adjusted market
capitalization weights and the first component stock that causes the 50% limit to be breached has its weight reduced to 4.6%.

(vii) This excess weight is equally redistributed to all component stocks with weights below 4.6%. This process is repeated
iteratively until step (v) is satisfied.

(viii) Index share amounts are assigned to each component stock to arrive at the weights calculated above. Since index shares
are assigned based on prices one business day prior to rebalancing, the actual weight of each component stock at the rebalancing
differs somewhat from these weights due to market movements.

(ix) If necessary, the reweighting process may take place more than once prior to the close on the last business day of March,
June, September or December to ensure conformity with all diversification requirements.

Autocallable Market-Linked Step Up Notes
TS-10
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due September 28, 2018
Each Select Sector Index is calculated using the same methodology utilized by S&P Dow Jones Indices in calculating the S&P 500® Index,
using a base-weighted aggregate methodology. The daily calculation of each Select Sector Index is computed by dividing the total market value
of the companies in the Select Sector Index by a number called the index divisor.

The Index Compilation Agent at any time may determine that a Component Stock which has been assigned to one Select Sector Index has
undergone such a transformation in the composition of its business, and should be removed from that Select Sector Index and assigned to a
different Select Sector Index. In the event that the Index Compilation Agent notifies S&P Dow Jones Indices that a Component Stock's Select
Sector Index assignment should be changed, S&P Dow Jones Indices will disseminate notice of the change following its standard procedure for
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