Obbligazione Swiss Credit 0% ( US22539W7983 ) in USD

Emittente Swiss Credit
Prezzo di mercato 100 USD  ⇌ 
Paese  Svizzera
Codice isin  US22539W7983 ( in USD )
Tasso d'interesse 0%
Scadenza 31/01/2020 - Obbligazione č scaduto



Prospetto opuscolo dell'obbligazione Credit Suisse US22539W7983 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 36 620 070 USD
Cusip 22539W798
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Descrizione dettagliata Credit Suisse č stata una grande banca svizzera, fallita nel marzo 2023 e acquisita da UBS.

The Obbligazione issued by Swiss Credit ( Switzerland ) , in USD, with the ISIN code US22539W7983, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 31/01/2020







424B2 1 dp53116_424b2-lirn15.htm FORM 424B2
CALCULATION OF REGISTRATION FEE





Maximum Aggregate
Amount of Registration


Title
Offering Price
Fee
Notes

$36,620,070.00

$4,255.25


Term Sheet LIRN-15

File d Pursua nt t o Rule 4 2 4 (b)(2 )
(To the Prospectus dated March 23, 2012, the
Re gist ra t ion St a t e m e nt N o. 3 3 3 -1 8 0 3 0 0 -0 3
Prospectus Supplement dated March 23, 2012, and
the Product Supplement EQUITY INDICES LIRN-2
dated October 7, 2013)



3,662,007 Units
Pricing Date
January 29, 2015
$10 principal amount per unit
Settlement Date
February 5, 2015
CUSIP No. 22539W798
Maturity Date
January 31, 2020







Le ve ra ge d I nde x Re t urn N ot e sŪ Link e d t o t he
Dow J one s I ndust ria l Ave ra ge SM

Maturity of approximately five years

107.80% leveraged upside exposure to increases in the Index

1-to-1 downside exposure to decreases in the Index beyond a 20% decline, with up to 80% of your principal at risk

All payments occur at maturity and are subject to the credit risk of Credit Suisse AG

No periodic interest payments

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" be ginning on pa ge T S-6 of t his t e rm she e t a nd be ginning on pa ge PS-6 of produc t
supple m e nt EQU I T Y I N DI CES LI RN -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 .6 9 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-6 of this term sheet and
"Structuring the Notes" on page TS-9 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.
_________________________


Per Unit
Total
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Public offering price
$10.00
$36,620,070.00
Underwriting discount
$0.25
$ 915,501.75
Proceeds, before expenses, to Credit Suisse
$9.75
$35,704,568.25


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.
January 29, 2015





Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020


Summary

The Leveraged Index Return NotesŪ Linked to the Dow Jones Industrial AverageSM, due January 31, 2020 (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 provide you a leveraged return if the Ending Value of the Market Measure, which is
the Dow Jones Industrial AverageSM (the "Index"), is greater than its Starting Value. If the Ending Value is equal to or less than the Starting Value
but greater than or equal to the Threshold Value, you will receive the principal amount of your notes. If the Ending Value is less than the Threshold
Value, you will lose a portion, which could be significant, of the principal amount of your notes. Payments on the notes, including the amount you
receive at maturity, 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 Participation Rate) 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 used to determine the estimated value of the notes. For more information about the initial estimated value
and the structuring of the notes, see "Structuring the Notes" on page TS-9.


Terms of the Notes
Redemption Amount Determination



I ssue r:
Credit Suisse AG ("Credit Suisse"), acting On the maturity date, you will receive a cash payment per unit determined
through its London Branch.
as follows:
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Princ ipa l
$10.00 per unit

Am ount :
T e rm :
Approximately five years

M a rk e t
Dow Jones Industrial AverageSM
M e a sure :
(Bloomberg symbol: "INDU"), a price
return index.
St a rt ing V a lue :
17,416.85
Ending V a lue :
The average of the closing levels of the
Market Measure on each scheduled
calculation day occurring during the
maturity valuation period. The calculation
days are subject to postponement in the
event of Market Disruption Events, as
described on page PS-19 of product
supplement EQUITY INDICES LIRN-2.
T hre shold
13,933.48 (80% of the Starting Value,
V a lue :
rounded to two decimal places).
Pa rt ic ipa t ion
107.80%
Ra t e :
M a t urit y
January 22, 2020, January 23, 2020,
V a lua t ion
January 24, 2020, January 27, 2020 and
Pe riod:
January 28, 2020
Fe e s a nd
The underwriting discount of $0.25 per
Cha rge s:
unit listed on the cover page and the
hedging related charge of $0.075 per unit
described in "Structuring the Notes" on
page TS-9.
J oint
Credit Suisse International and Merrill
Ca lc ula t ion
Lynch, Pierce, Fenner & Smith
Age nt s:
Incorporated ("MLPF&S"), acting jointly.


Leveraged Index Return NotesŪ
TS-2



Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020


The terms and risks of the notes are contained in this term sheet and in the following:


Product supplement EQUITY INDICES LIRN-2 dated October 7, 2013:

http://www.sec.gov/Archives/edgar/data/1053092/000095010313005861/dp40915_424b2-lirn.htm


Prospectus supplement and prospectus dated March 23, 2012:

http://www.sec.gov/Archives/edgar/data/1053092/000104746912003186/a2208088z424b2.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 1-866-500-5408. 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 LIRN-
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.
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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
T he not e s m a y not be a n a ppropria t e inve st m e nt for
if:
you if:
You anticipate that the Index will increase from the Starting
You believe that the Index will decrease from the Starting
Value to the Ending Value.
Value to the Ending Value or that it will not increase

sufficiently over the term of the notes to provide you with
You are willing to risk a loss of principal and return if the
your desired return.
Index decreases from the Starting Value to an Ending Value

that is below the Threshold Value.
You seek 100% principal repayment or preservation of

capital.
You are willing to forgo the interest payments that are paid on
traditional interest bearing debt securities.
You seek interest payments or other current income on your

investment.
You are willing to forgo dividends or other benefits of owning

the stocks included in the Index.
You want to receive dividends or other distributions paid on

the stocks included in the Index.
You are willing to accept a limited market for sales prior to

maturity, and understand that the market prices for the notes, You seek an investment for which there will be a liquid
if any, will be affected by various factors, including our actual
secondary market.
and perceived creditworthiness, our internal funding rate and

fees and charges on the notes.
You are unwilling or are unable to take market risk on the

notes or to take our credit risk as issuer of 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.

Leveraged Index Return NotesŪ
TS-3



Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020

Hypothetical Payout Profile
Le ve ra ge d I nde x Re t urn N ot e sŪ
This graph reflects the returns on the notes, based on the

Participation Rate of 107.80% and the Threshold Value of 80% 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.






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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. 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 , Pa rt ic ipa t ion Ra t e , Ending V a lue , 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 80 and the Participation Rate of 107.80%. 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
Ending V a lue
Ending V a lue
U nit (1)
t he N ot e s
0.00
-100.00%
$2.000
-80.00%
50.00
-50.00%
$7.000
-30.00%
70.00
-30.00%
$9.000
-10.00%
80.00(2)
-20.00%
$10.000
0.00%
90.00
-10.00%
$10.000
0.00%
94.00
-6.00%
$10.000
0.00%
97.00
-3.00%
$10.000
0.00%
100.00(3)
0.00%
$10.000
0.00%
102.00
2.00%
$10.216
2.16%
105.00
5.00%
$10.539
5.39%
110.00
10.00%
$11.078
10.78%
120.00
20.00%
$12.156
21.56%
130.00
30.00%
$13.234
32.34%
140.00
40.00%
$14.312
43.12%
150.00
50.00%
$15.390
53.90%
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160.00
60.00%
$16.468
64.68%

(1)
The Redemption Amount per unit is based on the hypot he t ic a l Participation Rate.

(2)
This is the hypot he t ic a l Threshold Value.

(3)
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 17,416.85, which was the closing level of the Market Measure on the pricing date.

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.


Leveraged Index Return NotesŪ
TS-4



Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020


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 70.00, or 70.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 80.00
Ending Value: 70.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 90.00, or 90.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 80.00
Ending Value: 90.00
Redemption Amount (per unit) = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value but equal
to or greater than the Threshold Value.

Ex a m ple 3
The Ending Value is 150.00, or 150.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 150.00
= $ 1 5 .3 9 Redemption Amount per unit


Leveraged Index Return NotesŪ
TS-5



Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020

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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-6 of product supplement EQUITY INDICES LIRN-2 identified above. We also urge you to consult your investment, legal, tax,
accounting, and other advisors before you invest in the notes.



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.



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-. 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-.



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-. 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 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.

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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 agent. We have the right to appoint and remove the calculation agent.



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 Consequences" beginning on page PS-26 of product
supplement EQUITY INDICES LIRN-2.


Leveraged Index Return NotesŪ
TS-6



Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020


The Index

All disclosures contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation, and
changes in its components, have been derived from publicly available sources. The information reflects the policies of Dow Jones
Indexes, the marketing name of S&P Dow Jones Indices LLC (the "Index sponsor"), and is subject to change by Dow Jones Indexes.
Dow Jones Indexes has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the
Index sponsor discontinuing publication of the Index are discussed in the section entitled "Description of LIRNs--Discontinuance of an
Index" beginning on page PS-20 of product supplement EQUITY INDICES LIRN-2. None of us, the calculation agent, or MLPF&S
accepts any responsibility for the calculation, maintenance or publication of the Index or any successor index.

The Index is a price- weighted index comprised of 30 common stocks selected at the discretion of the editors of The Wall Street
Journal, which is published by Dow Jones Indexes, as representative of the broad market of U.S. industry. There are no pre-
determined criteria for selection of a component stock, except that component companies represented by the Index should be
established U.S. companies that are leaders in their industries. The Index serves as a measure of the entire U.S. market, including
such sectors as financial services, technology, retail, entertainment and consumer goods, and is not limited to traditionally defined
industrial stocks. The Index is reported by Bloomberg L.P. under the ticker symbol "INDU."

Methodology of the Index

The Index is a price-weighted index, which means an underlying stock's weight in the Index is based on its price per share rather than
the total market capitalization of the issuer. The Index is designed to provide an indication of the composite performance of 30
common stocks of corporations representing a broad cross-section of U.S. industry. The corporations represented in the Index tend to
be market leaders in their respective industries and their stocks are typically widely held by individuals and institutional investors.

The Index is maintained by an Averages Committee comprised of the Managing Editor of The Wall Street Journal, the head of Dow
Jones Indexes research and the head of CME Group research. The Averages Committee was created in March 2010, when Dow
Jones Indexes became part of CME Group Index Services, LLC, a joint venture company owned 90% by CME Group Inc. and 10% by
Dow Jones & Company. Generally, composition changes occur only after mergers, corporate acquisitions or other dramatic shifts in a
component's core business. When such an event necessitates that one component be replaced, the entire Index is reviewed. As a
result, when changes are made, they typically involve more than one component. While there are no rules for component selection, a
stock typically is added only if it has an excellent reputation, demonstrates sustained growth, is of interest to a large number of
investors and accurately represents the sectors covered by the Index.

Changes in the composition of the Index are made entirely by the Averages Committee without consultation with the corporations
represented in the Index, any stock exchange or any official agency. Although changes to the common stocks included in the Index
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tend to be made infrequently, these stocks may be changed at any time for any reason. The corporations currently represented in the
Index are incorporated in the United States and its territories and their stocks are listed on the New York Stock Exchange and
NASDAQ.

The formula used to calculate divisor adjustments is:

New Divisor = Current
Adjusted Sum of Closing Prices

Divisor x
Unadjusted Sum of Closing Prices



Leveraged Index Return NotesŪ
TS-7



Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020


The following graph shows the monthly historical performance of the Index in the period from January 2008 through
December 2014. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or
completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the Index was
17,416.85.

H ist oric a l Pe rform a nc e of t he I nde x


This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the
notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is not an
indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the notes.

Before investing in the notes, you should consult publicly available sources for the levels and trading pattern of the Index.

Lic e nse Agre e m e nt

"Dow Jones Industrial AverageSM " is a service mark of Dow Jones Trademark Holdings LLC ("Dow Jones") and has been licensed for
use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by Credit Suisse.

The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, any of their respective
affiliates (collectively, "S&P Dow Jones Indices"). S&P Dow Jones Indices make no representation or warranty, express or implied, to
the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes
particularly or the ability of the Index to track general market performance. S&P Dow Jones Indices' only relationship to the licensee
with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones
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Indices and/or its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices without regard
to the licensee or the notes. S&P Dow Jones Indices have no obligation to take the licensee's needs or the needs of the owners of
the notes into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices are not responsible for and
have not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or
in the determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices have no
obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance that investment
products based on the Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices
LLC is not an investment advisor. Inclusion of a security within the Index is not a recommendation by S&P Dow Jones Indices to buy,
sell, or hold such security, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its
affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by the licensee, but
which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products
which are linked to the performance of the Index. It is possible that this trading activity will affect the value of the Index and the notes.

S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS
OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR
WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES
INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN.
S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES,
OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY THE
LICENSEE, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH
RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER
SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL
DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF
THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY,
OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN
S&P DOW JONES INDICES AND THE LICENSEE, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.


Leveraged Index Return NotesŪ
TS-8



Leveraged Index Return NotesŪ
Linked to the Dow Jones Industrial AverageSM, due January 31, 2020

Supplement to the Plan of Distribution

Under our distribution agreement with MLPF&S, MLPF&S will purchase the notes from us as principal at the public offering price
indicated on the cover of this term sheet, less the indicated underwriting discount.

We will deliver the notes against payment therefor in New York, New York on a date that is greater than three business days following
the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to
settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to
trade the notes more than three business days prior to the original issue date will be required to specify alternative settlement
arrangements to prevent a failed settlement.

The notes will not be listed on any securities exchange. In the original offering of the notes, the notes will be sold in minimum
investment amounts of 100 units. If you place an order to purchase the notes, you are consenting to MLPF&S acting as a principal in
effecting the transaction for your account.

MLPF&S has advised us as follows: They or their affiliates may repurchase and resell the notes, with repurchases and resales being
made at prices related to then-prevailing market prices or at negotiated 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. MLPF&S may act as principal or agent in
these market-making transactions; however, it is not obligated to engage in any such transactions. MLPF&S has informed us that at
MLPF&S's 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. Any price offered by MLPF&S for the notes will be based on then-prevailing market conditions and other
http://www.sec.gov/Archives/edgar/data/1053092/000095010315000799/dp53116_424b2-lirn15.htm[2/2/2015 5:01:23 PM]


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