Obbligazione Swiss Credit 0% ( US22539W8148 ) in USD

Swiss Credit

100 USD ⇌

Svizzera

US22539W8148 ( in USD )

27/01/2017 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Credit Suisse US22539W8148 in USD 0%, scaduta

1 000 USD

39 585 030 USD

22539W814

Credit Suisse è stata una grande banca svizzera, fallita nel marzo 2023 e acquisita da UBS.

Il Credit Suisse ha emesso un'obbligazione (ISIN: US22539W8148, CUSIP: 22539W814) in valuta USD, del valore nominale totale di 39.585.030 USD, con scadenza il 27/01/2017, a tasso zero, rimborsata a valore nominale (100%), con taglio minimo di 1.000 USD e frequenza di pagamento semestrale, emessa in Svizzera.

424B2 1 dp53108_424b2-sun48.htm 424B2
CALCULATION OF REGISTRATION FEE

Maximum Aggregate
Amount of Registration

Title
Offering Price
Fee
Notes

$39,585,030.00

$4,599.78

Term Sheet SUN-48

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 -
Prospectus Supplement dated March 23, 2012,
1 8 0 3 0 0 -0 3
and the Product Supplement EQUITY INDICES
SUN-2 dated January 31, 2014)
3,958,503 Units
Pricing Date
January 29, 2015
$10 principal amount per unit
Settlement Date
February 5, 2015
CUSIP No. 22539W814
Maturity Date
January 27, 2017

M a rk e t -Link e d St e p U p N ot e s Link e d t o t he S& P
5 0 0 ® I nde x
? Maturity of approximately two years

? If the Index is flat or increases up to the Step Up Value, a return of 12.50%

? If the Index increases above the Step Up Value, a return equal to the percentage increase in the Index

? 1-to-1 downside exposure to decreases in the Index, with up to 100% 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-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 3 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-10 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
$10.00

$39,585,030.00
price
Underwriting
$0.20

$ 791,700.60
discount
Proceeds, before expenses, to Credit Suisse
$9.80

$38,793,329.40

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

Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017

Summary

The Market-Linked Step Up Notes Linked to the S&P 500® Index, due January 27, 2017 (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 with a Step Up Payment if the Ending
Value of the Market Measure, which is the S&P 500® Index (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, 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 Step Up Payment) 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-10.

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 as follows:
through its London Branch.
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Princ ipa l
$10.00 per unit

Am ount :
T e rm :
Approximately two years

M a rk e t M e a sure : The S&P 500® Index (Bloomberg symbol:

"SPX"), a price return index.
St a rt ing V a lue :
2,021.25

Ending V a lue :
The closing level of the Market Measure on

the 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.
St e p U p V a lue :
2,273.91 (112.50% of the Starting Value,

rounded to two decimal places).
St e p U p
$1.25 per unit, which represents a return

Pa ym e nt :
of 12.50% over the principal amount.
T hre shold V a lue : 2,021.25 (100% of the Starting Value).

Ca lc ula t ion Da y: January 20, 2017

Fe e s a nd
The underwriting discount of $0.20 per unit

Cha rge s:
listed on the cover page and the hedging
related charge of $0.075 per unit described in
"Structuring the Notes" on page TS-10.
J oint Ca lc ula t ion Credit Suisse International and Merrill Lynch,
Age nt s:
Pierce, Fenner & Smith Incorporated
("MLPF&S"), acting jointly.

Because the Threshold Value for the notes is equal to the Starting
Value, you will lose all or a portion of your investment if the Ending
Value is less than the Starting Value.

Market-Linked Step Up Notes
TS-2

Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017

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

Product supplement EQUITY INDICES SUN-2 dated January 31, 2014:
http://www.sec.gov/Archives/edgar/data/1053092/000095010314000630/dp43555_424b2-sun2.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 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
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
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Value to the Ending Value.
to the Ending Value.

You are willing to risk a loss of principal and return if the Index You seek principal repayment or preservation of capital.
decreases from the Starting Value to the Ending Value.

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

You want to receive dividends or other distributions paid on the
You are willing to forgo dividends or other benefits of owning
stocks included in the Index.
the stocks included in the Index.

You seek an investment for which there will be a liquid
You are willing to accept a limited market for sales prior to
secondary market.
maturity, and understand that the market prices for the notes,
if any, will be affected by various factors, including our actual
You are unwilling or are unable to take market risk on the notes
and perceived creditworthiness, our internal funding rate and
or to take our credit risk as issuer of the notes.
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.

Market-Linked Step Up Notes
TS-3

Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017
Hypothetical Payout Profile

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 $1.25 per unit, and the Step Up Value of 112.50% 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
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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 , Ending V a lue , St e p U p 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 100, a Step Up Value of 112.50 and the Step Up
Payment of $1.25 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%

50.00

-50.00%

$5.00

-50.00%

80.00

-20.00%

$8.00

-20.00%

90.00

-10.00%

$9.00

-10.00%

94.00

-6.00%

$9.40

-6.00%

97.00

-3.00%

$9.70

-3.00%

100.00(1)(2)

0.00%

$11.25(3)

12.50%

102.00

2.00%

$11.25

12.50%

105.00

5.00%

$11.25

12.50%

110.00

10.00%

$11.25

12.50%

112.50(4)

12.50%

$11.25

12.50%

120.00

20.00%

$12.00

20.00%

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 2,021.25, 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 $1.25.

(4)
This is thehypot 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.

Market-Linked Step Up Notes
TS-4

Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017
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
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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:
112.50
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 120.00, or 120.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
112.50
Ending Value:
120.00
Redemption Amount per unit
Market-Linked Step Up Notes
TS-5

Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017
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.

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-10. 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-10.
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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-10. 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.

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,
except to the extent that the common stock of Bank of America Corporation (the parent company of MLPF&S) is 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-29 of product supplement EQUITY INDICES SUN-2.

Market-Linked Step Up Notes
TS-6

Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017
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, and is subject
to change by, S&P Dow Jones Indices LLC (the "Index sponsor"). The Index sponsor, which licenses the copyright and all other rights
to the Index, 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 the Notes - Discontinuance of an
Index" beginning on page PS-22 of product supplement EQUITY INDICES SUN-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.
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The Index is intended to provide an indication of the pattern of common stock price movement. The calculation of the level of the
Index is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time
compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years
1941 through 1943.

The Index sponsor chooses companies for inclusion in the Index with the aim of achieving a distribution by broad industry groupings
that approximates the distribution of these groupings in the common stock population of its Stock Guide Database of over 10,000
companies, which the Index sponsor uses as an assumed model for the composition of the total market. Relevant criteria employed
by the Index sponsor include the viability of the particular company, the extent to which that company represents the industry group to
which it is assigned, the extent to which the market price of that company's common stock generally is responsive to changes in the
affairs of the respective industry, and the market value and trading activity of the common stock of that company. Ten main groups of
companies constitute the Index, with the approximate percentage of the market capitalization of the Index included in each group as of
December 31, 2014 indicated in parentheses: Consumer Discretionary (12.1%); Consumer Staples (9.8%); Energy (8.4%); Financials
(16.6%); Health Care (14.2%); Industrials (10.4%); Information Technology (19.7%); Materials (3.2%); Telecommunication Services
(2.3%); and Utilities (3.2%). The Index sponsor from time to time, in its sole discretion, may add companies to, or delete companies
from, the Index to achieve the objectives stated above.

The Index sponsor calculates the Index by reference to the prices of the constituent stocks of the Index without taking account of the
value of dividends paid on those stocks. As a result, the return on the notes will not reflect the return you would realize if you actually
owned the Index constituent stocks and received the dividends paid on those stocks.

Com put a t ion of t he I nde x

While the Index sponsor currently employs the following methodology to calculate the Index, no assurance can be given that the Index
sponsor will not modify or change this methodology in a manner that may affect the Redemption Amount.

Historically, the market value of any component stock of the Index was calculated as the product of the market price per share and
the number of then outstanding shares of such component stock. In March 2005, the Index sponsor began shifting the Index halfway
from a market capitalization weighted formula to a float-adjusted formula, before moving the Index to full float adjustment on
September 16, 2005. The Index sponsor's criteria for selecting stocks for the Index did not change with the shift to float adjustment.
However, the adjustment affects each company's weight in the Index.

Under float adjustment, the share counts used in calculating the Index reflect only those shares that are available to investors, not all
of a company's outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly traded
companies or government agencies.

On September 21, 2012, all share-holdings with a position greater than 5% of a stock's outstanding shares, other than holdings by
"block owners," were removed from the float for purposes of calculating the Index. Generally, these "control holders" will include
officers and directors, private equity, venture capital and special equity firms, other publicly traded companies that hold shares for
control, strategic partners, holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the company,
holders of unlisted share classes of stock or government entities at all levels (other than government retirement/pension funds) and
any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. Holdings by block owners,
such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company, government
retirement/pension funds, investment funds of insurance companies, asset managers and investment funds, independent foundations
and savings and investment plans, will ordinarily be considered part of the float.

Treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible stock, and rights are
not part of the float. Shares held in a trust to allow investors in countries outside the country of domicile (e.g., ADRs, CDIs and
Canadian exchangeable shares) are normally part of the float unless those shares form a control block. If a company has more than
one class of stock outstanding, shares in an unlisted or non-traded class are treated as a control block.

For each stock, an investable weight factor ("IWF") is calculated by dividing (i) the available float shares by (ii) the total shares
outstanding. As of September 21, 2012, available float shares are defined as total shares outstanding less shares held by control
holders. For companies with multiple classes of stock, the Index sponsor calculates the weighted average IWF for each stock using
the proportion of the total company market capitalization of each share class as weights.

Market-Linked Step Up Notes
TS-7

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Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017
The Index is calculated using a base-weighted aggregate methodology. The level of the Index reflects the total market value of all 500
component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the results of
this calculation in order to make the level easier to work with and track over time. The actual total market value of the component
stocks during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the
notation 1941-43 = 10. In practice, the daily calculation of the Index is computed by dividing the total market value of the component
stocks by the "index divisor." By itself, the index divisor is an arbitrary number. However, in the context of the calculation of the Index,
it serves as a link to the original base period level of the Index. The index divisor keeps the Index comparable over time and is the
manipulation point for all adjustments to the Index, which is index maintenance.

I nde x M a int e na nc e

Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock
splits, stock dividends, and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as stock
splits and stock dividends, require changes in the common shares outstanding and the stock prices of the companies in the Index,
and do not require index divisor adjustments.

To prevent the level of the Index from changing due to corporate actions, corporate actions which affect the total market value of the
Index require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the Index remains
constant and does not reflect the corporate actions of individual companies in the Index. Index divisor adjustments are made after the
close of trading and after the calculation of the Index closing level.

Changes in a company's shares outstanding of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch
auctions, or exchange offers are made as soon as reasonably possible. All other changes of 5.00% or more (due to, for example,
company stock repurchases, private placements, redemptions, exercise of options, warrants, conversion of preferred stock, notes,
debt, equity participation units, at-the-market offerings, or other recapitalizations) are made weekly and are announced on
Wednesdays for implementation after the close of trading on the following Wednesday. Changes of less than 5.00% due to a
company's acquisition of another company in the Index are made as soon as reasonably possible. All other changes of less than
5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually
announced two to five days prior.Changes in IWFs of more than five percentage points caused by corporate actions (such as merger
and acquisition activity, restructurings, or spinoffs) will be made as soon as reasonably possible. Other changes in IWFs will be made
annually when IWFs are reviewed.

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
2,021.25.

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

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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.

Market-Linked Step Up Notes
TS-8

Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 27, 2017
Lic e nse Agre e m e nt

Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones® is a
registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). "Standard & Poor's®", "Standard & Poor's 500TM", "S&P
500®", and "S&P®" are trademarks of S&P. These trademarks have been licensed for use by S&P Dow Jones Indices LLC and its
affiliates and sublicensed for certain purposes by us. The Index is a product of S&P Dow Jones Indices LLC and has been licensed
for use by us.

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 holders 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 us 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
Indices and/or its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices without regard
to us or the notes. S&P Dow Jones Indices have no obligation to take our needs or the needs of the holders 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 us, 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
http://www.sec.gov/Archives/edgar/data/1053092/000095010315000785/dp53108_424b2-sun48.htm[2/2/2015 2:16:49 PM]

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