Obbligazione Swiss Credit 0% ( US22547V5350 ) in USD

Emittente Swiss Credit
Prezzo di mercato 100 USD  ⇌ 
Paese  Svizzera
Codice isin  US22547V5350 ( in USD )
Tasso d'interesse 0%
Scadenza 17/12/2021 - Obbligazione č scaduto



Prospetto opuscolo dell'obbligazione Credit Suisse US22547V5350 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 69 257 150 USD
Cusip 22547V535
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 US22547V5350, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 17/12/2021







424B2 1 dp71644_424b2-sun1032.htm FORM 424B2
Pricing Supplement SUN-103/2

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, and
a nd 3 3 3 -1 8 0 3 0 0 -0 3
the Product Supplement EQUITY INDICES SUN-2
dated May 14, 2015)
6,925,715 Units
$10 principal amount per unit
Pricing Date
December 29, 2016
CUSIP No. 22547V535
Settlement Date
January 6, 2017
Maturity Date
December 17, 2021




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 Russe ll 2 0 0 0 ® I nde x
Maturity of approximately five years, if not called prior to maturity
Automatic call of the notes per unit at $10 plus the applicable Call Premium ($0.71 on the first Observation Date, $1.42 on the
second Observation Date, $2.13 on the third Observation Date, and $2.84 on the fourth Observation Date) if the Index is flat
or increases above 100% of the Starting Value on the relevant Observation Date
The Observation Dates will occur approximately one year, two years, three years and four years after the pricing date
If the notes are not called, at maturity:
a return of 35% 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 beyond a 15.00% decline, with up to 85.00% 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 7 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-15 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
Public offering price
$ 10.00
$ 69,257,150
Underwriting discount
$ 0.20
$1,385,143
Proceeds, before expenses, to Credit Suisse
$ 9.80
$ 67,872,007

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.
December 29, 2016
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Autocallable Market-Linked Step Up Notes
Linked to the Russell 2000® Index, due December 17, 2021
Summary

The Autocallable Market-Linked Step Up Notes Linked to the Russell 2000® Index, due December 17, 2021 (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 applicable Call Amount if the Observation Level of the Market Measure, which is the Russell 2000®
Index (the "Index"), is equal to or greater than the Call Level on the relevant 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 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 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 Premiums and the Call Amounts) 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. 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-15.

Terms of the Notes

I ssue r:
Credit Suisse AG ("Credit Suisse"), acting Ca ll
Approximately the fifth business day following

through its London branch.
Se t t le m e nt
the applicable Observation Date, subject to
Da t e s :
postponement if the related 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 s: $0.71 per unit if called on January 5, 2018
Am ount :
(which represents a return of 7.10% over the
principal amount), $1.42 per unit if called on
December 14, 2018 (which represents a return
of 14.20% over the principal amount), $2.13 per
unit if called on December 20, 2019 (which
represents a return of 21.30% over the principal
amount), and $2.84 per unit if called on
December 11, 2020 (which represents a return
of 28.40% over the principal amount).
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T e rm :
Approximately five 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 Russell 2000® Index (Bloomberg
St e p U p V a lue : 1,840.289 (135.00% of the Starting Value,
M e a sure :
symbol: "RTY"), a price return index
rounded to three decimal places).

St a rt ing
1,363.177
St e p U p
$3.50 per unit, which represents a return of 35%
V a lue :
Pa ym e nt :
over the principal amount.

Obse rva t ion
The closing level of the Market Measure
T hre shold
1,158.700 (85% of the Starting Value, rounded to
Le ve l:
on the applicable Observation Date.
V a lue :
three decimal places).

Obse rva t ion
January 5, 2018, December 14, 2018,
Ca lc ula t ion
December 10, 2021
Da t e s :
December 20, 2019 and December 11,
Da y:
2020, subject to postponement in the
event of Market Disruption Events, as
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

Cha rge s:
on the cover page and the hedging related
charge of $0.075 per unit described in
"Structuring the Notes" on page TS-15.
Ca ll Am ount s
$10.71 if called on January 5, 2018,
J oint
Credit Suisse International and Merrill Lynch,
(pe r U nit ):
$11.42 if called on December 14, 2018,
Ca lc ula t ion
Pierce, Fenner & Smith Incorporated
$12.13 if called on December 20, 2019,
Age nt s:
("MLPF&S"), acting jointly.
and $12.84 if called on December 11,
2020.

Autocallable Market-Linked Step Up Notes
TS-2
Autocallable Market-Linked Step Up Notes
Linked to the Russell 2000® Index, due December 17, 2021
Determining Payment on the Notes

Aut om a t ic Ca ll Provision

The notes will be called automatically on an Observation Date if the Observation Level on that Observation Date is equal to or
greater than the Call Level. If the notes are called, you will receive $10 per unit plus the applicable 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 Russell 2000® Index, due December 17, 2021
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 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 are willing to receive a return on your investment capped You want to hold your notes for the full term.
at the return represented by the applicable Call Premium if

the relevant Observation Level is equal to or greater than
You believe that the notes will not be automatically called
the Call Level.
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 You seek 100% principal repayment or preservation of
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Value.
capital.


You are willing to risk a loss of principal and return if the
You seek interest payments or other current income on your
notes are not automatically called and the Index decreases
investment.
from the Starting Value to an Ending Value that is below the
Threshold Value.
You want to receive dividends or other distributions paid on

the stocks included in the Index.
You are willing to forgo the interest payments that are paid

on traditional interest bearing debt securities.
You seek an investment for which there will be a liquid

secondary market.
You are willing to forgo dividends or other benefits of owning
the stocks included in the Index.
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 accept a limited or no market for sales

prior to 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 Russell 2000® Index, due December 17, 2021
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 a ny 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 85% of the Starting Value, the Step Up
Payment of $3.50 per unit and the Step Up Value of 135% 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 any 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 a n Obse rva t ion Da t e , a nd t e rm of your
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000063/dp71644_424b2-sun1032.htm[1/4/2017 9:06:59 AM]


inve st m e nt .

The following table is based on a Starting Value of 100, a Threshold Value of 85, a Step Up Value of 135 and the Step Up
Payment of $3.50 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
Ending V a lue
Ending V a lue
U nit
t he N ot e s
0.00
-100.00%
$1.50
-85.00%
50.00
-50.00%
$6.50
-35.00%
75.00
-25.00%
$9.00
-10.00%
80.00
-20.00%
$9.50
-5.00%
85.00(2)
-15.00%
$10.00
0.00%
90.00
-10.00%
$10.00
0.00%
100.00(1)
0.00%
$13.50(3)
35.00%
110.00
10.00%
$13.50
35.00%
120.00
20.00%
$13.50
35.00%
130.00
30.00%
$13.50
35.00%
135.00(4)
35.00%
$13.50
35.00%
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 1,363.177, 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 $3.50.
(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 Russell 2000® Index, due December 17, 2021
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 75.00, or 75.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 85.00
Ending Value: 75.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 85.00, or 85.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 85.00
Ending Value: 85.00
Redemption Amount per unit = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value, but is equal
to or greater than the Threshold Value.

Ex a m ple 3
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The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 135.00
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 4
The Ending Value is 140.00, or 140.00% of the Starting Value:
Starting Value: 100.00
Step Up Value: 135.00
Ending Value: 140.00

Redemption Amount per unit

Autocallable Market-Linked Step Up Notes
TS-6
Autocallable Market-Linked Step Up Notes
Linked to the Russell 2000® Index, due December 17, 2021
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 applicable 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-15. 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
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000063/dp71644_424b2-sun1032.htm[1/4/2017 9:06:59 AM]


described in "Structuring the Notes" on page TS-15.


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-15. 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,
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, one of which is our affiliate and one of which is
MLPF&S. 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 Russell 2000® Index, due December 17, 2021

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.

Additional Risk Factors

T he not e s a re subje c t t o risk s a ssoc ia t e d w it h sm a ll -size c a pit a liza t ion c om pa nie s.

https://www.sec.gov/Archives/edgar/data/1053092/000095010317000063/dp71644_424b2-sun1032.htm[1/4/2017 9:06:59 AM]


The stocks composing the Index are issued by companies with small-sized market capitalization. The stock prices of small-size
companies may be more volatile than stock prices of large capitalization companies. Small-size capitalization companies may be
less able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small-size
capitalization companies may also be more susceptible to adverse developments related to their products or services.

Autocallable Market-Linked Step Up Notes
TS-8
Autocallable Market-Linked Step Up Notes
Linked to the Russell 2000® Index, due December 17, 2021
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 Index was developed by Russell
Investments ("Russell") before FTSE International Limited and Russell combined in 2015 to create FTSE Russell. The information
reflects the policies of, and is subject to change by, FTSE Russell (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 agents, or MLPF&S accepts any responsibility for the calculation, maintenance or publication of the Index or any
successor index.

The Index is intended to track the performance of the small-cap segment of the U.S. equity market. The Index is reconstituted
annually and eligible initial public offerings ("IPOs") are added to the Index at the end of each calendar quarter. The Index is a
subset of the Russell 3000ETM Index, which contains the largest 4,000 companies incorporated in the U.S. and its territories and
represents approximately 99% of the U.S. equity market. The Index measures the composite price performance of stocks of
approximately 2,000 U.S. companies. As of November 30, 2016, the largest five sectors represented by the Index were Financial
Services, Technology, Producer Durables, Consumer Discretionary and Health Care. Real-time dissemination of the value of the
Index by Reuters began on December 31, 1986. The Index was developed by Russell and is calculated, maintained and published
by Russell. The Index is reported by Bloomberg under ticker symbol "RTY."

Methodology for the Russell U.S. Indices

Companies must be classified as U.S. companies under FTSE Russell's country-assignment methodology in order to be included
in the Russell U.S. indices. If a company is incorporated, has a stated headquarters location, and trades in the same country
(American Depositary Receipts and American Depositary Shares are not eligible), the company is assigned to the equity market of
its country of incorporation. If any of the three do not match, FTSE Russell then defines three Home Country Indicators ("HCI"):
country of Incorporation, country of Headquarters, and country of the most liquid exchange as defined by two-year average daily
dollar trading volume ("ADDTV") from all exchanges within a country. Using the HCIs, FTSE Russell cross-compares the primary
location of the company's assets with the three HCIs. If the primary location of the company's assets matches any of the HCIs,
then the company is assigned to its primary asset location. If there is insufficient information to determine the country in which the
company's assets are primarily located, FTSE Russell will use the primary country from which the company's revenues are
primarily derived for the comparison with the three HCIs in a similar manner. If conclusive country details cannot be derived from
assets or revenue, FTSE Russell assigns the company to the country where its headquarters are located unless the country is a
Benefit Driven Incorporation (BDI) country; in which case, the company will be assigned to the country of its most liquid stock
exchange. FTSE Russell lists the following countries as BDIs: Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize,
Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Isle of
Man, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies
incorporated or headquartered in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S.
HCI is assigned.

Preferred and convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts
and trust receipts are not eligible for inclusion in the Russell U.S. Indices. Royalty trusts, limited liability companies, closed-end
investment companies, blank check companies, special-purpose acquisition companies, and limited partnerships are also not
eligible for inclusion in the Russell U.S. Indices. Companies that are required to report acquired fund fees and expenses, business
development companies, exchange-traded funds and mutual funds are also excluded. Bulletin board, pink-sheets, and over-the-
counter ("OTC") traded securities are not eligible for inclusion. Stocks must trade at or above $1.00 on their primary exchange on
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the last trading day in May to be eligible for inclusion during annual reconstitution. However, in order to reduce unnecessary
turnover, if an existing member's closing price is less than $1.00 on the last day of May, it will be considered eligible if the average
of the daily closing prices (from its primary exchange) during the month of May is equal to or greater than $1.00. Initial public
offerings must have a closing price at or above $1.00 on the last day of their eligibility period in order to qualify for index inclusion.
If a stock, new or existing, does not have a closing price at or above $1.00 (on its primary exchange) on the last trading day in
May, but does have a closing price at or above $1.00 on another major U.S. exchange, that stock will be eligible for inclusion.
Companies with a total market capitalization of less than $30 million are not eligible for the Index. Similarly, companies with only
5% or less of their shares available in the marketplace are not eligible for the Index.

The primary criterion used to determine the initial list of securities eligible for the Russell U.S. Indices is total market capitalization,
which is determined by multiplying total outstanding shares by the market price as of the last trading day in May for those
securities being considered at annual reconstitution. IPO eligibility is determined each quarter.

Common stock, non-restricted exchangeable shares that may be exchanged at any time at the holder's option on a one-for-one
basis for common stock, and partnership units/membership interests (in certain cases, described below) are used to determine
market capitalization for a company. FTSE Russell includes membership or partnership units/interests as part of total market
capitalization when the company in question is merely a holding company of underlying entity that issues membership or
partnership units/interests and these units are the company's sole assets. If multiple share classes of common stock exist, they are
combined. In cases where the common stock share classes act independently of each other, each class is considered for inclusion
separately. Stapled units and other paired share structures are considered eligible for index inclusion, unless an underlying
component of the stock is an ineligible security type (e.g. convertible debt). On the last trading day of May of each year, all eligible
securities are ranked by their total market capitalization. Reconstitution occurs on the last Friday in June. However, at times this
date precedes a long U.S. holiday weekend, when liquidity is low. In order to ensure proper liquidity in the markets, when the last
Friday in June is the 29th or 30th, reconstitution will

Autocallable Market-Linked Step Up Notes
TS-9
Autocallable Market-Linked Step Up Notes
Linked to the Russell 2000® Index, due December 17, 2021
occur on the preceding Friday. In addition, FTSE Russell adds initial public offerings to the Index on a quarterly basis based on
market capitalization guidelines established during the most recent reconstitution.

Once the market capitalization for each security is determined by use of total shares and price, each security is placed in the
appropriate FTSE Russell market capitalization based index. The largest 4,000 securities become members of the Russell 3000ETM
Index.

After the initial market capitalization breakpoints are determined by the ranges listed above, new members are assigned on the
basis of the breakpoints and existing members are reviewed to determine if they fall within a cumulative 5% market capitalization
range around these new market capitalization breakpoints. If an existing member's market capitalization falls within this cumulative
5% of the market capitalization breakpoint, it will remain in its current index rather than be moved to a different market
capitalization­based Russell index.

Capitalization Adjustments

After membership is determined, a security's shares are adjusted to include only those shares available to the public, which is often
referred to as "free float." The purpose of this adjustment is to exclude from market calculations the capitalization that is not
available for purchase and is not part of the investable opportunity set. Stocks are weighted in the Russell U.S. Indices by their
available market capitalization, which is calculated by multiplying the primary closing price by the available shares.

The following types of shares are considered unavailable for purchase and removed from total market capitalization to arrive at free
float or available market capitalization:


Officers and directors' holdings are all considered unavailable and removed entirely from available shares. FTSE Russell's
float research process does allow removal of options/warrants/convertibles from the officer and director holdings when
those shares are provided in a summed format within the footnotes. However, if FTSE Russell determines that a company
is being excluded from index membership solely on the basis of the minimum float requirement, FTSE Russell will use best
available information found within SEC filings, filed on or before the rank day in May;


Large private holdings will be removed from available shares if they exceed 10% of shares outstanding. Share percentage
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