Obbligazione Swiss Credit 0% ( US22548D3448 ) in USD

Emittente Swiss Credit
Prezzo di mercato 100 USD  ⇌ 
Paese  Svizzera
Codice isin  US22548D3448 ( in USD )
Tasso d'interesse 0%
Scadenza 26/10/2018 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Credit Suisse US22548D3448 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 30 026 460 USD
Cusip 22548D344
Standard & Poor's ( S&P ) rating N/A
Moody's rating NR
Descrizione dettagliata Credit Suisse è 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 US22548D3448, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 26/10/2018

The Obbligazione issued by Swiss Credit ( Switzerland ) , in USD, with the ISIN code US22548D3448, was rated NR by Moody's credit rating agency.







424B2 1 dp60908_424b2-sun80.htm FORM 424B2
Pricing Supplement SUN-80

File d Pursua nt t o Rule 4 2 4 (b)(2 )
(To the Prospectus dated May 4, 2015, the
Re gist ra t ion St a t e m e nt N os. 3 3 3 -2 0 2 9 1 3
Prospectus Supplement dated May 4, 2015,
a nd 3 3 3 -1 8 0 3 0 0 -0 3
and
the Product Supplement EQUITY INDICES
SUN-2 dated May 14, 2015)
3,002,646 Units
Pricing Date
October 29, 2015
$10 principal amount per unit
Settlement Date
November 5, 2015
CUSIP No. 22548D344
Maturity Date
October 26, 2018




Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s
Link e d t o t he Ene rgy Se le c t Se c t or I nde x
Maturity of approximately three years, if not called prior to maturity
Automatic call of the notes per unit at $10 plus the applicable Call Premium ($1.355 on the first Observation Date, and $2.71
on the second 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 and two years after the pricing date
If the notes are not called, at maturity:
a return of 30% if the Index is flat or increases up to the Step Up Value
a return equal to the percentage increase in the Index if the Index increases above the Step Up Value
1-to-1 downside exposure to decreases in the Index, with up to 100% of your principal at risk
All payments are subject to the credit risk of Credit Suisse AG
No periodic interest payments
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 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-7 of this term sheet
and "Structuring the Notes" on page TS-14 of this term sheet for additional information. The actual value of your notes at any time
will reflect many factors and cannot be predicted with accuracy.
_________________________
None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has
approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any
representation to the contrary is a criminal offense.
_________________________

Per Unit
Total
Public offering price
$ 10.00
$ 30,026,460.00
Underwriting discount
$ 0.20
$ 600,529.20
Proceeds, before expenses, to Credit Suisse
$ 9.80
$ 29,425,930.80
T he not e s:
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]


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.
October 29, 2015

Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
Summary

The Autocallable Market-Linked Step Up Notes Linked to the Energy Select Sector Index, due October 26, 2018 (the "notes") are
our senior unsecured debt securities. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or any
other governmental agency of the United States, Switzerland or any other jurisdiction and are not secured by collateral. T he not e s
w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d a nd unsubordina t e d de bt . Any pa ym e nt s due on t he not e s,
inc luding a ny re pa ym e nt of princ ipa l, w ill be subje c t t o t he c re dit risk of Cre dit Suisse . The notes will be
automatically called at the applicable Call Amount if the Observation Level of the Market Measure, which is the Energy Select
Sector Index (the "Index"), is equal to or greater than the Call Level on the 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, you will lose all
or a portion of the principal amount of your notes. Payments on the notes, including the amount you receive at maturity or upon an
automatic call, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index,
subject to our credit risk. See "Terms of the Notes" below.

The economic terms of the notes (including the Call 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-14.

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: $1.355 per unit if called on November 11, 2016
Am ount :
(which represents a return of 13.55% over the

principal amount) and $2.71 per unit if called on
October 20, 2017 (which represents a return of
27.10% over the principal amount).
T e rm :
Approximately three years, if not called
Ending V a lue :
The closing level of the Market Measure on the

scheduled calculation day. The calculation day is
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]


subject to postponement in the event of Market
Disruption Events, as described beginning on
page PS-20 of product supplement EQUITY
INDICES SUN-2.
M a rk e t
The Energy Select Sector Index
St e p U p V a lue : 880.65 (130% of the Starting Value, rounded to
M e a sure :
(Bloomberg symbol: "IXE"), a price return
two decimal places).

index.
St a rt ing
677.42
St e p U p
$3.00 per unit, which represents a return of 30%
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
677.42 (100% of the Starting Value).
Le ve l:
on the applicable Observation Date.
V a lue :

Obse rva t ion
November 11, 2016 and October 20,
Ca lc ula t ion
October 19, 2018
Da t e s:
2017, subject to postponement in the
Da y:


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-14.
Ca ll Am ount s
$11.355 if called on November 11, 2016
J oint
Credit Suisse International and Merrill Lynch,
(pe r U nit ):
and $12.71 if called on October 20, 2017. Ca lc ula t ion
Pierce, Fenner & Smith Incorporated

Age nt s:
("MLPF&S"), acting jointly.

Autocallable Market-Linked Step Up Notes
TS-2
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
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:

http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]



Autocallable Market-Linked Step Up Notes
TS-3
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
The terms and risks of the notes are contained in this term sheet and in the following:


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


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

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

Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s 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
You want to hold your notes for the full term.
capped at the return represented by the applicable Call

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


You seek interest payments or other current income on your
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]


You are willing to risk a loss of principal and return if the
investment.
notes are not automatically called and the Index decreases

from the Starting Value to the Ending 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 Energy Select Sector Index, due October 26, 2018
Hypothetical Payout Profile at Maturity

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

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 $3.00 per unit and the Step Up Value of 130% 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
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]


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
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 130 and the Step Up
Payment of $3.00 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
Re de m pt ion
T ot a l Ra t e of Re t urn on
Ending V a lue
St a rt ing V a lue t o t he Ending V a lue
Am ount pe r U nit
t he 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%
$13.00(3)
30.00%
102.00
2.00%
$13.00
30.00%
105.00
5.00%
$13.00
30.00%
110.00
10.00%
$13.00
30.00%
120.00
20.00%
$13.00
30.00%
130.00(4)
30.00%
$13.00
30.00%
140.00
40.00%
$14.00
40.00%
143.00
43.00%
$14.30
43.00%
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 677.42, 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 $3.00.

(4)
This is the hypot he t ic a l Step Up Value.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the
Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would
otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer
credit risk.
Autocallable Market-Linked Step Up Notes
TS-5
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s

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

http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]



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:
130.00
Ending Value:
110.00
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the
Ending Value is equal to or greater than the Starting Value, but less than the Step Up
Value.


Ex a m ple 3
The Ending Value is 143.00, or 143.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
130.00
Ending Value:
143.00
Redemption Amount per unit
Autocallable Market-Linked Step Up Notes
TS-6
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
Risk Factors

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


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


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


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


If the notes are called, your investment return is limited to the return represented by the 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-14. Because we use our internal funding rate to determine the value of
the theoretical bond component, if on the pricing date our internal funding rate is lower than our secondary market credit
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]


rates, the initial estimated value of the notes will be greater than if we had used our secondary market credit rates in
valuing the notes.


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


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


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


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


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


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


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


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

Autocallable Market-Linked Step Up Notes
TS-7
Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018

As a Swiss bank, Credit Suisse is subject to regulation by governmental agencies, supervisory authorities and self-
regulatory organizations in Switzerland. Such regulation is increasingly more extensive and complex and subjects Credit
Suisse to risks. For example, pursuant to Swiss banking laws, FINMA has broad powers and discretion in the case of
resolution proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity
and/or cancel such liabilities in whole or in part.


The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See
"Material U.S. Federal Income Tax Considerations" below and "Material U.S. Federal Income Tax Considerations"
beginning on page PS-29 of product supplement EQUITY INDICES SUN-2.
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]



Additional Risk Factors

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

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

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

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

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

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

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

As of October 29, 2015, the top three Index components constituted 38.01% of the total weight of the Index. Any reduction in the
market price of those securities is likely to have a substantial adverse impact on the level of the Index and the value of the notes.

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

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

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

Autocallable Market-Linked Step Up Notes
TS-8
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]


Autocallable Market-Linked Step Up Notes
Linked to the Energy Select Sector Index, due October 26, 2018
The Index

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

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

The Index is one of the Select Sector Indices. The Select Sector Indices are sub-indices of the S&P 500® Index. Each stock in the
S&P 500® Index is allocated to only one Select Sector Index, and the combined companies of the nine Select Sector Indices
represent all of the companies in the S&P 500® Index. The industry indices are sub-categories within each Select Sector Index and
represent a specific industry segment of the overall Select Sector Index. The nine Select Sector Indices seek to represent the ten
S&P 500® Index sectors. The S&P 500® Index sectors, with the approximate percentage of the market capitalization of the S&P
500® Index included in each sector as of September 30, 2015 indicated in parentheses, are as follows: Consumer Discretionary
(13.1%); Consumer Staples (9.9%); Energy (6.9%); Financials (16.5%); Health Care (14.7%); Industrials (10.1%); Information
Technology (20.4%); Materials (2.8%); Telecommunication Services (2.4%); and Utilities (3.1%). MLPF&S, acting as the Index
Compilation Agent, determines the composition of the Select Sector Indices based on S&P's sector classification methodology.

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

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

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

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

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

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

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

(ii) If any component stock has a weight greater than 24%, that component stock has its float-adjusted market
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008554/dp60908_424b2-sun80.htm[11/2/2015 4:48:54 PM]


Document Outline