Obbligazione Swiss Credit 0% ( US22549J4076 ) in USD

Emittente Swiss Credit
Prezzo di mercato 100 USD  ⇌ 
Paese  Svizzera
Codice isin  US22549J4076 ( in USD )
Tasso d'interesse 0%
Scadenza 26/01/2018 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Credit Suisse US22549J4076 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 59 230 830 USD
Cusip 22549J407
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
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 US22549J4076, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 26/01/2018







424B2 1 dp70550_424b2-lirn35.htm FORM 424B2
Pricing Supplement LIRN-35

File d Pursua nt t o Rule 4 2 4 (b)(2 )
(To the Prospectus dated May 4, 2015,
Re gist ra t ion St a t e m e nt N os. 3 3 3 -2 0 2 9 1 3 a nd 3 3 3 -1 8 0 3 0 0 -0 3
the Prospectus
Supplement dated May 4, 2015, and
the Product
Supplement EQUITY INDICES LIRN-2
dated June 1,
2015)
5,927,103 Units
Pricing Date
November 22, 2016
$10 principal amount per unit
Settlement Date
November 30, 2016
CUSIP No. 22549J407
Maturity Date
January 26, 2018





Ca ppe d Le ve ra ge d I nde x Re t urn N ot e s® Link e d
t o t he S& P 5 0 0 ® I nde x

Maturity of approximately 14 months

2-to-1 upside exposure to increases in the Index, subject to a capped return of 8.71%

1-to-1 downside exposure to decreases in the Index beyond a 5.00% decline, with up to 95.00% 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

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" be ginning on pa ge T S -6 of t his t e rm she e t a nd be ginning on pa ge PS -6 of produc t supple m e nt EQU I T Y
I N DI CES LI RN -2 .

T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .7 9 pe r unit , w hic h is le ss t ha n t he public
offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-6 of this term sheet and
"Structuring the Notes" on page TS-11 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(1)
$ 10.00
$59,230,829.00
Underwriting discount(1)
$ 0.20
$1,145,219.60
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Proceeds, before expenses, to Credit Suisse
$ 9.80
$ 58,085,609.40

(1) The public offering price and underwriting discount for an aggregate of 804,020 units purchased in a transaction of
500,000 units or more by an individual investor and that investor's household will be $9.95 per unit and $0.15 per unit,
respectively.

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.
November 22, 2016


Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 26, 2018
Summary

The Capped Leveraged Index Return Notes® Linked to the S&P 500® Index, due January 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 provide you a leveraged return, subject to a cap, if the Ending Value of the
Market Measure, which is the S&P 500® Index (the "Index"), is greater than its Starting Value. If the Ending Value is less than the Threshold
Value, you will lose a portion, which could be significant, of the principal amount of your notes. Payments on the notes, including the amount you
receive at maturity, will be calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to
our credit risk. See "Terms of the Notes" below.

The economic terms of the notes (including the Capped Value) 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-11.

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

Am ount :
T e rm :
Approximately 14 months
M a rk e t
The S&P 500® Index (Bloomberg symbol:
M e a sure :
"SPX"), a price return index
St a rt ing V a lue : 2,202.94
Ending V a lue :
The average of the closing levels of the
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Market Measure on each scheduled
calculation day occurring during the maturity
valuation period. The calculation days are
subject to postponement in the event of
Market Disruption Events, as described on
page PS-20 of product supplement EQUITY
INDICES LIRN-2.
T hre shold
2,092.79 (95% of the Starting Value,
V a lue :
rounded to two decimal places).
Pa rt ic ipa t ion
200%
Ra t e :
Ca ppe d V a lue :
$10.871 per unit of the notes, which
represents a return of 8.71% over the
principal amount.
M a t urit y
January 17, 2018, January 18, 2018,
V a lua t ion
January 19, 2018, January 22, 2018 and
Pe riod:
January 23, 2018
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-11.

J oint
Credit Suisse International and Merrill
Ca lc ula t ion
Lynch, Pierce, Fenner & Smith Incorporated
Age nt s :
("MLPF&S"), acting jointly.


Capped Leveraged Index Return Notes®
TS-2
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 26, 2018
The terms and risks of the notes are contained in this term sheet and in the following:


Product supplement EQUITY INDICES LIRN-2 dated June 1, 2015:
http://www.sec.gov/Archives/edgar/data/1053092/000095010315004349/dp56641_424b2-lirn2.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 LIRN-2. Unless otherwise indicated or unless the context requires
otherwise, all references in this document to "we," "us," "our," or similar references are to Credit Suisse.

Investor Considerations

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


You anticipate that the Index will increase moderately from the
You believe that the Index will decrease from the Starting Value to
Starting Value to the Ending Value.
the Ending Value or that it will not increase sufficiently over the term
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of the notes to provide you with your desired return.
You are willing to risk a loss of principal and return if the Index

decreases from the Starting Value to an Ending Value that is below You seek 100% principal repayment or preservation of capital.
the Threshold Value.


You seek an uncapped return on your investment.
You accept that the return on the notes will be capped.


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 the
stocks included in the Index.
stocks included in the Index.


You seek an investment for which there will be a liquid secondary
You are willing to accept a limited or no market for sales prior to
market.
maturity, and understand that the market prices for the notes, if

any, will be affected by various factors, including our actual and
You are unwilling or are unable to take market risk on the notes or
perceived creditworthiness, our internal funding rate and fees and
to take our credit risk as issuer of the notes.
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.

Capped Leveraged Index Return Notes®
TS-3
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 26, 2018
Hypothetical Payout Profile

Ca ppe d Le ve ra ge d I nde x Re t urn N ot e s®
This graph reflects the returns on the notes, based on the Participation

Rate of 200%, the Threshold Value of 95% of the Starting Value and
the Capped Value of $10.871. 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. 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 , a nd t e rm of your inve st m e nt .

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The following table is based on a Starting Value of 100, a Threshold Value of 95, the Participation Rate of 200% and the Capped Value of
$10.871 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%
$0.50
-95.00%
50.00
-50.00%
$5.50
-45.00%
80.00
-20.00%
$8.50
-15.00%
85.00
-15.00%
$9.00
-10.00%
90.00
-10.00%
$9.50
-5.00%
95.00(1)
-5.00%
$10.00
0.00%
100.00(2)
0.00%
$10.00
0.00%
102.00
2.00%
$10.40
4.00%
105.00
5.00%
$10.871(3)
8.71%
110.00
10.00%
$10.871
8.71%
120.00
20.00%
$10.871
8.71%
130.00
30.00%
$10.871
8.71%
140.00
40.00%
$10.871
8.71%
150.00
50.00%
$10.871
8.71%
160.00
60.00%
$10.871
8.71%
(1)
This is the hypot he t ic a l Threshold Value.

(2)
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 2,202.94 which was the closing level of the Market Measure on the pricing date.

(3)
The Redemption Amount per unit cannot exceed the Capped 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.

Capped Leveraged Index Return Notes®
TS-4
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 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 85.00, or 85.00% of the Starting Value:
Starting Value: 100.00
Threshold
95.00
Value:
Ending Value: 85.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 100.00, or 100.00% of the Starting Value:
Starting Value: 100.00
Threshold
95.00
Value:
Ending Value: 100.00
Redemption Amount (per unit) = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value but equal to or greater
than the Threshold Value.
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Ex a m ple 3
The Ending Value is 102.00, or 102.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 102.00
= $ 1 0 .4 0 Redemption Amount per unit

Ex a m ple 4
The Ending Value is 130.00, or 130.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 130.00
= $ 1 6 .0 0 , how e ve r, be c a use t he Re de m pt ion Am ount for t he not e s c a nnot
e x c e e d t he Ca ppe d V a lue , t he Re de m pt ion Am ount w ill be $ 1 0 .8 7 1 pe r unit
Capped Leveraged Index Return Notes®
TS-5
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 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-6 of product supplement EQUITY INDICES LIRN-2 identified above. We also urge you to consult your
investment, legal, tax, accounting, and other advisors before you invest in the notes.


Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a loss; there is
no guaranteed return of principal.


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


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


Your investment return is limited to the return represented by the Capped Value and 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-11. 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-11.


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
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further described in "Structuring the Notes" on page TS-11. 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 have not verified 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.

Capped Leveraged Index Return Notes®
TS-6
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 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-28 of
product supplement EQUITY INDICES LIRN-2.

Capped Leveraged Index Return Notes®
TS-7
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 26, 2018
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
https://www.sec.gov/Archives/edgar/data/1053092/000095010316018115/dp70550_424b2-lirn35.htm[11/25/2016 9:31:22 AM]


obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the Index sponsor discontinuing
publication of the Index are discussed in the section entitled "Description of LIRNs - Discontinuance of an Index" beginning on page PS-21 of
product supplement EQUITY INDICES LIRN-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 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. Eleven main groups of companies constitute the Index, with the approximate
percentage of the market capitalization of the Index included in each group as of October 31, 2016 indicated in parentheses: Consumer
Discretionary (12.5%); Consumer Staples (10.0%); Energy (7.2%); Financials (13.3%); Health Care (14.0%); Industrials (9.7%); Information
Technology (21.6%); Materials (2.9%); Real Estate (2.9%); Telecommunication Services (2.5%); and Utilities (3.4%). 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.

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
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calculation in order to make the level easier to work with and track over time. The actual total market value of the component stocks

Capped Leveraged Index Return Notes®
TS-8
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 26, 2018
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 daily historical performance of the Index in the period from January 1, 2008 through November 22,
2016. 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 2,202.94.

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 of the Index.

Capped Leveraged Index Return Notes®
TS-9
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 26, 2018
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 linked to the performance of the
Index. It is possible that this trading activity will affect the value of the Index and the notes.

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

Capped Leveraged Index Return Notes®
TS-10
Capped Leveraged Index Return Notes®
Linked to the S&P 500® Index, due January 26, 2018
Supplement to the Plan of Distribution

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