Obbligazione Swiss Credit 0% ( US22550J7349 ) in USD

Emittente Swiss Credit
Prezzo di mercato 100 USD  ⇌ 
Paese  Svizzera
Codice isin  US22550J7349 ( in USD )
Tasso d'interesse 0%
Scadenza 27/05/2022 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Credit Suisse US22550J7349 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 4 155 000 USD
Cusip 22550J734
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 US22550J7349, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 27/05/2022







424B3 1 dp130287_424b3-lirn63.htm FORM 424B3

Pricing Supplement LIRN-63
Amendment No. 1 dated June 17, 2020 to
File d Pursua nt t o Rule 4 2 4 (b)(3 )
(To the Prospectus dated June 30, 2017, the
Pricing Supplement dated May 28, 2020
Re gist ra t ion St a t e m e nt N o. 3 3 3 -2 1 8 6 0 4 -
Prospectus Supplement dated June 30,
0 2
2017, and the Product Supplement EQUITY
INDICES LIRN-1 dated July 13, 2017)
415,495 Units
Pricing Date
May 28, 2020
$10 principal amount per unit
Settlement Date
June 4, 2020
CUSIP No. 22550J734
Maturity Date
May 27, 2022





Ca ppe d Le ve ra ge d I nde x Re t urn N ot e s® Link e d t o
a n I nt e rna t iona l Equit y I nde x Ba sk e t
· Maturity of approximately two years
· 2-to-1 upside exposure to increases in the Basket, subject to a capped return of 16.36%
· The Basket is comprised of the EURO STOXX 50® Index, the FTSE® 100 Index, the Nikkei Stock Average Index, the Swiss
Market Index®, the S&P/ASX 200 Index, and the Hang Seng® Index. The EURO STOXX 50® Index was given an initial weight
of 40.00%, each of the FTSE® 100 Index and the Nikkei Stock Average Index was given an initial weight of 20.00%, each of
the Swiss Market Index® and the S&P/ASX 200 Index was given an initial weight of 7.50% and the Hang Seng® Index was
given an initial weight of 5.00%
· 1-to-1 downside exposure to decreases in the Basket beyond a 10.00% decline, with up to 90.00% 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-7 of produc t
supple m e nt EQU I T Y I N DI CES LI RN -1 .

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 8 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-27 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
$ 4,154,950.00
Underwriting discount
$ 0.20
$ 83,099.00
Proceeds, before expenses, to Credit Suisse
$ 9.80
$ 4,071,851.00

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

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BofA Se c urit ie s
May 28, 2020



Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022

Summary

The Capped Leveraged Index Return Notes® Linked to an International Equity Index Basket, due May 27, 2022 (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 international equity index basket
described below (the "Basket"), is greater than its Starting Value. If the Ending Value is equal to or less than the Starting Value but
greater than or equal to the Threshold Value, you will receive the principal amount of your notes. If the Ending Value is less than
the Threshold Value, you will lose a portion, which could be significant, of the principal amount of your notes. Any payments on the
notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the Basket, subject to
our credit risk. See "Terms of the Notes" below.

The Basket is comprised of the EURO STOXX 50® Index, the FTSE® 100 Index, the Nikkei Stock Average Index, the Swiss
Market Index®, the S&P/ASX 200 Index, and the Hang Seng® Index (each, a "Basket Component"). On the pricing date, the
EURO STOXX 50® Index was given an initial weight of 40.00%, each of the FTSE® 100 Index and the Nikkei Stock Average Index
was given an initial weight of 20.00%, each of the Swiss Market Index® and the S&P/ASX 200 Index was given an initial weight of
7.50%, and the Hang Seng® Index was given an initial weight of 5.00%.

The economic terms of the notes (including the Participation Rate) are based on the rate we are currently paying to borrow funds
through the issuance of market-linked notes (our "internal funding rate") and the economic terms of certain related hedging
arrangements. Our internal funding rate for market-linked notes is typically lower than a rate reflecting the yield on our conventional
debt securities of similar maturity in the secondary market (our "secondary market credit rate"). This difference in borrowing rate, as
well as the underwriting discount and the hedging related charge described below, reduced the economic terms of the notes to you
and the initial estimated value of the notes on the pricing date. These costs will be effectively borne by you as an investor in the
notes, and will be retained by us and BofAS 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-27.

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
through its London branch.
determined as follows:
Princ ipa l
$10.00 per unit
Am ount :
T e rm :
Approximately two years
M a rk e t
An international equity index basket
M e a sure :
comprised of the EURO STOXX 50® Index
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(Bloomberg symbol: "SX5E"), the FTSE®
100 Index (Bloomberg symbol: "UKX"), the
Nikkei Stock Average Index (Bloomberg
symbol: "NKY"), the Swiss Market Index®
(Bloomberg symbol: "SMI"), the S&P/ASX
200 Index (Bloomberg symbol: "AS51") and
the Hang Seng® Index (Bloomberg symbol:
"HSI"). Each Basket Component is a price
return index.
St a rt ing V a lue : 100.00
Ending V a lue : The average of the values of the Market
Measure on each calculation day occurring
during the Maturity Valuation Period,
calculated as specified in "The Basket" on
page TS-8 and "Description of LIRNs--
Basket Market Measures" beginning on page
PS-22 of product supplement EQUITY
INDICES LIRN-1. The scheduled calculation
days are subject to postponement in the
event of Market Disruption Events, as
described beginning on page PS-20 of
product supplement EQUITY INDICES
LIRN-1.
T hre shold
90.00 (90.00% of the Starting Value).
V a lue :
Pa rt ic ipa t ion
200%
Ra t e :
Ca ppe d V a lue : $11.636 per unit, which represents a return
of 16.36% over the principal amount.
M a t urit y
May 18, 2022, May 19, 2022, May 20, 2022,
V a lua t ion
May 23, 2022 and May 24, 2022
Pe riod:
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-27.
J oint
Credit Suisse International and BofA
Ca lc ula t ion
Securities, Inc. ("BofAS"), acting jointly.
Age nt s:



Capped Leveraged Index Return Notes®
TS-2


Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022

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

·
Product supplement EQUITY INDICES LIRN-1 dated July 13, 2017:
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https://www.sec.gov/Archives/edgar/data/1053092/000095010317006711/dp78239_424b2-lirn1.htm

·
Prospectus supplement and prospectus dated June 30, 2017:
http://www.sec.gov/Archives/edgar/data/1053092/000104746917004364/a2232566z424b2.htm

As a result of the completion of the reorganization of Bank of America's U.S. broker-dealer business, references to Merrill Lynch,
Pierce, Fenner & Smith Incorporated ("MLPF&S") in the accompanying product supplement EQUITY INDICES LIRN-1, as such
references relate to MLPF&S's institutional services, should be read as references to BofAS.

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 or BofAS 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-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us,"
"our," or similar references are to Credit Suisse.

Investor Considerations

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

· You anticipate that the value of the Basket will increase
· You believe that the value of the Basket will decrease from
moderately from the Starting Value to the Ending Value.
the Starting Value to the Ending Value or that it will not

increase sufficiently over the term of the notes to provide
· You are willing to risk a loss of principal and return if the value
you with your desired return.
of the Basket decreases from the Starting Value to an Ending
Value that is below the Threshold Value.
· You seek 100% principal repayment or preservation of

capital.
· You accept that the return on the notes will be capped.


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

your investment.
· You are willing to forgo dividends or other benefits of owning
the stocks included in the Basket Components.
· You want to receive dividends or other distributions paid on

the stocks included in the Basket Components.
· You are willing to accept a limited or no market for sales prior
to maturity, and understand that the market prices for the
· You seek an investment for which there will be a liquid
notes, if any, will be affected by various factors, including our
secondary market.
actual and perceived creditworthiness, our internal funding rate
and fees and charges on the notes.
· You are unwilling or are unable to take market risk on the

notes or to take our credit risk as issuer of the notes.
· You are willing to assume our credit risk, as issuer of the

notes, for all payments under the notes, including the
Redemption Amount.

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.


Capped Leveraged Index Return Notes®
TS-3


Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022
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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 90% of the
Starting Value and the Capped Value of $11.636. 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 Basket Components, 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 Ending V a lue a nd t e rm of your inve st m e nt .

The following table is based on the Starting Value of 100, the Threshold Value of 90, the Participation Rate of 200% and the
Capped Value of $11.636 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%
$1.000
-90.00%
50.00
-50.00%
$6.000
-40.00%
80.00
-20.00%
$9.000
-10.00%
90.00(1)
-10.00%
$10.000
0.00%
94.00
-6.00%
$10.000
0.00%
97.00
-3.00%
$10.000
0.00%
100.00(2)
0.00%
$10.000
0.00%
102.00
2.00%
$10.400
4.00%
108.18
8.18%
$11.636(3)
16.36%
110.00
10.00%
$11.636
16.36%
120.00
20.00%
$11.636
16.36%
130.00
30.00%
$11.636
16.36%
140.00
40.00%
$11.636
16.36%
150.00
50.00%
$11.636
16.36%
160.00
60.00%
$11.636
16.36%
(1) The Threshold Value was set to 90.00 on the pricing date.
(2) The Starting Value was set to 100.00 on the pricing date.
(3) The Redemption Amount per unit cannot exceed the Capped Value.

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For recent hypot he t ic a l values of the Basket, see "The Basket" section below. For recent actual levels of the Basket
Components, see "The Basket Components" section below. Each Basket Component 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 any of the Basket Components,
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 an International Equity Index Basket, due May 27, 2022

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 80.00, or 80.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 90.00
Ending Value: 80.00
Redemption Amount per unit

Ex a m ple 2
The Ending Value is 95.00, or 95.00% of the Starting Value:
Starting Value: 100.00
Threshold Value: 90.00
Ending Value: 95.00
Redemption Amount (per unit) = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value but equal to
or greater than the Threshold Value.

Ex a m ple 3
The Ending Value is 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 150.00, or 150.00% of the Starting Value:
Starting Value: 100.00
Ending Value: 150.00
= $ 2 0 .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 1 .6 3 6 pe r unit


Capped Leveraged Index Return Notes®
TS-5


Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022

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Risk Factors

There are important differences between the notes and a conventional debt security. An investment in the notes involves significant
risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the
"Risk Factors" sections beginning on page PS-7 of product supplement EQUITY INDICES LIRN-1 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 Basket as measured shortly before the maturity date, you may not earn a return on
your investment.


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 Basket Components.


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-27. Because we used our internal funding rate to determine the value of
the theoretical bond component, if on the pricing date our internal funding rate was lower than our secondary market credit
rates, the initial estimated value of the notes is 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-27.


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-27. 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 value of the Basket, 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. None of us, MLPF&S or BofAS 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, BofAS, or any of our affiliates would be willing to purchase your notes in any secondary market (if any exists) at
any time. BofAS has advised us that any repurchases by MLPF&S, BofAS 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 and BofAS's
trading commissions and mark-ups. If you sell your notes to a dealer other than MLPF&S or BofAS in a secondary market
transaction, the dealer may impose its own discount or commission. BofAS has also advised us that, at its discretion and
for your benefit, assuming no changes in market conditions from the pricing date, MLPF&S or BofAS 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.

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Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trading in
shares of companies included in the Basket Components), and any hedging and trading activities we, MLPF&S, BofAS 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.


Changes in the level of one of the Basket Components may be offset by changes in the levels of the other Basket
Components. Due to the different Initial Component Weights, changes in the levels of some Basket Components will have
a more substantial impact on the value of the Basket than similar changes in the levels of the other Basket Components.


The index sponsors may adjust their respective Basket Components in a way that affects their levels, and have no
obligation to consider your interests.


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


Capped Leveraged Index Return Notes®
TS-6


Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022


While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of companies included in the
Basket Components, except to the extent that our common stock is included in the Swiss Market Index® we, MLPF&S,
BofAS and our respective affiliates do not control any company included in any Basket Component, and we have not
verified any disclosure made by any other company.


Your return on the notes may be affected by factors affecting the international securities markets, specifically changes in
the countries represented by the Basket Components. In addition, you will not obtain the benefit of any increase in the
value of the currencies in which the securities in the Basket Components trade against the U.S. dollar which you would
have received if you had owned the securities in the Basket Components during the term of your notes, although the value
of the Basket may be adversely affected by general exchange rate movements in the market.


There may be potential conflicts of interest involving the calculation agents, one of which is our affiliate and one of which is
BofAS. We have the right to appoint and remove the calculation agents.


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 tax consequences of an investment in the notes are unclear. There is no direct legal authority regarding
the proper U.S. federal tax treatment of the notes, and we do not plan to request a ruling from the Internal Revenue
Service (the "IRS"). Consequently, significant aspects of the tax treatment of the notes are uncertain, and the IRS or a
court might not agree with the treatment of the notes as prepaid financial contracts that are treated as "open transactions."
If the IRS were successful in asserting an alternative treatment of the notes, the tax consequences of the ownership and
disposition of the notes, including the timing and character of income recognized by U.S. investors and the withholding tax
consequences to non-U.S. investors, might be materially and adversely affected. Moreover, future legislation, Treasury
regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the notes, possibly retroactively.

Other Terms of the Notes

M a rk e t M e a sure Busine ss Da y
The provisions of this section supersede and replace the definition of "Market Measure Business Day" set forth in product
supplement EQUITY INDICES LIRN-1.
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A "Market Measure Business Day" means a day on which:
(A) each of the Eurex (as to the EURO STOXX 50® Index), the London Stock Exchange (as to the FTSE® 100 Index), the
Tokyo Stock Exchange (as to the Nikkei Stock Average Index), the SIX Swiss Exchange (as to the Swiss Market Index®), the
Australian Stock Exchange (as to the S&P/ASX 200 Index), and the Stock Exchange of Hong Kong (as to the Hang Seng® Index)
(or any successor to the foregoing exchanges) are open for trading; and
(B) the Basket Components or any successors thereto are calculated and published.


Capped Leveraged Index Return Notes®
TS-7


Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022

The Basket

The Basket is designed to allow investors to participate in the percentage changes in the levels of the Basket Components from
the Starting Value to the Ending Value of the Basket. The Basket Components are described in the section "The Basket
Components" below. Each Basket Component was assigned an initial weight on the pricing date, as set forth in the table below.

For more information on the calculation of the value of the Basket, please see the section entitled "Description of LIRNs--Basket
Market Measures" beginning on page PS-22 of product supplement EQUITY INDICES LIRN-1.

On the pricing date, for each Basket Component, the Initial Component Weight, the closing level, the Component Ratio and the
initial contribution to the Basket value were as follows:



I nit ia l


I nit ia l Ba sk e t
Bloom be rg
Com pone nt
Closing
Com pone nt
V a lue
Ba sk e t Com pone nt
Sym bol
We ight
Le ve l (1)
Ra t io(2)
Cont ribut ion
EURO STOXX 50® Index

SX5E

40.00%

3,094.47

0.01292628

40.00
FTSE® 100 Index

UKX

20.00%

6,218.79

0.00321606

20.00
Nikkei Stock Average Index

NKY

20.00%

21,916.31

0.00091256

20.00
Swiss Market Index®

SMI

7.50%

9,926.03

0.00075559

7.50
S&P/ASX 200 Index

AS51

7.50%

5,851.105

0.00128181

7.50
Hang Seng® Index

HSI

5.00%

23,132.76

0.00021614

5.00







St a rt ing V a lue

100.00
(1) These were the closing levels of the Basket Components on the pricing date.

(2) Each Component Ratio equals the Initial Component Weight of the relevant Basket Component (as a percentage)
multiplied by 100, and then divided by the closing level of that Basket Component on the pricing date and rounded to eight
decimal places.

The calculation agents will calculate the value of the Basket by summing the products of the closing level for each Basket
Component on each calculation day during the Maturity Valuation Period and the Component Ratio applicable to such Basket
Component. If a Market Disruption Event occurs as to any Basket Component on any scheduled calculation day, the closing level
of that Basket Component will be determined as more fully described in the section entitled "Description of LIRNs--Basket Market
Measures-Ending Value of the Basket" on page PS-23 of product supplement EQUITY INDICES LIRN-1.


Capped Leveraged Index Return Notes®
TS-8


https://www.sec.gov/Archives/edgar/data/1053092/000095010320011891/dp130287_424b3-lirn63.htm[6/17/2020 6:09:45 PM]


Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022

While actual historical information on the Basket did not exist before the pricing date, the following graph sets forth the
hypothetical historical performance of the Basket from January 1, 2010 through May 28, 2020. The graph is based upon
actual daily historical levels of the Basket Components, hypothetical Component Ratios based on the closing levels of the
Basket Components as of December 31, 2009, and a Basket value of 100.00 as of that date. This hypothetical historical
data on the Basket is not necessarily indicative of the future performance of the Basket or what the value of the notes
may be. Any hypothetical historical upward or downward trend in the value of the Basket during any period set forth
below is not an indication that the value of the Basket is more or less likely to increase or decrease at any time over the
term of the notes.

H ypot he t ic a l H ist oric a l Pe rform a nc e of t he Ba sk e t


Capped Leveraged Index Return Notes®
TS-9


Capped Leveraged Index Return Notes®
Linked to an International Equity Index Basket, due May 27, 2022

The Basket Components

All disclosures contained in this term sheet regarding the Basket Components, including, without limitation, their make up, method
of 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, the index sponsors. The index sponsors, which license the copyright and all other rights to
the Basket Components, have no obligation to continue to publish, and may discontinue publication of, the Basket Components.
The consequences of the index sponsors discontinuing publication of the Basket Components are discussed in the section entitled
"Description of LIRNs--Discontinuance of an Index" on page PS-21 of product supplement EQUITY INDICES LIRN-1. None of us,
the calculation agents, MLPF&S or BofAS accepts any responsibility for the calculation, maintenance or publication of the Basket
Components or any successor indices.

T he EU RO ST OX X 5 0 ® I nde x

The EURO STOXX 50® Index (the "SX5E") is composed of 50 component stocks of market sector leaders from within the EURO
STOXX® Supersector indices in terms of free float market capitalization, which represent the Eurozone portion of the STOXX
https://www.sec.gov/Archives/edgar/data/1053092/000095010320011891/dp130287_424b3-lirn63.htm[6/17/2020 6:09:45 PM]


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