Obligation Swiss Credit 5.88% ( US22546VJG23 ) en USD

Swiss Credit

100 % ▲

Suisse

US22546VJG23 ( en USD )

5.88% par an ( paiement semestriel )

28/08/2030

Prospectus brochure de l'obligation Credit Suisse US22546VJG23 en USD 5.88%, échéance 28/08/2030

1 000 USD

11 000 000 USD

22546VJG2

N/A

28/02/2026 ( Dans 20 jours )

Credit Suisse était une grande banque suisse, active dans la gestion de fortune, l'investissement bancaire et les services financiers, avant sa prise de contrôle par UBS en mars 2023 suite à une crise de confiance.

L'Obligation émise par Swiss Credit ( Suisse ) , en USD, avec le code ISIN US22546VJG23, paye un coupon de 5.88% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 28/08/2030

L'Obligation émise par Swiss Credit ( Suisse ) , en USD, avec le code ISIN US22546VJG23, a été notée NR par l'agence de notation Moody's.

424B2 1 dp58637_424b2-u1307.htm FORM 424B2

August 2 0 1 5
Pricing Supplement No. U1307
Registration Statement Nos. 333-202913 and 333-180300-03
Dated August 4, 2015
Filed pursuant to Rule 424(b)(2)

INTEREST RATE STRUCTURED PRODUCTS
Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o
t he Ba rrie r Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
As further described below, interest will accrue on the securities (i) in years 1 and 2: at a rate of 10.00% per annum and (ii) in
years 3 to maturity: for each day that the closing value of the Russell 2000® Index (the "reference index") is greater than or equal
to 60% of the initial index value (which we refer to as the "index reference level"), at a variable rate per annum equal to 7 times the
difference, if any, between the 30-Year Constant Maturity Swap Rate and the 2-Year Constant Maturity Swap Rate, as determined
on the CMS reference determination date at the start of the related monthly interest payment period; subject to, for each interest
payment period during the contingent floating interest rate period, the maximum contingent interest rate of 10.00% per annum and
the minimum contingent interest rate of 0.00% per annum.

At maturity, if the final index value is greater than or equal to the barrier level of 50% of the initial index value, investors will receive
the stated principal amount of the securities plus any accrued but unpaid contingent interest. However, if the final index value is
less than the barrier level, investors will be fully exposed to the decline in the value of the reference index from the initial index
value to the final index value, and the payment at maturity will be less than 50% of the stated principal amount of the securities
and could be zero. T he re is no m inim um pa ym e nt a t m a t urit y on t he se c urit ie s. Ac c ordingly, inve st ors m a y
lose up t o t he ir e nt ire init ia l inve st m e nt in t he se c urit ie s. Investors will not participate in any appreciation of the
reference index. These securities are for investors who seek an opportunity to earn interest at a potentially above-market rate in
exchange for the risk of losing their principal and the risk of receiving little or no contingent interest on the securities during the
contingent floating interest rate period.

All pa ym e nt s on t he se c urit ie s, inc luding t he re pa ym e nt of princ ipa l, a re subje c t t o t he c re dit risk of Cre dit
Suisse .

FI N AL T ERM S
I ssue r:
Credit Suisse AG
Aggre ga t e princ ipa l
$10,000,000. May be increased prior to the original issue date but we are not required to do so.
a m ount :
I ssue pric e :
At variable prices
St a t e d princ ipa l
$1,000 per security
a m ount :
T ra de da t e :
August 4, 2015
Origina l issue da t e :
August 28, 2015 (18 business days after the trade date)
M a t urit y da t e :
August 28, 2030
Pa ym e nt a t m a t urit y:
· If the final index value is greater than or equal to the barrier level: the stated
principal amount plus any accrued and unpaid contingent interest
· If the final index value is less than the barrier level: (a) the stated principal amount times
the index performance factor plus (b) any accrued and unpaid contingent interest. This amount
will be less than 50% of the stated principal amount of the securities and could be zero.
I nt e re st :
The interest rate will be:
From and including the original issue date to but excluding August 28, 2017 (the "fixed interest rate
period"): 10.00% per annum
From and including August 28, 2017 to but excluding the maturity date (the "contingent floating
interest rate period"):
For each interest payment period during the contingent floating interest rate period, a variable rate
per annum equal to the product of:
(a ) le ve ra ge fa c t or times t he CM S re fe re nc e inde x le ve l; subject to the minimum
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contingent interest rate and the maximum contingent interest rate; a nd
(b) N /ACT ;
where,
"N" = the total number of calendar days in the applicable interest payment period on which the
index closing value is greater than or equal to the index reference level (each such day, an
"accrual day"); and
"ACT" = the total number of calendar days in the applicable interest payment period.
The CMS reference index level applicable to an interest payment period will be determined on the
related CMS reference determination date.
Contingent interest for each interest payment period during the contingent floating interest
rate period is subject to the minimum contingent interest rate of 0.00% per annum and the
maximum contingent interest rate of 10.00% per annum for such interest payment period.
Beginning August 28, 2017, it is possible that you could receive little or no contingent interest
on the securities. If, on the related monthly CMS reference determination date, the CMS
reference index level is equal to or less than the CMS reference index strike, contingent
interest will accrue at a rate of 0.00% for that interest payment period. In addition, if on any
day during the contingent floating interest rate period, the index closing value is less than the
index reference level, contingent interest will accrue at a rate of 0.00% per annum for that day.
Therefore, in order to accrue contingent interest on any day during the contingent floating
interest rate period, both (i) the CMS reference index level must be greater than the CMS
reference index strike and (ii) the index closing value must be greater than the index reference
level. The determination of the index closing value will be subject to certain market disruption
events (as defined in the accompanying product supplement).
Le ve ra ge fa c t or:
7
I nt e re st pa ym e nt
Monthly
pe riod:
I nt e re st pa ym e nt
Unadjusted
pe riod e nd da t e s:
I nt e re st pa ym e nt
The 28th day of each month, beginning on (and including) September 28, 2015, and ending on the
da t e s:
Maturity Date; provided that if any such day is not a business day, that interest payment will be
made on the next succeeding business day and no adjustment will be made to any interest payment
made on that succeeding business day.
I nt e re st re se t da t e s:
The 28th day of each month, beginning August 28, 2017
M a x im um c ont inge nt
int e re st ra t e :
10.00% per annum for each interest payment period during the contingent floating interest rate period
M inim um c ont inge nt
int e re st ra t e :
0.00% per annum
Dist ribut or:
Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley. See
"Supplemental Plan of Distribution."
Ca lc ula t ion a ge nt :
Credit Suisse AG
Terms continued on the following page
I nve st ing in t he se c urit ie s involve s a num be r of risk s. Se e "Risk Fa c t ors" in t his pric ing supple m e nt a nd
"Risk Fa c t ors" be ginning on pa ge PS-3 of t he a c c om pa nying produc t supple m e nt .
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the
securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement,
the product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.

Pric e t o Public (1 )
U nde rw rit ing Disc ount s a nd
Proc e e ds t o I ssue r
Com m issions(2 )
Pe r se c urit y
At va ria ble pric e s
$ 3 5 .0 0
$ 9 6 5 .0 0
T ot a l
At va ria ble pric e s
$ 3 5 0 ,0 0 0 .0 0
$ 9 ,6 5 0 ,0 0 0 .0 0
(1) The securities will be offered from time to time in one or more negotiated transactions at varying prices to be determined at the
time of each sale, which may be at market prices prevailing, at prices related to such prevailing prices or at negotiated prices;
provided, however, that such price will not be less than $970 per security and will not be more than $1,000 per security. See "Risk
Factors--The Price You Pay For The Securities May Be Higher Than The Prices Paid By Other Investors."
(2) MS&Co. will act as distributor for the securities. The distributor will receive a fee from Credit Suisse or one of our affiliates of
$35.00 per $1,000 principal amount of securities. For more detailed information, please see "Supplemental Plan of Distribution" on
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the last page of this pricing supplement.
Cre dit Suisse c urre nt ly e st im a t e s t he va lue of e a c h $ 1 ,0 0 0 princ ipa l a m ount of t he se c urit ie s on t he T ra de
Da t e is $ 9 0 7 .1 0 (a s de t e rm ine d by re fe re nc e t o our pric ing m ode ls a nd t he ra t e w e a re c urre nt ly pa ying t o
borrow funds t hrough issua nc e of t he se c urit ie s (our "int e rna l funding ra t e ")). T he e st im a t e d va lue on a ny
subse que nt t ra de da t e m a y be low e r t ha n t his e st im a t e , but w ill in no c a se be le ss t ha n $ 9 0 0 pe r se c urit y.
Se e "Se le c t e d Risk Conside ra t ions" in t his pric ing supple m e nt .
The securities are not deposit liabilities and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any
other governmental agency of the United States, Switzerland or any other jurisdiction.

M orga n St a nle y

Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Terms continued from previous page:
Re fe re nc e inde x :
The Russell 2000® Index
U nde rlying inde x
Russell Investments
publishe r:
CM S re fe re nc e
Two (2) U.S. government securities business days prior to the related interest reset date at the start
de t e rm ina t ion da t e s:
of the applicable interest payment period.
CM S re fe re nc e inde x
30-Year Constant Maturity Swap Rate ("30CMS") minus 2-Year Constant Maturity Swap Rate
le ve l:
("2CMS"), expressed as a percentage.

Please see "Additional Provisions--CMS Reference Index" below.

CM S re fe re nc e inde x
0.00%
st rik e :
I nde x re fe re nc e le ve l:
, which is 60% of the initial index value
I nit ia l inde x va lue :
, which is the index closing value on August 25, 2015
Ba rrie r le ve l:
, which is 50% of the initial index value
Fina l inde x va lue :
The index closing value of the reference index on the final determination date
I nde x c losing va lue :
The closing value of the reference index. Please see "Additional Provisions--The Russell 2000®
Index" below.
Fina l de t e rm ina t ion
The third scheduled index business day prior to the maturity date, subject to adjustment due to non-
da t e :
index business days or certain market disruption events.
The index closing value for any day from and including the third index business day prior to the
I nde x c ut off:
related interest payment date for any interest payment period shall be the index closing value on
such third index business day prior to such interest payment date.
I nde x pe rform a nc e
The final index value divided by the initial index value
fa c t or:
Da y-c ount c onve nt ion:
Actual/Actual
Spe c ifie d c urre nc y:
U.S. dollars
CU SI P / I SI N :
22546VJG2/ US22546VJG23
Book -e nt ry or
Book-entry
c e rt ific a t e d se c urit y:

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Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

You should read this pricing supplement together with the underlying supplement dated May 4, 2015, the product supplement
dated May 4, 2015, the prospectus supplement dated May 4, 2015 and the prospectus dated May 4, 2015, relating to our Medium-
Term Notes of which these securities are a part. You may access these documents on the SEC website at www.sec.gov as follows
(or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

·
Underlying supplement dated May 4, 2015:

http://www.sec.gov/Archives/edgar/data/1053092/000095010315003505/dp55844_424b2-underlying.htm

·
Product supplement No. I dated May 4, 2015:

http://www.sec.gov/Archives/edgar/data/1053092/000095010315003534/dp55815_424b2-psno1.htm

·
Prospectus supplement and Prospectus dated May 4, 2015:

http://www.sec.gov/Archives/edgar/data/1053092/000104746915004333/a2224570z424b2.htm

Our Central Index Key, or CIK, on the SEC website is 1053092. As used in this pricing supplement, the "Company," "we," "us," or
"our" refers to Credit Suisse.

This pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other
prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms,
fact sheets, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials
of ours. We may, without the consent of the registered holder of the securities and the owner of any beneficial interest in the
securities, amend the securities to conform to its terms as set forth in this pricing supplement and the documents listed above, and
the trustee is authorized to enter into any such amendment without any such consent. You should carefully consider, among other
things, the matters set forth in "Risk Factors" in the product supplement and "Selected Risk Considerations" in this pricing
supplement, "Foreign Currency Risks" in the accompanying prospectus, and any risk factors we describe in the combined Annual
Report on Form 20-F of Credit Suisse Group AG and us incorporated by reference therein, and any additional risk factors we
describe in future filings we make with the SEC under the Securities Exchange Act of 1934, as amended, as the securities involve
risks not associated with conventional debt securities. You should consult your investment, legal, tax, accounting and other
advisors before deciding to invest in the securities.

Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

The Securities

Principal at Risk Securities

The securities offered are debt securities of Credit Suisse. In years 1 and 2, the securities pay interest at a rate of 10.00% per
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annum. Beginning August 28, 2017 contingent interest will accrue on the securities for each day that the closing value of the
reference index is greater than or equal to 60% of the initial index value (which we refer to as the index reference level), at a
variable rate per annum equal to 7 times the CMS reference index for the related monthly interest payment period; subject to, for
each interest payment period during the contingent floating interest rate period, the maximum contingent interest rate of 10.00% per
annum and the minimum contingent interest rate of 0.00% per annum. The floating interest rate is based on (1) the CMS reference
index level a nd (2) the index closing value of the Russell 2000® Index. If 30CMS is less than or equal to 2CMS on the applicable
CMS reference determination date, the contingent floating interest rate will be 0.00% and no contingent interest will accrue on the
securities for the related interest payment period. In addition, if, on any calendar day during the interest payment period, the index
closing value is less than the index reference level, contingent interest will accrue at a rate of 0.00% per annum for that day.
Therefore, in order to accrue contingent interest on any day during the contingent floating interest rate period, both (i) the CMS
reference index level must be greater than the CMS reference index strike and (ii) the index closing value must be greater than the
index reference level.

At maturity, if the final index value is greater than or equal to the barrier level, investors will receive the stated principal amount of
the securities plus any accrued and unpaid contingent interest. However, if the final index value is less than the barrier level,
investors will be fully exposed to the decline in the value of the reference index from the initial index value to the final index value,
and the payment at maturity will be less than 50% of the stated principal amount of the securities and could be zero. T he re is no
m inim um pa ym e nt a t m a t urit y on t he se c urit ie s. Ac c ordingly, inve st ors m a y lose up t o t he ir e nt ire init ia l
inve st m e nt in t he se c urit ie s. Investors will not participate in any appreciation of the reference index.

The stated principal amount of each security is $1,000, and the issue price is variable.
August 2015
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Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Additional Provisions

CM S Re fe re nc e I nde x

Wha t a re t he 3 0 -Y e a r a nd 2 -Y e a r Const a nt M a t urit y Sw a p Ra t e s ?

The 30-Year Constant Maturity Swap Rate (which we refer to as "30CMS") is, on any U.S. government securities business day, the
fixed rate of interest payable on an interest rate swap with a 30-year maturity as reported on Reuters Page ISDAFIX1 or any
successor page thereto at 11:00 a.m. New York City time on that day. This rate is one of the market-accepted indicators of longer-
term interest rates.

The 2-Year Constant Maturity Swap Rate (which we refer to as "2CMS") is, on any U.S. government securities business day, the
fixed rate of interest payable on an interest rate swap with a 2-year maturity as reported on Reuters Page ISDAFIX1 or any
successor page thereto at 11:00 a.m. New York City time on that day. This rate is one of the market-accepted indicators of shorter-
term interest rates.

An interest rate swap rate, at any given time, generally indicates the fixed rate of interest (paid semi-annually) that a counterparty
in the swaps market would have to pay for a given maturity, in order to receive a floating rate (paid quarterly) equal to 3-month
LIBOR for that same maturity.

U .S. Gove rnm e nt Se c urit ie s Busine ss Da y

U.S. government securities business day means any day except for a Saturday, Sunday or a day on which The Securities Industry
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and Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for
purposes of trading in U.S. government securities.

CM S Ra t e Fa llba c k Provisions

If 30CMS or 2CMS is not displayed by 11:00 a.m. New York City time on the Reuters Screen ISDAFIX1 Page on any day on which
the level of the CMS reference index must be determined, such affected rate for such day will be determined on the basis of the
mid-market semi-annual swap rate quotations to the calculation agent provided by five leading swap dealers in the New York City
interbank market (the "Reference Banks") at approximately 11:00 a.m., New York City time, on such day, and, for this purpose, the
mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a
30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal to the applicable 30 year
or 2 year maturity commencing on such day and in a representative amount with an acknowledged dealer of good credit in the
swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to USD-LIBOR-BBA with a
designated maturity of three months. The calculation agent will request the principal New York City office of each of the Reference
Banks to provide a quotation of its rate. If at least three quotations are provided, the rate for that day will be the arithmetic mean of
the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the
event of equality, one of the lowest). If fewer than three quotations are provided as requested, the rate will be determined by the
calculation agent in good faith and in a commercially reasonable manner.

August 2015
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Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
T he Russe ll 2 0 0 0 ® I nde x

The Russell 2000® Index is an index calculated, published and disseminated by Russell Investments, and measures the composite
price performance of stocks of 2,000 companies incorporated in the U.S. and its territories. All 2,000 stocks are traded on a major
U.S. exchange and are the 2,000 smallest securities that form the Russell 3000® Index. The Russell 3000® Index is composed of
the 3,000 largest U.S. companies as determined by market capitalization and represents approximately 98% of the U.S. equity
market. The Russell 2000® Index consists of the smallest 2,000 companies included in the Russell 3000® Index and represents a
small portion of the total market capitalization of the Russell 3000® Index. The Russell 2000® Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000®
Index, see the information set forth under "Annex A--The Russell 2000® Index" in this document and "Russell 2000® Index" in the
accompanying underlying supplement.

I nde x Closing V a lue Fa llba c k Provisions

The index closing value on any calendar day during the term of the securities on which the index level is to be determined (each,
an "index determination date") will equal the official closing value of the index as published by the underlying index publisher or its
successor, or in the case of any successor index, the official closing value for such successor index as published by the publisher
of such successor index or its successor, at the regular weekday close of trading on that calendar day, as determined by the
calculation agent; provided that the index closing value for any day from and including the third index business day prior to the
related interest payment date for any interest payment period shall be the index closing value in effect on such third index business
day prior to such interest payment date; provided further that if a market disruption event with respect to the index occurs on any
index determination date (other than the day on which the initial index value is determined or the final determination date) or if any
such index determination date is not an index business day, the closing value of the index for such index determination date will
be the closing value of the index on the immediately preceding index business day on which no market disruption event has
occurred.

If a market disruption event occurs on the day on which the initial index value is determined or the final determination date, or if
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any such date is not an index business day, the relevant date shall be the next succeeding index business day on which there is
no market disruption event; provided that if a market disruption event has occurred on each of the five index business days
immediately succeeding any such scheduled date, then (i) such fifth succeeding index business day shall be deemed to be the
relevant date, notwithstanding the occurrence of a market disruption event on such day, and (ii) with respect to any such fifth
succeeding index business day on which a market disruption event occurs, the calculation agent shall determine the index closing
value on such fifth succeeding index business day in accordance with the formula for and method of calculating such index last in
effect prior to the commencement of the market disruption event, using the closing price (or, if trading in the relevant securities has
been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for such
suspension or limitation) at the close of the principal trading session of the relevant exchange on such index business day of each
security most recently constituting the index without any rebalancing or substitution of such securities following the commencement
of the market disruption event.

"Index business day" means a day, as determined by the calculation agent, on which trading is generally conducted on each of the
relevant exchange(s) for the reference index, other than a day on which trading on such exchange(s) is scheduled to close prior to
the time of the posting of its regular final weekday closing price.

"Relevant exchange" means the primary exchange(s) or market(s) of trading for (i) any security then included in the reference
index, or any successor index, and (ii) any futures or options contracts related to the reference index or to any security then
included in the reference index.

Post pone m e nt of M a t urit y Da t e

If the scheduled final determination date is not an index business day or if a market disruption event occurs on that day so that the
final determination date is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date
of the securities will be postponed to the second business day following the final determination date as postponed.

August 2015
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Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
How the Securities Work

H ow t o c a lc ula t e t he c ont inge nt int e re st pa ym e nt s:

The table below presents examples of hypothetical contingent interest that would accrue on the securities during any month in the contingent floating interest
rate period. The examples below are for purposes of illustration only. The examples of the hypothetical contingent floating interest rate that would accrue on
the securities are based on both the level of the CMS reference index level on the applicable CMS reference determination date and the total number of
calendar days in a monthly interest payment period on which the index closing value is greater than or equal to the index reference level.

The actual contingent interest payment amounts during the contingent floating interest rate period will depend on the (1) actual level of the CMS reference
index on each CMS reference determination date and (2) the index closing value of the reference index on each calendar day during the floating interest
payment period. The applicable contingent interest rate for each monthly interest payment period will be determined on a per-annum basis but will apply
only to that interest payment period. The table assumes that the interest payment period contains 30 calendar days. The examples below are for purposes
of illustration only and would provide different results if different assumptions were made.

Annua lize d ra t e of c ont inge nt int e re st pa id
7 times CM S
CM S
N um be r of c a le nda r da ys on w hic h t he inde x c losing va lue is gre a t e r
Re fe re nc e
Re fe re nc e I nde x
t ha n or e qua l t o t he inde x re fe re nc e le ve l
I nde x *
0
5
1 0
1 5
2 0
2 5
3 0
-1.625%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.500%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.375%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.250%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
http://www.sec.gov/Archives/edgar/data/1053092/000095010315006324/dp58637_424b2-u1307.htm[8/6/2015 5:12:31 PM]

-1.125%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.000%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.875%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.750%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.625%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.500%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.375%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.250%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.125%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.000%
0.000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.125%
0.8750%
0.0000%
0.1458%
0.2917%
0.4375%
0.5833%
0.7292%
0.8750%
0.250%
1.7500%
0.0000%
0.2917%
0.5833%
0.8750%
1.1667%
1.4583%
1.7500%
0.375%
2.6250%
0.0000%
0.4375%
0.8750%
1.3125%
1.7500%
2.1875%
2.6250%
0.500%
3.5000%
0.0000%
0.5833%
1.1667%
1.7500%
2.3330%
2.9167%
3.5000%
0.625%
4.3750%
0.0000%
0.7292%
1.4583%
2.1875%
2.9166%
3.6549%
4.3750%
0.750%
5.2500%
0.0000%
0.8750%
1.7500%
2.6250%
3.5000%
4.3750%
5.2500%
0.875%
6.1250%
0.0000%
1.0210%
2.0417%
3.0625%
4.0833%
5.1042%
6.1250%
1.000%
7.0000%
0.0000%
1.1667%
2.3333%
3.5000%
4.6667%
5.8333%
7.0000%
1.125%
7.8750%
0.0000%
1.3125%
2.6250%
3.9375%
5.2500%
6.5625%
7.8750%
1.250%
8.7500%
0.0000%
1.4583%
2.9167%
4.3750%
5.8333%
7.2912%
8.7500%
1.375%
9.6250%
0.0000%
1.6042%
3.2083%
4.8125%
6.4167%
8.0208%
9.6250%
1.428%
10.00%
0.0000%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
1.500%
10.00%
0.0000%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
1.625%
10.00%
0.0000%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
1.750%
10.00%
0.0000%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
1.875%
10.00%
0.0000%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
2.000%
10.00%
0.0000%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
* Subject to the minimum contingent interest rate of 0.00% and the maximum contingent interest rate of 10.00% per annum

August 2015
Page 7

Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
If 30CMS is less than or equal to 2CMS on the applicable CMS reference determination date, the contingent floating interest rate
will be the minimum contingent interest rate of 0.00% and no contingent interest will accrue on the securities for such interest
payment period regardless of the total number of calendar days in the interest payment period on which the index closing value of
the reference index is greater than or equal to the index reference level.
August 2015
Page 8

Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
H ow t o c a lc ula t e t he pa ym e nt a t m a t urit y (e x c luding a ny c ont inge nt int e re st w it h re spe c t t o t he fina l
int e re st pa ym e nt pe riod):

The payoff diagram below illustrates the payment at maturity (excluding any contingent interest with respect to the final interest payment period) on the
http://www.sec.gov/Archives/edgar/data/1053092/000095010315006324/dp58637_424b2-u1307.htm[8/6/2015 5:12:31 PM]

securities based on the following terms:

St a t e d princ ipa l a m ount :
$1,000 per security
Ba rrie r le ve l:
50% of the initial index value
M inim um pa ym e nt a t m a t urit y:
None

Pa yoff Dia gra m
H ow it w ork s

Pa r Sc e na rio. If the final index value is greater than the barrier level of 50% of the initial index value, the investor would receive
$1,000 stated principal amount.

If the reference index depreciates 30%, the investor would receive the $1,000 stated principal amount.

Dow nside Sc e na rio. If the final index value is less than the barrier level of 50% of the initial index value, the investor would
receive an amount that is significantly less than the $1,000 stated principal amount, based on a 1% loss of principal for each 1%
decline in the reference index. This amount will be less than $500 per security. There is no minimum payment at maturity on the
securities. Accordingly, investors may lose up to their entire initial investment in the securities.

If the reference index depreciates 70%, the investor would lose 70% of the investor's principal and receive only $300 per
security at maturity, or 30% of the stated principal amount.

August 2015
Page 9

Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Historical Information

T he CM S Re fe re nc e I nde x

http://www.sec.gov/Archives/edgar/data/1053092/000095010315006324/dp58637_424b2-u1307.htm[8/6/2015 5:12:31 PM]

The following graph sets forth the historical difference between the 30-Year Constant Maturity Swap Rate and the 2-Year Constant
Maturity Swap Rate for the period from January 2, 2000 to August 4, 2015 (the "historical period"). The historical difference
between the 30-Year Constant Maturity Swap Rate and the 2-Year Constant Maturity Swap Rate should not be taken as an
indication of the future performance of the CMS reference index. The graph below does not reflect the return the securities would
have yielded during the historical period because it does not take into account the index closing values or the leverage factor. We
cannot give you any assurance that the level of the CMS reference index will be positive on any CMS reference determination date.
We obtained the information in the graph below, without independent verification, from Bloomberg Financial Markets, which closely
parallels but is not necessarily exactly the same as the Reuters Page price sources used to determine the level of the CMS
reference index.

The historical performance shown above is not indicative of future performance. The CMS reference index level may be negative
on one or more particular CMS reference determination dates during the contingent floating interest rate period even if the level of
the CMS reference index is generally positive and, moreover, the level of the CMS reference index has in the past been, and may
in the future be, negative.

I f t he le ve l of t he CM S re fe re nc e inde x is ne ga t ive on a ny CM S re fe re nc e de t e rm ina t ion da t e during t he
c ont inge nt floa t ing int e re st ra t e pe riod, you w ill not re c e ive a ny c ont inge nt int e re st for t he re la t e d int e re st
pa ym e nt pe riod. M ore ove r, e ve n if t he le ve l of t he CM S re fe re nc e inde x is posit ive on a ny suc h CM S
re fe re nc e de t e rm ina t ion da t e , if t he inde x c losing va lue is le ss t ha n t he inde x re fe re nc e le ve l on a ny da y
during t he int e re st pa ym e nt pe riod, you w ill not re c e ive a ny c ont inge nt int e re st w it h re spe c t t o suc h da y,
a nd if t he inde x c losing va lue re m a ins be low t he inde x re fe re nc e le ve l for e a c h da y in t he a pplic a ble
int e re st pa ym e nt pe riod, you w ill re c e ive no c ont inge nt int e re st for t ha t int e re st pa ym e nt pe riod.

August 2015
Page 10

Fixed to Floating Rate Securities due 2030
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
http://www.sec.gov/Archives/edgar/data/1053092/000095010315006324/dp58637_424b2-u1307.htm[8/6/2015 5:12:31 PM]

Document Outline

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