Obligation Swiss Credit 0% ( US22546VNC62 ) en USD

Swiss Credit

100 % ▼

Suisse

US22546VNC62 ( en USD )

10/10/2022 - Obligation échue

Prospectus brochure de l'obligation Credit Suisse US22546VNC62 en USD 0%, échue

1 000 USD

1 000 000 USD

22546VNC6

N/A

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'analyse d'une obligation spécifique émise par Credit Suisse, une institution financière suisse d'envergure mondiale dont le siège est en Suisse, révèle les caractéristiques suivantes : identifiée par le code ISIN US22546VNC62 et le code CUSIP 22546VNC6, cette obligation, libellée en dollars américains (USD), représentait une taille totale d'émission de 1 000 000 USD, avec une taille minimale à l'achat de 1 000 USD. Bien que caractérisée par un taux d'intérêt nominal de 0% et une fréquence de paiement semestrielle indiquée, cette émission est arrivée à maturité le 10 octobre 2022 et a été remboursée à 100% de sa valeur nominale aux investisseurs à cette date.

424B2 1 dp60358_424b2-a111.htm FORM 424B2
Pric ing Supple m e nt N o. A1 1 1
Filed Pursuant to Rule 424(b)(2)
To the Underlying Supplement dated May 4, 2015,
Registration Statement Nos. 333-202913 and 333-180300-03
Product Supplement No. I dated May 4, 2015,
October 2, 2015
Prospectus Supplement dated May 4, 2015 and
Prospectus dated May 4, 2015
$ 1 ,0 0 0 ,0 0 0
Ac c e le ra t e d Re t urn Equit y Se c urit ie s (ARES)® due Oc t obe r 1 0 , 2 0 2 2
Link e d t o t he Pe rform a nc e of t he S& P 5 0 0 ® I nde x
Ge ne ra l
·
The securities are designed for investors who seek a leveraged return linked to the performance of the S&P 500® Index.
Investors should be willing to forgo interest and dividend payments and, if the Underlying declines, be willing to lose up to their
entire investment. Any payment on the securities is subject to our ability to pay our obligations as they become due.
·
Senior unsecured obligations of Credit Suisse AG, acting through its London branch, maturing October 10, 2022.
·
Minimum purchase of $1,000. Minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof.
·
The securities priced on October 2, 2015 (the "Trade Date") and are expected to settle on October 9, 2015 (the "Settlement
Date"). Delivery of the securities in book-entry form only will be made through The Depository Trust Company.
K e y T e rm s
Issuer:*
Credit Suisse AG ("Credit Suisse"), acting through its London branch
Underlying:
The securities are linked to the performance of the S&P 500® Index. For more information on the Underlying,
see "The Reference Indices--The S&P Dow Jones Indices--The S&P 500® Index" in the accompanying
underlying supplement. The Underlying is identified in the table below, together with its Bloomberg ticker
symbol and Initial Level:

U nde rlying
T ic k e r
I nit ia l Le ve l
S& P 5 0 0 ® I nde x
SPX <I nde x >
1 9 5 1 .3 6
Upside Participation 170%
Rate:
Redemption Amount: At maturity, you will be entitled to receive a Redemption Amount in cash that will equal the principal amount of
the securities you hold multiplied by the sum of 1 plus the Underlying Return, calculated as set forth below.
Any payment on the securities is subject to our ability to pay our obligations as they become due.
Underlying Return:
· If the Final Level is greater than the Initial Level, the Underlying Return will equal an amount calculated as
follows:

Final Level Initial Level
Upside Participation Rate × Initial Level

· If the Final Level is equal to the Initial Level, the Underlying Return will equal zero.

· If the Final Level is less than the Initial Level, the Underlying Return will be calculated as follows:

Final Level Initial Level
Initial Level

I f t he Fina l Le ve l is le ss t ha n t he I nit ia l Le ve l, t he U nde rlying Re t urn w ill be ne ga t ive a nd
you w ill re c e ive le ss t ha n t he princ ipa l a m ount of your se c urit ie s a t m a t urit y. Y ou c ould
lose your e nt ire inve st m e nt .
Initial Level:
As set forth in the table above.
Final Level:
The closing level of the Underlying on the Valuation Date.
Valuation Date:
October 3, 2022
Maturity Date:
October 10, 2022
Listing:
The securities will not be listed on any securities exchange.
CUSIP:
22546VNC6
Subject to postponement as set forth in the accompanying product supplement under "Description of the Securities--
Postponement of calculation dates."
I nve st ing in t he se c urit ie s involve s a num be r of risk s. Se e "Se le c t e d Risk Conside ra t ions" be ginning on
pa ge 3 of 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,
http://www.sec.gov/Archives/edgar/data/1053092/000095010315008032/dp60358_424b2-a111.htm[10/6/2015 5:01:34 PM]

the product supplement, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal offense.

U nde rw rit ing Disc ount s a nd
Pric e t o Public (1 )
Com m issions(2 )
Proc e e ds t o I ssue r
Pe r se c urit y
$ 1 ,0 0 0 .0 0
$ 4 0 .5 0
$ 9 5 9 .5 0
T ot a l
$ 1 ,0 0 0 ,0 0 0 .0 0
$ 4 0 ,5 0 0 .0 0
$ 9 5 9 ,5 0 0 .0 0
(1) Certain fiduciary accounts may pay a purchase price of at least $959.50 per $1,000 principal amount of securities, and CSSU will forgo any
fees with respect to such sales.
(2) We or one of our affiliates will pay discounts and commissions of $40.50 per $1,000 principal amount of securities. For more detailed
information, please see "Supplemental Plan of Distribution (Conflicts of Interest)" on the last page of this pricing supplement.
The agent for this offering, Credit Suisse Securities (USA) LLC ("CSSU"), is our affiliate. For more information, see "Supplemental
Plan of Distribution (Conflicts of Interest)" on 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 1 7 .3 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 ")). 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.
Cre dit Suisse
October 2, 2015

Addit iona l T e rm s Spe c ific t o t he 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.

1

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H ypot he t ic a l Re de m pt ion Am ount s a t M a t urit y

The table and examples below illustrate hypothetical Redemption Amounts payable at maturity on a $1,000 investment in the
securities for a hypothetical range of performance of the Underlying. The table and examples below assume an Upside Participation
Rate of 170%. The actual Upside Participation Rate is set forth on the cover of this pricing supplement. The hypothetical
Redemption Amounts set forth below are for illustrative purposes only. The actual Redemption Amount applicable to a purchaser of
the securities will be based on the Final Level. You should consider carefully whether the securities are suitable to your investment
goals. Any payment on the securities is subject to our ability to pay our obligations as they become due. The numbers appearing in
the table and examples below have been rounded for ease of analysis.

T ABLE: Hypothetical Redemption Amounts

Pe rc e nt a ge Cha nge from
U nde rlying Re t urn on t he
I nit ia l Le ve l t o Fina l Le ve l
Se c urit ie s
Re de m pt ion Am ount
100.00%
170.00%
$2,700.00
90.00%
153.00%
$2,530.00
80.00%
136.00%
$2,360.00
70.00%
119.00%
$2,190.00
60.00%
102.00%
$2,020.00
50.00%
85.00%
$1,850.00
40.00%
68.00%
$1,680.00
30.00%
51.00%
$1,510.00
20.00%
34.00%
$1,340.00
10.00%
17.00%
$1,170.00
5.00%
8.50%
$1,085.00
0 .0 0 %
0 .0 0 %
$ 1 ,0 0 0 .0 0
-5.00%
-5.00%
$950.00
-10.00%
-10.00%
$900.00
-20.00%
-20.00%
$800.00
-30.00%
-30.00%
$700.00
-40.00%
-40.00%
$600.00
-50.00%
-50.00%
$500.00
-60.00%
-60.00%
$400.00
-70.00%
-70.00%
$300.00
-80.00%
-80.00%
$200.00
-90.00%
-90.00%
$100.00
-100.00%
-100.00%
$0.00

EX AM PLES:

The following examples illustrate how the Redemption Amount is calculated.

Ex a m ple 1 :

Example 1 assumes the level of the Underlying increases by 50% from the Initial Level to the Final Level. The determination of the
Redemption Amount when the Final Level is equal to or greater than the Initial Level is as follows:

Underlying Return
= Upside Participation Rate × [(Final Level - Initial Level) / Initial Level]

= 170% × 50%

= 85%
Redemption Amount
= $1,000 × (1 + Underlying Return)

= $1,000 × 1.85

= $1,850

2

In this example, at maturity you would be entitled to receive a Redemption Amount equal to $1,850 per $1,000 principal amount of
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securities based on a return linked to the appreciation in the level of the Underlying.

Ex a m ple 2 :

Example 2 assumes the Final Level is equal to the Initial Level. Because the Final Level is equal to the Initial Level, at maturity
you would be entitled to receive a Redemption Amount equal to $1,000 per $1,000 principal amount of securities.

Ex a m ple 3 :

Example 3 assumes the level of the Underlying decreases by 20% from the Initial Level to the Final Level. The determination of
the Redemption Amount when the Final Level is less than the Initial Level is as follows:

Underlying Return
= (Final Level - Initial Level) / Initial Level

= -20%
Redemption Amount
= $1,000 × (1 + Underlying Return)

= $1,000 × 0.80

= $800

In this example, at maturity you would be entitled to receive a Redemption Amount equal to $800 per $1,000 principal amount of
securities because the Final Level is less than the Initial Level and you will be exposed to the depreciation in the level of the
Underlying from the Initial Level to the Final Level.

3

Se le c t e d Risk Conside ra t ions

An investment in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the
Underlying. These risks are explained in more detail in the "Risk Factors" section of the accompanying product supplement.

·
Y OU R I N V EST M EN T I N T H E SECU RI T I ES M AY RESU LT I N A LOSS -- The securities do not guarantee the
return of any of your investment. If the Final Level is less than the Initial Level, you will lose 1% of your principal for
each 1% decline in the Underlying from the Initial Level to the Final Level. You could lose your entire investment. Any
payment on the securities is subject to our ability to pay our obligations as they become due.

·
T H E SECU RI T I ES ARE SU BJ ECT T O T H E CREDI T RI SK OF CREDI T SU I SSE -- Investors are dependent
on our ability to pay all amounts due on the securities and, therefore, if we were to default on our obligations, you may
not receive any amounts owed to you under the securities. In addition, any decline in our credit ratings, any adverse
changes in the market's view of our creditworthiness or any increase in our credit spreads is likely to adversely affect
the value of the securities prior to maturity.

·
T H E SECU RI T I ES DO N OT PAY I N T EREST -- We will not pay interest on the securities. You may receive less
at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities, including
other of our debt securities, since the Redemption Amount is based on the performance of the Underlying. Because
the Redemption Amount may be less than the amount originally invested in the securities, the return on the securities
(the effective yield to maturity) may be negative. Even if it is positive, the return payable on each security may not be
enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over
time.

·
T H E EST I M AT ED V ALU E OF T H E SECU RI T I ES ON T H E T RADE DAT E M AY BE LESS T H AN T H E
PRI CE T O PU BLI C -- The initial estimated value of your securities on the Trade Date (as determined by reference
to our pricing models and our internal funding rate) may be significantly less than the original Price to Public. The Price
to Public of the securities includes the agent's discounts or commissions as well as transaction costs such as expenses
incurred to create, document and market the securities and the cost of hedging our risks as issuer of the securities
through one or more of our affiliates (which includes a projected profit). These costs will be effectively borne by you as
an investor in the securities. These amounts will be retained by Credit Suisse or our affiliates in connection with our
structuring and offering of the securities (except to the extent discounts or commissions are reallowed to other broker-
dealers or any costs are paid to third parties).

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On the Trade Date, we value the components of the securities in accordance with our pricing models. These include a
fixed income component valued using our internal funding rate, and individual option components valued using mid-
market pricing. Our option valuation models are proprietary. They take into account factors such as interest rates,
volatility and time to maturity of the securities, and they rely in part on certain assumptions about future events, which
may prove to be incorrect.

Because Credit Suisse's 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 Credit Suisse (even among issuers with
similar creditworthiness), our estimated value at any time may not be comparable to estimated values of similar
securities of other issuers.

·
EFFECT OF I N T EREST RAT E U SED I N ST RU CT U RI N G T H E SECU RI T I ES -- The internal funding rate we
use in structuring notes such as these securities is typically lower than the interest rate that is reflected in the yield on
our conventional debt securities of similar maturity in the secondary market (our "secondary market credit spreads"). If
on the Trade Date our internal funding rate is lower than our secondary market credit spreads, we expect that the
economic terms of the securities will generally be less favorable to you than they would have been if our secondary
market credit spread had been used in structuring the securities. We will also use our internal funding rate to determine
the price of the securities if we post a bid to repurchase your securities in secondary market transactions. See "--
Secondary Market Prices" below.

4

·
SECON DARY M ARK ET PRI CES -- If Credit Suisse (or an affiliate) bids for your securities in secondary market
transactions, which we are not obligated to do, the secondary market price (and the value used for account statements
or otherwise) may be higher or lower than the Price to Public and the estimated value of the securities on the Trade
Date. The estimated value of the securities on the cover of this pricing supplement does not represent a minimum
price at which we would be willing to buy the securities in the secondary market (if any exists) at any time. The
secondary market price of your securities at any time cannot be predicted and will reflect the then-current estimated
value determined by reference to our pricing models and other factors. These other factors include our internal funding
rate, customary bid and ask spreads and other transaction costs, changes in market conditions and any deterioration or
improvement in our creditworthiness. In circumstances where our internal funding rate is lower than our secondary
market credit spreads, our secondary market bid for your securities could be more favorable than what other dealers
might bid because, assuming all else equal, we use the lower internal funding rate to price the securities and other
dealers might use the higher secondary market credit spread to price them. Furthermore, assuming no change in
market conditions from the Trade Date, the secondary market price of your securities will be lower than the Price to
Public because it will not include the agent's discounts or commissions and hedging and other transaction costs. If you
sell your securities to a dealer in a secondary market transaction, the dealer may impose an additional discount or
commission, and as a result the price you receive on your securities may be lower than the price at which we may
repurchase the securities from such dealer.

We (or an affiliate) may initially post a bid to repurchase the securities from you at a price that will exceed the then-
current estimated value of the securities. That higher price reflects our projected profit and costs that were included in
the Price to Public, and that higher price may also be initially used for account statements or otherwise. We (or our
affiliate) may offer to pay this higher price, for your benefit, but the amount of any excess over the then-current
estimated value will be temporary and is expected to decline over a period of approximately 90 days.

The securities are not designed to be short-term trading instruments and any sale prior to maturity could result in a
substantial loss to you. You should be willing and able to hold your securities to maturity.

·
CREDI T SU I SSE I S SU BJ ECT T O SWI SS REGU LAT I ON -- 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, the Swiss Financial Market Supervisory Authority (FINMA) may open resolution proceedings if
there are justified concerns that Credit Suisse is over-indebted, has serious liquidity problems or no longer fulfills
capital adequacy requirements. 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. If one or more of these measures were imposed, such measures may adversely affect the
terms and market value of the securities and/or the ability of Credit Suisse to make payments thereunder and you may
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not receive any amounts owed to you under the securities.

·
POT EN T I AL CON FLI CT S -- We and our affiliates play a variety of roles in connection with the issuance of the
securities, including acting as calculation agent and as agent of the issuer for the offering of the securities, hedging our
obligations under the securities and determining their estimated value. In performing these duties, the economic
interests of us and our affiliates are potentially adverse to your interests as an investor in the securities. Further,
hedging activities may adversely affect any payment on or the value of the securities. Any profit in connection with
such hedging activities will be in addition to any other compensation that we and our affiliates receive for the sale of
the securities, which creates an additional incentive to sell the securities to you.

·
LACK OF LI QU I DI T Y -- The securities will not be listed on any securities exchange. Credit Suisse (or its affiliates)
intends to offer to purchase the securities in the secondary market but is not required to do so. Even if there is a
secondary market, it may not provide enough liquidity to allow you to trade or sell the securities when you wish to do
so. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be
able to trade your securities is

5

likely to depend on the price, if any, at which Credit Suisse (or its affiliates) is willing to buy the securities. If you have
to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss.

·
U N PREDI CT ABLE ECON OM I C AN D M ARK ET FACT ORS WI LL AFFECT T H E V ALU E OF T H E
SECU RI T I ES -- In addition to the level of the Underlying, the value of the securities may be influenced by factors
such as:

o
the expected and actual volatility of the Underlying;

o
the time to maturity of the securities;

o
the dividend rate on the equity securities included in the Underlying;

o
interest and yield rates in the market generally;

o
investors' expectations with respect to the rate of inflation;

o
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the equity
securities included in the Underlying or markets generally and which may affect the level of the Underlying;
and

o
our creditworthiness, including actual or anticipated downgrades in our credit ratings.

Some or all of these factors may influence the price that you will receive if you choose to sell your securities prior to
maturity. The impact of any of the factors set forth above may enhance or offset some or all of any change resulting
from another factor or factors.

·
N O OWN ERSH I P RI GH T S RELAT I N G T O T H E U N DERLY I N G -- Your return on the securities will not reflect
the return you would realize if you actually owned the equity securities that comprise the Underlying. The return on
your investment is not the same as the total return based on the purchase of the equity securities included in the
Underlying.

·
N O V OT I N G RI GH T S OR DI V I DEN D PAY M EN T S -- As a holder of the securities, you will not have voting rights
or rights to receive cash dividends or other distributions or other rights with respect to the equity securities included in
the Underlying.

Supple m e nt a l U se of Proc e e ds a nd H e dging

We intend to use the proceeds of this offering for our general corporate purposes, which may include the refinancing of existing
debt outside Switzerland. Some or all of the proceeds we receive from the sale of the securities may be used in connection with
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hedging our obligations under the securities through one or more of our affiliates. Such hedging or trading activities on or prior to
the Trade Date and during the term of the securities (including on the Valuation Date) could adversely affect the value of the
Underlying and, as a result, could decrease the amount you may receive on the securities at maturity. For additional information,
see "Supplemental Use of Proceeds and Hedging" in the accompanying product supplement.

6

H ist oric a l I nform a t ion

The following graph sets forth the historical performance of the S&P 500® Index based on the closing levels of the Underlying from
January 4, 2010 through October 2, 2015. The closing level of the Underlying on October 2, 2015 was 1951.36. We obtained the
historical information below from Bloomberg, without independent verification.

You should not take the historical levels of the Underlying as an indication of future performance of the Underlying or the
securities. Any historical trend in the level of the Underlying during any period set forth below is not an indication that the level of
the Underlying is more or less likely to increase or decrease at any time over the term of the securities.

For additional information on the S&P 500® Index, see "The Reference Indices--The S&P Dow Jones Indices--The S&P 500 ®
Index" in the accompanying underlying supplement.

7

M a t e ria l U .S. Fe de ra l I nc om e T a x Conside ra t ions

The following discussion summarizes material U.S. federal income tax consequences of owning and disposing of the securities that
may be relevant to holders of the securities that acquire their securities from us as part of the original issuance of the securities.
This discussion applies only to holders that hold their securities as capital assets within the meaning of the Internal Revenue Code
of 1986, as amended (the "Code"). Further, this discussion does not address all of the U.S. federal income tax consequences that
may be relevant to you in light of your individual circumstances or if you are subject to special rules, such as if you are:

·
a financial institution,

·
a mutual fund,
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·
a tax-exempt organization,

·
a grantor trust,

·
certain U.S. expatriates,

·
an insurance company,

·
a dealer or trader in securities or foreign currencies,

·
a person (including traders in securities) using a mark-to-market method of accounting,

·
a person who holds the securities as a hedge or as part of a straddle with another position, constructive sale,
conversion transaction or other integrated transaction, or

·
an entity that is treated as a partnership for U.S. federal income tax purposes.

The discussion is based upon the Code, law, regulations, rulings and decisions, in each case, as available and in effect as of the
date hereof, all of which are subject to change, possibly with retroactive effect. Tax consequences under state, local and foreign
laws are not addressed herein. No ruling from the U.S. Internal Revenue Service (the "IRS") has been sought as to the U.S. federal
income tax consequences of the ownership and disposition of the securities, and the following discussion is not binding on the IRS.

Y ou should c onsult your t a x a dvisor a s t o t he spe c ific t a x c onse que nc e s t o you of ow ning a nd disposing of
t he se c urit ie s, inc luding t he a pplic a t ion of fe de ra l, st a t e , loc a l a nd fore ign inc om e a nd ot he r t a x la w s
ba se d on your pa rt ic ula r fa c t s a nd c irc um st a nc e s.

Cha ra c t e riza t ion of t he Se c urit ie s

There are no statutory provisions, regulations, published rulings, or judicial decisions addressing the characterization for U.S.
federal income tax purposes of securities with terms that are substantially the same as those of your securities. Thus, the
characterization of the securities is not certain. Our special tax counsel, Orrick, Herrington & Sutcliffe LLP, has advised that the
securities should be treated, for U.S. federal income tax purposes, as prepaid financial contracts, with respect to the Underlying
that are eligible for open transaction treatment. In the absence of an administrative or judicial ruling to the contrary, we and, by
acceptance of the securities, you agree to treat the securities for all tax purposes in accordance with such characterization. In light
of the fact that we agree to treat the securities as prepaid financial contracts, the balance of this discussion assumes that the
securities will be so treated.

You should be aware that the characterization of the securities as described above is not certain, nor is it binding on the IRS or the
courts. Thus, it is possible that the IRS would seek to characterize your securities in a manner that results in tax consequences to
you that are different from those described below. For example, the IRS might assert that securities with a term of more than one
year constitute debt instruments that are "contingent payment debt instruments" that are subject to special tax rules under the
applicable Treasury regulations governing the recognition of income over the term of your securities. If the securities were to be
treated as contingent payment debt instruments, you would be required to include in income on an economic accrual basis over the
term of the securities an amount of interest that is based upon the yield at which we would issue a non-contingent fixed-rate debt
instrument with other terms and conditions similar to your securities (the comparable yield). The characterization of securities as
contingent payment debt instruments under these rules is likely to be adverse. However, if the securities had a term of one year or
less, the rules for short-term debt obligations would apply rather than the rules for contingent payment debt instruments. Under
Treasury regulations, a short-term debt obligation is treated as issued at a discount equal to the difference between all payments
on the obligation and

8

the obligation's issue price. A cash method U.S. Holder that does not elect to accrue the discount in income currently should
include the payments attributable to interest on the security as income upon receipt. Under these rules, any contingent payment
would be taxable upon receipt by a cash basis taxpayer as ordinary interest income. You should consult your tax advisor regarding
the possible tax consequences of characterization of the securities as contingent payment debt instruments or short-term debt
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obligations. It is also possible that the IRS would seek to characterize your securities as options, and thus as Code section 1256
contracts in the event that they are listed on a securities exchange. In such case, the securities would be marked-to-market at the
end of the year and 40% of any gain or loss would be treated as short-term capital gain or loss, and the remaining 60% of any gain
or loss would be treated as long-term capital gain or loss. We are not responsible for any adverse consequences that you may
experience as a result of any alternative characterization of the securities for U.S. federal income tax or other tax purposes.

Y ou should c onsult your t a x a dvisor a s t o t he t a x c onse que nc e s of suc h c ha ra c t e riza t ion a nd a ny possible
a lt e rna t ive c ha ra c t e riza t ions of your se c urit ie s for U .S. fe de ra l inc om e t a x purpose s.

U .S. H olde rs

For purposes of this discussion, the term "U.S. Holder," for U.S. federal income tax purposes, means a beneficial owner of
securities that is (1) a citizen or resident of the United States, (2) a corporation (or an entity treated as a corporation for U.S.
federal income tax purposes) created or organized in or under the laws of the United States or any state thereof or the District of
Columbia, (3) an estate, the income of which is subject to U.S. federal income taxation regardless of its source, or (4) a trust, if (a)
a court within the United States is able to exercise primary supervision over the administration of such trust and one or more U.S.
persons have the authority to control all substantial decisions of the trust or (b) such trust has in effect a valid election to be treated
as a domestic trust for U.S. federal income tax purposes. If a partnership (or an entity treated as a partnership for U.S. federal
income tax purposes) holds securities, the U.S. federal income tax treatment of such partnership and a partner in such partnership
will generally depend upon the status of the partner and the activities of the partnership. If you are a partnership, or a partner of a
partnership, holding securities, you should consult your tax advisor regarding the tax consequences to you from the partnership's
purchase, ownership and disposition of the securities.

In accordance with the agreed-upon tax treatment described above, if the security provides for the payment of the redemption
amount in cash based on the return of the Underlying, upon receipt of the redemption amount of the security from us, a U.S.
Holder will recognize gain or loss equal to the difference between the amount of cash received from us and the U.S. Holder's tax
basis in the security at that time. For securities with a term of more than one year (excluding the look back observation period, if
applicable), such gain or loss will be long-term capital gain or loss if the U.S. Holder has held the security for more than one year
at maturity. For securities with a term of one year or less (excluding the look back observation period, if applicable), such gain or
loss will be short-term capital gain or loss. If the security provides for the payment of the redemption amount in physical shares or
units of the Underlying, the U.S. Holder should not recognize any gain or loss with respect to the security (other than with respect
to cash received in lieu of fractional shares or units, as described below). A U.S. Holder should have a tax basis in all physical
shares or units received (including for this purpose any fractional shares or units) equal to its tax basis in the security (generally its
cost). A U.S. Holder's holding period for any physical shares or units received should start on the day after the delivery of the
physical shares or units. A U.S. Holder should generally recognize short-term capital gain or loss with respect to cash received in
lieu of fractional shares or units in an amount equal to the difference between the amount of such cash received and the U.S.
Holder's basis in the fractional shares or units, which should be equal to the U.S. Holder's basis in all of the reference shares or
units (including the fractional shares or units), multiplied by a fraction, the numerator of which is the fractional shares or units and
the denominator of which is all of the physical shares or units (including fractional shares or units).

Upon the sale or other taxable disposition of a security, a U.S. Holder generally will recognize gain or loss equal to the difference
between the amount realized on the sale or other taxable disposition and the U.S. Holder's tax basis in the security (generally its
cost). For securities with a term of more than one year, such gain or loss will be long-term capital gain or loss if the U.S. Holder
has held the security for more than one year (excluding the look back observation period, if applicable) at the time of disposition.
For securities with a term of one year or less (excluding the look back observation period, if applicable), such gain or loss will be
short-term capital gain or loss.

9

M e dic a re T a x

Certain U.S. Holders that are individuals, estates, and trusts must pay a 3.8% tax (the "Medicare Tax") on the lesser of the U.S.
person's (1) "net investment income" or "undistributed net investment income" in the case of an estate or trust and (2) the excess
of modified adjusted gross income over a certain specified threshold for the taxable year. "Net investment income" generally
includes income from interest, dividends, and net gains from the disposition of property (such as the securities) unless such income
or net gains are derived in the ordinary course of a trade or business (other than a trade or business that is a passive activity with
respect to the taxpayer or a trade or business of trading in financial instruments or commodities). Net investment income may be
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reduced by allowable deductions properly allocable to such gross income or net gain. Any interest earned or deemed earned on the
securities and any gain on sale or other taxable disposition of the securities will be subject to the Medicare Tax. If you are an
individual, estate, or trust, you are urged to consult with your tax advisor regarding application of the Medicare Tax to your income
and gains in respect of your investment in the securities.

Se c urit ie s H e ld T hrough Fore ign Ent it ie s

Under certain provisions of the "Hiring Incentives to Restore Employment Act," generally referred to as "FATCA," and recently
finalized regulations, a 30% withholding tax is imposed on "withholdable payments" and certain "passthru payments" made to
"foreign financial institutions" (as defined in the regulations or an applicable intergovernmental agreement) (and their more than
50% affiliates) unless the payee foreign financial institution agrees, among other things, to disclose the identity of any U.S.
individual with an account at the institution (or the institution's affiliates) and to annually report certain information about such
account. The term "withholdable payments" generally includes (1) payments of fixed or determinable annual or periodical gains,
profits, and income ("FDAP"), in each case, from sources within the United States, and (2) gross proceeds from the sale of any
property of a type which can produce interest or dividends from sources within the United States. "Passthru payments" means any
withholdable payment and any foreign passthru payment. To avoid becoming subject to the 30% withholding tax on payments to
them, we and other foreign financial institutions may be required to report information to the IRS regarding the holders of the
securities and, in the case of holders who (i) fail to provide the relevant information, (ii) are foreign financial institutions who have
not agreed to comply with these information reporting requirements, or (iii) hold the securities directly or indirectly through such
non-compliant foreign financial institutions, we may be required to withhold on a portion of payments under the securities. FATCA
also requires withholding agents making withholdable payments to certain foreign entities that do not disclose the name, address,
and taxpayer identification number of any substantial U.S. owners (or certify that they do not have any substantial United States
owners) to withhold tax at a rate of 30%. If payments on the securities are determined to be from sources within the United States,
we will treat such payments as withholdable payments for these purposes.

Withholding under FATCA will apply to all withholdable payments and certain passthru payments without regard to whether the
beneficial owner of the payment is a U.S. person, or would otherwise be entitled to an exemption from the imposition of withholding
tax pursuant to an applicable tax treaty with the United States or pursuant to U.S. domestic law. Unless a foreign financial
institution is the beneficial owner of a payment, it will be subject to refund or credit in accordance with the same procedures and
limitations applicable to other taxes withheld on FDAP payments provided that the beneficial owner of the payment furnishes such
information as the IRS determines is necessary to determine whether such beneficial owner is a United States owned foreign entity
and the identity of any substantial United States owners of such entity.

Pursuant to the recently finalized regulations described above and IRS Notice 2013-43, and subject to the exceptions described
below, FATCA's withholding regime generally will apply to (i) withholdable payments (other than gross proceeds of the type
described above) made after June 30, 2014 (other than certain payments made with respect to a "preexisting obligation," as
defined in the regulations); (ii) payments of gross proceeds of the type described above with respect to a sale or disposition
occurring after December 31, 2016; and (iii) foreign passthru payments made after the later of December 31, 2016, or the date that
final regulations defining the term "foreign passthru payment" are published. Notwithstanding the foregoing, the provisions of
FATCA discussed above generally will not apply to (a) any obligation (other than an instrument that is treated as equity for U.S. tax
purposes or that lacks a stated expiration or term) that is outstanding on July 1, 2014 (a "grandfathered obligation"); (b) any
obligation that produces withholdable payments solely because the obligation is treated as giving rise to a dividend equivalent
pursuant to Code section 871(m) and the regulations thereunder that is outstanding at any point prior to six months after the date
on which obligations of its type are first treated as giving rise to dividend equivalents; and (c) any agreement requiring a secured
party to make payments with respect to

10

collateral securing one or more grandfathered obligations (even if the collateral is not itself a grandfathered obligation). Thus, if you
hold your securities through a foreign financial institution or foreign entity, a portion of any of your payments may be subject to 30%
withholding.

N on -U .S. H olde rs Ge ne ra lly

Except as provided under "Securities Held Through Foreign Entities" and "Substitute Dividend and Dividend Equivalent Payments,"
payments made with respect to the securities to a holder of the securities that is not a U.S. Holder (a "Non-U.S. Holder") and that
has no connection with the United States other than holding its securities will not be subject to U.S. withholding tax, provided that
such Non-U.S. Holder complies with applicable certification requirements. Any gain realized upon the sale or other disposition of
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