Obligation Swiss Credit 0% ( US22547V2381 ) en USD

Swiss Credit

100 % ▲

Suisse

US22547V2381 ( en USD )

27/05/2022 - Obligation échue

Prospectus brochure de l'obligation Credit Suisse US22547V2381 en USD 0%, échue

1 000 USD

4 750 000 USD

22547V238

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'Obligation émise par Swiss Credit ( Suisse ) , en USD, avec le code ISIN US22547V2381, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 27/05/2022

424B2 1 dp76449_424b2-sun115.htm FORM 424B2

Pricing Supplement SUN-115

File d Pursua nt t o Rule 4 2 4 (b)(2 )
(To the Prospectus dated May 4, 2015, the
Re gist ra t ion St a t e m e nt N os. 3 3 3 -2 0 2 9 1 3
Prospectus Supplement dated May 4, 2015,
a nd 3 3 3 -1 8 0 3 0 0 -0 3
and the Product Supplement EQUITY
INDICES SUN-2 dated May 14, 2015)

475,000 Units
Pricing Date
May 19, 2017
$10 principal amount per unit
Settlement Date
May 26, 2017
CUSIP No. 22547V238
Maturity Date
May 27, 2022

M a rk e t -Link e d St e p U p N ot e s w it h Enha nc e d
Buffe r Link e d t o t he S& P 5 0 0 ® I nde x

Maturity of approximately five years

If the Index is at or above 90% of the Starting Value but at or below the Step Up Value, a return of 24.50%

If the Index increases above the Step Up Value, a return equal to the percentage increase in the Index

1-to-1 downside exposure to decreases in the Index beyond a 10% decline, with up to 90% 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 SU N -2 .

T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .7 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-11 of this term sheet for additional information. The actual value of your notes at any time
will reflect many factors and cannot be predicted with accuracy.
_________________________

None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has
approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any
representation to the contrary is a criminal offense.
_________________________

Per Unit

Total

Public offering price
$
10.00
$4,750,000.00
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Underwriting discount
$
0.25
$ 118,750.00
Proceeds, before expenses, to Credit Suisse
$
9.75
$4,631,250.00

T he not e s:
Are N ot FDI C I nsure d
Are N ot Ba nk
M a y Lose V a lue
Gua ra nt e e d

M e rrill Lync h & Co.
May 19, 2017

Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, due May 27, 2022
Summary

The Market-Linked Step Up Notes with Enhanced Buffer Linked to the S&P 500® Index, 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
with a Step Up Payment if the Ending Value of the Market Measure, which is the S&P 500® Index (the "Index"), is equal to or
greater than the Threshold Value, but is not greater than the Step Up Value. If the Ending Value is greater than the Step Up
Value, you will participate on a 1-for-1 basis in the increase in the level of the Index above the Starting Value. If the Ending Value
is less than the Threshold Value, you will lose a portion, which could be significant, of the principal amount of your notes.
Payments on the notes, including the amount you receive at maturity, will be calculated based on the $10 principal amount per unit
and will depend on the performance of the Index, subject to our credit risk. See "Terms of the Notes" below.

The economic terms of the notes (including the Step Up Payment) are based on the rate we are currently paying to borrow funds
through the issuance of market-linked notes (our "internal funding rate") and the economic terms of certain related hedging
arrangements. Our internal funding rate for market-linked notes is typically lower than a rate reflecting the yield on our conventional
debt securities of similar maturity in the secondary market (our "secondary market credit rate"). This difference in borrowing rate, as
well as the underwriting discount and the hedging related charge described below, reduced the economic terms of the notes to you
and the initial estimated value of the notes on the pricing date. These costs will be effectively borne by you as an investor in the
notes, and will be retained by us and MLPF&S or any of our respective affiliates in connection with our structuring and offering of
the notes. Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of
the notes.

On the cover page of this term sheet, we have provided the initial estimated value for the notes. This estimated value was
determined based on our valuation of the theoretical components of the notes in accordance with our pricing models. These
include a theoretical bond component valued using our internal funding rate, and theoretical individual option components valued
using mid-market pricing. You will not have any interest in, or rights to, the theoretical components we used to determine the
estimated value of the notes. For more information about the initial estimated value and the structuring of the notes, see
"Structuring the Notes" on page TS-11.

Terms of the Notes
Redemption Amount Determination
I ssue r:
Credit Suisse AG ("Credit Suisse"), acting
On the maturity date, you will receive a cash payment per unit
through its London branch.
determined as follows:
Princ ipa l
$10.00 per unit
Am ount :
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T e rm :
Approximately five years
M a rk e t
The S&P 500® Index (Bloomberg symbol:
M e a sure :
"SPX"), a price return index
St a rt ing
2,381.73
V a lue :
Ending V a lue : The closing level of the Market Measure
on the calculation day. The calculation day
is subject to postponement in the event of
Market Disruption Events, as described
beginning on page PS-20 of product
supplement EQUITY INDICES SUN-2.
St e p U p
2,965.25 (124.50% of the Starting Value,
V a lue :
rounded to two decimal places).
St e p U p
$2.45 per unit, which represents a return
Pa ym e nt :
of 24.50% over the principal amount.
T hre shold
2,143.56 (90% of the Starting Value,
V a lue :
rounded to two decimal places).
Ca lc ula t ion
May 20, 2022
Da y:
Fe e s a nd
The underwriting discount of $0.25 per unit
Cha rge s:
listed on the cover page and the hedging
related charge of $0.075 per unit described
in "Structuring the Notes" on page TS-11.
J oint
Credit Suisse International and Merrill
Ca lc ula t ion
Lynch, Pierce, Fenner & Smith
Age nt s:
Incorporated ("MLPF&S"), acting jointly.
Market-Linked Step Up Notes
TS-2
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, 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 SUN-2 dated May 14, 2015:
http://www.sec.gov/Archives/edgar/data/1053092/000095010315003904/dp56236_424b2-sun2.htm

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

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

Investor Considerations

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Y ou m a y w ish t o c onside r a n inve st m e nt in t he
T he not e s m a y not be a n a ppropria t e inve st m e nt for
not e s if:
you if:
You anticipate that the Ending Value will not be less than
You believe that the Index will decrease from the Starting
the Threshold Value.
Value to an Ending Value that is less than the Threshold
Value.
You are willing to risk a loss of principal and return if the
Index decreases from the Starting Value to an Ending Value
You seek 100% principal repayment or preservation of
that is less than the Threshold Value.
capital.
You are willing to forgo the interest payments that are paid
You seek interest payments or other current income on your
on traditional interest bearing debt securities.
investment.
You are willing to forgo dividends or other benefits of
You want to receive dividends or other distributions paid on
owning the stocks included in the Index.
the stocks included in the Index.
You are willing to accept a limited or no market for sales
You seek an investment for which there will be a liquid
prior to maturity, and you understand that the market prices
secondary market.
for the notes, if any, will be affected by various factors,

including our actual and perceived creditworthiness, our
You are unwilling or are unable to take market risk on the
internal funding rate and fees and charges on the notes.
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.

Market-Linked Step Up Notes
TS-3
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, due May 27, 2022
Hypothetical Payout Profile

M a rk e t -Link e d St e p U p N ot e s w it h Enha nc e d Buffe r This graph reflects the returns on the notes, based on the

Threshold Value of 90% of the Starting Value, the Step Up
Payment of $2.45 per unit and the Step Up Value of 124.50% of
the Starting Value. The green line reflects the returns on the
notes, while the dotted gray line reflects the returns of a direct
investment in the stocks included in the Index, excluding
dividends.

This graph has been prepared for purposes of illustration only.
See below table for a further illustration of the range of
hypothetical payments at maturity.

Hypothetical Payments at Maturity

The following table and examples are for purposes of illustration only. They are based on hypot he t ic a l values and show
hypot he t ic a l returns on the notes. T he a c t ua l a m ount you re c e ive a nd t he re sult ing t ot a l ra t e of re t urn w ill
de pe nd on t he a c t ua l St a rt ing V a lue , T hre shold V a lue , Ending V a lue , St e p U p V a lue , a nd t e rm of your
inve st m e nt .
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The following table is based on a Starting Value of 100, a Threshold Value of 90, a Step Up Value of 124.50 and a Step Up
Payment of $2.45 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%
$1.00
-90.00%
50.00
-50.00%
$6.00
-40.00%
80.00
-20.00%
$9.00
-10.00%
90.00(1)
-10.00%
$12.45(3)
24.50%
94.00
-6.00%
$12.45
24.50%
95.00
-5.00%
$12.45
24.50%
97.00
-3.00%
$12.45
24.50%
100.00(2)
0.00%
$12.45
24.50%
102.00
2.00%
$12.45
24.50%
105.00
5.00%
$12.45
24.50%
110.00
10.00%
$12.45
24.50%
120.00
20.00%
$12.45
24.50%
124.50(4)
24.50%
$12.45
24.50%
130.00
30.00%
$13.00
30.00%
140.00
40.00%
$14.00
40.00%
143.00
43.00%
$14.30
43.00%
150.00
50.00%
$15.00
50.00%
160.00
60.00%
$16.00
60.00%
(1)
This is the hypot he t ic a l Threshold Value.
(2)
The hypot he t ic a l Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual
Starting Value is 2,381.73, which was the closing level of the Market Measure on the pricing date.
(3)
This amount represents the sum of the principal amount and the Step Up Payment of $2.45.
(4)
This is the hypot he t ic a l Step Up Value.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the
Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would
otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer
credit risk.

Market-Linked Step Up Notes
TS-4
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, 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:
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Starting Value:
100.00
Threshold Value:
90.00
Ending Value:
95.00
$10.00 + $2.45 = $12.45
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending
Value is equal to or greater than the Threshold Value, but less than the Step Up Value.

Ex a m ple 3

The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
90.00
Step Up Value:
124.50
Ending Value:
110.00
$10.00 + $2.45 = $12.45
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending
Value is equal to or greater than the Threshold Value, but less than the Step Up Value.

Ex a m ple 4

The Ending Value is 143.00, or 143.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
124.50
Ending Value:
143.00
Redemption Amount per unit
Market-Linked Step Up Notes
TS-5
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, due May 27, 2022
Risk Factors

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

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

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

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

Your investment return may be less than a comparable investment directly in the stocks included in the Index.

The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to our
proprietary pricing models. These pricing models consider certain factors, such as our internal funding rate on the pricing
date, interest rates, volatility and time to maturity of the notes, and they rely in part on certain assumptions about future
events, which may prove to be incorrect. Because our pricing models may differ from other issuers' valuation models, and
because funding rates taken into account by other issuers may vary materially from the rates used by us (even among
issuers with similar creditworthiness), our estimated value may not be comparable to estimated values of similar notes of
other issuers.
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Our internal funding rate for market-linked notes is typically lower than our secondary market credit rates, as further
described in "Structuring the Notes" on page TS-11. Because we use our internal funding rate to determine the value of the
theoretical bond component, if on the pricing date our internal funding rate is lower than our secondary market credit rates,
the initial estimated value of the notes will be greater than if we had used our secondary market credit rates in valuing the
notes.

The public offering price you pay for the notes exceeds the initial estimated value. This is due to, among other transaction
costs, the inclusion in the public offering price of the underwriting discount and the hedging related charge, as further
described in "Structuring the Notes" on page TS-11.

Assuming no change in market conditions or other relevant factors after the pricing date, the market value of your notes
may be lower than the price you paid for them and lower than the initial estimated value. This is due to, among other
things, the inclusion in the public offering price of the underwriting discount and the hedging related charge and the internal
funding rate we used in pricing the notes, as further described in "Structuring the Notes" on page TS-11. These factors,
together with customary bid ask spreads, other transaction costs and various credit, market and economic factors over the
term of the notes, including changes in the level of the Index, are expected to reduce the price at which you may be able to
sell the notes in any secondary market and will affect the value of the notes in complex and unpredictable ways.

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

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

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

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

While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index,
except to the extent that the common stock of Bank of America Corporation (the parent company of MLPF&S) is included in
the Index, we, MLPF&S and our respective affiliates do not control any company included in the Index, and have not
verified any disclosure made by any other company.

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

Market-Linked Step Up Notes
TS-6
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, due May 27, 2022

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
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and/or cancel such liabilities in whole or in part.

The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See
"Material U.S. Federal Income Tax Considerations" below and "Material U.S. Federal Income Tax Considerations"
beginning on page PS-29 of product supplement EQUITY INDICES SUN-2.

Market-Linked Step Up Notes
TS-7
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, due May 27, 2022
The Index

All disclosures contained in this term sheet regarding the Index, including, without limitation, its make up, method of calculation, and
changes in its components, have been derived from publicly available sources. The information reflects the policies of, and is
subject to change by, S&P Dow Jones Indices LLC (the "Index sponsor"). The Index sponsor, which licenses the copyright and all
other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences
of the Index sponsor discontinuing publication of the Index are discussed in the section entitled "Description of the Notes--
Discontinuance of an Index" beginning on page PS-22 of product supplement EQUITY INDICES SUN-2. None of us, the
calculation agents, or MLPF&S accepts any responsibility for the calculation, maintenance or publication of the Index or any
successor index.

The Index is intended to provide an indication of the pattern of common stock price movement. The calculation of the level of the
Index is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time
compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the
years 1941 through 1943.

The Index sponsor chooses companies for inclusion in the Index with the aim of achieving a distribution by broad industry
groupings that approximates the distribution of these groupings in the common stock population of its Stock Guide Database of
over 10,000 companies, which the Index sponsor uses as an assumed model for the composition of the total market. Relevant
criteria employed by the Index sponsor include the viability of the particular company, the extent to which that company represents
the industry group to which it is assigned, the extent to which the market price of that company's common stock generally is
responsive to changes in the affairs of the respective industry, and the market value and trading activity of the common stock of
that company. Eleven main groups of companies constitute the Index, with the approximate percentage of the market capitalization
of the Index included in each group as of April 28, 2017 indicated in parentheses: Consumer Discretionary (12.5%); Consumer
Staples (9.3%); Energy (6.3%); Financials (14.1%); Health Care (14.0%); Industrials (10.2%); Information Technology (22.5%);
Materials (2.9%); Real Estate (2.9%); Telecommunication Services (2.3%); and Utilities (3.2%). The Index sponsor from time to time,
in its sole discretion, may add companies to, or delete companies from, the Index to achieve the objectives stated above.

The Index sponsor calculates the Index by reference to the prices of the constituent stocks of the Index without taking account of
the value of dividends paid on those stocks. As a result, the return on the notes will not reflect the return you would realize if you
actually owned the Index constituent stocks and received the dividends paid on those stocks.

Com put a t ion of t he I nde x

While the Index sponsor currently employs the following methodology to calculate the Index, no assurance can be given that the
Index sponsor will not modify or change this methodology in a manner that may affect the Redemption Amount.

Historically, the market value of any component stock of the Index was calculated as the product of the market price per share and
the number of then outstanding shares of such component stock. In March 2005, the Index sponsor began shifting the Index
halfway from a market capitalization weighted formula to a float-adjusted formula, before moving the Index to full float adjustment
on September 16, 2005. The Index sponsor's criteria for selecting stocks for the Index did not change with the shift to float
adjustment. However, the adjustment affects each company's weight in the Index.

Under float adjustment, the share counts used in calculating the Index reflect only those shares that are available to investors, not
all of a company's outstanding shares. Float adjustment excludes shares that are closely held by control groups, other publicly
traded companies or government agencies.

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On September 21, 2012, all share-holdings with a position greater than 5% of a stock's outstanding shares, other than holdings by
"block owners," were removed from the float for purposes of calculating the Index. Generally, these "control holders" will include
officers and directors, private equity, venture capital and special equity firms, other publicly traded companies that hold shares for
control, strategic partners, holders of restricted shares, ESOPs, employee and family trusts, foundations associated with the
company, holders of unlisted share classes of stock or government entities at all levels (other than government retirement/pension
funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. Holdings by
block owners, such as depositary banks, pension funds, mutual funds and ETF providers, 401(k) plans of the company,
government retirement/pension funds, investment funds of insurance companies, asset managers and investment funds,
independent foundations and savings and investment plans, will ordinarily be considered part of the float.

Treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible stock, and rights are
not part of the float. Shares held in a trust to allow investors in countries outside the country of domicile (e.g., ADRs, CDIs and
Canadian exchangeable shares) are normally part of the float unless those shares form a control block. If a company has more
than one class of stock outstanding, shares in an unlisted or non-traded class are treated as a control block.

For each stock, an investable weight factor ("IWF") is calculated by dividing (i) the available float shares by (ii) the total shares
outstanding. As of September 21, 2012, available float shares are defined as total shares outstanding less shares held by control
holders. For companies with multiple classes of stock, the Index sponsor calculates the weighted average IWF for each stock using
the proportion of the total company market capitalization of each share class as weights.

The Index is calculated using a base-weighted aggregate methodology. The level of the Index reflects the total market value of all
500 component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the
results of this calculation in order to make the level easier to work with and track over time. The actual total market value of the
component stocks

Market-Linked Step Up Notes
TS-8
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, due May 27, 2022
during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the
notation 1941-43 = 10. In practice, the daily calculation of the Index is computed by dividing the total market value of the
component stocks by the "index divisor." By itself, the index divisor is an arbitrary number. However, in the context of the
calculation of the Index, it serves as a link to the original base period level of the Index. The index divisor keeps the Index
comparable over time and is the manipulation point for all adjustments to the Index, which is index maintenance.

I nde x M a int e na nc e

Index maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock
splits, stock dividends, and stock price adjustments due to company restructuring or spinoffs. Some corporate actions, such as
stock splits and stock dividends, require changes in the common shares outstanding and the stock prices of the companies in the
Index, and do not require index divisor adjustments.

To prevent the level of the Index from changing due to corporate actions, corporate actions which affect the total market value of
the Index require an index divisor adjustment. By adjusting the index divisor for the change in market value, the level of the Index
remains constant and does not reflect the corporate actions of individual companies in the Index. Index divisor adjustments are
made after the close of trading and after the calculation of the Index closing level.

Changes in a company's shares outstanding of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch
auctions, or exchange offers are made as soon as reasonably possible. All other changes of 5.00% or more (due to, for example,
company stock repurchases, private placements, redemptions, exercise of options, warrants, conversion of preferred stock, notes,
debt, equity participation units, at-the-market offerings, or other recapitalizations) are made weekly and are announced on
Wednesdays for implementation after the close of trading on the following Wednesday. Changes of less than 5.00% due to a
company's acquisition of another company in the Index are made as soon as reasonably possible. All other changes of less than
5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually
announced two to five days prior. Changes in IWFs of more than five percentage points caused by corporate actions (such as
merger and acquisition activity, restructurings, or spinoffs) will be made as soon as reasonably possible. Other changes in IWFs
will be made annually when IWFs are reviewed.

https://www.sec.gov/Archives/edgar/data/1053092/000095010317004838/dp76449_424b2-sun115.htm[5/24/2017 3:19:40 PM]

Market-Linked Step Up Notes
TS-9
Market-Linked Step Up Notes with Enhanced Buffer
Linked to the S&P 500® Index, due May 27, 2022
The following graph shows the daily historical performance of the Index in the period from January 1, 2008 through May
19, 2017. We obtained this historical data from Bloomberg L.P. We have not independently verified the accuracy or
completeness of the information obtained from Bloomberg L.P. On the pricing date, the closing level of the Index was
2,381.73.

H ist oric a l Pe rform a nc e of t he I nde x

This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of
the notes may be. Any historical upward or downward trend in the level of the Index during any period set forth above is
not an indication that the level of the Index is more or less likely to increase or decrease at any time over the term of the
notes.

Before investing in the notes, you should consult publicly available sources for the levels of the Index.

Lic e nse Agre e m e nt

Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones® is a
registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). "Standard & Poor's®", "Standard & Poor's 500TM",
"S&P 500®", and "S&P®" are trademarks of S&P. These trademarks have been licensed for use by S&P Dow Jones Indices LLC
and its affiliates and sublicensed for certain purposes by us. The Index is a product of S&P Dow Jones Indices LLC and has been
licensed for use by us.

The notes are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, any of their
respective affiliates (collectively, "S&P Dow Jones Indices"). S&P Dow Jones Indices make no representation or warranty, express
or implied, to the holders of the notes or any member of the public regarding the advisability of investing in securities generally or in
the notes particularly or the ability of the Index to track general market performance. S&P Dow Jones Indices' only relationship to
us with respect to the Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow
Jones Indices and/or its third party licensors. The Index is determined, composed and calculated by S&P Dow Jones Indices
without regard to us or the notes. S&P Dow Jones Indices have no obligation to take our needs or the needs of the holders of the
notes into consideration in determining, composing or calculating the Index. S&P Dow Jones Indices are not responsible for and
have not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes
or in the determination or calculation of the equation by which the notes are to be converted into cash. S&P Dow Jones Indices
have no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance that
investment products based on the Index will accurately track index performance or provide positive investment returns. S&P Dow
Jones Indices LLC is not an investment advisor. Inclusion of a security within the Index is not a recommendation by S&P Dow
Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. Notwithstanding the foregoing, CME
Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued
https://www.sec.gov/Archives/edgar/data/1053092/000095010317004838/dp76449_424b2-sun115.htm[5/24/2017 3:19:40 PM]

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