Obligation Swiss Credit 0% ( US22547V4692 ) en USD

Société émettrice Swiss Credit
Prix sur le marché 100 %  ⇌ 
Pays  Suisse
Code ISIN  US22547V4692 ( en USD )
Coupon 0%
Echéance 31/01/2020 - Obligation échue



Prospectus brochure de l'obligation Credit Suisse US22547V4692 en USD 0%, échue


Montant Minimal 1 000 USD
Montant de l'émission 41 550 000 USD
Cusip 22547V469
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's N/A
Description détaillée 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 US22547V4692, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 31/01/2020







424B2 1 dp72373_424b2-sun1072.htm FORM 424B2
Pricing Supplement SUN-107/2

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 a nd
Prospectus Supplement dated May 4, 2015, and
3 3 3 -1 8 0 3 0 0 -0 3
the Product Supplement EQUITY INDICES SUN-

2 dated May 14, 2015)
4,155,000 Units
Pricing Date
January 26, 2017
$10 principal amount per unit
Settlement Date
February 2, 2017
CUSIP No. 22547V469
Maturity Date
January 31, 2020




Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s
Link e d t o t he S& P 5 0 0 ® I nde x

Maturity of approximately three years, if not called prior to maturity

Automatic call of the notes per unit at $10 plus the applicable Call Premium ($0.82 on the first Observation Date and $1.64 on the second
Observation Date) if the Index is flat or increases above 100% of the Starting Value on the relevant Observation Date

The Observation Dates will occur approximately one year and two years after the pricing date

If the notes are not called, at maturity:

a return of 21% if the Index is flat or increases up to the Step Up Value

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

1-to-1 downside exposure to decreases in the Index, with up to 100% of your principal at risk

All payments 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-7 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 5 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-7 of this term sheet
and "Structuring the Notes" on page TS-12 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.
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]



_________________________


Per Unit
Total
Public offering price

$10.00
$41,550,000
Underwriting discount

$ 0.20
$
831,000
Proceeds, before expenses, to Credit Suisse

$ 9.80
$40,719,000

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.
January 26, 2017


Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
Summary

The Autocallable Market-Linked Step Up Notes Linked to the S&P 500® Index, due January 31, 2020 (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 will be
automatically called at the applicable Call Amount if the Observation Level of the Market Measure, which is the S&P 500® Index
(the "Index"), is equal to or greater than the Call Level on the relevant Observation Date. If not called, at maturity, the notes
provide you with a Step Up Payment if the Ending Value of the Index is equal to or greater than its Starting 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 Starting Value, you will lose all
or a portion of the principal amount of your notes. Payments on the notes, including the amount you receive at maturity or upon an
automatic call, 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 Call Premiums and the Call Amounts) 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. The notes are subject to an automatic call, and the initial estimated value is based on an assumed
tenor of the notes. For more information about the initial estimated value and the structuring of the notes, see "Structuring the
Notes" on page TS-12.


https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]


Terms of the Notes
I ssue r:
Credit Suisse AG ("Credit Suisse"), acting through Ca ll Se t t le m e nt
Approximately the fifth business day following the

its London branch.
Da t e s:
applicable Observation Date, subject to postponement if
the related Observation Date is postponed, as described
on page PS-20 of product supplement EQUITY INDICES
SUN-2.
Princ ipa l
$10.00 per unit
Ca ll Pre m ium s:
$0.82 per unit if called on February 2, 2018 (which
Am ount :
represents a return of 8.20% over the principal amount)
and $1.64 per unit if called on January 18, 2019 (which
represents a return of 16.40% over the principal amount).
T e rm :
Approximately three years, if not called
Ending V a lue :
The closing level of the Market Measure on the scheduled

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.
M a rk e t M e a sure : The S&P 500® Index (Bloomberg symbol: "SPX"),
St e p U p V a lue :
2,778.98 (121.00% of the Starting Value, rounded to two

a price return index
decimal places).
St a rt ing V a lue :
2,296.68
St e p U p Pa ym e nt : $2.10 per unit, which represents a return of 21% over the

principal amount.
Obse rva t ion
The closing level of the Market Measure on the
T hre shold V a lue :
2,296.68 (100% of the Starting Value).
Le ve l:
applicable Observation Date.

Obse rva t ion
February 2, 2018 and January 18, 2019, subject
Ca lc ula t ion Da y:
January 24, 2020
Da t e s:
to postponement in the event of Market Disruption
Events, as described on page PS-20 of product
supplement EQUITY INDICES SUN-2.
Ca ll Le ve l:
100% of the Starting Value
Fe e s a nd
The underwriting discount of $0.20 per unit listed on the

Cha rge s :
cover page and the hedging related charge of $0.075 per
unit described in "Structuring the Notes" on page TS-12.
Ca ll Am ount s
$10.82 if called on February 2, 2018 and $11.64 if J oint Ca lc ula t ion
Credit Suisse International and Merrill Lynch, Pierce,
(pe r U nit ) :
called on January 18, 2019.
Age nt s :
Fenner & Smith Incorporated ("MLPF&S"), acting jointly.
Autocallable Market-Linked Step Up Notes
TS-2
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
Determining Payment on the Notes

Aut om a t ic Ca ll Provision

The notes will be called automatically on an Observation Date if the Observation Level on that Observation Date is equal to or
greater than the Call Level. If the notes are called, you will receive $10 per unit plus the applicable Call Premium.


Re de m pt ion Am ount De t e rm ina t ion

If the notes are not automatically called, on the maturity date, you will receive a cash payment per unit determined as follows:

https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]



Autocallable Market-Linked Step Up Notes
TS-3
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
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

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 are willing to receive a return on your investment
You want to hold your notes for the full term.
capped at the return represented by the applicable Call

Premium if the relevant Observation Level is equal to or
You believe that the notes will not be automatically called
greater than the Call Level.
and the Index will decrease from the Starting Value to the

Ending Value.
You anticipate that the notes will be automatically called or

the Index will increase from the Starting Value to the Ending
You seek principal repayment or preservation of capital.
Value.


You seek interest payments or other current income on your
You are willing to risk a loss of principal and return if the
investment.
notes are not automatically called and the Index decreases

from the Starting Value to the Ending Value.
You want to receive dividends or other distributions paid on

the stocks included in the Index.
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]


You are willing to forgo the interest payments that are paid

on traditional interest bearing debt securities.
You seek an investment for which there will be a liquid

secondary market.
You are willing to forgo dividends or other benefits of owning

the stocks included in the Index.
You are unwilling or are unable to take market risk on the

notes or to take our credit risk as issuer of the notes.
You are willing to accept a limited or no market for sales

prior to maturity, and understand that the market prices for
the notes, if any, will be affected by various factors,
including our actual and perceived creditworthiness, our
internal funding rate and fees and charges on the notes.

You are willing to assume our credit risk, as issuer of the
notes, for all payments under the notes, including the
Redemption Amount.

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

Autocallable Market-Linked Step Up Notes
TS-4
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
Hypothetical Payout Profile at Maturity

T he se hypot he t ic a l va lue s show a pa yout profile a t m a t urit y, w hic h w ould only a pply if t he not e s a re not
c a lle d on a ny Obse rva t ion Da t e .

Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s
This graph reflects the returns on the notes, based on the

Threshold Value of 100% of the Starting Value, the Step Up
Payment of $2.10 per unit and the Step Up Value of 121% 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, assuming the notes are not called on any Observation Date. 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 , w he t he r t he not e s a re c a lle d on a n Obse rva t ion Da t e , a nd t e rm of your
inve st m e nt .

The following table is based on a Starting Value of 100, a Threshold Value of 100, a Step Up Value of 121 and the Step Up
Payment of $2.10 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.
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]



Pe rc e nt a ge Cha nge from
t he St a rt ing V a lue t o t he
T ot a l Ra t e of Re t urn on
Ending V a lue
Ending V a lue
Re de m pt ion Am ount pe r U nit
t he N ot e s
0.00

-100.00%

$0.00

-100.00%

50.00

-50.00%

$5.00

-50.00%

70.00

-30.00%

$7.00

-30.00%

80.00

-20.00%

$8.00

-20.00%

90.00

-10.00%

$9.00

-10.00%

100.00(1)(2)
0.00%

$12.10(3)
21.00%

110.00

10.00%

$12.10

21.00%

120.00

20.00%

$12.10

21.00%

121.00(4)
21.00%

$12.10

21.00%

130.00

30.00%

$13.00

30.00%

140.00

40.00%

$14.00

40.00%

150.00

50.00%

$15.00

50.00%

160.00

60.00%

$16.00

60.00%









(1)
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 2,296.68, which was the closing level of the Market Measure on the pricing date.
(2)
This is the hypot he t ic a l Threshold Value.
(3)
This amount represents the sum of the principal amount and the Step Up Payment of $2.10.
(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.

Autocallable Market-Linked Step Up Notes
TS-5
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
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 70.00, or 70.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
100.00
Ending Value:
70.00
Redemption Amount per unit


Ex a m ple 2
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
121.00
Ending Value:
110.00
Redemption Amount per unit, the principal amount plus the Step Up Payment, since the
Ending Value is equal to or greater than the Starting Value, but less than the Step Up
Value.



Ex a m ple 3
The Ending Value is 140.00, or 140.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
121.00
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]


Ending Value:
140.00
$14.00 Redemption Amount per unit
Autocallable Market-Linked Step Up Notes
TS-6
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
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.


If the notes are not automatically called, 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.


If the notes are called, your investment return is limited to the return represented by the applicable Call Premium.


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.


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-12. 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-12.


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-12. 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
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]


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.

Autocallable Market-Linked Step Up Notes
TS-7
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020

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.


As a Swiss bank, Credit Suisse is subject to regulation by governmental agencies, supervisory authorities and self-
regulatory organizations in Switzerland. Such regulation is increasingly more extensive and complex and subjects Credit
Suisse to risks. For example, pursuant to Swiss banking laws, FINMA has broad powers and discretion in the case of
resolution proceedings, which include the power to convert debt instruments and other liabilities of Credit Suisse into equity
and/or cancel such liabilities in whole or in part.


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

Autocallable Market-Linked Step Up Notes
TS-8
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
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.
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]



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 December 30, 2016 indicated in parentheses: Information Technology (20.8%); Financials
(14.8%); Health Care (13.6%); Consumer Discretionary (12.0%); Industrials (10.3%); Consumer Staples (9.4%); Energy (7.6%);
Utilities (3.2%); Real Estate (2.9%); Materials (2.8%); and Telecommunication Services (2.7%). The Index sponsor from time to time,
in its sole discretion, may add companies to, or delete companies from, the Index to achieve the objectives stated above.

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

Com put a t ion of t he I nde x

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

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

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

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

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

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

The Index is calculated using a base-weighted aggregate methodology. The level of the Index reflects the total market value of all
500 component stocks relative to the base period of the years 1941 through 1943. An indexed number is used to represent the
results of this calculation in order to make the level easier to work with and track over time. The actual total market value of the
https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]


component stocks

Autocallable Market-Linked Step Up Notes
TS-9
Autocallable Market-Linked Step Up Notes
Linked to the S&P 500® Index, due January 31, 2020
during the base period of the years 1941 through 1943 has been set to an indexed level of 10. This is often indicated by the
notation 1941-43 = 10. In practice, the daily calculation of the Index is computed by dividing the total market value of the
component stocks by the "index divisor." By itself, the index divisor is an arbitrary number. However, in the context of the
calculation of the Index, it serves as a link to the original base period level of the Index. The index divisor keeps the Index
comparable over time and is the manipulation point for all adjustments to the Index, which is index maintenance.

I nde x M a int e na nc e

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

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

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

The following graph shows the daily historical performance of the Index in the period from January 1, 2008 through
January 26, 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
2,296.68.

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

https://www.sec.gov/Archives/edgar/data/1053092/000095010317000786/dp72373_424b2-sun1072.htm[1/31/2017 10:59:13 AM]


Document Outline