RE: Call follow-ups [C]

Jeffrey,

Per our conversation, we wanted to follow-up on these transactions with indications.

Trade 1: Bullish USDJPY Seagull

• Spot ref: 124.06
• Notional: USD10mm
• Client buys: 6m USDJPY 124 / 128 call spread
• Client sells: 6m USDJPY put struck at 118.82
• Net Premium: zero

Premiums for each leg:

• For 124 leg: 2.655/2.735% USD
• For 128 leg: 1.555% USD
• For 118.82 leg: 1.18% USD

Trade 2: Autocallables linked to SPX, RTY and SX5E

We are refreshing levels with Credit Suisse - we will follow-up with indications.

Best regards,

Daniel

Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.

jai not sure why , but i asked for prices on each leg. that means a bid ' ask, that i can execute on should i choose to. . if i were to ask for a price on ibm, would i get bid offer . ? im confused.

We will provide you bid ask for each leg tomorrow once markets reopen. If chose to do the trade as a package, you would only cross bid ask on one leg (124), not all three.

Jeffrey — I'm following up on the below. Indicative pricing per your request is as follows:

Trade 1: Bullish USDJPY Seagull - bid/ask on each leg if executed individually:

• Spot ref: 123.89
• Notional: USD10mm
• Tenor: 6m
• USDJPY Call
  • Strike: 124.00
  • Vol: 9.55/9.85
  • Bid/Ask: 2.507/2.597% USD
• USDJPY Call
  • Strike: 128.00
  • Vol: 10/10.3
  • Bid/Ask: 1.402/1.493% USD
• USDJPY Put
  • Strike: 119.00
  • Vol: 9.55/9.85 vol
  • Bid/Ask: 1.195/1.27% USD

Trade 2: Autocallable linked to SPX, RTY and SX5E:

• Issuer: Credit Suisse
• Maturity: 8 year
• Underlying: Lesser of SPX, RTY,SX5E
• Coupon: 7.40% p.a., subject to coupon barrier Paid and observed quarterly
• Coupon barrier: 50% of initial strike
• Principal barrier: 50% of initial strike, maturity only observation
• AutoCall: Non-call 4 years, quarterly thereafter

Thank you,
Vahe

Hi Jeffrey — I hope all is well. Please let us know if you would like to touch base on the items below. Regards, Daniel