EFTA Document EFTA01366177

3 Weeks Before "Brexit" 60 Si) 40 0 tai 20 10 0 — VI% --FTSE 1NI Implied —GBPUSD 1M Implied fright axis♦ Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 tan-15 tan-16 Source: CS EgIlliy Denratives Strategy MORE INSIDE (Market Volatility Bulletin) Mandy Xu, CFA Equity Derivatives Strategy so 25 I s 0 FX vol Equity vols This material has been prquircd by individual traders or saks personnel of Credit Suisse Securities Limited end not by: the Credit Suisse rescanb department. It is provided for informational mimosas. is intended for your use only and does not constitute an in‘itation or offer to subrailm for or purchase any of the predicts or sasices mentioned. The information provided s not intended to provide a sufficient bans on which to make an investment &vision. It is intended only to provide oluenittions and %ion of individual traders or sales personnel which may be different from. or imamuistmt with. the ',Mantissas and views of Credit Suisse research dquirtment analysts. other Cmdit Suisse traders or asks personnel or the pniprictiny positions of Cmdit Suisse. Observations and views expressed herein may bc changed by the leader or sales personnel at any time without notice. Past (xxformance should not he taken as an indication or guarantee of future performrmce. and no repnasentalion or warranty, expressed or implied is made regarding finer perfcamanix. The infomiatitm set forth above has boon obtained from or bard upon sonnies believed by the trader or sake personnel to be reliable. but cads of the trader or solos personnel and Credit Suisse does not represent or warrant its accuracy or completeness and is not responsihk for losses or damages arising out of emirs, omissions or changes in market futon. This material does not psuport to contain all of thc information that an interested pasty may desire and it fact. provides only a hunted view of a particular market Credit Suisse may, from lime to time. participate or invest in transactions with issuers of securities that participate in the markets referred to herein, perform services for or solicit business from such issuers. ander have a position a effect transactions in the so:intim or derivatives thereof. The most mint Credit Suisse rescandi cm any company mentioned is at Mtp:.eraliiiiisae.com reieanbandanalynes Please follow the anached li,palink to an impotiani disclosure:: httos:swwwerodit-suissc.comesitccdiclaimers-ibtainarket-conunentarv.html. Structural securilia, derivatives and options arc complex instruments that are not suitable for every investor. may involve a high degree of risk. and may be appropriate investments only for sophisticated investors who are ca pably of understanding and assuming the disks involved. Supporting documentation for any claims, comparisons, recannumdations, statistics or other technical data will be supplied upon request. Any trade incarnation is preliminary and not intended as an of transaction confirmation. 1:se the following links to read the Options Clearing Corporation's disclosure document: http: www optimise kari ng. cum 'component Micc srti sk . Because of thc importance of tax considerations to many option transactions, the investor considering options should consult with hither tax advisor as to how taxes affect the outcome of contemplated options transactions. I . Call cc Put Parches:1g: The risk of purchasing a cattput is that you Mille:iv the entire premium paid. 2. Uncovered Call Writing: The risk of selling an mummy(' call is unlimited and may result in lmses significantly greater than the premium received. 3. Uncovered Put Writing: 'Thie risk of selling at uncovered pit is significant rind may result in losses significantly greater than the premium resseived 4. Call or Put Vertical Spaced Purchasing (same espindion month for both options): The basic risk of effecting a long spread wamadion is limited to the premium paid when the position is established. 5. Call or Put Vertical Spread Writing (sane expiration month for both options): The basic risk of effecting a short spread transaction is limited to the difference between the stake pram lea the amount received in premiums. Call or Put Calendar Spread Purchasing (different expiration months & short mint expire prior to the long): The basic risk of effecting a long calendar spread transaction is limited to the premium paid when the position is established. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0057693 CONFIDENTIAL SONY GM_00203877 EFTA01366177