11 May 2016 Americas Fixed Income Research Index and Alpha Strategy

Systematic Alpha Monthly Research Analysts

Baldwin Smith 212 325 5524 [email protected] April 2016 Yongchu Song 212 538 7013 [email protected] Olivia Zhong 1 212 538 4328 [email protected]

■ It is well known that the implied volatility on equity indices tends to be higher than the subsequent realized volatility. The spread, which is known as volatility risk premium and positive on average historically, implies that investors are willing to pay additional to be protected from large downside losses. ■ Credit Suisse has developed the Credit Suisse Short Variance Swap Indices, which aims to monetize the volatility risk premium by providing exposure to opportunistic short positions in variance swaps on the S&P 500 Index. ■ Until April 2016, the flagship index delivered an annualized return of 4.22% and a Sharpe ratio of 0.49 since inception in 2008. The variations of the strategy, the odd-month and the even month indices, delivered annualized returns of 2.84% and 1.34%, respectively.

DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES AND ANALYST CERTIFICATIONS.

11 May 2016

Table of contents

Global Market Overview 4

Credit Suisse Alpha Strategies Platform 5

Individual Strategy Performance 6

Individual Strategy Performance (cont'd) 7

Research Spotlight: Credit Suisse Short Variance Swap Indices 8

Strategy Snapshots 11

Smart Beta 12 HS Global Style Rotation ...... 12 HS Global Style Rotation Equity Hedged ...... 13 HS Market Neutral Index Powered by HOLT® ...... 14 Global Enhanced Momentum Strategy ...... 15 GAINS 01E ...... 16 Commodity Backwardation ...... 17

Alternative Risk Premia 18 Global Carry Selector...... 18 Global Carry Selector II...... 19 Advanced Relative Value Volatility Index ...... 20 Mean Reversion Index on Euro Stoxx 50 ...... 21 Dividend Alpha Index on Euro Stoxx 50 ...... 22 Adaptive Volatility Index Global ...... 23 Adaptive Term Premium Index ...... 24 Commodity Backwardation RV ...... 25 Commodity Momentum Long/Short ...... 26 Commodity Custom 24 Alpha ...... 27 Commodity Custom 88 Enhanced ...... 28 FX Metrics Carry ...... 28 FX Metrics Momentum ...... 30 FX Metrics Value ...... 31

Dynamic Multi Asset Allocation 32 RAII HOLT®: Risk Appetite Investible Index Powered by HOLT® ...... 32 RAII HOLT® Relative Value ...... 33 ARROW 6% ...... 34 Multi-Asset Futures Strategy ...... 35 MASTRO ...... 36 Systematic Tactical Asset Allocation ...... 37 TEMPO ...... 38

Systematic Alpha Monthly 2 11 May 2016

Portfolio Hedging 39 Equity Dynamic Tail Hedge SPX Index ...... 39 Cheapest Slide Index ...... 40 Advanced Defensive Volatility Index ...... 41 Tail Risk Overlay Protection Strategy ...... 42

Liquid Alternative Beta 43 Liquid Alternative Beta ...... 43 Long/Short Liquid Index ...... 44 Event-Driven Liquid Index ...... 45 Merger Arbitrage Liquid Index ...... 46 Managed Futures Liquid Index ...... 47 Global Strategies Liquid Index ...... 48

Systematic Alpha Monthly 3 11 May 2016

Global Market Overview

■ Economics: April’s Employment Report Risk Appetite, Oct. 2015 – April 2016 showed payrolls growth slowed down 3 from recent reports, but it is still a decent Global Risk Appetite growth rate consistent with a tightening 2 Equity-only Risk Appetite labor market. Moreover, strong hourly US Credit Risk Appetite earnings and the pickup in the workweek 1 boosted aggregate payroll income growth 0 to its largest rise since January. Payroll Oct-15 Dec-15 Feb-16 Apr-16 income and consumer spending have -1 faltered a bit in recent months, but this return to strong growth is a reassuring sign -2 that labor income is continuing to grow robustly and it should alleviate concerns -3 about a more serious slowdown. We -4 project growth for the rest of the year will strengthen, fueled by a pick-up in -5

consumer spending. CS economists still Note: Data as of 04/29/2016 anticipate that the mostly likely timing of Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse the next rate hike is September 2016. US Trade Weighted Real Broad Dollar Index ■ Risk Appetite: While still negative, the March 1, 201 – April 29, 2016 Global Risk Appetite and Equity-only Risk Appetite indices have moved firmly out of 105 "panic" territory. The US Credit Risk Appetite index became positive at the end of March, 100 supported by some improvement in the energy sector. We do not see a near-term 95 return to "panic" in risk appetite. However, 90 we must acknowledge the consistent downside risk from slow growth in China and 85 a further fall in commodity prices. ■ Equities: Global equity markets continued 80 their recovery from the steep declines over 75 the month of April amid strong job data

and the recovery of commodities, Jul-13

Jan-11 Jan-16

Jun-11

Oct-14

Apr-12

Sep-12 Feb-13

Dec-13

Aug-10 Aug-15

Nov-11

Mar-10 Mar-15 especially oil prices. May-14 Note: Data as of 04/29/2016 ■ FX: The USD correction has been a steep Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse one. Since its peak on Jan. 20, 2016, the broad USD has weakened more than it did Benchmark Performance last year, after the March 2015 Fed Current April 2016 YTD meeting. Brexit expectations have come off Benchmark Level 2016 Return aggressively but are highly unstable and VIX 13.9 1.75 -2.51 uncertainty about the US election outcome could yet weigh on USD. MSCI World 1642.9 1.4% 0.5% S&P GSCI 213.9 10.1% 7.3% ■ Commodities: WTI Crude Oil continued its S&P 500 recovery over the month of April. CS 2079.9 0.3% 1.0% commodity strategists think that the JPM Global Bond 379.2 -0.2% 3.7% biggest upside supply-risk resides in the US 10yr Yield 1.75 0.06 -0.44 Mideast, from where already high exports Gold 1266.8 4.9% 21.8% could rise and usher in a replay of last Moody's BAA Spread 205.4 -12.1% -19.0%

year’s fundamental let-down. For now, Note: Current level Data as of 05/10/2016; April 2016 uses Data as of however, production almost everywhere 04/29/2016;Source: the BLOOMBERG PROFESSIONAL™ service, else keeps surprising to the downside and Credit Suisse keeps our red line of global supply skewing down. On the other side of the ledger, key demand worries have centered on China. While the latest data (March) don’t allay all worries, it appears that oil consumption growth there did begin to re-accelerate.

Systematic Alpha Monthly 4

Credit Suisse Alpha Strategies Platform

Equities FX Interest Rates Commodities Multi-Asset

HOLT family Sector Rotation GAINS LAB Broad Smart Beta Backwardation LAB Managed Futures

Global Carry Adaptive Backwardation RAII HOLT Relative Mean Reversion Momentum Selector family Volatility RV Value

Adaptive Term Momentum Advanced RVOL Dividend Alpha Carry Premium Long/Short Alternative Risk Premia LAB Merger LAB Long/Short Value GEMS Custom 24 Alpha LAB Event Driven Arbitrage

Custom 88 Enhanced

Dynamic Tail family Advanced DVOL TOPS Portfolio Hedging Cheapest Slide

Dynamic Asset Allocation

RAII HOLT STAA ARROW TEMPO CSMF1

Source: Credit Suisse

11 May 2016 11 May

Monthly Alpha Systematic Individual Strategy Performance

RETURN SHARPE RATIO Bloomberg Total Return Past 12- Strategy Asset Class Live Date Apr-16 Year-to-Date Past 12-Months Since Live Ticker Since Live Months

Smart Beta

HS Global Sty le Rotation Equities HSGSRTR 10/14/2009 0.51% 1.70% -2.43% 10.99% -0.20 0.70 HS Global Sty le Rotation Equity Hedged Equities HSGSREH 1/4/2010 -1.23% -0.03% 0.74% 1.29% 0.20 0.39 HS Market Neutral Equities HSGMN 1/9/2007 0.80% -2.90% -3.31% -1.20% -0.71 -0.22 Global Enhanced Momentum Strategy Interest Rates CSGMEREU 1/1/2012 -0.27% 0.12% -0.80% -0.20% -0.48 -0.13 GAINS 01E Commodities CSGADER 10/15/2008 7.40% 8.25% -15.36% 0.28% -1.05 0.02 GAINS S&P GSCI Commodities CSGAGSER 10/15/2008 9.11% 6.91% -26.90% -3.50% -1.19 -0.18 GAINS 01E Long/Short Commodities CSGADLSE 10/15/2008 -2.15% -1.40% 1.79% 10.09% 0.51 0.90 Commodity Backw ardation Commodities CSCUBKER 03/27/2012 6.26% 8.04% -9.63% -7.83% -0.77 -0.69 Alternative Risk Premia Global Carry Selector Equities GCSCS 2/1/2009 -6.36% -6.81% -26.21% 9.77% -0.86 0.46 Global Carry Selector II Equities GCSCS2 06/15/2012 -1.87% -0.67% -9.69% -2.42% -0.73 -0.29 Adv anced Relativ e Value Volatility Equities CSEAARVL 09/26/2012 1.79% 2.80% -8.76% -5.13% -1.28 -0.86 Mean Rev ersion on Euro Stox x 50 Equities CSEAMREU 03/27/2013 -1.36% 1.94% 3.77% 1.08% 0.40 0.11 Div idend Alpha on Euro Stox x 50 Equities CSEADVAE 11/10/2013 0.13% 4.26% 0.35% 1.68% 0.09 0.40 Adaptiv e Volatility Index – Global Interest Rates CSVIXAEU 1/9/2012 0.62% 0.76% 2.23% 1.92% 0.43 0.47 Adaptiv e Volatility Index – USD Interest Rates CSVIXUSD 1/3/2009 1.13% -0.20% 5.30% 12.76% 0.77 1.35 Adaptiv e Volatility Index – JPY Interest Rates CSVIXJPY 1/1/2011 0.91% -2.34% -5.73% 2.23% -1.06 0.34 Adaptiv e Volatility Index – EUR Interest Rates CSVIXEUR 1/9/2012 0.05% 4.98% 8.35% 4.54% 0.98 0.72 Adaptiv e Term Premium Index Interest Rates CATPU2P6 11/1/2011 -0.22% 0.92% 3.20% 1.86% 1.13 0.64 Commodity Backw ardation RV Commodities CSCUBKAE 3/6/2013 -2.24% -1.07% 7.23% 3.93% 0.71 0.47 Commodity Momentum Long/Short Commodities CSCUMLSE 11/12/2013 -3.43% -3.68% 5.78% 3.07% 0.42 0.29 Commodity Custom 24 Alpha Commodities CSCUS24A 2/15/2012 -1.72% 2.17% 6.95% 10.77% 1.12 1.03 Commodity Custom 88 Enhanced Commodities CSCUE88E 6/18/2012 -0.08% 2.20% 3.22% 2.45% 0.93 0.81 FX Metrics Carry FX FXMXCEUS 3/11/2010 0.47% 1.20% -8.10% -1.43% -0.75 -0.19 FX Metrics Momentum FX FXMXMEUS 3/11/2010 1.13% -2.80% 4.27% 0.30% 0.56 0.05 FX Metrics Value FX FXMXVEUS 3/11/2010 2.18% 6.24% 7.28% 0.66% 1.10 0.13 Source: Credit Suisse

Note: Data as of 04/29/2016 Sharpe Ratio: We calculate the Sharpe Ratio as the annualized average excess return divided by the annualized daily volatility of the strategy. For excess return strategies, we simply use the raw strategy returns. For total return strategies, we deduct the 1-month LIBOR for the currency in which the strategy is denominated. For more information, please visit us on Bloomberg at CSLI

Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is made regarding future performance. Information, opinions and estimates 2016 11 May contained in this report reflect a judgment at the original date of publication by CS and are subject to change without notice. The price, value of and income from any of the securities or financial instruments mentioned in this report can fall as well as rise. The value of securities and financial instruments may be subject to exchange rate fluctuation that may have a positive or adverse effect on the price or income of such securities or financial instruments. The P&L results shown do not include relevant costs, such as commissions, interest charges, or other applicable expenses. 6

Monthly Alpha Systematic Individual Strategy Performance (cont'd)

RETURN SHARPE RATIO Bloomberg Total Return Past 12- Strategy Asset Class Live Date Apr-16 Year-to-Date Past 12-Months Since Live Ticker Since Live Months

Dynamic Multi Asset Allocation

RAII HOLT® Hy brid RAIIHUST 6/4/2010 2.06% 0.40% -10.09% 6.81% -0.82 0.48 RAII HOLT® Relativ e Value Hy brid RAIIHRVU 04/28/2011 1.06% -0.09% -7.79% 0.80% -1.03 0.07 ARROW 6% Hy brid ARROWUT6 2/11/2011 0.76% 4.87% -3.26% 1.09% -0.72 0.17 Multi-Asset Futures Strategy Hy brid CSMF1ER 10/26/2011 -0.32% -1.03% 4.70% 2.07% 0.37 0.22 MASTRO Hy brid CSMST4E 08/31/2010 -0.49% 0.03% -1.20% -1.45% -0.15 -0.31 Sy stematic Tactical Asset Allocation Hy brid STAAUE 10/18/2013 0.69% -0.11% -12.39% -1.05% -2.02 -0.22 TEMPO Hy brid CSEATMP6 2/4/2014 0.16% 6.29% -9.16% 0.76% -1.18 0.13 Portfolio Hedging Equity Dy namic Tail Hedge SPX Index Equities CSEADTSP 12/15/2011 -0.04% -3.30% -10.64% -6.23% -3.46 -2.81 Cheapest Slide Index Equities CSEACHPS 8/12/2011 -0.56% -3.86% -4.47% -11.66% -0.25 -1.10 Adv anced Defensiv e Volatility Index Equities CSEAADVL 09/26/2012 0.20% -1.37% -7.39% -10.43% -0.58 -1.13 Tail Risk Ov erlay Protection Strategy Interest Rates CSTSERUS 1/8/2011 -0.45% 0.26% -0.97% 2.60% -0.20 0.50 Liquid Alternative Beta Liquid Alternativ e Beta Hy brid CSLAB 12/31/2009 0.05% -0.07% -3.36% 3.44% -0.76 0.55 Long/Short Liquid Index Equities CSLABLS 04/30/2008 -1.93% -4.94% 0.75% 3.80% 0.07 0.36 Ev ent Driv en Liquid Index Hy brid CSLABED 12/31/2009 1.63% 3.91% -7.14% 5.07% -0.89 0.58 Merger Arbitrage Liquid Index Equities CSLABMA 12/31/2009 -1.42% 0.74% 1.45% 1.91% 0.27 0.38 Managed Futures Liquid Index Hy brid CSLABMF 01/31/2011 0.57% 5.40% 1.98% 3.89% 0.15 0.37 Source: Credit Suisse

Note: Data as of 04/29/2016 Sharpe Ratio: We calculate the Sharpe Ratio as the annualized average excess return divided by the annualized daily volatility of the strategy. For excess return strategies, we simply use the raw strategy returns. For total return strategies, we deduct the 1-month LIBOR for the currency in which the strategy is denominated. For more information, please visit us on Bloomberg at CSLI Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is made regarding future performance. Information, opinions and estimates contained in this report reflect a judgment at the original date of publication by CS and are subject to change without notice. The price, value of and income from any of the securities or financial instruments mentioned in this report can fall as well as rise. The value of securities and financial instruments may be subject to exchange rate fluctuation that may have a positive or adverse effect on the price or income of such securities or financial instruments. The P&L results shown do not include relevant costs, such as commissions, interest charges, or other applicable expenses.

11 May 2016 11 May

7

11 May 2016

Research Spotlight: Credit Suisse Short Variance Swap Indices It is well known that the implied volatility on equity indices tends to be higher than the subsequent realized volatility. As suggested in Exhibits 1 and 2, the positive spread between implied and realized volatility, which is known as volatility risk, implies that investors are willing to pay additional to hedge against large downside losses. Since 1990, implied volatility has been higher than realized volatility about 85% of the time, and the spread has averaged 4.3%. The structural imbalance in supply and demand for downside protection creates opportunities to exploit the volatility risk premium via systematic strategies.

Exhibit 1: Historical Ex Post Realized Volatility Exhibit 2: S&P 500 Index Volatility Risk Premium Compared to Implied Volatility Since 1990 Since 1990 LHS: SPX 30-Day ex post realized volatility and VIX Index. RHS: SPX Index Level. Volatility risk premium is computed as the spread between implied volatility and ex post 30-day realized volatility

100% 2500 40% Ex post 30-Day Realized Volatility 30% VIX Index 80% 2000 20% SPX Index 10% 60% 1500 0% -10% 40% 1000 -20% -30% 20% 500 -40% Historical Average Spread (4.32%) -50% 0% 0 -60% 90 92 94 96 98 00 02 04 06 08 10 12 14 16 90 92 94 96 98 00 02 04 06 08 10 12 14 16 Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse

With this in mind, Credit Suisse has developed the Credit Suisse Short Variance Swap Indices, which aim to monetize the volatility risk premium by providing exposure to an opportunistic short position in variance swaps on S&P 500 Index. As shown in Exhibits 3 and 4, the flagship index delivered annualized return of 4.22% and a Sharpe ratio of 0.49 since inception. The variations of the strategy, the odd-month and the even month indices, delivered annualized returns of 2.84% and 1.34%, respectively.

Exhibit 3: Cumulative Index Performance, Jan 2008- Exhibit 4: Performance Statistics, Jan 2008- Apr Apr 2016 2016 The Bloomberg tickers are: Credit Suisse Short Variance Swap Flagship ER index The Bloomberg tickers are: Credit Suisse Short Variance Swap Flagship ER (CSVPSVE), Odd Month Index (CSVPSV1E), Even Month Index (CSVPSV2E). All index (CSVPSVE), Odd Month Index (CSVPSV1E), Even Month Index indices went live in December 2015. (CSVPSV2E). All indices went live in December 2015. CSVPSVE CSVPSV1E CSVPSV2E

120 Annualized Return 4.22% 2.84% 1.34% Volatility 8.60% 4.90% 4.85% 100 Sharpe 0.49 0.58 0.28 Maximum Drawdown 16.46% 11.47% 15.28%

80

60 2008 2009 2010 2011 2012 2013 2014 2015 2016 CSVPSVE CSVPSV1E CSPSV2E

Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse

Systematic Alpha Monthly 8 11 May 2016

Methodology Variance swaps are over-the-counter derivative instruments whose payoff at expiry mainly depends on the spread between realized variance and implied variance. In other words, this is for investors whom short variance swaps pay implied variance in expectation to receive compensation when realized variance is high. As the instrument can be statically replicated by a portfolio of listed call and put options, it allows investors to gain pure exposure to volatility in a straightforward and transparent way, as compared to option strategies which require dynamic delta-hedging and may incur greater transaction costs. On a daily basis, the strategy enters into a notional short position in a variance swap on the S&P 500 Index, based on a proprietary signal that measures the relative strength between implied volatility and historical realized volatility. As a result, the index each day consists of a portfolio of short variance swap positions with varying tenors in the near future. The odd month and even month indices employ similar algorithms but are restricted to enter positions where the expiry dates of variance swaps fall in odd or even months.

Performance Analysis The volatility selling strategies are analogous to selling insurance, which collects small amounts of premium in a calm environment but may be subject to occasional large payout due to unexpected events. As shown in Exhibit 2, the volatility risk premium, approximated as the difference between VIX index and 30 day realized volatility, is positive historically over 85% of time but the average level of the negative shocks is almost as much as that of the positive. Exhibit 5 shows the index performance under various VIX levels. We use the historical levels of VIX levels as an indicator of market states such as very calm (VIX below 14) and panic (VIX above 29). The negative returns during market panic provide a gauge of the risks and magnitude of potential shocks to realized volatility and hence the strategy’s performance.

Exhibit 5:The strategy tends to outperform in calm markets but is prone to losses due to volatility shocks VIX Levels are determined based on historical distribution since 1990. The intervals are determined so that there are about 10% occurrences when VIX level is greater than 29, 75% when VIX level is below 23, 50% when VIX level is below 18, 25% when VIX level is below 14, LHS: excess returns. RHS: index level. Area with white background indicates VIX level under 14.

4% 130 120 2% 110

0% 100 90 -2% 80 70 -4% 60

-6% 50

Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15

Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16

Jan-13 Jan-14 Jan-15 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-16

VIX greater than 29 VIX between 23 and 29 VIX between 18 and 23 VIX between 14 and 18 Daily Excess Return CSVPSVE Index

Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse

Systematic Alpha Monthly 9 11 May 2016

Exhibits 6 and 7 show the historical annualized returns and volatility. As volatility in general exhibits negative daily correlation with the S&P 500 index, the strategy historically had relatively low correlation with the broad market equity index and almost little correlation with the bond benchmark. This suggests the strategy may enhance returns on a traditional equity/bond portfolio by sourcing the alternative risk premium. The monthly drawdown as shown in Exhibit 8 tends to be lower than the underlying equity index, especially in calm markets. However, it was still prone to significant losses under sudden volatility spikes.

Exhibit 6: Annualized Returns, Jan 2008- Apr 2016 Exhibit 7: Annualized Volatility, Jan 2008- Apr 2016

20% 20% 15% 15% 10%

5% 10% 0%

-5% 5%

-10% 0% -15% 2008 2009 2010 2011 2012 2013 2014 2015 2016 2008 2009 2010 2011 2012 2013 2014 2015 2016 CSVPSVE CSVPSV1E CSVPSV2E CSVPSVE CSVPSV1E CSVPSV2E

Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse

Exhibit 9: Daily Return Correlations with Major Exhibit 8: Monthly Drawdown, Jan 2008- Apr 2016 Broad Market Benchmarks, Jan 2008- Apr 2016

0% CSVPSV1E CSPSV2E CSVPSVE -5% CSPSV2E 0.52

-10% CSVPSVE 0.87 0.87

-15% SPX 0.42 0.51 0.53 JPM GBI 0.004 0.04 0.02 -20% S&P GSCI 0.20 0.23 0.24 -25%

-30%

Jul-10 Jul-08 Jul-09 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15

Jan-14 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-15 Jan-16 CSVPSVE CSVPSV1E CSVPSV2E SPXT

Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse

Systematic Alpha Monthly 10 11 May 2016

Strategy Snapshots

Systematic Alpha Monthly 11 11 May 2016

Smart Beta HS Global Style Rotation Asset Class: Equities BBG Ticker: HSGSRTR

Strategy Overview The HS Global Style Rotation Index invests according to investment styles that dominate at each stage of the economic cycle as determined by the Credit Suisse Cycle Clock, an indicator that is a measure of the output gap. The HOLT®1 framework is used to identify stocks with appropriate characteristics for the relevant economic cycle stage. Expert financial ratios and rules are used to pinpoint these qualities systematically.

Cumulative Index Performance Performance Summary Live date: October 2009 200 Last 12- April 2016 YTD Since Live 180 Mo. 160 Return 0.51% 1.70% -2.43% 10.99% Volatility 14.14% 15.28% 140 Sharpe Ratio -0.20 0.70 120 Drawdown 16.46% 22.79% 100 Weekly Correlation with Benchmarks 80 Last 12 months 60 MSCI World 97.4% 40 CS Global Govt Bond Index -23.4% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 53.1%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.6% 0.8% 3.6% 5.1% 4.2% -0.7% -1.5% 0.9% 5.9% 2.9% -3.2% -0.9% 2008 -7.9% 1.0% -2.2% 3.0% 4.0% -8.1% 0.3% 0.0% -11.8% -19.4% -5.4% 4.4% 2009 -5.8% -8.7% 6.1% 10.5% 12.4% -0.8% 6.5% 2.7% 3.9% -0.5% 4.2% 2.6% 2010 -4.2% 1.0% 6.7% 0.1% -8.7% -2.5% 8.1% -4.0% 10.5% 4.8% -2.1% 7.1% 2011 2.2% 3.7% 1.1% 5.1% -1.0% -0.5% -1.6% -8.2% -10.1% 11.3% -1.3% -0.7% 2012 5.2% 4.1% 1.2% -2.2% -8.9% 3.9% 2.5% 2.6% 3.2% -0.5% 0.9% 1.6% 2013 6.4% -0.1% 2.5% 2.4% 0.3% -2.3% 6.4% -1.1% 5.5% 3.9% 2.1% 2.5% 2014 -3.8% 5.1% 0.5% 0.7% 3.4% 2.2% -1.9% 3.2% -2.8% 0.5% 1.6% -1.1% 2015 -2.3% 6.0% -1.3% 1.4% 1.3% -2.0% 2.5% -5.8% -3.6% 5.2% -0.9% -0.7% 2016 -5.2% 0.5% 6.2% 0.5% Source: Credit Suisse; Data as of 04/29/2016 April 2016 Performance Commentary The HS Global Style Rotation Index gained 0.5% in April 2016, whilst the MSCI World (TR) Index gained 1.6%. Year to date, the HS Global Style Rotation Index has increased by 1.7%, compared to a gain of 1.2% for the MSCI World (TR) Index. Over the month, the highest contribution came from the Financials, Industrials and Health Care sectors which had weightings of 15%, 11% and 16%, respectively, as of 31 March 2016. Information Technology, Consumer Discretionary and Utilities had the largest negative impact on the index. Across countries, the United States, Spain and Sweden generated the highest contributions in April. Canada, Germany and Italy had the largest negative impact on the index. Over the month, the best and worst performing stocks were Bristol Myers Squibb (Health Care) and Allergan PLC (Health Care), respectively. The index was last rebalanced in February 2016 and is due to be rebalanced again in May 2016. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

1 HOLT® is Credit Suisse’s corporate performance and valuation financial advisory service.

Systematic Alpha Monthly 12 11 May 2016

HS Global Style Rotation Equity Hedged Asset Class: Equities BBG Ticker: HSGSREH

Strategy Overview

The HS Global Style Rotation Equity Hedged Index goes short the MSCI World Index against a long position in the HS Global Style Rotation Index to have a net exposure of zero. The index is rebalanced quarterly.

Cumulative Index Performance Performance Summary Live date: April 2010 130 Last 12- April 2016 YTD Since Live Mo. Return -1.23% -0.03% 0.74% 1.29% 120 Volatility 3.66% 3.28% Sharpe Ratio 0.20 0.39 Drawdown 4.11% 6.55% 110 Weekly Correlation with Benchmarks Last 12 months MSCI World -53.0% 12.3% 100 CS Global Govt Bond Index Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -40.0%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.4% 1.3% 1.7% 0.7% 1.3% 0.0% 0.6% 0.8% 1.1% -0.2% 0.8% 0.3% 2008 -0.4% 1.3% -1.4% -2.4% 2.2% -0.3% 2.4% 1.2% 0.0% -0.5% 1.1% 1.2% 2009 2.7% 1.6% -1.3% -1.0% 2.9% -0.4% -1.9% -1.5% -0.2% 1.4% 0.1% 0.8% 2010 -0.1% -0.5% 0.5% 0.0% 0.8% 0.8% 0.0% -0.3% 1.0% 1.1% 0.1% -0.3% 2011 -0.1% 0.1% 2.0% 0.8% 0.9% 1.0% 0.1% -1.4% -1.5% 0.7% 1.1% -0.7% 2012 0.1% -0.9% -0.1% -1.2% -0.3% -1.2% 1.1% 0.0% 0.4% 0.1% -0.5% -0.4% 2013 1.2% -0.3% 0.1% -0.9% 0.2% 0.1% 1.0% 1.0% 0.5% 0.0% 0.2% 0.4% 2014 -0.2% 0.1% 0.3% -0.4% 1.3% 0.4% -0.4% 1.0% -0.2% -0.2% -0.4% 0.5% 2015 -0.6% 0.1% 0.2% -1.0% 0.9% 0.2% 0.6% 0.8% 0.0% -2.5% -0.5% 1.0% 2016 0.6% 1.2% -0.6% -1.2% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The HS Global Style Rotation Equity Hedged Index lost 1.2% in April 2016. Over the same period, the MSCI World (Price) Index gained 1.4%. Year to date, the HS Global Style Rotation Equity Hedged Index declined by 0.1% whilst the MSCI World (Price) Index has gained 0.5%. Over the month and on the long component of the index, the highest contribution came from the Financials, Industrials and Health Care sectors which had weightings of 15%, 11% and 16%, respectively, as of 31 March 2016. Information Technology, Consumer Discretionary and Utilities had the largest negative impact on the index. Across countries, United States, Spain and Sweden generated the highest contributions in April. Canada, Germany and Italy had the largest negative impact on the index. Over the month and on the long component of the index, the best and worst performing stocks were Bristol Myers Squibb (Health Care) and Allergan PLC (Health Care), respectively. The long component of the index was last rebalanced in February 2016 and is due to be rebalanced again in May 2016. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 13 11 May 2016

HS Market Neutral Index Powered by HOLT® Asset Class: Equities BBG Ticker: HSGMN

Strategy Overview

The HS Market Neutral Index Powered by HOLT® uses a strategy popular with hedge funds, with the main aim of achieving stable returns: the emphasis is on reducing risk rather than maximizing outperformance. Approximately 75 stocks are held on the expectation that their share prices will go up (long position) and the same number of stocks are held on the expectation that their share prices will go down (short position). Companies including typically exhibit strong/weak cash flows, are undervalued/overvalued, and experience positive/negative investor sentiment. HOLT® uses expert financial ratios and rules to pinpoint these characteristics systematically.

Cumulative Index Performance Performance Summary Live date: September 2007 105 Last 12- April 2016 YTD Since Live Mo. 100 Return 0.80% -2.90% -3.31% -1.20% Volatility 4.65% 5.46% Sharpe Ratio -0.71 -0.22 95 Drawdown 8.54% 13.79% Weekly Correlation with Benchmarks 90 Last 12 months MSCI World 22.8% 85 CS Global Govt Bond Index -51.5% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 25.4%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.0% 0.2% -0.6% 2.9% 1.0% -1.4% 1.1% -0.9% -1.3% -1.0% -2.3% 0.6% 2008 0.2% -2.7% 1.4% -2.3% 0.9% -2.3% -0.5% -0.8% -1.5% 1.2% 1.2% -0.1% 2009 2.0% -1.1% -1.4% -2.0% 5.8% -2.5% -1.7% 3.1% -2.8% -0.2% 0.9% -2.0% 2010 0.2% -0.6% 2.9% 0.3% -1.5% -1.1% 1.8% 1.4% 2.2% 0.9% -0.4% 0.6% 2011 1.8% -0.7% 1.1% 0.7% -0.4% -0.5% -1.3% -0.9% -1.0% 2.1% -2.4% 1.2% 2012 0.0% -1.3% -2.7% 1.4% -0.3% -1.5% 1.3% -0.7% 1.4% 1.4% 0.1% 1.6% 2013 2.3% -0.6% -1.7% 2.1% 1.0% -2.4% 1.3% -0.7% -1.4% 0.1% 2.0% 0.1% 2014 0.0% 1.7% 1.2% -0.4% -1.7% -0.7% -0.8% -0.9% -1.1% -0.2% -0.4% -1.6% 2015 -1.4% 0.4% 0.8% -0.2% 2.2% 0.9% -1.8% -0.5% -1.3% -1.0% 1.2% -0.1% 2016 -2.0% -2.0% 0.3% 0.8% Source: Credit Suisse; Data as of 04/29/2016 April 2016 Performance Commentary The HS Market Neutral Index gained 0.8% in April 2016. Over the same time period, the HFRX Equity Market Neutral Index (HFRXEMN) lost 1.9%. Year to date, the HS Market Neutral Index has lost 2.9% while the HFRXEMN Index has declined by 4.4%. In April, the highest contribution came from the Health Care, Financials and Consumer Staples sectors. Energy, Industrials and Utilities made the largest negative contribution to the overall performance of the index. Across countries, Netherlands, Britain and France generated the highest contributions. At the other end of the spectrum were Spain, Italy and Japan with the largest negative contribution. With regards to the legs of the index, the long side generated positive returns and the short side generated negative returns. The index was rebalanced in early March 2016 and will be rebalanced again in June 2016. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 14 11 May 2016

Global Enhanced Momentum Strategy Asset Class: Interest Rates BBG Ticker: CSGMEREU

Strategy Overview

The Global Enhanced Momentum Strategy (GEMS) uses a systematic trend-following mechanism to allocate daily long/short positions in interest rate swaps (one-, two-, and five-year) across four different yield curves (USD, EUR, CHF, and GBP).

Cumulative Index Performance Performance Summary Live date: January 2012 140 Last 12- April 2016 YTD Since Live Mo. 130 Return -0.27% 0.12% -0.80% -0.20% Volatility 1.67% 1.59% 120 Sharpe Ratio -0.48 -0.13 Drawdown 1.54% 2.92% 110 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -12.3% 90 CS Global Govt Bond Index 22.9% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -9.0%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.6% -0.4% -0.7% -0.1% 1.0% 0.7% -0.4% 0.9% 0.9% -0.1% 1.6% -0.3% 2008 3.0% 0.2% -1.0% -0.7% 2.1% 1.1% 0.4% 0.9% 0.3% 4.6% 5.4% 3.3% 2009 1.5% -0.2% 0.5% 0.0% 0.3% -1.6% 0.7% 1.0% 0.9% -0.1% 0.3% -0.9% 2010 0.1% 1.3% 0.1% -0.5% 0.7% 0.4% 0.3% 0.8% -0.4% 0.1% -0.9% 0.2% 2011 -0.2% 0.0% -0.3% 0.4% 0.8% 0.5% 1.3% 1.5% 0.0% -0.6% -0.5% 0.0% 2012 0.7% -0.3% -0.7% -0.5% 0.5% 0.0% 1.1% 0.0% 0.0% -0.1% 0.2% 0.0% 2013 -0.2% -0.5% 0.0% 0.5% -0.6% 0.7% -0.9% -0.7% 0.0% 0.6% 0.2% -0.4% 2014 -0.3% -0.1% -0.3% -0.4% 0.3% -0.2% 0.0% 0.3% 0.1% 0.2% 0.4% 0.3% 2015 1.0% -0.6% -0.2% -0.3% -0.1% -0.2% -0.4% 0.2% 0.3% 0.2% -0.2% -0.7% 2016 0.3% 0.7% -0.6% -0.3% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary CSGEMS had a moderately weak performance for April 2016, returning negative 0.3% for the month. The choppiness in global markets through April did not help this strategy with the highest tenor 5Y swaps exhibiting the worst drop. EUR and USD swaps stayed in receivers all month which negatively impacted the strategy due to choppiness in these markets that started mid- month with a volatile dollar. GBP and CHF swap rates established an upward trend mid-month as these currencies rallied against dollar weakness. GBP swaps that started out choppy in April started trending upwards mid-month. The GBP swaps correctly switched into payers only towards the end of the month. However, this was too late to capitalize on the rising rates for April. Likewise the 2Y and 5Y CHF swaps correctly switched into receiver positions in April but this positioning proved to be a little too late to capitalize on the rising rates in this market. For more information regarding this index, please contact the European Rates Structuring team at [email protected].

Systematic Alpha Monthly 15 11 May 2016

GAINS 01E Asset Class: Commodities BBG Ticker: CSGADER

Strategy Overview

Credit Suisse GAINS uses market information from Glencore, one of the world’s largest commodity traders, to reweight the allocation of individual commodities dynamically in a commodity index. Using “votes” from the commodity trading units, the index determines the adjusted weights based on the commodity traders’ outlook on the physical market for each commodity. The CS GAINS methodology can be applied to any commodity benchmark, including BCOMSM, S&P GSCITM, and to a static index weighted by the relative importance of Glencore’s underlying physical businesses. GAINS 01E is the BCOM benchmarked excess return index.

Cumulative Index Performance Performance Summary Live date: October 2008 180 Last 12- April 2016 YTD Since Live Mo. 160 Return 7.40% 8.25% -15.36% 0.28% Volatility 14.70% 15.27% 140 Sharpe Ratio -1.05 0.02 Drawdown 28.85% 53.68% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 51.7% 80 CS Global Govt Bond Index 2.6% Oct-08 Oct-10 Oct-12 Oct-14 S&P GSCI 92.0%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 0.5% 4.0% 2009 -0.1% -1.9% 4.6% 2.3% 13.0% -2.4% 1.2% 1.0% -0.4% 2.8% 4.4% 1.5% 2010 -7.1% 4.0% 0.4% 2.7% -7.7% -0.4% 6.6% -1.3% 7.8% 6.1% -0.6% 11.4% 2011 0.9% 1.8% 2.4% 3.2% -5.6% -5.7% 3.4% 2.7% -15.3% 7.1% -2.0% -2.3% 2012 3.3% 2.1% -4.2% 0.1% -8.5% 6.1% 6.3% 4.3% 0.8% -3.9% -0.3% -3.1% 2013 2.7% -3.9% 1.4% -2.8% -2.0% -4.7% 1.4% 3.0% -2.6% -0.8% -1.1% 1.1% 2014 0.9% 6.1% 0.6% 2.7% -2.5% 0.6% -4.8% -0.7% -6.0% -1.3% -3.6% -7.5% 2015 -3.1% 2.0% -4.6% 4.4% -2.1% 1.7% -10.2% -1.2% -3.4% -0.6% -6.7% -2.1%

2016 -1.1% -1.8% 3.8% 7.4% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The CS GAINS 01E strategy closed April with a gain of 7.40%. Expectations for OPEC to curb supplies and continued disruptions in Nigeria and Venezuela led to a broad recovery of Crude Oil and products. Precious metal prices found support in USD weakness, while positive economic data from the Natural Bureau of Statistics in China raised expectations on metals demand. Agricultural components, particularly Soybeans, gained over the month as adverse weather conditions impacted the harvest conditions in Latin America.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales.

Systematic Alpha Monthly 16 11 May 2016

Commodity Backwardation Asset Class: Commodities BBG Ticker: CSCUBKER

Strategy Overview

The CS Commodity Backwardation Index dynamically allocates to selected components displaying the highest degree of backwardation in their curve structure, aiming to capture the commodities with the tightest supply/demand balance in the investment universe.

Cumulative Index Performance Performance Summary Live date: March 2012 260 Last April 2016 YTD Since Live 12-Mo. Return 6.26% 8.04% -9.63% -7.83% 200 Volatility 12.53% 11.37% Sharpe Ratio -0.77 -0.69 Drawdown 22.40% 43.26% 140 Weekly Correlation with Benchmarks Last 12 months MSCI World 41.8% 80 CS Global Govt Bond Index 16.5% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 64.5%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -2.3% 5.5% 2.1% 6.1% 1.5% -2.0% 5.7% -4.8% 6.6% 3.4% -3.5% 1.7% 2008 3.6% 12.6% -5.0% 7.2% 6.8% 7.8% -8.1% -3.8% -7.9% -23.2% -4.9% 6.3% 2009 -0.6% -2.4% 7.1% 1.7% 13.7% -0.6% 7.2% 4.1% 2.4% 3.1% 3.9% 1.4% 2010 -4.9% 3.2% 1.7% 4.7% -6.0% -1.5% 3.6% 1.6% 9.5% 9.6% 0.0% 12.5% 2011 4.2% 6.7% 1.1% 1.9% -3.9% -2.0% 3.8% -1.6% -14.7% 7.5% -0.2% -2.4% 2012 7.4% 5.6% -0.8% -2.6% -9.7% 3.6% 6.5% 7.7% 0.1% -3.8% 1.0% -2.3% 2013 3.2% -2.6% 0.5% -3.0% 0.2% -2.7% 2.4% 2.5% -2.5% -0.5% -0.4% -0.6% 2014 -1.1% 4.2% 1.7% 1.6% -0.9% 0.5% -4.7% -0.8% -5.0% -4.3% -4.8% -7.1% 2015 -1.7% -0.4% -0.9% 5.4% -2.6% -0.5% -6.9% -2.9% -3.5% 3.0% -5.9% 1.1%

2016 -3.7% 4.1% 1.5% 6.3% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Backwardation strategy closed April with a gain of 6.26%. Expectations for OPEC to curb supplies and continued disruptions in Nigeria and Venezuela led to a broad recovery of Crude Oil and products. Precious metal prices found support in USD weakness, allowing Gold and Silver to contribute 2.2% to the monthly performance. Positive economic data from the Natural Bureau of Statistics in China raised expectations on metals demand, allowing Copper Nickel and Lead to attribute 1.5% to the index. For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales.

Systematic Alpha Monthly 17 11 May 2016

Alternative Risk Premia Global Carry Selector Asset Class: Equities BBG Ticker: GCSCS

Strategy Overview

The Credit Suisse Global Carry Selector Index is an equity volatility arbitrage strategy that extracts the equity risk premium embedded in the option prices of four global indices (S&P 500, DJ Euro Stoxx 50, DAX, and Nikkei 225), while attempting to deliver a low beta to the equity market. The strategy systematically sells variance swaps and opportunistically buys forward variances as a hedge.

Cumulative Index Performance Performance Summary Live date: January 2009 320 Last 12- April 2016 YTD Since Live Mo. 280 Return -6.36% -6.81% -26.21% 9.77% 240 Volatility 30.96% 20.38% Sharpe Ratio -0.86 0.46 200 Drawdown 34.05% 35.39% 160 Weekly Correlation with Benchmarks Last 12 months 120 MSCI World 8.2% 80 CS Global Govt Bond Index 8.4% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -11.3%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 2.2% -5.2% 0.7% 1.6% 5.5% -0.6% -0.7% 7.3% 0.0% 6.1% 5.4% -0.2% 2008 -10.2% 0.1% 6.2% -0.2% 2.4% 1.1% -3.6% 0.8% -7.6% 5.0% 6.9% -1.2% 2009 6.1% 2.7% -1.4% 0.5% 0.9% 0.3% 1.6% 0.6% 6.1% -5.4% 3.8% 2.9% 2010 -1.2% 2.4% 5.2% -1.5% -13.5% -4.2% 9.5% 3.8% 3.9% 5.5% -4.4% 7.5% 2011 1.0% 4.1% 5.7% 6.0% 1.1% 5.6% 3.8% 1.4% -0.2% 4.6% 1.8% 0.3% 2012 7.1% 7.5% 1.2% 1.5% -1.7% 3.8% 0.0% 1.0% 2.8% -1.2% 4.7% 0.4% 2013 3.7% -2.0% -1.6% 2.4% -1.0% -0.6% 1.9% -7.4% 1.2% 1.9% 0.3% -0.9% 2014 -8.3% 2.9% -2.0% 3.2% 2.3% 1.2% 0.8% -3.4% 3.3% -7.4% 0.2% -5.8% 2015 5.2% 6.3% -0.9% 2.7% 4.5% 0.4% -4.1% -15.7% -12.8% 2.5% 2.4% 3.0% 2016 -2.0% 1.6% -0.1% -6.4% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse Global Carry Selector Index (“the Index”) delivered a negative performance of - 6.4% for April. From the March roll date (18 March 2016), the Index was short a variance swap in the Nikkei 225 Index with a volatility strike of 25.60%. The Index had no long volatility position as of the March roll date. These positions delivered a negative return of -3.4% to the Index in April to the roll date. On the most recent roll date (15 April 2016), the Index was short a variance swap in the S&P 500 Index with a volatility strike of 12.84%. The Index had also entered into a long volatility position in the DAX Index with a volatility strike of 30.91% as of the latest roll date. These positions delivered a negative return of -3.9% to the Index in April from the roll date. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 18 11 May 2016

Global Carry Selector II Asset Class: Equities BBG Ticker: GCSCS2

Strategy Overview The Credit Suisse Global Carry Selector II is an equity volatility arbitrage strategy that extracts the equity risk premium embedded in the option prices of four global indices (S&P 500, DJ Euro Stoxx 50, DAX, and Nikkei 225) while attempting to deliver a low beta to the equity market. The strategy systematically sells variance swaps and opportunistically buys forward variances as a hedge. It succeeds the Global Carry Selector Index, launched in January 2009.

Cumulative Index Performance Performance Summary Live date: June 2012 220 Last April 2016 YTD Since Live 12-Mo. 200 Return -1.87% -0.67% -9.69% -2.42% 180 Volatility 13.72% 9.08% 160 Sharpe Ratio -0.73 -0.29 Drawdown 19.09% 21.83% 140 Weekly Correlation with Benchmarks 120 Last 12 months 100 MSCI World 6.5% 80 CS Global Govt Bond Index 25.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 1.1%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.9% -1.2% -0.7% 0.7% 1.6% 0.0% -1.1% 1.8% -0.1% 2.2% 0.6% 1.9% 2008 -3.8% 0.4% -0.8% 1.0% 0.4% 0.5% 1.4% 1.5% -2.4% 9.1% 3.4% 0.9% 2009 -0.8% 2.2% 0.7% 0.7% 2.0% 1.5% 2.1% 0.6% 1.8% -1.3% 1.0% 3.1% 2010 -1.3% 0.5% 3.1% -3.2% 0.8% -3.1% 5.2% 1.6% 2.5% 2.7% -1.8% 3.5% 2011 1.6% 0.8% 0.0% 1.9% 0.7% -0.7% 1.3% 8.3% 1.1% -0.5% 3.0% 1.7% 2012 2.6% 2.0% 1.5% -0.2% 0.9% 4.4% -0.6% 0.6% 1.8% 0.5% 0.3% -0.3% 2013 1.0% -2.1% 0.5% -1.4% -3.7% -3.4% 2.3% -1.5% 2.0% 1.3% 0.3% 1.0% 2014 -2.1% 1.9% 0.2% 1.7% 1.6% 0.8% -1.3% 0.0% 0.6% -6.0% 0.1% 0.4% 2015 -3.6% 4.0% -0.3% 0.2% 0.8% 2.5% -1.8% -6.6% -1.8% 0.2% 0.7% -1.8%

2016 -8.0% 9.8% 0.2% -1.9% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Global Carry Selector II Index (the "Index") delivered a negative return of -1.9% for April. On the March roll date (18 March 2016), the Index was short a new variance swap in the Nikkei 225 Index with a volatility strike of 26.14%, in addition to the existing short variance swap positions in the Nikkei 225 Index with a volatility strike of 31.86% and in the DAX Index with a volatility strike of 29.94% (with one and two months remaining, respectively). The Index had no long volatility position as of the March roll date. These positions delivered a negative return of - 0.9% to the Index in April to the roll date. On the most recent roll date (15 April 2016), the Index was short a new variance swap in the Nikkei 225 Index with a volatility strike of 26.75%, in addition to the existing short variance swap positions in the DAX Index with a volatility strike of 29.94% and in the Nikkei 225 Index with a volatility strike of 26.14% (with one and two months remaining, respectively). The Index had no long volatility position as of the latest roll date. These positions delivered a negative return of -1.0% to the Index in April from the roll date. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 19 11 May 2016

Advanced Relative Value Volatility Index Asset Class: Equities BBG Ticker: CSEAARVL

Strategy Overview

The Credit Suisse Advanced Relative Value Volatility Index aims to capture the term premium or discount embedded in the carry (roll yield) of the S&P 500 VIX futures curve based on the expected decay at the short- and medium-term of the VIX futures curve. The index maintains a limited exposure to the absolute level of the VIX index by entering into a long or short position in the S&P 500 VIX Short-Term Futures Index ER (Bloomberg: SPVXSP), while taking an opposite position in the S&P 500 VIX Medium-Term Futures Index. It incorporates a loss-control mechanism.

Cumulative Index Performance Performance Summary Live date: September 2012 200 Last April 2016 YTD Since Live 180 12-Mo. Return 1.79% 2.80% -8.76% -5.13% 160 Volatility 6.84% 5.97% Sharpe Ratio -1.28 -0.86 140 Drawdown 14.96% 22.65% 120 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World 46.4% 80 CS Global Govt Bond Index -27.3% Apr-08 Apr-10 Apr-12 Apr-14 Apr-16 S&P GSCI 26.7%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 2.9% -2.6% -1.1% 1.1% 2.1% 13.1% 0.0% 0.5% 2009 -0.2% 0.3% 0.1% 1.6% 0.0% 1.0% 1.5% 1.2% 2.8% 0.3% 1.5% 1.9% 2010 0.2% 0.7% 3.6% 1.4% -1.4% -0.8% 3.2% 2.2% 3.2% 2.4% 0.1% 1.7% 2011 0.4% -1.3% -1.5% 3.3% 0.4% -1.0% -1.7% 6.6% 2.2% -1.6% 0.3% 0.6% 2012 3.7% 1.3% 4.7% -1.1% -2.0% 3.7% -0.7% 1.9% 0.2% -1.5% 0.8% -0.8% 2013 -1.7% -0.7% 2.4% -2.4% 0.7% -1.4% 2.6% -1.2% 0.4% -1.2% 1.2% -2.2% 2014 -0.5% -2.0% -0.4% -0.1% 2.9% 0.8% -1.7% -1.0% -1.2% -3.1% 1.3% -4.0% 2015 -1.4% 2.1% 1.2% 1.8% 1.3% -2.3% 0.0% -5.0% -0.9% -1.0% -1.5% -2.1% 2016 -0.7% -1.8% 3.6% 1.8% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary Advanced RVOL was up 1.8% in April. The index, for the whole month, held an average position of -23% / 23% weights on the short-term and mid-term VIX futures, respectively. ARVL benefited by the shape of the VIX futures curve as it remained in contango for the whole month, with the short-term futures experiencing more decay than the mid-term futures.

For more information regarding this index, please contact US Equity Derivatives Structuring at [email protected].

Systematic Alpha Monthly 20 11 May 2016

Mean Reversion Index on Euro Stoxx 50 Asset Class: Equities BBG Ticker: CSEAMREU

Strategy Overview

The Credit Suisse Mean Reversion Index aims to provide direct exposure to weekly mean reversion on the Euro Stoxx 50 Index through a liquid and transparent strategy. The index isolates exposure to mean reverting behavior by adjusting its exposure based on the prevailing volatility regime.

Cumulative Index Performance Performance Summary Live date: March 2013 180 Last April 2016 YTD Since Live 12-Mo. 160 Return -1.36% 1.94% 3.77% 1.08% Volatility 8.58% 7.72% Sharpe Ratio 0.40 0.11 140 Drawdown 7.20% 10.64% Weekly Correlation with Benchmarks 120 Last 12 months MSCI World 20.3% 100 CS Global Govt Bond Index -1.5% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 29.1%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 2.7% -0.1% 2.2% -0.8% 0.2% 2.6% 0.4% 3.4% 1.0% 0.0% 0.3% 0.6% 2008 -3.8% 5.5% 0.6% -0.5% 0.9% -2.4% 0.8% 1.7% 5.9% -1.9% 1.5% 3.7% 2009 -1.1% -1.5% -1.9% 1.5% 0.4% 1.7% -3.3% 0.7% 0.7% -1.0% -0.5% 1.9% 2010 -2.0% 1.4% -0.9% 2.9% 2.0% -0.9% 1.9% -0.3% -0.5% -0.3% 0.1% 0.8% 2011 0.8% 2.0% -1.2% -1.9% 2.0% 2.2% 2.0% -5.8% 5.2% 3.7% 2.6% -0.4% 2012 -0.4% 0.8% 0.8% 0.3% 0.6% 2.7% 6.2% -0.2% -1.2% 4.3% 0.3% -0.6% 2013 0.4% 2.1% -0.4% 4.2% -1.7% 1.7% -1.2% 0.0% -2.2% -0.3% 0.4% -0.7% 2014 0.0% -1.4% 1.9% -0.1% 0.7% 0.6% 1.7% -2.9% 0.5% -4.5% 0.0% 1.3% 2015 0.0% -1.1% 1.1% 1.5% 0.7% 0.5% -1.3% -1.8% 2.8% -2.5% 0.9% 2.2% 2016 0.3% 2.1% 0.9% -1.4% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse Mean Reversion on EuroSTOXX50 Index delivered a negative return of -1.4% in April whilst the underlying price return index on the EuroSTOXX50 finished the month with a positive performance of +0.8%. The index started the first two weeks of April positively, driven by the choppiness of European equity markets in trending downwards initially and back upwards thereafter. However, this upward trend continued to persist to the end of month, leading the index into negative territory. For more information regarding this index, please contact the Equities SIS Product Management team at mailto:[email protected].

Systematic Alpha Monthly 21 11 May 2016

Dividend Alpha Index on Euro Stoxx 50 Asset Class: Equities BBG Ticker: CSEADVAE

Strategy Overview

The Credit Suisse Dividend Alpha Index invests in Euro Stoxx 50 dividend futures to systematically harvest the embedded dividend risk premium. The index looks to isolate the dividend risk premium by going long the two front futures contracts and stripping out the portion of the return attributable to equity price action with an offsetting position in the Euro Stoxx 50 price index.

Cumulative Index Performance Performance Summary Live date: October 2013 180 Last April 2016 YTD Since Live 12-Mo. 160 Return 0.13% 4.26% 0.35% 1.68% 140 Volatility 3.81% 4.17% Sharpe Ratio 0.09 0.40 120 Drawdown 5.71% 5.74% 100 Weekly Correlation with Benchmarks Last 12 months 80 MSCI World 4.6% 60 CS Global Govt Bond Index 12.8% Jul-08Jul-09Jul-10Jul-11Jul-12Jul-13Jul-14Jul-15 S&P GSCI -6.3%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 1.9% -1.0% -18.5% 12.1% -2.6% 2009 -1.2% 9.2% -0.4% 3.6% 3.6% 4.1% 7.0% -0.3% 4.3% 3.7% 4.0% 2.0% 2010 2.0% -1.3% 0.7% 0.7% -4.7% -2.0% 4.4% 2.6% 2.6% -0.9% -0.6% -0.4% 2011 3.1% 1.6% 0.6% -0.1% -0.3% -0.1% 0.1% -1.3% 5.5% -3.9% -0.7% -0.4% 2012 7.1% 4.4% -1.4% 1.2% -1.0% 1.0% -7.1% 5.2% 1.5% 3.2% -0.3% -1.2% 2013 1.0% 0.6% 0.0% 1.9% 1.0% -2.8% 0.1% 1.6% 0.3% -0.1% -0.3% 0.9% 2014 1.2% -0.3% 0.1% -0.3% -1.3% -0.8% 0.8% -0.3% 1.4% -2.0% 2.6% -1.4% 2015 -2.1% 3.7% 1.0% 1.1% 0.5% -0.6% 0.4% -2.3% -1.5% -0.4% 0.0% 0.0% 2016 0.6% 2.3% 1.1% 0.1% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse Dividend Alpha Total Return Index delivered a flat return of +0.1% in April, whilst European equities performed positively, with the EuroSTOXX50 Total Return Index posting a positive performance of +1.3%. At the beginning of the month, the dividend exposure was 71% in the 2016 dividend future with the remaining 29% in the 2017 dividend future. The index's performance was therefore primarily driven by the performance of the 2016 dividend future, which was largely during the month (+0.1%), in contrast to the 2017 dividend future which exhibited a higher beta to the underlying equity markets gaining +1.3% over the same period. The beta hedging contributed negatively to the Index in April (-0.1%). For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 22 11 May 2016

Adaptive Volatility Index Global Asset Class: Interest Rates BBG Ticker: CSVIXAEU

Strategy Overview

The Adaptive Volatility Index exploits the bias between implied and realized volatility in global interest rate options markets (USD, EUR, JPY) by selling one-month into ten-year swaptions and delta-hedging until expiry. The strategy aims to improve risk-adjusted returns by adjusting its leverage based on the prevailing volatility environment. Four versions of CSAVI are available, one for each market (USD, EUR and JPY) and CSAVI Global, which combines the three strategies based on equal weighting.

Cumulative Index Performance Weekly Correlation with Benchmarks 350 Last 12 months 300 MSCI World 24.6% 250 CS Global Govt Bond Index -5.9% 200 S&P GSCI -7.7% Source: Credit Suisse; Data as of 04/29/2016 150 100 50 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Source: Credit Suisse; Data as of 04/29/2016

Performance Summary

CSAVI Global (CSVIXAEU) April 2016 YTD Last 12-Mo. Since Live (Sep 2012) Return 0.62% 0.76% 2.23% 1.92% Volatility 5.15% 4.08% Sharpe Ratio 0.43 0.47 Drawdown 3.07% 7.53% CSAVI USD (CSVIXUSD) April 2016 YTD Last 12-Mo. Since Live (Mar 2009) Return 1.13% -0.20% 5.30% 12.76% Volatility 7.04% 9.46% Sharpe Ratio 0.77 1.35 Drawdown 3.88% 17.28% CSAVI EUR (CSVIXEUR) April 2016 YTD Last 12-Mo. Since Live (Sep 2012) Return 0.05% 4.98% 8.35% 4.54% Volatility 8.55% 6.29% Sharpe Ratio 0.98 0.72 Drawdown 4.49% 10.07% CSAVI JPY (CSVIXJPY) April 2016 YTD Last 12-Mo. Since Live (Jan 2011) Return 0.91% -2.34% -5.73% 2.23% Volatility 5.40% 6.54% Sharpe Ratio -1.06 0.34 Drawdown 7.64% 19.62% Source: Credit Suisse; Note: Data as of 04/29/2016

April 2016 Performance Commentary

The Adaptive Volatility Index Global gained 0.62% in April. The USD, EUR and JPY sub- strategies gained 1.13%, 0.05% and 0.91%, respectively. The implied volatility did not change much for USD, EUR, and decreased for JPY for the month. The leverage ratio is 0.5 for USD, EUR, and JPY in April. For more information regarding this index, please contact the European Rates Structuring team at [email protected].

Systematic Alpha Monthly 23 11 May 2016

Adaptive Term Premium Index Asset Class: Interest Rates BBG Ticker: CATPU2P6

Strategy Overview The Credit Suisse Adaptive Term Premium Index (CSATPI) systematically exploits the persistent positive bias between implied forward rates and realized rates at the front end of the LIBOR and Euribor yield curves. It identifies situations to go long or short interest rate futures conditioned on the momentum of changes in rates, the slope of the yield curve, and volatility in the rates market.

Cumulative Index Performance Performance Summary Live date: January 2011 130 Last April 2016 YTD Since Live 12-Mo. 120 Return -0.22% 0.92% 3.20% 1.86% Volatility 2.84% 2.91% Sharpe Ratio 1.13 0.64 110 Drawdown 1.85% 5.55% Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -22.0% 90 CS Global Govt Bond Index 31.4% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -32.1%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.5% -1.2% 0.6% 0.6% 1.8% 0.4% 0.2% -0.2% 0.3% 0.2% 2.3% -0.7% 2008 2.2% 0.3% -0.4% -0.2% 0.6% 0.7% 1.1% 0.3% -0.6% 0.9% 0.9% 1.3% 2009 0.3% 0.3% 1.2% -0.1% 0.7% -0.6% 0.3% 0.1% 0.4% 0.3% 1.0% -1.0% 2010 1.2% 1.0% 0.0% 0.8% 0.1% 0.7% 0.7% -0.2% 1.4% 0.9% -1.9% -0.4% 2011 2.0% -0.2% -0.3% 0.4% -0.2% -0.1% -0.8% -0.6% 0.3% -0.1% 0.7% 0.8% 2012 -0.5% 0.0% -0.1% 1.0% -0.3% 0.5% 1.5% 0.2% 0.3% -0.4% 0.4% -0.1% 2013 -2.0% 0.8% -0.3% 1.0% -1.3% -1.4% 0.2% 0.0% 0.5% 0.5% 0.5% -0.7% 2014 0.0% -0.2% -0.3% 0.8% 0.7% -0.1% -1.0% 1.2% 0.5% 0.7% 0.3% -0.2% 2015 0.9% 0.1% 0.4% 0.0% 0.1% -0.1% 0.4% 0.5% 1.2% 0.8% 0.4% -0.7% 2016 1.7% 0.1% -0.7% -0.2% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Adaptive Term Premium Index (CSATPI) had a return of -0.22% during April 2016. The EUR sub-strategy returned -0.06 % while the USD sub-strategy returned -0.09 %. During this time period, Eurodollar Futures prices increased at the first half of the month and then fell back and brought about negative monthly returns. Euribor Futures prices were almost flat but slightly decreased. Basket index remained long exposures to both Eurodollar Futures contracts and Euribor Futures contracts for the whole month in April since no short signals were triggered. For more information regarding this index, please contact the European Rates Structuring team at [email protected].

Systematic Alpha Monthly 24 11 May 2016

Commodity Backwardation RV Asset Class: Commodities BBG Ticker: CSCUBKAE

Strategy Overview

The Credit Suisse Commodity Backwardation RV Index maintains a long exposure to the CS Commodity Backwardation Index, which dynamically allocates to selected components displaying the highest degree of backwardation in their curve structure, aiming to capture the commodities with the tightest supply/demand balance in the investment universe, and a short exposure to the Bloomberg Commodity Index.

Cumulative Index Performance Performance Summary Live date: February 2009 Last April 2016 YTD Since Live 320 12-Mo. Return -2.24% -1.07% 7.23% 3.93% 260 Volatility 10.24% 8.35% Sharpe Ratio 0.71 0.47 Drawdown 6.68% 7.94% 200 Weekly Correlation with Benchmarks 140 Last 12 months MSCI World -28.3% 80 CS Global Govt Bond 16.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Index -60.3% S&P GSCI

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -2.0% 2.5% 1.5% 5.4% 1.8% -0.3% 4.0% -0.8% -1.1% 0.4% -0.1% -2.7% 2008 -0.3% 0.5% 1.5% 3.7% 4.2% -1.1% 3.9% 3.6% 3.8% -1.9% 2.1% 10.8% 2009 4.7% 2.0% 3.6% 1.0% 0.7% 1.3% 4.0% 4.7% 0.8% -0.2% 0.3% -0.6% 2010 2.3% -0.5% 2.9% 2.8% 0.9% -1.8% -3.1% 4.2% 2.2% 4.6% 0.4% 1.8% 2011 3.2% 5.4% -0.9% -1.5% 1.2% 3.0% 0.8% -2.6% 0.1% 0.9% 2.0% 1.4% 2012 4.9% 2.9% 3.4% -2.1% -0.5% -1.8% 0.1% 6.4% -1.6% 0.1% 0.9% 0.3% 2013 0.8% 1.5% -0.2% -0.2% 2.4% 2.0% 1.1% -0.9% 0.0% 1.0% 0.4% -1.8% 2014 -1.4% -2.1% 1.3% -0.8% 2.0% -0.1% 0.3% 0.2% 1.3% -3.5% -0.7% 0.5% 2015 1.6% -2.9% 4.2% -0.3% 0.1% -2.2% 3.8% -2.0% -0.1% 3.5% 1.4% 4.2% 2016 -2.0% 5.7% -2.3% -2.2% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Backwardation RV Strategy finished the month down -2.24%. The deep contango of all energy commodities lead to the net short exposure to the sector that resulted in the monthly loss when the sector rallied with Brent contributing -1.34%, heating oil -0.59%, natural gas -0.63%, rbob +0.67% and crude -1.22%.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales.

Systematic Alpha Monthly 25 11 May 2016

Commodity Momentum Long/Short Asset Class: Commodities BBG Ticker: CSCUMLSE

Strategy Overview

The Credit Suisse Momentum Long/Short Index aims to produce positive absolute returns regardless of the commodity cycle. It takes long positions in the commodities exhibiting the strongest upward price trends and short positions in the commodities exhibiting the strongest downward price trends.

Cumulative Index Performance Performance Summary Live date: February 2009 200 Last April 2016 YTD Since Live 12-Mo. Return -3.43% -3.68% 5.78% 3.07% 160 Volatility 13.64% 10.74% Sharpe Ratio 0.42 0.29 Drawdown 10.10% 13.79% 120 Weekly Correlation with Benchmarks Last 12 months MSCI World -39.5% 80 CS Global Govt Bond Index 10.4% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -83.2%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.2% 1.4% -0.3% 5.1% 0.9% -3.7% -2.4% 4.1% 1.6% 2.5% 4.0% 2.7% 2008 -2.2% 3.0% 1.2% 1.8% 9.5% 4.6% -4.7% -2.4% -0.9% -2.0% -0.2% -0.5% 2009 1.0% 0.2% -2.2% -0.3% -3.1% -4.3% 3.1% 7.2% -1.3% -2.2% 0.1% 2.9% 2010 0.9% 0.9% 7.9% -1.9% -5.5% -5.6% -6.9% 5.6% -0.6% 2.4% -1.8% 2.6% 2011 0.5% 5.9% 0.3% 4.2% -0.4% -2.3% 0.0% 2.9% -4.0% 0.6% 3.0% -1.6% 2012 1.2% 3.3% 3.1% -1.0% -0.1% -2.7% 3.2% 3.2% -7.4% -0.5% -0.1% -1.9% 2013 0.3% -0.6% 0.6% 3.2% 1.0% 1.3% 2.0% 0.4% 0.4% 0.7% 2.0% 2.6% 2014 -1.0% -4.9% -0.7% 2.8% 1.2% -0.4% 3.7% 0.1% 4.0% -3.5% 3.0% 1.7% 2015 3.4% -8.6% 3.3% -3.7% -0.4% -1.7% 1.6% -0.6% 1.4% 1.9% 1.8% 5.4% 2016 0.6% 2.0% -2.8% -3.4% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Momentum Long/Short finished the month down -3.43%. The downside trend of the energy commodities reversed leading to the short Brent position losing -1.73%, gasoil -1.39%, heating oil -1.59%, nat gas -0.67%, and crude -1.60%. These losses were partially offset by the gains in long sugar +0.61%, silver +0.50%, lean hogs +0.08%, and gold +0.46% positions.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.

Systematic Alpha Monthly 26 11 May 2016

Commodity Custom 24 Alpha Asset Class: Commodities BBG Ticker: CSCUS24A

Strategy Overview

The Credit Suisse Custom 24 Alpha Index provides exposure to a congestion arbitrage strategy in commodities. It maintains a leveraged long exposure to a version of the Bloomberg Commodity Index which rolls the underlying futures positions earlier than normal, and a leveraged short exposure to the Bloomberg Commodity Index itself.

Cumulative Index Performance Performance Summary Live date: February 2009 500 Last April 2016 YTD Since Live 440 12-Mo. Return -1.72% 2.17% 6.95% 10.77% 380 Volatility 6.19% 10.42% 320 Sharpe Ratio 1.12 1.03 Drawdown 2.96% 12.34% 260

200 Weekly Correlation with Benchmarks Last 12 months 140 MSCI World -9.1% 80 CS Global Govt Bond Index 21.3% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -31.3%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.4% 2.1% -0.6% 4.6% -0.4% 4.4% -0.6% 4.1% 2.2% 1.5% 4.7% 3.7% 2008 1.3% 2.4% 1.1% 0.2% -1.2% 0.1% -0.2% 1.6% 1.2% 4.0% 0.7% 6.9% 2009 5.8% 7.5% 2.7% 6.1% 2.2% 0.2% -0.6% 2.4% 1.6% 1.9% 2.7% 1.9% 2010 1.9% 0.5% 1.0% 3.2% 1.0% -1.3% -2.4% 4.8% -1.3% 3.2% 0.6% -0.2% 2011 1.4% 8.1% 0.0% 0.7% 1.0% 0.7% 1.1% 2.1% -0.3% -1.0% -0.9% 1.2% 2012 0.9% 0.9% 1.3% -3.5% 6.8% -8.9% 1.8% 3.9% -0.3% 0.2% 1.6% 1.5% 2013 0.8% 1.6% 0.8% 1.7% 6.3% -2.3% 2.8% 2.8% 0.8% 0.4% 0.1% -0.8% 2014 -2.2% 4.9% 1.6% 1.2% 0.1% 3.8% 2.4% 0.8% 0.1% 1.5% 1.2% 1.7% 2015 0.9% 0.5% 0.5% -1.9% -2.4% 1.1% -0.7% -0.1% 0.2% 3.4% 0.6% 3.1% 2016 -1.5% 4.4% 1.0% -1.7% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Custom 24 Alpha finished the month down -1.72%. Rolling energy before the rally led to the monthly loss with the brent spreads reducing monthly performance of the strategy by -0.26%, heating oil by -0.34%, natural gas by -0.48% and crude oil by -0.45%.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.

Systematic Alpha Monthly 27 11 May 2016

Commodity Custom 88 Enhanced Asset Class: Commodities BBG Ticker: CSCUE88E

Strategy Overview

The Credit Suisse Custom 88 Enhanced Index provides dynamic exposure to carry returns in commodities. It allocates short exposure to time spreads in selected commodities with the tenor of the spreads varying according to the relative risk/reward.

Cumulative Index Performance Performance Summary Live date: February 2009 180 Last April 2016 YTD Since Live 12-Mo. 160 Return -0.08% 2.20% 3.22% 2.45% Volatility 3.47% 3.05% 140 Sharpe Ratio 0.93 0.81 Drawdown 1.97% 3.61% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -33.7% 80 CS Global Govt Bond Index 9.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -49.2%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.5% 1.6% 0.9% 1.4% 0.4% 0.6% 0.7% 1.9% 1.2% 1.6% 0.9% 1.4% 2008 2.4% 1.2% 2.2% 0.4% 0.5% 1.6% -0.2% -0.7% 0.1% 1.6% -0.1% 2.6% 2009 1.0% 1.6% 0.4% 2.2% -1.5% 0.9% 1.5% 2.6% -1.3% -0.2% 1.2% -0.7% 2010 0.8% -0.5% 0.5% 0.5% 0.5% -0.6% -0.9% 1.1% -0.1% 1.1% 0.3% -0.2% 2011 0.0% 2.0% 1.2% 1.9% 1.2% 0.7% 0.0% 0.6% -0.3% 0.2% -0.1% 0.4% 2012 1.0% 0.6% 1.7% -0.1% -0.5% -0.7% -0.1% 0.6% -0.4% 0.1% -0.1% 0.5% 2013 -0.8% 0.7% -0.5% 0.3% 0.5% -0.9% -0.3% -0.2% 0.7% 1.1% 0.3% -0.1% 2014 -0.4% -0.4% -1.0% 1.1% 1.3% 0.0% 1.9% 0.6% -1.1% 1.4% -0.7% 1.1% 2015 1.2% 1.1% 0.6% -1.2% -0.2% 0.3% 0.2% -0.6% 0.0% -0.1% 1.2% 0.5% 2016 0.3% 2.2% -0.2% -0.1% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Enhanced 88 Strategy finished the month down -0.08%. Natural gas, lean hogs and rbob spreads made +0.25%, +0.06% and +0.06% respectively. These gains were offset by the loss of -0.44% in crude oil spreads.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.

Systematic Alpha Monthly 28 11 May 2016

FX Metrics Carry Asset Class: Currencies BBG Ticker: FXMXCEUS

Strategy Overview

The Credit Suisse FX Metrics Carry: Foreign Currency Strategy systematically trades FX carry in 18 currencies with one-month Cash Settled Forwards. It invests in an equally weighted basket of top high-yielding currencies and selling an equally weighted basket of low-yielding currencies.

Cumulative Index Performance Performance Summary Live date: March 2010 115 Last April 2016 YTD Since Live 12-Mo. 110 Return 0.47% 1.20% -8.10% -1.43% 105 Volatility 10.74% 7.36% Sharpe Ratio -0.75 -0.19 100 Drawdown 13.37% 20.39% 95 Weekly Correlation with Benchmarks 90 Last 12 months MSCI World 71.5% 85 CS Global Govt Bond Index -40.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 42.9%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.5% -0.1% 1.4% 1.0% 3.2% 2.1% -0.6% -3.0% 2.2% 1.9% -4.0% 0.9% 2008 -2.9% -1.2% -6.2% 5.1% 1.8% -1.7% 2.4% 0.0% -6.4% -9.2% -0.6% -0.5% 2009 0.8% 2.3% 2.5% 3.2% 2.2% 2.0% -0.4% -1.1% 2.1% 1.0% -2.3% 4.1% 2010 -1.3% -0.5% 2.1% 3.0% -2.6% -0.6% -0.2% -1.5% 2.3% -0.2% 1.0% 1.4% 2011 -2.3% 0.3% 1.9% 0.9% -0.7% -0.5% -1.3% -1.1% -4.0% 3.9% -1.2% 1.1% 2012 2.1% 2.4% -2.6% -0.5% -1.2% 1.5% 1.0% -1.0% -0.2% -0.1% 0.1% 1.8% 2013 0.8% 0.5% 0.9% 0.7% -3.1% -2.3% -1.5% -2.6% 1.8% 0.5% -0.3% -2.0% 2014 -1.3% 1.8% 3.1% 0.1% 0.7% 0.5% 0.6% 1.9% -2.4% 1.4% -0.2% -0.5% 2015 -2.5% 0.0% -1.3% -0.1% -0.6% -1.3% -2.5% -4.3% -2.4% 3.5% 2.1% -2.7% 2016 -1.1% -0.5% 2.3% 0.5% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The FX Metrics Carry index edged up 0.5% for the month of April 2016. The short JPY position lost the most during this month at -0.81%. Rate policy by the Bank of Japan surprised market participants to the upside. Combined with some flight to safety and a Fed remaining on the dovish side, JPY demand has remained strong relative to the Dollar. The biggest gainers were the long positions in BRL and ZAR (up 0.6% and 0.73% respectively). The Real has been hitting recent month highs against the Dollar, and is potentially benefitting from optimism among investors who think a regime change in Brazil will lift the sagging economy.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.

Systematic Alpha Monthly 29 11 May 2016

FX Metrics Momentum Asset Class: Currencies BBG Ticker: FXMXMEUS

Strategy Overview

The Credit Suisse FX Metrics Momentum: Foreign Currency Strategy systematically trades FX carry in 18 currencies with one-month Cash Settled Forwards. It invests in currencies in an upward trend (against the USD) and selling those in a downward trend (against the USD).

Cumulative Index Performance Performance Summary Live date: March 2010 130 Last April 2016 YTD Since Live 12-Mo. 120 Return 1.13% -2.80% 4.27% 0.30% Volatility 7.61% 6.20% Sharpe Ratio 0.56 0.05 110 Drawdown 6.75% 18.49% Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -44.9% 90 CS Global Govt Bond Index -41.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -30.0%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -1.3% 0.2% 0.9% 1.7% -0.2% 0.3% -0.5% -1.8% 4.7% 2.6% -0.8% -0.2% 2008 0.5% 2.5% 1.0% -0.2% 1.3% 0.9% 0.3% -4.3% 1.0% 7.9% 2.6% -3.4% 2009 6.6% 0.9% -4.8% -3.4% -2.6% 1.3% -0.5% 0.4% 2.3% -0.3% 1.5% -1.6% 2010 -1.7% 0.1% 0.5% 0.6% -2.8% 0.6% -2.0% 0.4% 1.7% 0.4% -3.9% 3.9% 2011 0.5% 1.3% 1.2% 4.2% -1.9% 0.2% 1.3% -1.2% -5.1% -0.8% 1.7% 0.0% 2012 -2.9% -0.8% -1.0% -1.0% 3.7% -3.2% 0.9% -1.4% -1.3% 0.0% -0.1% 0.0% 2013 1.1% -1.6% -0.1% -0.5% -0.8% -0.5% -0.8% 0.3% -0.4% -1.0% -0.5% 1.3% 2014 0.1% -0.4% -1.2% -0.6% -0.2% -0.6% -0.3% 0.4% 1.2% 0.7% 1.1% 3.3% 2015 3.0% -0.1% 2.1% -3.3% 1.5% -0.4% 1.9% 1.6% 1.1% -1.4% 2.1% -0.3%

2016 1.2% -0.8% -4.3% 1.1% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The FX Metrics Momentum index gained 1.13% during April 2016. As the Dollar has generally weakened across the G17 currencies, the medium-term momentum signal has begun to turn positive for numerous currencies (as opposed to all short earlier in the year). The long JPY position was the biggest winner, gaining 0.28%, as demand for the Yen continues to remain strong in 2016. Other notable gainers were long positions in NZD, CZK, PLN and EUR, all rising about 0.17% each. NOK was the largest loser at -0.16%. The momentum indicator still signals short NOK, but the commodity currency has performed well as expected against the Dollar as oil prices have appeared to stabilize from Q1 2016 lows.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.

Systematic Alpha Monthly 30 11 May 2016

FX Metrics Value Asset Class: Currencies BBG Ticker: FXMXVEUS

Strategy Overview

The Credit Suisse FX Metrics Value: systematically trades FX carry in 18 currencies with one- month Cash Settled Forwards. It exploits currencies' mean-reversion towards equilibrium levels based on the CS Fair Value Model. The Strategy buys the cheapest currencies and sells the most expensive ones on an equally-weighted basis.

Cumulative Index Performance Performance Summary Live date: March 2010 125 Last April 2016 YTD Since Live 120 12-Mo. Return 2.18% 6.24% 7.28% 0.66% 115 Volatility 6.66% 4.97% 110 Sharpe Ratio 1.10 0.13 Drawdown 4.50% 9.77% 105

100 Weekly Correlation with Benchmarks Last 12 months 95 MSCI World 64.5% 90 CS Global Govt Bond Index -9.0% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 53.6%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.9% 0.1% 0.2% -0.3% 2.1% 0.7% 0.3% 0.2% -1.3% -0.7% 0.9% -0.6% 2008 -1.0% -3.6% -2.1% 2.1% 0.2% -1.6% 2.7% 4.1% 0.9% 2.6% 1.6% -3.8% 2009 5.3% 1.6% 3.8% 2.0% -2.1% 0.5% -0.2% -0.2% -2.3% 0.6% 1.5% -0.2% 2010 1.8% -0.5% -1.1% -1.5% 1.5% -0.3% 0.2% -0.1% 0.0% 0.1% -1.1% -2.3% 2011 2.1% 1.0% -0.5% -1.1% -0.7% -1.5% -3.0% -0.5% 2.5% -2.4% 1.5% 0.3% 2012 -0.1% 1.0% 1.1% 1.0% -0.5% 0.8% 0.2% 1.2% 2.1% -1.1% 0.0% -0.4% 2013 -2.1% -0.3% -1.9% 0.1% 1.9% 2.7% 0.8% 0.2% -2.9% 0.1% 1.0% -0.5% 2014 -0.8% -0.5% -0.2% 0.2% 0.6% -2.4% -0.1% -0.1% 0.6% -0.5% 0.2% -0.8% 2015 0.7% 0.7% 0.5% -0.2% 1.0% 0.4% -0.4% -1.0% -1.3% 1.9% 0.7% -0.3% 2016 0.9% 0.9% 2.1% 2.2% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The FX Metrics Value index jumped 2.18% for the month of April. ZAR continues to be undervalued relative to other G18 currencies by the fair value model. As the Fed continues to very slowly raise rates, commodities (particularly precious metals) have climbed in 2016 boosting the Rand. The long position gained 0.73%. Another undervalued commodity currency, the Norwegian Krona, rose 0.45% as oil has rebounded from 2016 lows. JPY was again a big mover, with the model signaling the currency as undervalued. The Yen gained 0.81%. The only currency with any significant loss during April was an overvalued HUF, dropping 0.25%.

For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.

Systematic Alpha Monthly 31 11 May 2016

Dynamic Multi Asset Allocation RAII HOLT®: Risk Appetite Investible Index Powered by HOLT® Asset Class: Hybrid BBG Ticker: RAIIHUST

Strategy Overview The Credit Suisse Risk Appetite Investable Indices offer investors a rules-based asset allocation between equities and bonds. The core concept is to use a highly disciplined rule system to reduce risk (decrease equities) when investors are unusually optimistic, and to add risk when investors are unusually pessimistic, as measured by extremes in the Credit Suisse Global Risk Appetite Index (“CS GRAI”). RAII Powered by HOLT® Total Return consists of: (1) the Credit Suisse HOLT® Long Index Total Return (HSGMNLTR); and (2) a bond portfolio tracking the Citigroup World Government Bond Index. Cumulative Index Performance Performance Summary Live date: April 2010 240 Last April 2016 YTD Since Live 220 12-Mo. 200 Return 2.06% 0.40% -10.09% 6.81% 180 Volatility 12.78% 13.58% Sharpe Ratio -0.82 0.48 160 Drawdown 20.85% 25.63% 140 120 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World 79.2% 80 -16.9% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 CS Global Govt Bond Index

S&P GSCI 40.6%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016 Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.8% 1.1% 1.9% 5.3% 2.7% -1.7% -1.4% -3.8% 2.6% 3.0% 0.9% -0.6% 2008 4.2% -1.1% 1.1% 4.6% 3.2% -8.0% -1.3% -2.1% -1.5% -4.8% -4.1% 4.3% 2009 -8.2% -8.1% 5.3% 9.7% 13.8% -1.2% 7.9% 4.7% 2.4% -2.5% 4.4% 0.9% 2010 -3.0% 0.3% 5.0% -0.4% -7.5% 0.4% 5.5% -0.3% 5.9% 4.4% -2.0% 7.1% 2011 2.5% 3.5% -1.8% 3.3% -1.9% 0.1% 1.8% 4.0% -7.4% 6.9% -6.5% -2.5% 2012 4.2% 5.5% -0.9% -0.3% -9.6% 1.2% 0.7% 1.1% 3.8% 0.8% 0.9% 3.2% 2013 5.8% -0.9% 1.8% 4.2% 0.8% -4.2% 5.7% -2.2% 5.4% 2.9% 1.5% 1.5% 2014 -2.3% 5.8% 0.2% 0.2% 1.0% 0.6% -2.8% -2.0% -3.4% -0.4% -0.6% -3.3% 2015 -0.7% 3.9% -1.1% 2.2% 2.2% -2.2% 0.5% -9.9% -1.4% 3.9% -1.0% 0.2% 2016 -3.7% -4.1% 6.5% 2.1% Source: Credit Suisse; Data as of 04/29/2016 April 2016 Performance Commentary The strategy remained 100% invested in equities throughout April, which had a neutral effect as bonds and equities both had relatively flat performance for the month. The RAII HOLT Total Return Index’s strategy of increasing equity exposure gradually to 100% following the strategy’s GRAI Panic signal, is thus far proving to be effective. The four main allocation model signals are arranged as follows: Global Risk Appetite: the Global Risk Appetite Index started the month at - 0.72 and deteriorated to -1.31 by month end and hence the contrarian component is not active; Stop Losses: Currently active, should equity markets fall significantly from here, the stop will move the allocation towards 50/50; Equity Valuation: The equity valuation metric remains comfortably below long term extremes, hence the valuation component of the allocation model is not currently relevant; Trend Following: the Trend signal is recovering from low levels, and if recent positive equity trends persist, could potentially turn positive in the near future. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 32 11 May 2016

RAII HOLT® Relative Value Asset Class: Hybrid BBG Ticker: RAIIHRVU

Strategy Overview RAII Powered by HOLT® Relative Value consists of a long component and a short component. The long component comprises (1) the Credit Suisse HOLT® Long Index Total Return (HSGMNLTR) and (2) a bond portfolio tracking the Citigroup World Government Bond Index. The short component consists of a static portfolio of 50% MSCI World Index and 50% cash. The index can have an equity exposure of - 50% to +50% and has a volatility control mechanism that maintains volatility at or below 10%.

Cumulative Index Performance Performance Summary Live date: April 2011 180 Last April 2016 YTD Since Live 12-Mo. 160 Return 1.06% -0.09% -7.79% 0.80% Volatility 7.94% 7.96% 140 Sharpe Ratio -1.03 0.07 Drawdown 13.23% 20.81% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 33.3% 80 CS Global Govt Bond Index -3.2% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 11.3%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.0% 1.1% 0.8% 2.9% 1.1% -1.5% -0.5% -4.0% 0.1% 1.3% 2.9% -0.3% 2008 6.5% -0.7% 1.2% 1.8% 2.3% -4.2% -0.3% -1.5% 2.9% 2.8% -0.4% 1.2% 2009 -1.9% -2.3% 1.8% 3.4% 6.4% -0.7% 3.0% 2.5% 0.4% -1.6% 2.3% 0.0% 2010 -0.9% -0.3% 1.9% -0.4% -2.8% 2.1% 1.6% 1.5% 1.2% 2.6% -1.0% 3.6% 2011 1.2% 1.7% -1.3% 1.3% -1.0% 0.8% 2.7% 7.6% -2.4% 1.7% -3.5% -1.6% 2012 1.3% 2.2% -1.2% 0.1% -5.3% -1.3% 0.1% -0.1% 2.4% 1.1% 0.3% 2.7% 2013 2.8% -1.0% 0.7% 2.6% 0.8% -3.0% 3.0% -1.1% 2.9% 1.0% 0.6% 0.6% 2014 -0.5% 3.2% 0.1% -0.3% 0.0% -0.3% -2.0% -3.1% -2.1% -0.8% -1.6% -2.8% 2015 0.5% 1.0% -0.4% 1.0% 2.0% -1.0% -0.3% -7.1% 0.9% 0.0% -0.8% 0.6% 2016 -0.3% -3.7% 3.0% 1.1% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The strategy remained 50% net invested in equities throughout April (100% in the long strategy), which had a neutral effect as bonds and equities both had relatively flat performance for the month. The RAII HOLT Relative Value Index’s strategy of increasing equity exposure gradually to 50% (100% in the long strategy) following the strategy’s GRAI Panic signal, is thus far proving to be effective. The four main allocation model signals are arranged as follows: Global Risk Appetite: the Global Risk Appetite Index started the month at -0.72 and deteriorated to -1.31 by month end and hence the contrarian component is not active; Stop Losses: Currently active, should equity markets fall significantly from here, the stop will move the net equity allocation towards 0% (50% equities / 50% bonds in the long strategy); Equity Valuation: The equity valuation metric remains comfortably below long-term extremes, hence the valuation component of the allocation model is not currently relevant; Trend Following: the Trend signal is recovering from low levels, and if recent positive equity trends persist, could potentially turn positive in the near future. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 33 11 May 2016

ARROW 6% Asset Class: Hybrid BBG Ticker: ARROWUT6

Strategy Overview

The Credit Suisse ARROW index is a simple, long only, research-based index that invests across various liquid asset classes: equities, bonds, commodities, and real estate. The index is rebalanced monthly to capture market trends and timing. Its transparent allocation mechanism consists of three layers that aim to maximize return for a given target volatility: (1) Trend-following signals, (2) Markowitz optimization, and (3) Volatility control mechanism.

Cumulative Index Performance Performance Summary Live date: November 2011 160 Last April 2016 YTD Since Live 12-Mo. Return 0.76% 4.87% -3.26% 1.09% 140 Volatility 4.99% 5.06% Sharpe Ratio -0.72 0.17 Drawdown 7.47% 11.91% 120 Weekly Correlation with Benchmarks Last 12 months MSCI World 5.4% 100 CS Global Govt Bond Index 69.3% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 6.3%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.6% 0.4% 0.8% 1.6% 0.3% -0.5% 1.8% -0.3% 4.0% 4.1% -0.7% 0.6% 2008 2.4% 2.4% -1.2% -1.5% 0.4% 0.5% -0.9% -1.4% -1.5% -3.2% 2.0% 3.3% 2009 -2.0% -0.5% 0.2% -0.1% 3.6% -0.1% 3.1% 1.5% 3.6% -0.1% 3.0% -2.4% 2010 -1.0% 0.0% 1.0% 1.3% -1.7% 2.2% -0.9% 1.7% 2.9% 1.9% -3.0% 1.2% 2011 -1.3% 1.4% 0.6% 2.0% -1.3% -1.3% 3.1% 4.4% -2.0% 0.4% -0.5% -0.7% 2012 2.4% 1.6% -0.9% 1.5% -2.4% 1.2% 2.0% 0.1% 1.2% -0.4% 0.5% 0.9% 2013 0.9% -0.3% 0.9% 3.1% -4.1% -3.5% 1.4% -1.3% 0.4% 1.1% -0.3% 0.5% 2014 -1.6% 2.0% -0.6% 1.4% 1.8% 1.0% -1.7% 1.3% -4.3% 2.1% 0.3% -0.4% 2015 2.1% -1.3% -0.3% 0.0% -1.0% -2.2% -0.8% -0.5% 0.1% -0.2% -1.8% -0.4% 2016 1.3% 1.7% 1.0% 0.8% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary

There was mostly positive performance across the range of assets within ARROW's universe in April. ARROW, which was in a Risk-On portfolio stance throughout the month, finished up with a positive performance of +0.8%. The majority of the strategy's positions contributed positively in April: emerging market bonds (+1.8%), gold (+1.9%), credit bonds (1.1%) and listed real estate (+0.4%). Conversely, US treasury bonds and world bonds posted negative performance (-0.2% and -0.1% respectively). ARROW's risk indicator remained in a Risk-On portfolio stance on the April roll date. The strategy marginally increased its exposure to emerging market bonds (from 35% to 40%) and to inflation linked bonds (from 0% to 5%). Allocation to US treasuries has been subsequently removed (from 10% to 0%). For more information regarding this index, please contact the Equities SIS Product Management team at list.sisproductmanagementemea@credit- suisse.com.

Systematic Alpha Monthly 34 11 May 2016

Multi-Asset Futures Strategy Asset Class: Hybrid BBG Ticker: CSMF1ER

Strategy Overview The Credit Suisse Multi-Asset Futures Strategy (CSMF1) is a long/short systematic investment strategy that dynamically adjusts its exposure to futures markets in commodities, equities, foreign exchange, and interest rates based on trend-following signals.

Cumulative Index Performance Performance Summary Live date: October 2011 200 Last April 2016 YTD Since Live 12-Mo. 180 Return -0.32% -1.03% 4.70% 2.07% 160 Volatility 12.62% 9.41% Sharpe Ratio 0.37 0.22 140 Drawdown 13.05% 16.34% 120 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World -63.2% 80 CS Global Govt Bond Index 25.9% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -76.4%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.3% 1.6% 2.9% 1.8% 1.9% -0.5% 0.4% 1.5% 2.6% 3.7% -1.9% 2.0% 2008 1.6% 5.9% -1.1% 0.2% 4.8% 4.1% -8.0% -0.3% 10.3% 15.3% 5.1% 0.0% 2009 3.6% 3.0% -7.4% -0.3% 0.0% 0.0% -0.2% 1.8% 0.4% -3.5% 3.3% -1.0% 2010 -3.6% 0.1% 1.9% 2.1% -9.2% -0.7% -0.8% 1.9% 1.2% 3.6% -2.3% 8.5% 2011 2.1% 4.6% -0.7% 5.0% -7.5% 0.3% 1.8% -1.8% 4.0% -4.2% 6.3% 2.0% 2012 -2.4% 0.3% 3.0% -1.2% -1.5% -4.2% -1.4% -1.0% -2.8% -2.7% -0.5% 0.2% 2013 1.1% -0.7% 1.6% 0.0% -0.4% 1.7% -0.7% -1.0% -0.7% 1.8% 1.4% 0.3% 2014 0.2% 0.8% -1.6% 1.8% -1.8% 0.6% 0.5% 0.8% 4.2% -0.5% 3.6% 3.2% 2015 -0.3% -2.9% 2.9% -5.7% 0.7% -1.7% 5.2% -0.6% 1.3% -2.8% 2.7% 1.5% 2016 4.6% 2.6% -7.4% -0.3% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Multi-Asset Futures Strategy ended the month -0.32% lower. Trend reversals in cotton and natural gas led to the short positions losing -1.06% and -0.95%, respectively. These losses were partially offset by the trend continuations in gold, Japanese Yen and silver with the long positions contributing +0.44%, +0.52% and +0.39% to the monthly performance of the strategy. For more information regarding this index, please contact: Mi-Sonn Kim ([email protected]) in Commodities Sales, or Victor Belyaev ([email protected]) in Commodities Structuring.

Systematic Alpha Monthly 35 11 May 2016

MASTRO Asset Class: Hybrid BBG Ticker: CSMST4E

Strategy Overview

The Credit Suisse MASTRO 4% EUR Index is an algorithmic index that offers exposure to indices across diversified asset classes, including Equity, FX, and Commodities. The index comprises three Credit Suisse absolute return sub-indices – Equity: HS Global Style Rotation Equity Hedged Index (HSGSREHE), FX: CS FX Factor Index (FXFTEREU), and Commodities: CS MOVERS Market Neutral Index (CSMVNEER) – and uses an intelligent weighting mechanism to optimize returns for the given 4% maximum volatility. Low correlation between the sub-indices enables the combined strategy to provide stable and attractive returns with low volatility across different macroeconomic environments.

Cumulative Index Performance Performance Summary Live date: August 2010 125 Last April 2016 YTD Since Live 12-Mo. 120 Return -0.49% 0.03% -1.20% -1.45% Volatility 7.81% 4.71% 115 Sharpe Ratio -0.15 -0.31 Drawdown 7.12% 15.75% 110 Weekly Correlation with Benchmarks 105 Last 12 months MSCI World -10.2% 100 CS Global Govt Bond Index -2.7% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -4.1%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.2% 0.7% 1.1% 0.9% 0.8% 1.1% 0.6% 0.8% 1.2% 0.8% 1.4% 1.4% 2008 -1.3% 1.5% -0.6% 0.3% 3.4% 0.4% -0.8% -0.9% -1.9% 0.7% 0.5% 0.2% 2009 2.2% 0.5% -0.2% 0.8% 1.0% 0.8% 0.3% 0.8% -1.4% -0.8% -0.1% 0.9% 2010 -0.5% -0.8% 1.0% -0.3% -0.1% 0.1% -2.1% 0.5% -0.4% 1.1% -0.5% 0.4% 2011 -0.7% 0.7% 1.1% 1.8% -2.0% 0.8% 0.0% -1.5% -2.2% -0.8% 1.1% -0.1% 2012 1.1% 1.1% -0.2% -0.4% -2.2% -0.5% 1.5% -1.3% -0.9% 0.1% -0.9% -0.2% 2013 0.4% -0.4% -0.2% -0.9% 0.7% 1.6% 0.7% 0.1% -0.1% 0.1% 0.5% 0.7% 2014 -0.2% -1.2% -0.5% 0.7% -0.2% -0.7% -1.1% 0.3% -0.4% -0.1% 0.3% 0.5% 2015 -1.6% -1.0% 0.2% -1.3% 0.8% -1.0% 0.0% -0.7% 0.1% -1.0% 0.1% 0.0% 2016 0.4% 0.8% -0.7% -0.5% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse MASTRO 4% EUR Index lost 0.5% in April. The HS Global Style Rotation Equity Hedged Index was down %. The CS FX Factor Index lost 0.1%. The CS MOVERS Market Neutral Index lost 0.44%.

For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 36 11 May 2016

Systematic Tactical Asset Allocation Asset Class: Hybrid BBG Ticker: STAAUE

Strategy Overview

The Systematic Tactical Asset Allocation (STAA) index is a long-only asset allocation strategy based on short-term momentum and long-term mean reversion. The index gains daily long exposure to global equities, government bonds, commodities and real estate when it detects a short-term upward trend and relies on long-term reversal patterns to implement caps and floors for each asset class.

Cumulative Index Performance Performance Summary Live date: October 2013 160 Last April 2016 YTD Since Live 150 12-Mo. Return 0.69% -0.11% -12.39% -1.05% 140 Volatility 6.13% 4.81% 130 Sharpe Ratio -2.02 -0.22 Drawdown 13.97% 14.93% 120

110 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World 68.9% 90 CS Global Govt Bond Index -3.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 61.8%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.3% -0.3% 0.2% 1.5% -0.1% -1.0% -0.2% -1.5% 2.0% 2.4% -0.3% 0.1% 2008 0.4% 2.8% 0.1% -1.1% 0.3% -2.1% -2.2% -1.4% -1.4% 0.0% 3.9% 2.5% 2009 -3.8% -2.2% 2.9% 3.0% 4.9% -1.5% 5.6% 3.1% 0.9% -0.3% 1.9% 1.0% 2010 -2.6% 1.2% 2.9% 1.0% -3.8% 0.5% 0.8% 0.4% 2.6% 1.3% -1.6% 2.5% 2011 1.5% 2.7% -0.6% 2.9% -1.9% -1.8% 1.6% -0.6% -0.3% -0.2% -0.1% 1.0% 2012 1.3% 2.1% -0.1% -0.4% -4.4% 1.4% 1.3% 0.0% 0.5% -0.5% 1.3% 1.1% 2013 1.8% 0.3% 1.7% 2.1% -1.4% -2.6% 2.2% -0.5% 1.7% 1.5% 0.1% -0.5% 2014 -0.5% 1.3% -0.3% 0.8% 1.2% 0.9% -0.7% 1.0% -1.4% 1.2% 1.3% 0.4% 2015 2.0% 0.7% 0.3% 0.1% -0.3% -2.0% -2.2% -2.7% -0.8% -0.1% -1.2% -1.0%

2016 -1.6% 0.5% 0.4% 0.7% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary

There was varied performance across the range of assets within CS STAA's universe in April. The strategy, which started the month with a significant allocation to bonds, finished the month with a positive performance of 0.7%. Most of the strategy's positions contributed positively in April, led by exposure to commodities (+9.8%), gold (+2.5%), US equity (+1.0%), emerging market equity (+0.9%), global real estate (+0.1%) and Japanese treasuries (+0.1%). The remainder of the positions exhibited negative performance: Euro treasuries (-0.6%) and US treasuries (-0.3%). The CS STAA Index increased its allocation to US equity (up 8.7% to 9.8%), global real estate (up 7.6% to 12.1%) and emerging market equity (up 5.1% to 5.1%) following improved trends. Consequently, the strategy has reduced its allocation to bonds (down 17.9% to 60.7%). Long-term mean reversion signals remained the same, with commodities deemed oversold and European treasuries deemed overbought. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 37 11 May 2016

TEMPO Asset Class: Hybrid BBG Ticker: CSEATMP6

Strategy Overview

The Credit Suisse Tactical Mean-Variance Portfolio Optimizer (TEMPO) Index seeks to apply modern portfolio theory in the form of Mean-Variance Optimization analysis to allocate a notional portfolio across various asset classes via long only exposure in ETFs. The strategy identifies the hypothetical portfolio that over a recent historical period would have resulted in the highest volatility adjusted return on daily basis. The Volatility Targeted Index attempts to control the volatility of the index to a predefined level.

Cumulative Index Performance Performance Summary Live date: February 2014 190 Last April 2016 YTD Since Live 12-Mo. 170 Return 0.16% 6.29% -9.16% 0.76% Volatility 7.75% 5.92% 150 Sharpe Ratio -1.18 0.13 Drawdown 14.09% 16.16% 130 Weekly Correlation with Benchmarks 110 Last 12 months MSCI World 10.2% 90 CS Global Govt Bond Index 45.7% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 6.0%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.3% 0.3% -0.9% -1.4% 0.2% 3.2% 6.0% 1.5% 2.3% 3.9% 0.5% -2.2% 2008 3.0% -0.3% -0.5% 0.3% 1.8% 0.3% -1.0% 0.6% -2.0% 8.8% 1.9% 3.3% 2009 0.1% -0.6% 1.5% -0.9% 1.1% -0.4% 1.0% -0.3% -0.4% -0.9% 2.5% -1.1% 2010 0.0% -0.4% 1.4% 2.2% 1.4% -0.2% 0.2% 1.1% 1.8% 1.6% -0.1% 1.5% 2011 0.4% 1.3% -1.6% 3.3% -1.2% -1.9% 1.0% 5.3% 0.4% 0.7% -1.1% 0.4% 2012 1.5% 0.0% -1.0% 0.3% 0.8% -1.5% 2.0% -0.6% 1.8% -0.7% -0.4% 0.4% 2013 0.1% 0.6% 1.2% 1.0% -2.5% 2.3% -0.5% -0.8% -4.4% 1.9% 0.1% 0.8% 2014 -0.3% 1.2% -1.2% -0.8% 1.5% -0.2% -1.0% 1.1% -0.1% 0.8% 0.9% -1.2% 2015 5.2% -1.1% -0.9% -0.4% -1.2% -2.1% -1.1% -5.2% -1.6% -0.6% -1.3% -1.8%

2016 1.7% 2.1% 2.3% 0.2% Source: Credit Suisse; Data as of 04/29/2016

EEM GLD HYG IYR LQD SHY SPY TIP USO UUP VIXY Monthly Performance Attribution 0.00% 0.00% 0.25% -0.24% 0.45% 0.00% -0.02% 0.06% 0.32% -0.53% 0.00%

Source: Credit Suisse

April 2016 Performance Commentary Tempo was up 0.2% in April. It was mainly led by LQD (Corporate Bond), USO (Oil) and HYG (High Yield Corporate bond) which had performance attributions of 0.5%, 0.3% and 0.3%, respectively. Tempo held a position of 20% in LQD all the month. The laggards of the month were UUP (US Dollar) and IYR (Real Estate) with performance attributions of -0.5% and -0.2% respectively.

For more information regarding this index, please contact US Equity Derivatives Structuring at [email protected].

Systematic Alpha Monthly 38 11 May 2016

Portfolio Hedging Equity Dynamic Tail Hedge SPX Index Asset Class: Equity BBG Ticker: CSEADTSP

Strategy Overview

The Credit Suisse Dynamic Tail Hedge SPX Index is a rule-based algorithm on the SPX Index that achieves long equity tail risk protection through exposure to three-month ratio put spreads (short 95% strike puts, long 80% strike puts), when indicators identify extreme negative market scenarios, and is allocated to cash during stable markets. If only one of its indicators identifies a negative market scenario, the strategy allocates 50% to cash and the other 50% to the hedging component. If none of its indicators identify market stress, the strategy is entirely allocated to cash. The index relies on two indicators – CDS spreads on US companies and the skew level of the S&P 500.

Cumulative Index Performance Performance Summary Live date: December 2011 160 Last April 2016 YTD Since Live 12-Mo. 140 Return -0.04% -3.30% -10.64% -6.23% Volatility 3.17% 2.30% Sharpe Ratio -3.46 -2.81 120 Drawdown 10.62% 24.26% Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 9.0% 80 CS Global Govt Bond Index -6.6% Jul-07 Jul-09 Jul-11 Jul-13 Jul-15 S&P GSCI -1.6%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.4% 0.3% -0.3% -3.3% -0.4% 2008 -1.5% -0.7% -1.7% -0.2% 0.1% 0.0% -2.3% -1.2% 2.5% 38.0% -3.5% -0.7% 2009 -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.1% -0.8% -0.1% 2010 -0.1% -0.6% -0.1% -0.1% 8.0% -2.3% -1.5% -0.1% -0.1% -0.1% -0.1% -0.1% 2011 -0.1% -0.3% -1.5% -0.1% -0.1% -0.1% -1.0% 17.9% -1.0% -0.8% -0.1% -0.1% 2012 -0.1% -0.1% -0.1% -0.1% -2.1% -1.4% -0.1% -0.1% -0.1% -0.1% -0.1% 0.0% 2013 -0.3% -0.1% -0.1% -1.1% -0.1% -1.6% -0.3% -0.1% -0.1% -0.7% -0.1% -0.1% 2014 -0.2% -1.0% -0.3% -0.1% -0.1% -0.1% -0.1% -0.8% -0.7% -2.0% -0.1% -0.7% 2015 -1.5% -0.2% -0.1% -0.1% -0.1% -0.2% -1.0% -1.0% -4.1% -0.6% -0.1% -0.4% 2016 -2.8% -0.3% -0.2% 0.0% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Equity Dynamic Tail Hedge on S&P 500 Index was flat in April (0.0%). Both CDS and Skew signals remained OFF for the entire month of April, implying a 0% index allocation throughout April.

For more information regarding this index, please contact the Equities SIS Product Management team at [email protected]

Systematic Alpha Monthly 39 11 May 2016

Cheapest Slide Index Asset Class: Equity BBG Ticker: CSEACHPS

Strategy Overview

The Credit Suisse Cheapest Slide index aims to gain long exposure to Euro Stoxx 50 implied volatility at the lowest possible cost of carry by entering into long forward-starting variance swaps and positioning at the most advantageous point on the term structure.

Cumulative Index Performance Performance Summary Live date: December 2011 280 Last April 2016 YTD Since Live 12-Mo. 240 Return -0.56% -3.86% -4.47% -11.66% Volatility 19.37% 10.78% 200 Sharpe Ratio -0.25 -1.10 Drawdown 19.14% 42.22% 160 Weekly Correlation with Benchmarks 120 Last 12 months MSCI World -71.4% 80 CS Global Govt Bond Index 23.0% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -25.0%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -1.2% 0.2% -1.1% -1.0% -0.6% 0.2% 2.1% 5.9% -6.1% -2.7% -0.9% -2.4% 2008 2.1% 0.1% -0.8% -3.8% 0.2% 0.3% -0.7% -0.2% 10.0% 117.9% 13.7% -4.9% 2009 0.7% -1.0% -0.7% -3.2% -0.6% -0.5% -0.6% -0.3% -0.5% 0.3% -0.7% -2.4% 2010 -1.7% -0.8% -1.4% 1.4% 8.3% -0.2% -2.0% 0.1% -1.1% -1.9% 1.7% -2.9% 2011 -0.9% -0.2% -0.9% -0.7% -0.7% -0.7% -0.9% 18.5% 8.8% -8.2% 0.8% -3.5% 2012 -2.5% -1.3% -0.9% 0.1% 1.5% -2.3% -0.2% -0.4% -1.2% -1.7% -1.9% -0.6% 2013 -2.9% 0.4% -0.5% -2.9% -2.4% -0.4% -2.8% 0.4% -2.4% -1.0% -1.0% -1.1% 2014 1.8% -2.4% -0.6% -2.4% -1.2% -1.0% -0.3% -1.9% -0.8% -2.8% -1.2% 1.6% 2015 -1.4% -2.6% 0.2% -0.5% -1.1% 10.2% -11.1% 3.7% 1.1% -3.3% -1.0% 0.6% 2016 6.3% -1.5% -7.6% -0.6% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse Cheapest Slide Index delivered a negative return of -0.6% in April whilst European equities recovered, with the EuroSTOXX50 Total Return Index delivering a positive return of +1.3%. On the March roll date (18 March 2016), the Index was long the July 2016 forward starting variance swap of two month maturity with volatility strike of 28.90%. This position delivered a negative return of -1.6% to the Index in April to the roll date. On the most recent roll date (15 April 2016), the Index maintained (and marginally downsized) the existing July 2016 forward starting variance swap of two month maturity with volatility strike of 28.90%. This position delivered a positive return of +1.0% to the Index in April from the roll date. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected].

Systematic Alpha Monthly 40 11 May 2016

Advanced Defensive Volatility Index Asset Class: Equity BBG Ticker: CSEAADVL

Strategy Overview

The Credit Suisse Advanced Defensive Volatility Index aims to gain long exposure to S&P 500 implied volatility based on the expected decay at the short and medium term of the VIX futures curve. The strategy enters into a long position in either the S&P 500 VIX Short-Term Futures Index or the S&P 500 VIX Medium-Term Futures and incorporates a loss-control mechanism.

Cumulative Index Performance Performance Summary Live date: September 2012 200 Last April 2016 YTD Since Live 12-Mo. 180 Return 0.20% -1.37% -7.39% -10.43% 160 Volatility 12.69% 9.23% Sharpe Ratio -0.58 -1.13 140 Drawdown 13.82% 35.79% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -68.4% 80 CS Global Govt Bond Index 7.7% Apr-08 Apr-10 Apr-12 Apr-14 Apr-16 S&P GSCI -31.0%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2008 0.1% 0.2% -2.2% 0.0% 6.6% 32.6% 4.7% 1.7% 2009 0.4% 2.6% -1.0% -0.4% -0.8% -0.2% 0.0% 0.1% -0.2% 0.1% -0.2% -0.4% 2010 -0.4% -0.4% -0.2% 0.4% 4.5% 1.0% -0.9% 0.4% -0.3% -0.7% 0.0% -0.6% 2011 -0.6% -0.5% -2.1% -0.4% -0.1% -0.8% -1.6% 18.7% 12.6% -5.6% 1.3% -0.4% 2012 -0.5% 0.1% -0.9% 0.0% 0.6% -0.6% -0.3% -0.1% -1.0% 0.1% -0.6% -0.2% 2013 -4.3% 0.3% -0.2% -0.6% 0.3% 0.3% -0.9% 0.3% -0.4% -4.5% -0.3% -2.7% 2014 1.8% -5.3% -0.5% -0.5% -0.2% -0.5% 0.2% -2.5% 0.4% -5.3% -0.1% -3.2% 2015 -0.5% -0.9% 0.1% -0.3% -0.3% 0.1% -1.3% 3.7% -0.3% -7.3% -0.4% -1.0% 2016 1.6% -2.3% -0.8% 0.2% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary Advanced DVOL was up 0.2% in April. The index had a positive return in April because it was long the short-term futures when volatility went up the start beginning of the month as Fed expressed concerns of the global growth. The VIX term structure stayed in contango for the entire month. For more information regarding this index, please contact US Equity Derivatives Structuring at [email protected].

Systematic Alpha Monthly 41 11 May 2016

Tail Risk Overlay Protection Strategy Asset Class: Interest Rates BBG Ticker: CSTSERUS

Strategy Overview

The Credit Suisse Tail risk Overlay Protection Strategy (CSTOPS) trades US and euro zone bond futures, with tenors ranging from three months to ten years when the model detects upward momentum in these futures. The strategy focuses on upward momentum in interest rate futures prices because the goal is to mitigate one-sided tail risk.

Cumulative Index Performance Performance Summary Live date: August 2011 220 Last April 2016 YTD Since Live 200 12-Mo. Return -0.45% 0.26% -0.97% 2.60% 180 Volatility 4.89% 5.19% 160 Sharpe Ratio -0.20 0.50 Drawdown 3.48% 6.33% 140

120 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World -20.5% 80 CS Global Govt Bond Index 41.5% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -27.7%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 -0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.9% 0.5% -0.8% 5.6% -2.7% 2008 9.0% 2.8% -2.3% -5.3% -0.1% 0.0% 0.0% 0.1% -1.8% 12.4% 10.4% 13.3% 2009 -0.9% 2.7% 2.4% -0.7% 1.6% -4.7% 1.9% 2.0% 2.4% 0.6% 3.8% -2.5% 2010 3.5% 3.0% 0.4% 0.9% 2.4% 1.6% 0.7% 3.0% -2.0% -0.3% -1.5% 0.1% 2011 -0.7% 0.3% -0.7% 0.6% 1.2% -1.2% 5.4% 6.0% 1.4% -1.7% 0.1% 1.2% 2012 0.9% -0.1% -1.2% 1.5% 1.9% -1.4% 4.1% -0.3% -0.3% -0.6% 0.1% -0.2% 2013 -2.0% 0.0% 0.0% 0.5% -1.8% -0.4% 0.0% 0.0% 0.1% 0.6% 0.4% -1.8% 2014 0.5% -0.2% -0.6% 0.6% 1.5% 0.1% -0.3% 1.6% 0.1% -0.6% 0.9% -0.2% 2015 2.1% -0.5% 0.3% -0.4% -0.2% -0.6% 0.2% 0.0% 1.0% 0.1% 0.2% -1.4% 2016 1.6% 0.9% -1.7% -0.4% Source: Credit Suisse; Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Tail Risk Protection Strategy (CSTOPS) had the return of -0.44 % during the fourth month in year 2016. The index value changes were caused by the decrease of underlying futures prices. German Treasury Futures, US 10yr Treasury Futures, 3rd and 4th Euro Dollar Futures and 2nd/3rd/4th Euribor Futures remained long position for the whole month. US 2yr Treasury Futures, 5yr Treasury Futures, 1st Euribor Futures and 1st and 2nd Euro Dollar Futures all kept risk-off during April since no long signals were triggered. There was no underlying signal change in the month.

For more information regarding this index, please contact the European Rates Structuring team at [email protected].

Systematic Alpha Monthly 42 11 May 2016

Liquid Alternative Beta Liquid Alternative Beta Asset Class: Hybrid BBG Ticker: CSLAB

Strategy Overview

The Credit Suisse Liquid Alternative Beta Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to approximate the aggregate returns of the universe of hedge fund managers as represented by the Credit Suisse Hedge Fund Index. The algorithm has been determined by an index committee, taking into consideration extensive quantitative research into alternative beta. It benefits from accurate daily valuations with objective and transparent rules-based construction.

Cumulative Index Performance Performance Summary Live date: December 2009 150 Last April 2016 YTD Since Live 140 12-Mo. Return 0.05% -0.07% -3.36% 3.44% 130 Volatility 4.87% 5.74% Sharpe Ratio -0.76 0.55 120 Drawdown 7.41% 10.40% 110 Weekly Correlation with Benchmarks Last 12 months 100 MSCI World 85.8% 90 CS Global Govt Bond Index -30.8% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 47.5%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.1% 1.2% 1.9% 2.5% 1.0% -0.2% -0.6% 0.4% 3.8% 3.0% -2.4% 0.3% 2008 -3.9% 2.6% 0.0% 2.0% 1.2% -1.1% -0.6% -0.9% -6.5% -7.6% -0.7% 3.5% 2009 1.2% -0.6% 2.2% 1.1% 2.1% 1.0% 2.0% 0.7% 1.7% -0.4% 0.6% 0.8% 2010 0.0% 0.8% 1.0% 1.1% -2.6% -0.4% 3.1% -1.1% 3.6% 1.1% -1.3% 2.8% 2011 0.2% 1.6% 1.3% 1.8% -0.9% -0.6% -0.9% -3.4% -3.6% 4.2% -0.4% 0.9% 2012 1.3% 1.7% -0.8% -0.3% -2.3% 1.4% 0.9% 0.5% 0.6% -0.6% -0.2% 1.1% 2013 1.1% -0.2% 1.2% 1.1% 0.0% -1.1% 1.7% -1.0% 1.4% 1.7% 0.8% 0.5% 2014 -0.9% 1.5% 0.3% 0.1% 0.6% 0.6% -1.3% 1.8% -0.9% 0.6% 1.4% -0.3% 2015 -0.3% 2.6% 0.3% -0.4% 0.8% -2.0% 1.4% -2.2% -1.4% 2.7% -0.6% -1.5% 2016 -1.4% 0.1% 1.2% 0.1%

Source: Credit Suisse; Bloomberg, Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse Liquid Alternative Beta Index was up 0.05% for the month of April, mainly due to its long high yield exposure, while long technology exposure took back some gains. Within Global Strategies, a long Put Write position was added and the long Currency Carry position slightly increased. Within Event Driven, the long CDX position was removed and long exposure to iBoxx High Yield and CS Merger Arbitrage decreased notably. Within Long/Short Equity, there was a sector rotation from Health Care to Financials. The short S&P 500 exposure was slightly decreased. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].

Systematic Alpha Monthly 43 11 May 2016

Long/Short Liquid Index Asset Class: Equities BBG Ticker: CSLABLS

Strategy Overview

The Credit Suisse Long/Short Liquid Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to track the performance of the Credit Suisse Long/Short Equity Hedge Fund Index by allocating weights to non-hedge fund, transparent market factors. The algorithm has been determined by an index committee, taking into consideration extensive quantitative research into systematic ways of achieving certain risk/return profiles by using alternative investing techniques. The index is calculated daily by the NYSE and benefits from objective and transparent rules-based construction.

Cumulative Index Performance Performance Summary Live date: April 2008 140 Last April 2016 YTD Since Live 12-Mo. Return -1.93% -4.94% 0.75% 3.80% 120 Volatility 6.06% 9.27% Sharpe Ratio 0.07 0.36 Drawdown 5.44% 24.85% 100 Weekly Correlation with Benchmarks Last 12 months MSCI World 63.1% 80 -32.6% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 CS Global Govt Bond Index S&P GSCI 2.9%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.5% 1.9% 2.4% 3.1% 1.3% 0.0% -0.4% 0.0% 4.8% 2.4% -1.7% -1.8% 2008 -7.8% 2.9% 0.0% 3.4% 0.5% -2.6% -0.3% -0.5% -7.1% -9.0% -0.2% 2.5% 2009 1.1% -1.1% 3.5% 0.8% 3.6% 0.0% 2.1% 1.6% 1.1% 0.2% -0.7% 1.2% 2010 -1.5% 1.0% 3.6% 1.4% -3.7% -1.9% 3.3% -2.1% 5.4% 2.4% -1.1% 2.5% 2011 0.7% 1.7% 1.2% 2.9% -0.9% -0.4% -1.7% -3.7% -4.4% 5.9% -0.5% 0.0% 2012 2.6% 2.3% -0.1% -1.1% -3.6% 1.3% 0.4% 2.0% 1.3% -2.0% -0.3% 1.4% 2013 -0.9% -1.0% 1.6% 2.4% 0.5% -1.5% 3.6% -1.1% 1.3% 2.2% 0.5% 0.2% 2014 -1.8% 1.5% 0.6% 0.7% 1.8% 0.9% -0.5% 2.3% -0.9% 2.0% 2.1% -0.5% 2015 -1.2% 2.5% 0.2% -0.5% 1.3% -1.3% 4.7% -1.3% -0.8% 3.6% 0.2% 0.1% 2016 -2.4% -0.8% 0.1% -1.9% Source: Credit Suisse; Bloomberg, Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse Long/Short Liquid Index was down 1.93% for the month of April, mainly due to long technology exposure and short US large-cap equity exposure. At the mid-month rebalance, there was a sector rotation from Health Care to Financials. The short S&P 500 exposure was slightly decreased. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].

Systematic Alpha Monthly 44 11 May 2016

Event-Driven Liquid Index Asset Class: Hybrid BBG Ticker: CSLABED

Strategy Overview

The Credit Suisse Event-Driven Liquid Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to approximate the aggregate returns of the universe of event-driven hedge fund managers. The algorithm has been determined by an index committee, taking into consideration quantitative research into alternative beta. The index benefits from daily valuations with objective and transparent rules-based construction.

Cumulative Index Performance Performance Summary Live date: December 2009 160 Last April 2016 YTD Since Live 12-Mo. 140 Return 1.63% 3.91% -7.14% 5.07% Volatility 8.40% 8.36% Sharpe Ratio -0.89 0.58 120 Drawdown 17.51% 17.51% Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 79.8% 80 CS Global Govt Bond Index -13.0% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 65.7%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 1.5% 1.0% 0.6% 1.4% 1.4% -1.3% -3.6% 1.6% 3.2% 2.9% -2.5% 2.8% 2008 -2.3% 1.6% -0.4% 1.9% 1.9% -1.2% -0.3% 0.3% -7.7% -8.5% -1.5% 3.3% 2009 0.9% -0.6% 1.8% 1.4% 0.6% 1.6% 2.2% 0.4% 2.1% -0.9% 1.1% 1.9% 2010 0.9% 0.5% 2.2% 0.9% -3.2% 0.4% 4.2% -1.8% 4.7% 2.2% -1.3% 3.5% 2011 1.2% 2.1% 1.0% 1.4% -0.4% -1.4% -1.1% -4.6% -5.1% 7.8% -1.6% 1.8% 2012 2.1% 2.2% -1.2% 0.7% -3.8% 4.8% 0.9% 1.4% 0.9% 0.9% 0.4% 1.5% 2013 1.6% 0.2% 1.6% 0.9% 0.2% -1.8% 2.6% -1.5% 2.6% 2.4% 0.8% 0.8% 2014 0.2% 2.3% 0.4% -0.2% -0.1% 0.6% -2.2% 1.2% -2.0% 0.3% 0.0% -1.2% 2015 -0.2% 4.2% -1.3% 1.4% 0.2% -2.2% -1.1% -2.9% -3.7% 4.8% -2.9% -3.1% 2016 -2.2% 0.3% 4.3% 1.6% Source: Credit Suisse; Bloomberg, Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Event Driven Liquid Index was up 1.63% for the month of April, mainly due to long high yield exposure, while the merger arbitrage position took back some gains. At the mid- month rebalance, the long CDX position was removed and long exposure to iBoxx High Yield and CS Merger Arbitrage decreased notably. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].

Systematic Alpha Monthly 45 11 May 2016

Merger Arbitrage Liquid Index Asset Class: Equities BBG Ticker: CSLABMA Strategy Overview The Credit Suisse Merger Arbitrage Liquid Index aims to gain broad exposure to the merger arbitrage strategy using a pre-defined quantitative methodology to gain exposure to a liquid, diversified, and broadly representative set of announced merger deals in accordance with index rules. The algorithm has been determined by an index committee, taking into consideration quantitative research into alternative beta. The index benefits from daily valuations with objective and transparent rules-based construction. Cumulative Index Performance Performance Summary Live date: December 2009 130 Last April 2016 YTD Since Live 12-Mo. Return -1.42% 0.74% 1.45% 1.91% 120 Volatility 4.03% 4.33% Sharpe Ratio 0.27 0.38 110 Drawdown 3.31% 8.94% Weekly Correlation with Benchmarks 100 Last 12 months MSCI World 36.5% 90 CS Global Govt Bond Index 11.7% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI 18.1%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 2.1% 0.8% 1.1% 1.2% 1.3% -0.3% -1.0% 1.3% 1.8% 1.8% -2.0% 0.0% 2008 -1.1% 1.2% 0.0% 1.6% 1.5% -0.8% 0.3% 0.3% -6.7% -5.1% 0.0% 1.3% 2009 -0.8% 0.5% 2.9% 0.0% 0.6% 0.6% 0.7% 0.5% 1.2% -1.1% 2.0% 0.0% 2010 1.2% 0.1% 0.9% 0.4% -0.8% 2.1% 1.9% -0.4% 2.0% 0.6% -2.4% 2.3% 2011 1.7% 0.7% 1.4% 1.2% 0.2% -0.7% -0.8% -0.8% -0.8% 1.5% 0.4% -0.8% 2012 0.5% 0.1% -0.3% -0.3% -1.7% -0.8% 0.5% -0.1% -0.9% -1.4% 0.9% 1.2% 2013 2.3% 0.0% 2.3% -0.5% 1.3% -0.9% 1.2% -0.1% 1.0% -0.4% 0.3% 0.1% 2014 -0.9% 1.3% -0.7% -0.7% -1.6% -0.1% 0.1% -1.6% -1.1% -1.7% 1.2% -0.4% 2015 -0.3% 1.0% -0.9% 1.8% -0.1% -0.2% -0.8% -0.4% -0.1% 1.6% -1.1% 1.4% 2016 0.4% 0.3% 1.5% -1.4% Source: Credit Suisse, Bloomberg; Data as of 04/29/2016 April 2016 Performance Commentary The Credit Suisse Merger Arbitrage Liquid Index was down 1.42 % for the month of April. The top positive deal contributor to the Credit Suisse Merger Arbitrage Liquid Index (the “Index”) in April was the Steinhoff International Holdings NV acquisition of Darty Plc, which added 0.33% to Index performance. It was announced on 04/27/2016 that the third offer by Steinhoff International Holdings NV of GBP 1.60 per share is final and will not be increased further. On 04/21/2016, Steinhoff increased its cash offering a second time to GBP 1.60 per share. Previously on 04/20/2016, Steinhoff increased its offer to GBP 1.38 per share. On 03/02/2016, Steinhoff International Holdings NV announced the acquisition of Darty Plc for GBP 810.19M. At the time of announcement, this is Steinhoff's second largest acquisition on record. The Pfizer Inc acquisition of Allergan PLC subtracted 1.10% from Index performance. On 04/06/2016, Pfizer Inc and Allergan PLC terminated their merger agreement by mutual agreement due to the "Adverse Tax Law Change" clause, with Pfizer reimbursing Allergan for USD 150.00M of expenses. The transaction was announced on 11/23/2015, structured as a reverse takeover under which the combined entity, Pfizer PLC, would have been domiciled in Ireland. This followed news on 11/19/2015 that Pfizer Inc was in talks to buy Allergan for as much as USD 380.00 per share, above Allergan's expected offer of $350 per share at the end of October. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].

Systematic Alpha Monthly 46 11 May 2016

Managed Futures Liquid Index Asset Class: Hybrid BBG Ticker: CSLABMF

Strategy Overview

The Credit Suisse Managed Futures Liquid Index is a long/short momentum strategy that trades futures across asset classes based on short- and long-term moving averages while targeting 10% portfolio volatility. The strategy focuses on four asset classes (equities, fixed income, commodities, and currencies) frequently traded by managed futures funds. Cumulative Index Performance Performance Summary Live date: January 2011 180 Last April 2016 YTD Since Live 12-Mo. 160 Return 0.57% 5.40% 1.98% 3.89% Volatility 10.84% 9.94% 140 Sharpe Ratio 0.15 0.37 Drawdown 6.33% 16.83% 120 Weekly Correlation with Benchmarks 100 Last 12 months MSCI World -57.8% 80 CS Global Govt Bond Index 19.8% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 S&P GSCI -53.3%

Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.5% -0.7% -0.4% 5.0% 2.4% 2.1% -4.1% -2.9% 5.0% 4.7% -2.0% 0.1% 2008 5.8% 6.9% -1.1% -5.0% 0.2% 2.6% -4.2% 0.7% 3.3% 8.0% 3.5% 1.2% 2009 -0.1% 0.6% -1.1% -1.7% 1.6% -2.6% 1.2% 0.2% 2.1% -1.3% 4.4% -2.1% 2010 -3.9% 0.7% 2.2% 0.3% 1.2% 0.5% -2.4% 2.9% 0.9% 3.5% -4.6% 4.1% 2011 0.2% 1.0% -3.6% 3.0% -3.5% -3.1% 3.1% 0.1% 2.0% -4.2% 0.4% 0.1% 2012 -0.3% 0.9% -1.4% -1.2% 2.5% -5.6% 1.4% -1.5% -1.3% -2.4% -0.7% 1.6% 2013 2.2% 0.1% 1.5% 2.0% -0.4% 0.7% -1.2% -0.8% -0.3% -0.5% 3.1% 1.0% 2014 -3.4% -0.4% -1.2% 0.2% 0.5% 0.0% 0.2% 3.2% 4.3% 1.1% 7.2% 3.5% 2015 8.2% -1.3% 4.3% -4.0% 0.8% -4.5% 2.6% -1.7% 2.3% -3.9% 2.1% -0.7% 2016 3.3% 3.0% -1.5% 0.6% Source: Credit Suisse; Bloomberg, Data as of 04/29/2016

April 2016 Performance Commentary The Credit Suisse Managed Futures Liquid Index was up 0.57% for the month of April. FX was the strongest performing sector for the month as the US Dollar continued to decline against other developed market currencies following reports of weak economic growth in Q1. Long Japanese Yen was the best performing FX position in the Index as the Japanese Yen posted its largest daily gain against the USD in more than seven years. Commodities contributed positively to portfolio performance in April, driven largely by gains in Precious Metals. The Index had switched from bearish to bullish Precious Metals in February after heightened global macro risk resulted in a flight to safety. Though long bond positions subtracted from Index performance in April, Fixed Income remains the strongest performing sector within the Index year-to-date. Long UK fixed income positions were the most significant detractor from performance as Brexit concerns continued to negatively impact demand for UK debt. Following a volatile month of trading across global markets, equities subtracted from overall performance, mainly due to short European equity exposure. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].

Systematic Alpha Monthly 47 11 May 2016

Global Strategies Liquid Index Asset Class: Hybrid BBG Ticker: CSLABGS

Strategy Overview

The Credit Suisse Global Strategies Liquid Index reflects the return of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to approximate the aggregate returns of those hedge funds which are not classified as Long/Short Equity or Event Driven.

Cumulative Index Performance Performance Summary Live date: January 2011 140 Last April 2016 YTD Since Live 12-Mo. Return -0.08% -0.33% -2.37% 1.35% 120 Volatility 4.25% 4.71% Sharpe Ratio -0.64 0.23 Drawdown 4.83% 8.70%

100 Weekly Correlation with Benchmarks Last 12 months MSCI World 67.4% -41.3% 80 CS Global Govt Bond Index S&P GSCI 22.1% Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Source: Credit Suisse; Data as of 04/29/2016 Source: Credit Suisse; Data as of 04/29/2016

Monthly Return Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2007 0.9% 0.4% 1.1% 1.9% 0.9% 0.5% -0.5% -1.4% 2.7% 2.4% -1.3% 0.8% 2008 -4.3% 2.6% 0.1% 1.7% 1.9% -1.0% -0.9% -2.8% -8.0% -7.3% -0.7% 2.7% 2009 -1.4% -1.1% 3.2% 1.0% 1.9% 1.8% 2.9% 1.7% 2.3% -0.4% 1.2% 1.3% 2010 -0.8% 0.7% 2.8% 1.1% -5.2% -0.6% 2.1% -1.7% 5.2% 2.8% -0.9% 3.4% 2011 0.6% 1.9% -0.3% 1.9% -1.1% -0.3% -0.6% -2.7% -2.8% 2.2% 0.1% 0.9% 2012 0.6% 1.4% -0.9% -0.4% -1.4% 0.1% 1.0% -0.2% 0.2% -0.9% -0.5% 0.9% 2013 1.4% -0.1% 1.0% 0.9% -0.2% -0.7% 0.8% -0.8% 0.9% 1.2% 0.8% 0.4% 2014 -1.2% 1.2% 0.2% 0.1% 0.6% 0.5% -1.1% 2.0% -0.4% 0.3% 1.8% 0.2% 2015 -0.1% 2.0% 1.0% -1.1% 1.0% -2.2% 1.7% -2.2% -0.5% 1.4% 0.2% -1.1% 2016 -0.7% 0.3% 0.1% -0.1% Source: Credit Suisse; Bloomberg, Data as of 04/29/2016

April 2016 Performance Commentary

The Credit Suisse Global Strategies Liquid Index was down 0.08% for the month of April, mainly due to long technology and currency carry exposure. At the mid-month rebalance, a long Put Write position was added and the long Currency Carry position slightly increased. For more information regarding this index, please contact the Equities SIS Product Management team at [email protected] or [email protected].

Systematic Alpha Monthly 48 11 May 2016

GLOBAL FIXED INCOME AND ECONOMIC RESEARCH

Ric Deverell Global Head of Fixed Income and Economic Research +1 212 538 8964 [email protected]

INDEX & ALPHA STRATEGIES

Baldwin Smith Group Head +1 212 325 5524 [email protected]

NEW YORK

Antony Arenas Peter Han Haresh Hingorani +1 212 325 1112 +1 212 325 5754 +1 212 325 9019 [email protected] [email protected] [email protected]

Young Kim Sherry Li Shonan Noronha +1 212 538 3766 +1 212 538 2585 +1 212 325 0918 [email protected] [email protected] [email protected]

Samarth Sanghavi Yongchu Song, Ph.D Steven Tang, Ph.D +1 212 538 4341 +1 212 538 7013 +1 212 538 0339 [email protected] [email protected] [email protected]

Olivia Zhong +1 212 538 4328 [email protected]

LONDON

Varin Wimalasena Daniela Toro Gassane Bentahar +44 20 7883 8369 +44 20 7883 3875 +44 20 7888 3196 [email protected] [email protected] [email protected]

SINGAPORE

Yoon May Choong Dian Hong Chua +65 6212 4346 +65 6306 0182 [email protected] [email protected]

Systematic Alpha Monthly 49 11 May 2016 Disclosure Appendix Analyst Certification The analysts identified in this report each certify, with respect to the companies or securities that the individual analyzes, that (1) the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report. Important Disclosures Credit Suisse's policy is only to publish investment research that is impartial, independent, clear, fair and not misleading. For more detail, please refer to Credit Suisse's Policies for Managing Conflicts of Interest in connection with Investment Research: http://www.csfb.com/research-and- analytics/disclaimer/managing_conflicts_disclaimer.html . 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Systematic Alpha Monthly 51 11 May 2016

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