Information on the Calculation of Gains and Losses on Liabilities Measured at Fair Value From Movements in Credit Spreads

Credit Suisse revenues in 2Q13 are impacted by changes in credit spreads on fair-valued Credit Suisse long-term vanilla debt and DVA relating to certain structured notes liabilities carried at fair value.

We set out below a summary of the average credit spread movement in 2Q13 for structured notes, senior debt and subordinated debt and an approximation of the associated gain/(loss) per 1 basis point increase/(decrease) in average credit spread movements.