Credit Suisse Investment Banking Pitch Book

CREDIT SUISSE DOES NOT PROVIDE ANY TAX ADVICE | MATERIALS ARE PRELIMINARY AND SUBJECT TO FURTHER CHANGE AND DEVELOPMENTS (WHICH MAY BE MATERIAL) Hypothetical impact of selected provisions in proposed tax legislation Illustrative Osprey standalone financial summary sensitivity (excl. transaction) ($ in millions) Earnings before tax Osprey management September 2017 forecast Implied pro forma forecast Variance-$/% Net income Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $ / % Book value Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $/% After-tax ROAE Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance-bps Distributed cash flow (2) Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - $ / % Dividend payout ratio Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance- pts Warrants outstanding (mm) Osprey management September 2017 forecast Implied pro forma forecast (¹) Variance - #/% Source: Osprey management. Note: Credit Suisse does not provide any tax advice. (2) (3) 2018E $49 49 $29 24 ($5) / (18%) $630 625 ($5) / (1%) (82)bps Includes impact of selected provisions in proposed tax legislation outlined on prior slide. Includes share repurchases and ordinary dividends. Includes $50 million of share repurchases. Fiscal year ending 12/31 2019E 4.5% 3.7% $53 (3) 53 11.0% 13.5% 3pts 12.161 12.161 $53 53 $31 37 $6/19% $661 659 ($2) / (0%) 4.8% 5.7% 93bps $3 6 $3/97% 9.6% 16.0% 6pts 12.239 12.316 0.077/1% 2020E $69 69 $41 48 $8/19% $702 703 $1/0% 6.0% 7.1% 112bps $3 7 $4/ 126% 7.4% 14.1% 7pts 12.319 12.500 0.181/ 1% Selected commentary ■ Incremental potential dilution (increase in warrants outstanding) resulting from incremental dividend distributions - Based on indenture for Franklin Square Investment Corporation ("FSIC") warrants outstanding Confidential 3 O Credit Suisse Group AG and/or its affiliates. All rights reserved.

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