MEXCO. Credit Suisse Mexico Credit Opportunities Trust September MEXCO Investment Objectives & Strategy. Overview. Investment Performance

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1 MEXCO z This document is for information purposes only. The information contained herein is public, comes from public sources or is informative in nature. All material information in connection with the Certificates and the Trust has been disclosed through the Mexican Stock Exchange and is available at You should carefully read the IMPORTANT INFORMATION section below. Capitalized terms not otherwise defined herein have the meaning set forth in the final prospectus dated October 31, 2012 available at related to the offering of the certificados bursátiles fiduciarios known as certificados de capital de desarrollo with the ticker CSCK 12. MEXCO Investment Objectives & Strategy The primary investment objective of the Credit Suisse Mexico Credit Opportunities Trust (the Trust or MEXCO ) is to invest in a portfolio of debt-type assets or financings granted to persons incorporated or domiciled in Mexico, or in respect of which the proceeds thereof are primarily used to finance activities in Mexico. The Trust targets investments predominantly by way of private transactions, with broad parameters as to industries, cash flows and level in the capital structure. The Trust seeks to construct and maintain a diversified portfolio with respect to credit, market and structural risks, while also providing a balanced mix of revenues from coupon accrual, capital appreciation and equity or credit / upside participations. Our investment strategy is primarily focused on investment opportunities such as: i) Credit Investments, ii) Special Situations, iii) Third Party Originated Retail Loan Portfolios, iv) Secondary Market Transactions, v) Subordinated/Mezzanine/ Hybrid/ Convertible and vi) Non-Performing Loan Portfolios. Overview Since the issuance of the Certificates on November 5 th, 2012 the management team has been focusing all of its efforts on: a) Building up the potential credit investment pipeline, b) Analyzing over 168 different credit investment opportunities that have been brought by various originating parties, including Credit Suisse and c) Investing in credit opportunities that have met the criteria of the Trust s risk return profile and objectives. Investment Performance Credit Suisse Mexico Credit Opportunities Trust September 2014 Total invested amount equivalent to USD$ MM, representing 71.50% of AUM (net issuance proceeds): USD denominated investments of USD$ MM representing 43.86% of AUM MXN denominated investments of MXN$1, MM representing 27.64% of AUM Investment Portfolio by Ccy Gross Performance Analysis MEXCO USD Port MXN Port XIRR 9.04% 18.33% CKD Price (monthly return) 1.34% LACI - All Region All rating B bucket BB bucket ITD IRR 2.94% -0.47% 5.44% Annualized IRR 1.64% -0.26% 3.01% Non Invested AUMs 28.50% USD 43.86% LACI - Mexico All rating B bucket BB bucket ITD IRR 2.49% 8.75% -6.55% Annualized IRR 1.39% 4.81% -3.73% MXN 27.64% 12% USD Portfolio IRR 80% MXN Portfolio IRR* 10% 70% 8% 6% 60% 50% 40% 4% 30% 2% 0% Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 XIRR 20% 10% 0% Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 XIRR Jul-14 Aug-14 Sep-14 *Note: Initial returns are higher than expected due to non-recurring cash flows 1

2 Price changes to individual investments were as follows: USD INVESTMENTS MXN INVESTMENTS Clean Price 30-Sep Aug-14 Clean Price 30-Sep Aug-14 Transportation Loan (OpCo level) NPLs Transportation Loan (HoldCo level) Restructured mortgage portfolio Oil & Gas Loan Financial services loan Media Loan Construction Loan Retail & Consumer Loan Real Estate Loan Retail & Consumer loan's warrants NPLs Oil & Gas Loan NPLs Distressed Bond Distressed Bond Distressed Bond Senior Secured Bond Senior Secured Bond Senior Unsecured Bond Investment Activity During December 2012 MEXCO purchased a Credit Investment for USD$20.0MM at the Operating Company (OpCo) level and USD$7.0MM at the Holding Company (HoldCo) level in a private company dedicated to the employee and school transportation business in Mexico. During December 2012 MEXCO also purchased a Credit Investment for USD$20.0MM in a public company dedicated to the construction business in Mexico. During April 2013 MEXCO purchased a Credit Investment for USD$21.0MM in a company that provides services primarily to oil & gas industry. All of the above investments were originated by a related party to the manager i.e. Banco Credit Suisse (México) S.A., and thus, according to the Trust Agreement, were approved by the independent members of our Technical Committee. The decision of the independent members of our Technical Committee was unanimous. During June 2013 MEXCO purchased a Credit Investment for USD$20.0MM in a Retail and Consumer company. During June 2013 MEXCO purchased USD$20.4MM face value of distressed bonds at a significant discount. During June 2013 MEXCO purchased USD$10.0MMface value of high yield bonds. During July 2013 MEXCO purchased USD$5.7MM face value of distressed bonds at a significant discount. During July 2013 MEXCO purchased USD $1.0MM face value of high yield bonds. During August 2013 MEXCO purchased three portfolios of Non-Performing Loans, investing a total amount of MXN $258k. During September 2013 MEXCO purchased USD $40.0MM face value of senior secured bonds. During September 2013 MEXCO purchased USD $290k face value of senior secured bonds. During October 2013 MEXCO purchased USD $1.8MM face value of senior secured bonds. During October 2013 MEXCO purchased USD $5.0MM face value of senior unsecured bonds. During October 2013 MEXCO purchased a Loan Portfolio (restructured mortgages) for MXN$43.3MM During November 2013 MEXCO purchased USD $2.0MM face value of senior secured bonds. During November MEXCO purchased a Credit Investment for USD$25.0MM in a company that provides services primarily to oil & gas industry. During November MEXCO purchased a Credit Investment for MXN$100.0MM in a Financial Services company. 2

3 During December 2013 MEXCO purchased USD $10.9MM face value of senior secured bonds. During December 2013 MEXCO purchased USD $20.0MM face value of high yield bonds. During December 2013 MEXCO purchased a Credit Investment for MXN$50.0MM in a Financial Service Company. During December 2013 MEXCO purchased three Non-performing Mortgage Loan Portfolios for MXN$445.5MM. During December 2013 MEXCO purchased a Credit Investment for USD$20.0MM in a Media Service company. This investment was originated by a related party to the manager i.e. Banco Credit Suisse (México) S.A., and thus, according to the Trust Agreement, was approved by the independent members of our Technical Committee. The decision of the independent members of our Technical Committee was unanimous. During February 2014 MEXCO purchased a Credit Investment for MXN$520.0MM in a company dedicated to the construction business in Mexico. During February 2014 MEXCO purchased a Credit Investment for MXN$50.0MM in a Financial Service Company. During March 2014 MEXCO purchased a Credit Investment for MXN$30.0MM in a Financial Service Company. During April 2014 MEXCO purchased a Credit Investment for MXN$41.0MM in a Financial Service Company. During May 2014 MEXCO purchased a Credit Investment for MXN$500.0MM in a Real Estate Company. During May 2014 MEXCO purchased a Credit Investment for MXN$30.0MM in a Financial Service Company. During May 2014 MEXCO purchased two Non-performing Loan Portfolios for MXN$42.5MM. During September 2014 MEXCO purchased a Credit Investment for USD$8.5MM at the Operating Company (OpCo) level in a private company dedicated to the employee and school transportation business in Mexico. During September 2014 MEXCO purchased USD $10.0MM face value of senior secured bonds. FX Transactions The December 2012 investments were done in US dollars for which the Trust entered into an FX transaction to purchase USD$46.90MM at MXN$ /USD. The April 2013 investment was done in US dollars for which the Trust entered into an FX transaction to purchase USD$20.13MM at MXN$ /USD; the rest was paid from the cash balance the Trust had in US dollars. The June 2013 credit investment was done in US dollars for which the Trust entered into an FX transaction to purchase USD$20.36MM at MXN$12.91/USD. The bonds purchases were done in US dollars for which the Trust entered into FX transactions to purchase a total of USD$71.80MM at an average FX rate of MXN$ /USD. The Trust entered into FX transactions to purchase a total of USD$15.25MM at an average FX rate of MXN$ /USD for the bonds traded in June The Trust entered into FX transactions to purchase a total of USD$2.85MM at an average FX rate of MXN$ /USD for the bonds traded in July The Trust entered into an FX transaction to purchase a total of USD$38.20MM at an average FX rate of MXN$ /USD for the bonds traded in September The Trust entered into an FX transaction to purchase a total of USD$4.30MM at an average FX rate of MXN$ /USD for the bonds traded in October The Trust entered into an FX transaction to purchase a total of USD$2.00MM at an average FX rate of MXN$ /USD for the bonds traded in November The Trust entered into an FX transaction to purchase a total of USD$9.20MM at an FX rate of MXN$ /USD for the bonds traded in December The November 2013 credit investment was done in US dollars for which the Trust entered into an FX transaction to purchase USD$25.00MM at MXN$ /USD. 3

4 The December 2013 credit investment was done in US dollars for which the Trust entered into an FX transaction to purchase USD$18.60MM at MXN$ /USD. The Trust entered into an FX transaction in September 2014 to purchase USD$6.74MM at MXN$ /USD. As of September 30 th 2014, the Trust has purchased a total of USD $209.53MM at an average FX rate of MXN$ /USD. Portfolio Overview We have invested a total of USD$ MM with a market value of USD$ MM (MXN$4, MM) as of September 30 th, 2014, representing 71.50% of the total Assets Under Management ( AuM, or net proceeds received of $6,689,197,842 pesos) and 63.61% of the total NAV, respectively. As we continue to find the best credit investment opportunities we are investing the remaining amount in overnight Repos with an average interest rate for the month of ~2.94%. Cash invested in CS originated deals represent 14.99% of AUM within our portfolio guideline of 35% Our investment in the Transportation Industry represents 5.16% of the total NAV* Our investment in Oil & Gas Industry represents 15.03% of the total NAV* Our investment in Retail & Consumer Industry represents 4.76% of the total NAV* Our investment in Homebuilders represents 0.81% of the total NAV* Our investment in Telecom represents 5.44% of the total NAV* Our investment in Media represents 3.59% of the total NAV* Our investment in Chemicals and Refining represents 3.95% of the total NAV* Our investment in Housing represents 6.75% of the total NAV* Our investment in the Financial Services Industry represents 4.10% of the total NAV* Our investment in the Construction industry represents 7.18% of the NAV* Our investment in the Real Estate industry represents 6.84% of the NAV* 38.13% of the NAV is in US dollars* 25.48% of the NAV is in MXN* Clean Dirty Market Value PIK Expected Mkt Value as Original Cost USD Investments Original Notional Original Cost Current Notional Price Price (USD) Cash Cpn Cpn IRR a % of NAV* as a % of AUM Transportation Loan $ 28,550,000 $ 26,685,533 $ 25,650, $ 21,623,153 L + 7.5% 8.50% 3.91% 5.37% Transportation Loan $ 7,000,000 $ 7,000,000 $ 8,258, $ 6,912, % 8.00% 19.00% 1.25% 1.41% Oil & Gas Loan $ 21,000,000 $ 21,000,000 $ 15,508, $ 15,551,717 L + 7.0% 8.00% 2.81% 4.22% Retail & Consumer Loan $ 20,000,000 $ 20,360,000 $ 21,875, $ 20,484,505 L % 6.00% 18.00% 3.70% 4.10% Retail & Consumer Warrants $ 2,473,990 NA 0.45% Oil & Gas Loan $ 25,000,000 $ 25,000,000 $ 25,000, $ 25,007, % 10.75% 4.52% 5.03% Medi a $ 20,000,000 $ 19,800,000 $ 20,000, $ 19,837,703 L+8.25% 9.84% 3.59% 3.98% Distressed bonds $ 3,492,000 $ 1,367,078 $ 3,492, $ 608,190 NA 15.00% 0.11% 0.27% Distressed bonds $ 7,020,000 $ 2,620,400 $ 7,020, $ 1,210,950 NA 15.00% 0.22% 0.53% Distressed bonds $ 15,561,000 $ 5,629,285 $ 15,561, $ 2,684,273 NA 15.00% 0.49% 1.13% Senior secured bonds $ 40,000,000 $ 39,740,400 $ 40,000, $ 42,605, % 8.50% 7.70% 7.99% Senior secured bonds $ 14,972,000 $ 14,467,461 $ 14,972, $ 15,075, % 9.70% 2.72% 2.91% Senior secured bonds $ 4,925,000 $ 4,393,194 $ 4,925, $ 4,958, % 12.80% 0.90% 0.88% Senior secured bonds $ 10,000,000 $ 10,129,444 $ 10,000, $ 10,068, % 8.82% 1.82% 2.04% Senior unsecured bonds $ 20,000,000 $ 19,868,000 $ 20,000, $ 21,850, % 8.00% 3.95% 4.00% Total $ 237,520,000 $ 218,060,795 $ 232,262,680 $ 210,953, % 38.13% 43.86% Current Clean Dirty Market Value PIK Expected Mkt Value as Original Cost MXN Investments Original Notional Original Cost Notional Price Price (MXN) Cash Cpn Cpn IRR a % of NAV* as a % of AUM NPLs $ 258,000 $ 258,000 $ 258, $ 258,000 NA % 0.00% 0.00% Restructured Mortgage Port $ 56,377,515 $ 43,321,836 $ 44,985, $ 36,651,572 NA 15.00% 0.49% 0.65% Financial Services Loan $ 301,000,000 $ 297,689,000 $ 301,000, $ 305,032, % 14.00% 4.10% 4.45% Construction $ 520,000,000 $ 520,000,000 $ 520,000, $ 534,479, % 13.19% 7.18% 7.77% Real Estate $ 500,000,000 $ 500,000,000 $ 500,000, $ 509,333, % 16.00% 6.84% 7.47% NPLs $ 1,829,235,262 $ 445,466,250 $ 1,743,263, $ 465,378,921 NA 18.00% 6.25% 6.66% NPLs $ 6,810,973,044 $ 42,452,962 $ 6,810,973, $ 45,558,840 NA 21.70% 0.61% 0.63% Total $ 10,017,843,821 $ 1,849,188,048 $ 9,920,479,330 $ 1,896,693, % 25.48% 27.64% * These percentages represent the market value of each investment divided by the Net Asset Value ( NAV ) of the fund. NAV is calculated using the market value of all investments plus cash. All USD investments are converted to MXN using the FX rate at the end of September 2014 of MXN$ /USD. 4

5 USD Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Telecom, 5.44% Transportation, 5.16% Chemicals & refining, 3.95% Homebuilders, 0.81% Media, 3.59% NPL & Distressed, 0.81% Special Situations, 5.40% Retail & Consumer, 4.15% Oil & Gas, 15.03% Credit Investment, 31.91% Source: MEXCO These graphs represent the sector holdings breakdown of the USD portfolio as a percentage of NAV which totals to 38.13%. MXN Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Real Estate, 6.84% Retail & Consumer, 0.61% Housing, 6.75% Mezzanine, 6.84% NPL & Distressed, 6.87% Construction, 7.18% Financial Services, 4.10% Credit Investment, 7.18% 3rd Party Originated Retail Loan, 4.59% Source: MEXCO These graphs represent the sector holdings breakdown of the MXN portfolio as a percentage of NAV which totals to 25.48%. Consolidated Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Construction, 7.18% Real Estate, 6.84% Transportation, 5.16% Oil & Gas, 15.03% Credit Investment, 39.09% 3rd Party Originated Retail Loan, 4.59% Financial Services, 4.10% Cash, 36.39% Housing, 6.75% Chemicals & refining, 3.95% Media, 3.59% Retail & Consumer, 4.76% Homebuilders, 0.81% Telecom, 5.44% NPL & Distressed, 7.68% Mezzanine, 6.84% Special Situations, 5.40% Source: MEXCO These graphs represent the sector holdings breakdown of the USD and MXN portfolio as a percentage of NAV which totals to 63.61%. 5

6 Consolidated Portfolio Allocation by origination source (vs. total AUM) Origination as a % of AUM Secondary Mkt, 7.77% Broker, 4.45% Primary Mkt, 11.99% CS, 14.99% PE/Company, 4.10% NPL, 7.94% MEXCO, 7.47% Investment Bank, 12.80% Source: MEXCO This graph represents the consolidated portfolio allocation by origination source as a percentage of AUM which totals to 71.50%. Investment Updates As anticipated, we received the following payments in September 2014: An interest payment of USD$338k An interest payment of USD$94k and an amortization of USD$334k from the Oil & Gas Loan 1 An interest payment of USD$239k from the Oil & Gas Loan 2 An interest payment of USD$433k from the Media Loan An interest payment of USD$1,725MM from senior secured bonds An interest payment of MXN$3.214MM from the Financial Services Loan An interest payment of MXN$7.333MM from the Real Estate Loan Over the life of the fund, MEXCO has received a total of US$18.733MM and MXN$88.203MM of interest payments, US$28.391MM of principal amortizations and MXN$41.649MM from collections of NPL portfolios for a Total Portfolio Cash flow of US$47.125MM and MXN$ MM. Mexico s Political and Economic Update - (Alonso Cervera) The central bank left the monetary policy unchanged in the September monetary policy meeting. This was in line with market expectations. The policy statement was more hawkish than the marked had anticipated. Specifically, the bank wrote that it would pay particular attention to the evolution of slack in the economy, in light of the expected recovery, and to Mexico s monetary policy stance relative to that in the United States. The bank wrote that the balance of risks to growth globally and in Mexico has improved. On the inflation front, the bank wrote that the balance of risks has worsened in the short-term, due to high food prices, and that it now expects headline inflation to close 2014 around 4%, compared to previous expectations that it would close below this level. The bank still expects inflation to fall sharply towards 3.0% in the first half of 2015, with a clear inflection point in January This is consistent with our expectations. The policy minutes released on September 19 showed that the decision to maintain the rate unchanged was unanimous, as we had expected. All members pointed out the importance of the previously mentioned real GDP growth recovery, which was fueled by external demand. The majority of the board members stated they expect this recovery to persist in upcoming quarters and some of them said that the balance of risks to growth is biased to the upside. On the inflation front all board members acknowledged it has been higher than expected due to agricultural price shocks and the majority of them said that the balance of risks to inflation in the near term has worsened. All board members expressed concerns that minimum wage increases that are not backed up by productivity gains represent a risk to employment, inflation and the level of formality in the economy. Finally, all board members agreed that the board will remain watchful to ensure a quick convergence of inflation to the 3% target. 6

7 Consumer prices rose 0.44% in September, slightly below market expectations of 0.47%, and ahead of our estimate of 0.40%. Core prices rose 0.29%, between our estimate (0.27%) and the market s (0.31%). Annual inflation rose to 4.2% from 4.1% in August. We view this as the likely peak in the remainder of the year. On other economic news, the Markit/HSBC PMI expanded for the second consecutive month, rising from 52.1 in August to 52.6 in September. This was the highest level since January 2014 when the PMI was As to the government s own estimate of the PMI, this index also edged higher, rising to 52.4 from 52.2 in August. This was partly due to a rise in expected orders, which reached a sixmonth high. Meanwhile, consumer and producer confidence also continued to rise in September. Consumer confidence expanded to 90.4 from 88.4 in August (seasonally adjusted), driven by a significant increase in the percentage of consumers who think the current state of the economy is better than the one that prevailed twelve months ago. This sub-index rose to 95.5 from 88.6 in August, the biggest monthly increase on record. We think that a potential explanation may be that Mexico suffered greatly from two hurricanes in September 2013, which may have been on consumers minds when surveyed last month by INEGI. Meanwhile, producer confidence in the manufacturing sector also rose in September to 53.2 from 52.7 in August, the highest level since August As to private sector expectations, the September central bank survey showed that the average real GDP growth forecast for 2014 is 2.5%, unchanged versus the August survey.this is also our own forecast. For 2015, the average growth forecast is 3.8%, compared to our forecast of 4.1%. On the inflation front, expectations for year-end 2014 worsened versus August. The average forecast is that headline and core inflation will end 2014 at 4.0% and 3.5%, respectively, compared to average forecasts in August of 3.8% and 3.4%, respectively. Medium-term inflation expectations were unchanged versus August, however. The average forecast is that annual inflation will average 3.5% between 2015 and 2018 and 3.4% between 2019 and Finally, the percentage of analysts who anticipate an improvement in the business climate in the next six months rose to a new high of 92% from 91% in the August survey. These figures are supportive of our view that the Mexican economy will likely continue to grow at an annualized rate of approximately 4% in the second half of the year. The Ministry of Finance presented on September 5 its budget proposal for Last year the government had promised reducing the fiscal deficit in 2015 by 0.5% of the GPD to 1.0%, which we considered challenging in light of the expected performance of oil-related revenues. Yet, the proposal presented called for a budget deficit of 3.5% of GDP in 2015 versus an estimated deficit of 3.6% of GDP in The government requested congress to treat investments by IMSS, ISSSTE and CFE (as well as Pemex's) as not part of the headline deficit. This is what would allow the government to state it is reducing the fiscal deficit by 0.5% of GDP next year versus that in In reality, however, the public sector financing requirements would only fall by 0.2% of GDP from 4.2% of GDP in 2014 to 4.0% of GDP next year. As per net domestic indebtedness of the federal government, the government is seeking a limit of 571bn pesos in 2015, compared to a ceiling of 581bn pesos in 2014, a nominal drop of 1.7% equivalent to 0.05% of GDP. As to September s relevant political news, a poll released on September 3 by Buendía y Laredo showed that if Lower House elections had taken place that day, the PRI would ve gotten 32% of the votes, followed by the PAN (23%), the PRD (11%) and the PVEM (4%). The newly-registered party, MORENA, which is led two-time presidential candidate Andrés M. López Obrador, would have gotten just 3% of the votes, even though two-third of voters have heard about this new political party. The percentage of invalid, don t know and no responses was 22%. Pollster Buendía y Laredo did not publish estimates of effective voter preferences excluding this 22%. Lower House elections will take place in June The poll was conducted on 7-12 August and it has an error margin of +/- 3.5%. 7

8 Annex A - Portfolio report published by AI Risk Management area of CSAM 8

9 Mexico Credit Opportunity Trust Risk Analysis Analysis Date:, 2014 Produced by: AI Risk Management Please note that the information in the attached risk analysis presentation is unaudited and that the value and price data underlying the risk analysis calculation are preliminary and are subject to change. Further, the risk analysis presentation included in this document is subject to any applicable correction policies of the Manager and the Management Advisor. Any such adjustments could have a material impact on the estimated net returns, including a change from a positive monthly net return or year to date performance estimate to a negative monthly net return or year to date performance estimate. In addition, the Manager and the Management Advisor may have used simplified calculations in deriving the weekly estimated performance. Simplifications may include, but are not limited to, treatment of FX conversion, and the use of previous month end prices for certain positions where intra-month market pricing is not readily available. Credit Suisse Asset Management, LLC is under no obligation to update the estimated net returns set forth above. None of the information in this risk analysis presentation is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The information should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The information is provided on an as is basis and the user of this information assumes the entire risk of any use made of this information. The methodologies and processes contained in risk analysis presentation are as of the date indicated herein, unless another time is specified in relation to them, and the delivery of the presentation at any given time shall not give rise to any implication that there has been no change in the methodologies and processes set forth herein since that date. Credit Suisse Asset Management, LLC and each of its affiliates and each other person involved in or related to compiling, computing or creating any of the information in the attached risk analysis presentation (collectively, the CS Parties ) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any CS Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. 9

10 Mexican Credit Opportunities Trust IRR 10

11 Mexican Credit Opportunities Trust Valuations 11

12 Business Date USD/MXN FX Rate MXN/USD FX Rate USD USD $ 553,297,086 Daily NAV MXN $ 7,444,114,331 Mexico Credit Opportunities Trust Exposure 9/30/2014 Gross Market Exposure (USD) 0.07 Cash Investments Gross Market Exposure (MXN) Issuer Name Captial Structure Strategy Industry Notional (MXN) Clean Price 1 Dirty Price 2, 3 Market Value (USD) Market Value (MXN) % of NAV Net (% Of NAV) 4 Cash & Cash Equivelent (USD) 20,011,209 $ 269,232, % Cash & Cash Equivelent (MXN) 181,357,589 $ 2,440,003, % Sub total $ - $ 201,368,798 $ 2,709,235, % USD Investments Issuer Name Captial Structure Strategy Industry Notional (USD) Clean Price 1 Dirty Price 2, 3, Market Value (USD) Market Value (MXN) Net (% Of NAV) 4 Investment B Senior Unsecured Special Situations Transportation $ 8,258, % 83.70% $ 6,912,234 $ 92,997, % Investment C Senior Unsecured Credit Investment Transportation $ 25,650, % 84.30% $ 21,623,153 $ 290,920, % Investment D Senior Secured Credit Investment Oil & Gas $ 15,508, % % $ 15,551,717 $ 209,234, % Investment E Senior Secured Special Situations Retail & Consumer $ 21,875, % 93.64% $ 20,484,505 $ 275,600, % Investment E Warrants 11.31% 11.31% $ 2,473,990 $ 33,285, % Investment F Senior Unsecured NPL & Distressed Homebuilders $ 3,492, % 17.42% $ 608,190 $ 8,182, % Investment G Senior Unsecured NPL & Distressed Homebuilders $ 7,020, % 17.25% $ 1,210,950 $ 16,292, % Investment H Senior Unsecured NPL & Distressed Homebuilders $ 15,561, % 17.25% $ 2,684,273 $ 36,114, % Investment J Senior Secured Credit Investment Oil & Gas $ 40,000, % % $ 42,605,417 $ 573,217, % Investment K Senior Secured Credit Investment Telecommunication $ 29,897, % % $ 30,102,957 $ 405,008, % Investment P Senior Unsecured Credit Investment Oil & Gas $ 25,000, % % $ 25,007,465 $ 336,452, % Investment Q Senior Secured Credit Investment Media $ 20,000, % 99.19% $ 19,837,703 $ 266,898, % Investment S Senior Secured Credit Investment Chemical $ 20,000, % % $ 21,850,625 $ 293,980, % $ 232,262,680 $ 210,953,177 $ 2,838,185, % MXN Investments $ 351,928,289 $ 4,734,878, % Issuer Name Captial Structure Strategy Industry Notional (MXN) Clean Price 1 Dirty Price 2, 3 Market Value (USD) Market Value (MXN) Net (% Of NAV) 4 Investment L Senior Secured NPL & Distressed Housing $ 258, % % $ 19,176 $ 258, % Investment N Senior Secured Third Party Retail Loan Portfolio Housing $ 44,985, % 81.47% $ 2,724,193 $ 36,651, % Investment O Senior Secured Third Party Retail Loan Portfolio Financial Services $ 301,000, % % $ 22,672,114 $ 305,032, % Investment X Senior Unsecured Subordinated / Mezzanine Real Estate $ 500,000, % % $ 37,857,109 $ 509,333, % Investment T, U, V Senior Secured NPL & Distressed Housing $ 1,743,263, % 26.70% $ 34,590,119 $ 465,378, % Investment Y Senior Secured NPL & Distressed Retail & Consumer $ 6,810,973, % 0.67% $ 3,386,242 $ 45,558, % Investment W Senior Secured Credit Investment Construction $ 520,000, % % $ 39,726,157 $ 534,479, % Sub total $ 9,920,479,330 $ 140,975,111 $ 1,896,693, % 1 Does not include accured interest 2 Investment includes accrued interest only 3 Includes accrued interest and Payment in Kind 4 NAV = Total value of all securities and cash in the trust, including accrued interest as of Business Day 9/30/14 12

13 Mexican Credit Opportunities Trust Exposure 9/30/14 By Strategy By Capital Structure Subordinated / Third Party Mezzanine, Retail Loan 6.84% Portfolio, 4.59% Senior Unsecured, 16.76% NPL & Distressed, 7.68% Special Situations, 5.40% Credit Investment, 39.09% Senior Secured, 46.84% * Excludes Cash and Cash Equivalent Assets 13

14 Mexican Credit Opportunities Trust Exposure 9/30/14 Chemical, 3.95% Media, 3.59% Real Estate, 6.84% By Industry Construction, 7.18% Transportation, 5.16% Investment X, 6.84% Investment W, 7.18% By Investments Investment Y, 0.61% Investment B, 1.25% Investment C, 3.91% Investment D, 2.81% Investment E, 3.70% Investment E Warrants, 0.45% Investment F, 0.11% Financial Services, 4.10% Housing, 6.75% Homebuildres, 0.81% Telecommunica tion, 5.44% Retail & Consumer, 4.76% Oil & Gas, 15.03% Investment T, U, V, 6.25% Investment S, 3.95% Investment Q, 3.59% Investment P, 4.52% Investment G, 0.22% Investment H, 0.49% Investment J, 7.70% Investment K, 5.44% Investment L, 0.00% Investment N, 0.49% Investment O, 4.10% * Excludes Cash and Cash Equivalent Assets 14

15 Mexico Credit Opportunities Trust Risk Summary 9/30/2014 Market Value Sensitivity MXN$ 7.4 bm Duration 2.549% Parallel IR shift up 100 bps CS % Parallel Credit Curve shifts up 100 bps Volatility % Parametric VaR 1-Month % 1-Month % Historical VaR 1-Month % 1-Month % Monte Carlo VaR 1-Month % 1-Month % MXN Scenarios 4 Using Correlation Matrix Absolute Bolsa Equity Index - 30% 1.637% 0.000% MXN Gov't Rate bps % % (1, 3, 6, 12, 24, 60, 84, 120 Mth Curves Shift up 100 bps) MXN Govt Curve Steepner % 0.001% (1 Mth IR -100bps, 10 Yr IR +100 bps) MXN Govt Curve Flattener 0.052% % (1 Mth IR +100bps, 10 Yr IR -100 bps) USD Scenarios 4 S&P 500 Index -30% 5.758% 0.000% USD LIBOR bps 5.990% 0.222% (1, 3, 6, 12 Mth LIBOR Shifts up 100 bps) USD LIBOR Steepner 1.729% 0.244% ( 12 Month LIBOR +100 bps) USD LIBOR Curve Flattener % % (1 Month +100 bps) FX Scenarios 4 MXN/USD -1% % % USD/MXN > MXN/USD +1% 0.319% 0.408% USD/MXN > MXN/USD -5% % % USD/MXN > MXN/USD +5% 1.589% 2.038% USD/MXN > MXN/USD -20% % % USD/MXN > MXN/USD +20% 6.297% 8.154% USD/MXN > One Year Equally Weighted History with Daily Returns 2 Three Year Equally Weighted History with Weekly Returns 3 One Month Equally Weighted History with Daily Returns MEXCO Trust 4 Five Year Equally Weighted History with Weekly Returns Source: MSCI RiskMetrics, see disclaimer in back of Newsletter 15

16 Mexico Credit Opportunities Trust MEXCO Market Value Sensitivities Parametric VaR Historical VaR Monte Carlo VaR Duration CS100 Volatility 1 1-Month 3 1-Month 2 1-Month 3 1-Month 2 1-Month 3 1-Month 2 Total 100% 2.55% -2.74% 2.64% 1.35% 2.55% 1.00% 2.89% 1.31% 2.50% MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant USD Investments 33.9% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 25.3% 5.91% -1.46% 0.73% 0.54% 0.82% 0.49% 1.34% 0.55% 0.78% 3.6% 0.00% 0.00% 0.25% 0.15% 0.25% 0.08% 0.32% 0.14% 0.24% 37.2% 2.83% -1.28% 2.41% 1.30% 2.32% 0.69% 2.94% 1.25% 2.25% Using Correlation Matrix MXN Scenarios 4 USD Scenarios 4 FX Scenarios 4 MEXCO Market Value Bolsa Equity Index - 30% MXN Gov't Rate bps MXN Govt Curve Steepner MXN Govt Curve Flattener S&P 500 Index -30% USD LIBOR bps USD LIBOR Steepner USD LIBOR Curve Flattener MXN/USD - 1% MXN/USD +1% MXN/USD - 5% MXN/USD +5% MXN/USD - 20% MXN/USD +20% Total 100% 1.637% % % 0.052% 5.758% 5.990% 1.729% % % 0.319% % 1.589% % 6.297% MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant USD Investments 33.9% 0.000% % 0.001% % 0.000% 0.001% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 25.3% % % % 0.439% % % % % 0.036% % 0.187% % 0.830% % 3.6% 0.204% 0.119% 0.056% % 0.669% 1.161% 0.566% 1.979% % 0.036% % 0.179% % 0.718% 37.2% 1.730% 0.482% 0.328% % 5.508% 5.944% 3.209% % % 0.319% % 1.585% % 6.227% Absolute MXN Scenarios 4 USD Scenarios 4 FX Scenarios 4 MEXCO Market Value Bolsa Equity Index - 30% MXN Gov't Rate bps MXN Govt Curve Steepner MXN Govt Curve Flattener S&P 500 Index -30% USD LIBOR bps USD LIBOR Steepner USD LIBOR Curve Flattener MXN/USD - 1% MXN/USD +1% MXN/USD - 5% MXN/USD +5% MXN/USD - 20% MXN/USD +20% Total 100% 0.000% % 0.001% % 0.000% 0.222% 0.244% % % 0.408% % 2.038% % 8.154% MXN Cash & Cash Equivelant 33.9% 0.000% % 0.001% % 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% MXN Investments USD Cash & Cash Equivelant USD Investments 25.3% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 3.6% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% % 0.036% % 0.179% % 0.718% 37.2% 0.000% 0.000% 0.000% 0.000% 0.000% 0.222% 0.244% % % 0.372% % 1.859% % 7.436% 1 One Year Equally Weighted History with Daily Returns 2 Three Year Equally Weighted History with Weekly Returns 3 One Month Equally Weighted History with Daily Returns 4 Five Year Equally Weighted History with Weekly Returns Source: MSCI RiskMetrics, see disclaimer in back of Newsletter 16

17 Mexico Credit Opportunities Trust Government and Credit Spread Shifts Government Interest Rate Shifts Market Value Gov't Interest Rate Shift +1 bp Gov't Interest Rate Shift -1 bp Gov't Interest Rate Shift +50 bps Gov't Interest Rate Shift -50 bps Gov't Interest Rate Shift +100 bps Gov't Interest Rate Shift -100 bps Gov't Interest Rate Shift +200 bps Gov't Interest Rate Shift -200 bps Gov't Interest Rate Shift +500 bps Gov't Interest Rate Shift -500 bps Total 100% % 0.025% % 1.276% % 2.692% % 5.859% % % MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant 33.9% 0.000% 0.000% 0.000% 0.000% % 0.001% % 0.000% % 0.003% 25.3% % 0.015% % 0.766% % 1.572% % 3.310% % 8.804% 3.6% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% USD Investments 37.2% % 0.010% % 0.509% % 1.119% % 2.549% % 4.848% Credit Spread Shifts MEXCO Market Value Credit Spreads +1 bp Credit Spreads - 1 bps Credit Spreads +50 bps Credit Spreads - 50 bps Credit Spreads +100 bps Credit Spreads bps Credit Spreads +200 bps Credit Spreads bps Credit Spreads +500 bps Credit Spreads bps Total 100% % 0.028% % 1.436% % 2.902% % 5.859% % % MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant 33.9% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 25.3% % 0.015% % 0.766% % 1.572% % 3.310% % 8.804% 3.6% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% USD Investments 37.2% % 0.013% % 0.670% % 1.331% % 2.549% % 4.810% 17

18 Mexican Credit Opportunities Trust 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% Volatility 3.00% 2.00% 1.00% 0.00% -1.00% -2.00% -3.00% -4.00% Duration & Credit Spread Volatility Duration CS % 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 1 Month VaR (22 day history) 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 1 Month VaR (3 year history) Parametric 1-Month* Historical 1-Month* Monte Carlo1-Month* Parametric 1-Month Historical 1-Month Monte Carlo 1-Month 18

19 Mexican Credit Opportunities Trust 2.00% 1.50% 1.00% 0.50% 0.00% -0.50% -1.00% -1.50% Predictive MXN Scenarios Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep % 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% Predictive FX Scenarios 8.00% 6.00% 4.00% 2.00% 0.00% -2.00% -4.00% -6.00% -8.00% Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 MXN/USD -1% MXN/USD +1% MXN/USD -5% MXN/USD +5% MXN/USD -20% MXN/USD +20% Predictive USD Scenarios USD Govt Curve Flatener S&P 500 Index -30% Bolsa Equity Index - 30% MXN Gov't Rate bps USD Gov't Rate bps USD Govt Curve Steepner MXN Govt Curve Steepner MXN Govt Curve Flattener 19

20 Mexican Credit Opportunities Trust Absolute FX Scenarios 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% -2.00% -4.00% -6.00% -8.00% % Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 MXN/USD -1% MXN/USD +1% MXN/USD -5% MXN/USD +5% MXN/USD -20% MXN/USD +20% 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% -0.10% Absolute USD Scenarios 0.03% 0.02% 0.02% 0.01% 0.01% 0.00% -0.01% -0.01% -0.02% -0.02% -0.03% Absolute MXN Scenarios Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 USD Govt Curve Flatener S&P 500 Index -30% Bolsa Equity Index - 30% MXN Gov't Rate bps USD Gov't Rate bps USD Govt Curve Steepner MXN Govt Curve Steepner MXN Govt Curve Flattener 20

21 This report is current as of the date published, is for informational purposes only, and does not intend to address the financial objectives or specific needs of any particular investor. The material is not intended to be, nor should it be construed or used as investment, accounting, tax or legal advice, or an offer to sell, or a solicitation of any offer to buy, an interest in any securities or a representation that any investment or strategy is suitable or appropriate to individual circumstances, or otherwise constitutes a personal recommendation to any specific investor. All investors should consult its own legal, accounting and tax advisors. This report is not suitable in connection with making any investment decision. All material information in connection with the Certificates and the Trust has been disclosed through the Mexican Stock Exchange and is available at There can be no assurance that the Trust will meet its objectives or otherwise be able to successfully carry out its investment program. The Trust s returns are unpredictable, and accordingly, its investment program is not suitable as the sole investment for an investor. Any performance information in these materials is not intended to be indicative of the Trust s future results and it is not expected that the Trust will achieve any such results. The reader should not assume that any investments in companies, securities, sectors, strategies and/or markets identified or described herein were or will be profitable and no representation is made that any investor will or is likely to achieve results comparable to those shown or will make any profit or will be able to avoid incurring substantial losses. This report does not constitute research. The only legally binding terms of the Trust and the Certificates are set forth in the Trust s issuance and subscription documents, which was submitted to the Comisión Nacional Bancaria y de Valores ( CNBV ) and the Bolsa Mexicana de Valores, S.A.B. de C.V. ( BMV ) and may be reviewed at the BMV webpage, This document does not constitute an offer or invitation to enter into any type of financial transaction. As such, this report is not, nor is it intended to be, a comprehensive summary of any investment opportunity. These materials have been prepared jointly by Credit Suisse Asset Management, LLC and Banco Credit Suisse (México), S.A., Institución de Banca Múltiple, Grupo Financiero Credit Suisse (México) (together, Credit Suisse ), which are serving as the Management Advisor and Manager, respectively, to the Trust, on the basis of internally developed data with public information and other third party sources believed to be reliable. Although the information has been obtained from and is based upon sources that Credit Suisse believes to be reliable, no representation is made that the information is accurate or complete and no guarantee is made regarding reliability or completeness of this document, nor will any liability be accepted for losses that may arise from its use. Credit Suisse has not sought to independently verify information taken from third party sources and makes no representations or warranties as to their accuracy nor assumes any responsibility for independent verification of such information. Projections of future economic trends are inherently speculative, and actual experience may significantly diverge from such projections. The statements contained in these materials are made as of the date indicated herein, unless another time is specified in relation to them, and the delivery of these materials at any given time shall not give rise to any implication that there has been no change in the facts set forth herein since that date. All opinions and views constitute judgments as of the date of writing, and are subject to change at any time without notice and Credit Suisse is under no obligation to update or keep current the information contained herein or to correct any inaccuracy contained herein except as explicitly required by law. Benchmarks are used solely for purposes of comparison and the comparison does not mean that there will necessarily be a correlation between the Trust s returns and the benchmarks. No part of this material may be reproduced or retransmitted in any manner without the prior written permission of the Trust or Credit Suisse. Certain information contained in these materials constitutes forward-looking statements, which can be identified by the use of forwardlooking terminology such as may, will, should, expect, anticipate, project, estimate, intend, continue, target, believe, the negatives thereof, other variations thereon or comparable terminology. Due to various risk and uncertainties, including those summarized herein, actual events or results may differ materially from those reflected or contemplated in such forward-looking statements. Financial information described herein was not prepared according to GAAP (Generally Accepted Account Principles) used for financial statements filed with the SEC. Past performance is not a guarantee or indicator of future results. Credit Suisse does not represent, warrant or guarantee that this report is suitable for any investment purpose other than as specifically contemplated by a written agreement with Credit Suisse. This report is for informational and illustrative purposes only. This material does not purport to contain all of the information that a current or prospective investor may wish to consider. This material is not to be relied upon as such or used in substitution for the exercise of independent judgment. This report may not be used or relied upon in connection with any offer or sale of a security. Performance differences for certain investors may occur due to various factors, including timing of investment and eligibility to participate in new issues. Investment return will fluctuate and may be volatile, especially over short time horizons. Current and future portfolio compositions may be significantly different from the information shown herein. Investing entails risks, including possible loss of some or all of the investor s principal. The investment views and market opinions/analyses expressed herein may not reflect those of Credit Suisse Group AG as a whole and different views may be 21

22 expressed based on different investment styles, objectives, views or philosophies. To the extent that these materials contain statements about the future, such statements are forward looking and are subject to a number of risks and uncertainties. The charts, tables and graphs contained in this document are not intended to be used to assist the reader in determining which securities to buy or sell or when to buy or sell securities. There are limitations in using financial indices for comparison purposes because, among other reasons, such indices may have different volatility, diversification, credit and other material characteristics (such as number or type of instrument or security). Please note that the information in the attached risk analysis presentation is unaudited and that the value and price data underlying the risk analysis calculation are preliminary and are subject to change. Further, the risk analysis presentation included in this document is subject to any applicable correction policies of the Manager and the Management Advisor. Any such adjustments could have a material impact on the estimated net returns, including a change from a positive monthly net return or year to date performance estimate to a negative monthly net return or year to date performance estimate. In addition, the Manager and the Management Advisor may have used simplified calculations in deriving the weekly estimated performance. Simplifications may include, but are not limited to, treatment of FX conversion, and the use of previous month end prices for certain positions where intra-month market pricing is not readily available. Credit Suisse Asset Management, LLC is under no obligation to update the estimated net returns set forth above. None of the information in this risk analysis presentation is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The information should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The information is provided on an as is basis and the user of this information assumes the entire risk of any use made of this information. The methodologies and processes contained in risk analysis presentation are as of the date indicated herein, unless another time is specified in relation to them, and the delivery of the presentation at any given time shall not give rise to any implication that there has been no change in the methodologies and processes set forth herein since that date. Credit Suisse Asset Management, LLC and each of its affiliates and each other person involved in or related to compiling, computing or creating any of the information in the attached risk analysis presentation (collectively, the CS Parties ) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any CS Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. Source: RiskMetrics Solutions, LLC ( RiskMetrics ). The RiskMetrics information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for any products. None of the RiskMetrics information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The RiskMetrics information should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The RiskMetrics information is provided on an as is basis and the user of this information assumes the entire risk of any use made of this information. RiskMetrics, each of its affiliates and each other person involved in or related to compiling, computing or creating any RiskMetrics information (collectively, the RiskMetrics Parties ) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. ( Sources: All data was obtained from publicly available information, internally developed data and other third party sources believed to be reliable. Credit Suisse has not sought to independently verify information obtained from public and third party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information. Copyright 2013, Credit Suisse Group and/or its affiliates. All rights reserved. 22