MEXCO. Credit Suisse Mexico Credit Opportunities Trust August 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 155 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 August 2014 Total invested amount equivalent to USD$342.29MM, representing 67.09% of AUM (net issuance proceeds): USD denominated investments of USD$201.25MM representing 39.44% of AUM MXN denominated investments of MXN$1,849.19MM representing 27.64% of AUM Investment Portfolio by Ccy Gross Performance Analysis MEXCO USD Port MXN Port XIRR 10.12% 18.54% CKD Price (monthly return) 0.98% LACI - All Region All rating B bucket BB bucket ITD IRR 5.51% 5.54% 6.62% Annualized IRR 3.21% 3.22% 3.84% Non Invested AUMs 32.91% USD 39.44% LACI - Mexico All rating B bucket BB bucket ITD IRR 4.84% 10.83% -5.83% Annualized IRR 2.82% 6.24% -3.47% MXN 27.64% USD Portfolio IRR 12% 10% 8% 6% 4% 2% 0% Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 XIRR 80% 70% 60% 50% 40% 30% 20% 10% 0% MXN Portfolio IRR Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 XIRR *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 31-Aug Jul-14 Clean Price 31-Aug Jul-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. 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. 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. As of August 31 st 2014, the Trust has purchased a total of USD $202.79MM at an average FX rate of MXN$ /USD. 3

4 Portfolio Overview We have invested a total of USD$342.29MM with a market value of USD$342.01MM (MXN$4,484.03) as of August 31 st, 2014, representing 67.09% of the total Assets Under Management ( AuM, or net proceeds received of $6,689,197,842 pesos) and 61.04% 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 ~2.93%. Cash invested in CS originated deals represent 13.29% of AUM within our portfolio guideline of 35% Our investment in the Transportation Industry represents 3.93% of the total NAV* Our investment in Oil & Gas Industry represents 15.35% of the total NAV* Our investment in Retail & Consumer Industry represents 4.65% of the total NAV* Our investment in Homebuilders represents 0.86% of the total NAV* Our investment in Telecom represents 3.70% of the total NAV* Our investment in Media represents 3.61% of the total NAV* Our investment in Chemicals and Refining represents 3.91% of the total NAV* Our investment in Housing represents 6.76% of the total NAV* Our investment in the Financial Services Industry represents 4.15% of the total NAV* Our investment in the Construction industry represents 7.20% of the NAV* Our investment in the Real Estate industry represents 6.93% of the NAV* 35.40% of the NAV is in US dollars* 25.65% 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 $ 20,000,000 $ 20,000,000 $ 17,100, $ 15,156,129 L + 7.5% 7.50% 2.71% 3.92% Transportation Loan $ 7,000,000 $ 7,000,000 $ 7,895, $ 6,853, % 8.00% 19.00% 1.22% 1.37% Oil & Gas Loan $ 21,000,000 $ 21,000,000 $ 15,842, $ 15,886,983 L + 7.0% 7.00% 2.84% 4.12% Retail & Consumer Loan $ 20,000,000 $ 20,360,000 $ 21,875, $ 20,181,725 L % 6.00% 18.00% 3.60% 3.99% Retail & Consumer Warrants $ 2,443,224 NA 0.44% Oil & Gas Loan $ 25,000,000 $ 25,000,000 $ 25,000, $ 25,022, % 10.50% 4.47% 4.90% Medi a $ 20,000,000 $ 19,800,000 $ 20,000, $ 20,229,801 L+8.25% 9.84% 3.61% 3.88% Distressed bonds $ 3,492,000 $ 1,367,078 $ 3,492, $ 648,930 NA 15.00% 0.12% 0.27% Distressed bonds $ 7,020,000 $ 2,620,400 $ 7,020, $ 1,304,550 NA 15.00% 0.23% 0.51% Distressed bonds $ 15,561,000 $ 5,629,285 $ 15,561, $ 2,891,753 NA 15.00% 0.52% 1.10% Senior secured bonds $ 40,000,000 $ 39,740,400 $ 40,000, $ 45,098, % 8.50% 8.05% 7.79% Senior secured bonds $ 14,972,000 $ 14,467,461 $ 14,972, $ 15,586, % 9.70% 2.78% 2.84% Senior secured bonds $ 4,925,000 $ 4,393,194 $ 4,925, $ 5,127, % 13.00% 0.92% 0.86% Senior unsecured bonds $ 20,000,000 $ 19,868,000 $ 20,000, $ 21,894, % 8.00% 3.91% 3.89% Total $ 218,970,000 $ 201,245,818 $ 213,683,829 $ 198,324, % 35.40% 39.44% 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 $ 45,655, $ 37,197,780 NA 15.00% 0.51% 0.65% Financial Services Loan $ 301,000,000 $ 297,689,000 $ 301,000, $ 304,788, % 14.00% 4.15% 4.45% Construction $ 520,000,000 $ 520,000,000 $ 520,000, $ 528,764, % 13.19% 7.20% 7.77% Real Estate $ 500,000,000 $ 500,000,000 $ 500,000, $ 508,765, % 16.00% 6.93% 7.47% NPLs $ 1,829,235,262 $ 445,466,250 $ 1,743,263, $ 459,267,457 NA 20.00% 6.25% 6.66% NPLs $ 6,810,973,044 $ 42,452,962 $ 6,810,973, $ 44,774,647 NA 22.00% 0.61% 0.63% Total $ 10,017,843,821 $ 1,849,188,048 $ 9,921,149,732 $ 1,883,815, % 25.65% 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 August 2014 of MXN$ /USD. 4

5 USD Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Telecom, 3.70% Transportation, 3.93% Chemicals & refining, 3.91% Homebuilders, 0.86% Media, 3.61% NPL & Distressed, 0.86% Special Situations, 5.26% Retail & Consumer, 4.04% Oil & Gas, 15.35% Credit Investment, 29.27% Source: MEXCO These graphs represent the sector holdings breakdown of the USD portfolio as a percentage of NAV which totals to 35.40%. MXN Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Real Estate, 6.93% Retail & Consumer, 0.61% Housing, 6.76% Mezzanine, 6.93% NPL & Distressed, 6.87% Construction, 7.20% Financial Services, 4.15% Credit Investment, 7.20% 3rd Party Originated Retail Loan, 4.66% Source: MEXCO These graphs represent the sector holdings breakdown of the MXN portfolio as a percentage of NAV which totals to 25.65%. Consolidated Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Construction, 7.20% Real Estate, 6.93% Transportation, 3.93% Oil & Gas, 15.35% Credit Investment, 36.47% 3rd Party Originated Retail Loan, 4.66% Financial Services, 4.15% Cash, 38.96% Housing, 6.76% Chemicals & refining, 3.91% Media, 3.61% Retail & Consumer, 4.65% Homebuilders, 0.86% Telecom, 3.70% NPL & Distressed, 7.73% Mezzanine, 6.93% Special Situations, 5.26% Source: MEXCO These graphs represent the sector holdings breakdown of the USD and MXN portfolio as a percentage of NAV which totals to 61.04%. 5

6 Consolidated Portfolio Allocation by origination source (vs. total AUM) Origination as a % of AUM Secondary Mkt, 5.58% Broker, 4.45% Primary Mkt, 11.68% CS, 13.29% PE/Company, 3.99% NPL, 7.94% Investment Bank, 12.67% MEXCO, 7.47% Source: MEXCO This graph represents the consolidated portfolio allocation by origination source as a percentage of AUM which totals to 67.09%. Investment Updates As anticipated, we received the following payments in August 2014: An interest payment of USD$106k and an amortization of USD$335k from the Oil & Gas Loan 1 An interest payment of USD$596k from the Retail & Consumer Loan An interest payment of USD$216k from the Oil & Gas Loan 2 An interest payment of MXN$3.214MM from the Financial Services Loan An interest payment of MXN$6.667MM from the Real Estate Loan Over the life of the fund, MEXCO has received a total of US$15.903MM and MXN$77.656MM of interest payments, US$28.057MM of principal amortizations and MXN$41.649MM from collections of NPL portfolios for a Total Portfolio Cash flow of US$43.961MM and MXN$ MM. Mexico s Political and Economic Update - (Alonso Cervera) Median expectations for 2014 real GDP growth continued to fall in August, according to a central bank survey. The average forecast is currently at 2.5% for 2014, down from 2.6% in July. We view the 2.5% growth forecast as reasonably. On the positive side, the percentage of analysts expecting an improvement in business climate reached the highest level since March 2004 (91.0%), which calls for higher GDP growth in later quarters. The government s measure of the PMI rose 0.5 points to 52.0 in August due to increases in expected orders and expected output. Furthermore, producer confidence in the manufacturing sector rose for the third consecutive month in August (to 52.5), reaching the highest level since September Finally, The Markit/HSBC PMI rose in August as well (to 52.1 from 51.5 in July). This was the first reading above 52.0 since January 2014, led by a 0.9 point rise in expected employment. On negative side, consumer confidence fell slightly to 87.9 in August from 88.1 in July, in seasonally adjusted terms. This was mainly due to the consumers perception about their ability to buy durable goods. According to the figures published by the Ministry of Labor, nominal wage increases averaged 4.5% in August. This increase was slightly below the average of 4.6% posted in August In the first eight months of 2014, nominal wage increases have averaged 4.2%, down from 4.4% in the same period last year. On the inflation front, agricultural prices surprised with a 1.8% rise in the second half of August (versus our 1.1% estimate). This resulted in a 0.36% increase in consumer prices in August versus July, above both market expectations of 0.31% and our own of As to core inflation, prices rose 0.21%, almost matching the median forecast of 0.20%. On a 12-month basis, headline inflation was of 4.1% and core inflation rose to 3.4%. 6

7 Pemex acknowledged having included water in its oil output estimates. In the first semester of the current year, daily oil output dropped 2.0% to an average of 2.48 mb from a daily average of 2.53 mb in the same period last year. For 2015, the preliminary government's forecast was 2.52mbpd in an inertial scenario and 2.62mbpd in a reform scenario. Recently, however, the government lowered this estimate to 2.4mbpd. On the political front, the Congress fully approved the remainder of the pending secondary legislation related to the energy reform in August, a total of 21 new or modified laws that were grouped into 6 packages. As we had anticipated, the PRI, PAN, PVEM and Nueva Alianza (PNA) supported the law initiatives and achieved their approval by simple majority vote (50% plus one). Congress also approved the possibility that the federal government absorbs a portion of the pension obligations of Pemex and CFE, as long as each company reaches an agreement to change the labor contracts and implements an austerity program within the year following the promulgation of the law. Moreover, pension payments for new workers have to be set in individually defined-contribution accounts and the amount of liabilities that the federal government can absorb will be equivalent to the reduction in the labor liabilities arising from changes to labor contracts and pension benefits. Finally, in mid-august the Ministry of Energy announced the results of the round-zero. The government granted Pemex all of what it requested regarding 2P reserves and 67% of what it requested on prospective fields. This was in line with our expectations that Pemex would get most of what it requested from the government upon the launching of round-zero in March. According to the Ministry of Energy, the fields likely to be auctioned as part of round one in the first half of 2015 are expected to bring new investments averaging $13bn per year in the period 2015 to This represents an increase of approximately 50% per year from Pemex's capital expenditures budget, currently running at approximately $27bn per year. 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 $ 560,251,697 Daily NAV MXN $ 7,345,403,981 Mexico Credit Opportunities Trust Exposure 8/31/2014 Gross Market Exposure (USD) 0.08 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) 27,161,405 $ 356,110, % Cash & Cash Equivelent (MXN) 191,082,193 $ 2,505,259, % Sub total $ - $ 218,243,598 $ 2,861,369, % 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 $ 7,895, % 86.80% $ 6,853,004 $ 89,849, % Investment C Senior Unsecured Credit Investment Transportation $ 17,100, % 88.63% $ 15,156,129 $ 198,710, % Investment D Senior Secured Credit Investment Oil & Gas $ 15,842, % % $ 15,886,983 $ 208,292, % Investment E Senior Secured Special Situations Retail & Consumer $ 21,875, % 92.26% $ 20,181,725 $ 264,600, % Investment E Warrants 11.17% 11.17% $ 2,443,224 $ 32,032, % Investment F Senior Unsecured NPL & Distressed Homebuilders $ 3,492, % 18.58% $ 648,930 $ 8,508, % Investment G Senior Unsecured NPL & Distressed Homebuilders $ 7,020, % 18.58% $ 1,304,550 $ 17,103, % Investment H Senior Unsecured NPL & Distressed Homebuilders $ 15,561, % 18.58% $ 2,891,753 $ 37,913, % Investment J Senior Secured Credit Investment Oil & Gas $ 40,000, % % $ 45,098,194 $ 591,277, % Investment K Senior Secured Credit Investment Telecommunication $ 19,897, % % $ 20,713,882 $ 271,577, % Investment P Senior Unsecured Credit Investment Oil & Gas $ 25,000, % % $ 25,022,396 $ 328,066, % Investment Q Senior Secured Credit Investment Media $ 20,000, % % $ 20,229,801 $ 265,230, % Investment S Senior Secured Credit Investment Chemical $ 20,000, % % $ 21,894,375 $ 287,054, % $ 213,683,829 $ 198,324,947 $ 2,600,218, % MXN Investments $ 342,008,100 $ 4,484,033, % 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, % % $ 19,678 $ 258, % Investment N Senior Secured Third Party Retail Loan Portfolio Housing $ 45,655, % 81.47% $ 2,837,164 $ 37,197, % Investment O Senior Secured Third Party Retail Loan Portfolio Financial Services $ 301,000, % % $ 23,246,934 $ 304,788, % Investment X Senior Unsecured Subordinated / Mezzanine Real Estate $ 500,000, % % $ 38,804,760 $ 508,765, % Investment T, U, V Senior Secured NPL & Distressed Housing $ 1,743,263, % 26.35% $ 35,029,438 $ 459,267, % Investment Y Senior Secured NPL & Distressed Retail & Consumer $ 6,810,973, % 0.66% $ 3,415,070 $ 44,774, % Investment W Senior Secured Credit Investment Construction $ 520,000, % % $ 40,330,109 $ 528,764, % Sub total $ 9,921,149,733 $ 143,683,153 $ 1,883,815, % 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 8/31/14 12

13 Mexican Credit Opportunities Trust Exposure 8/31/14 Third Party Retail Loan Portfolio, 4.66% Subordinated / Mezzanine, 6.93% By Strategy By Capital Structure Senior Unsecured, 15.63% NPL & Distressed, 7.73% Special Situations, 5.26% Credit Investment, 36.47% Senior Secured, 45.42% * Excludes Cash and Cash Equivalent Assets 13

14 Mexican Credit Opportunities Trust Exposure 8/31/14 Chemical, 3.91% Media, 3.61% Financial Services, 4.15% Housing, 6.76% Real Estate, 6.93% Homebuildres, 0.86% By Industry Telecommunica tion, 3.70% Construction, 7.20% Transportation, 3.93% Retail & Consumer, 4.65% Oil & Gas, 15.35% Investment X, 6.93% Investment W, 7.20% Investment T, U, V, 6.25% Investment Y, 0.61% Investment S, 3.91% By Investments Investment B, 1.22% Investment C, 2.71% Investment D, 2.84% Investment E, 3.60% Investment E Warrants, 0.44% Investment F, 0.12% Investment G, 0.23% Investment H, 0.52% Investment J, 8.05% Investment K, 3.70% Investment Q, Investment N, Investment L, 3.61% Investment P, 0.51% 0.00% Investment O, 4.47% 4.15% * Excludes Cash and Cash Equivalent Assets 14

15 Mexico Credit Opportunities Trust Risk Summary 8/31/2014 Market Value Sensitivity MXN$ 7.3 bm Duration 2.524% 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% 1.305% 0.000% MXN Gov't Rate bps 1.058% % (1, 3, 6, 12, 24, 60, 84, 120 Mth Curves Shift up 100 bps) MXN Govt Curve Steepner 0.388% 0.001% (1 Mth IR -100bps, 10 Yr IR +100 bps) MXN Govt Curve Flattener % % (1 Mth IR +100bps, 10 Yr IR -100 bps) USD Scenarios 4 S&P 500 Index -30% 5.786% 0.000% USD LIBOR bps % 0.216% (1, 3, 6, 12 Mth LIBOR Shifts up 100 bps) USD LIBOR Steepner 2.685% 0.235% ( 12 Month LIBOR +100 bps) USD LIBOR Curve Flattener % % (1 Month +100 bps) FX Scenarios 4 MXN/USD -1% % % USD/MXN > MXN/USD +1% 0.312% 0.400% USD/MXN > MXN/USD -5% % % USD/MXN > MXN/USD +5% 1.559% 1.998% USD/MXN > MXN/USD -20% % % USD/MXN > MXN/USD +20% 6.244% 7.991% 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% 2.52% -2.68% 2.89% 1.40% 2.60% 1.48% 3.49% 1.35% 2.47% MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant USD Investments 34.4% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 25.7% 5.97% -1.49% 0.82% 0.35% 0.78% 0.19% 1.28% 0.35% 0.80% 4.8% 0.00% 0.00% 0.36% 0.17% 0.37% 0.12% 0.43% 0.17% 0.35% 35.1% 2.82% -1.20% 2.50% 1.18% 2.42% 1.19% 3.19% 1.14% 2.35% 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% 1.305% 1.058% 0.388% % 5.786% % 2.685% % % 0.312% % 1.559% % 6.244% MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant USD Investments 34.4% 0.000% % 0.001% % 0.000% 0.000% 0.000% % 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 25.7% % % % 0.076% % % % % 0.048% % 0.244% % 1.089% % 4.8% 0.203% 0.230% 0.063% % 0.843% 4.266% 0.827% 4.656% % 0.048% % 0.242% % 0.969% 35.1% 1.243% 1.289% 0.397% % 5.265% % 3.781% % % 0.310% % 1.545% % 6.114% 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% 0.216% 0.235% % % 0.400% % 1.998% % 7.991% MXN Cash & Cash Equivelant 34.4% 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 25.7% 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% 4.8% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% % 0.048% % 0.242% % 0.969% 35.1% 0.000% 0.000% 0.000% 0.000% 0.000% 0.216% 0.235% % % 0.351% % 1.755% % 7.021% 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% % 1.266% % 2.663% % 5.688% % % MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant 34.4% 0.000% 0.000% 0.000% 0.000% % 0.001% % 0.000% % 0.003% 25.7% % 0.015% % 0.785% % 1.610% % 3.392% % 8.149% 4.8% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% USD Investments 35.1% % 0.010% % 0.480% % 1.053% % 2.297% % 4.207% 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% % 1.406% % 2.833% % 5.688% % % MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant 34.4% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 25.7% % 0.015% % 0.785% % 1.610% % 3.392% % 8.149% 4.8% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% USD Investments 35.1% % 0.012% % 0.621% % 1.223% % 2.297% % 4.081% 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 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 Volatility 3.00% 2.00% 1.00% 0.00% -1.00% -2.00% -3.00% -4.00% Duration & Credit Spread 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 Duration CS % 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 1 Month VaR (22 day history) 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 Parametric 1-Month* Historical 1-Month* Monte Carlo1-Month* 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 1 Month VaR (3 year history) 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 Parametric 1-Month Historical 1-Month Monte Carlo 1-Month 18

19 Mexican Credit Opportunities Trust Predictive MXN Scenarios 2.00% 1.50% 1.00% 0.50% 0.00% -0.50% -1.00% -1.50% Aug-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 % 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% Predictive USD Scenarios Bolsa Equity Index - 30% MXN Gov't Rate bps MXN Govt Curve Steepner MXN Govt Curve Flattener 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 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 MXN/USD -1% MXN/USD +1% MXN/USD -5% MXN/USD +5% MXN/USD -20% MXN/USD +20% USD Govt Curve Flatener S&P 500 Index -30% USD Gov't Rate bps USD Govt Curve Steepner 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 % 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% -0.10% MXN/USD -1% MXN/USD +1% MXN/USD -5% MXN/USD +5% MXN/USD -20% MXN/USD +20% Absolute USD Scenarios Absolute MXN Scenarios 0.03% 0.02% 0.02% 0.01% 0.01% 0.00% -0.01% -0.01% -0.02% -0.02% -0.03% Jan-13 Aug-14 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 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 USD Govt Curve Flatener S&P 500 Index -30% USD Gov't Rate bps USD Govt Curve Steepner Bolsa Equity Index - 30% MXN Gov't Rate bps 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 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. 21

22 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