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

Transcription

1 MEXCO z Credit Suisse Mexico Credit Opportunities Trust May 2014 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 150 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 Total invested amount equivalent to USD$344.97MM, representing 66.35% of AUM (net issuance proceeds): USD denominated investments of USD$201.25MM representing 38.71% of AUM MXN denominated investments of MXN$1,849.19MM representing 27.64% of AUM Gross Performance Analysis MEXCO USD Portfolio MXN Portfolio Period IRR 15.34% 31.54% Annualized IRR 10.55% 21.24% LACI Index All region - All rating All region - B bucket All region - BB bucket Period IRR 3.35% 5.05% 4.31% Annualized IRR 2.31% 3.47% 2.97% LACI Index Mexico - All rating Mexico - B bucket Mexico - BB bucket Period IRR 2.14% 8.35% -7.53% Annualized IRR 1.48% 5.72% -5.29% 16% USD Portfolio IRR MXN Portfolio IRR * 14% 12% 10% 8% 6% 4% 2% 0% May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Period IRR Annualized IRR 70% 60% 50% 40% 30% 20% 10% 0% Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Period IRR Normalized Period IRR* * Note: Normalized Period IRR for non-recurring returns are obtained in the initial investments 1

2 Price changes to individual investments were as follows: USD INVESTMENTS MXN INVESTMENTS Clean Price 30-May Apr-14 Clean Price 30-May Apr-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 NA Retail & Consumer loan's warrants NPLs Oil & Gas Loan NPLs NA 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$20MM at the Operating Company (OpCo) level and USD$7MM 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$19.9MM in a public company dedicated to the construction business in Mexico. During April 2013 MEXCO purchased a Credit Investment for USD$21MM 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$20MM 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$10MMface 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 $1MM face value of high yield bonds. During August 2013 MEXCO purchased three portfolios of Non-Performing Loans, investing a total amount of MXN $258,000. During September 2013 MEXCO purchased USD $39.74MM face value of senior secured bonds. During October 2013 MEXCO purchased USD $1.775MM face value of senior secured bonds. During October 2013 MEXCO purchased USD $5MM face value of senior unsecured bonds. During October 2013 MEXCO purchased a Loan Portfolio (restructured mortgages) for MXN$43.32MM During November 2013 MEXCO purchased USD $2.032MM face value of senior secured bonds. During November MEXCO purchased a Credit Investment for USD$25MM in a company that provides services primarily to oil & gas industry. During November MEXCO purchased a Credit Investment for MXN$100MM in a Financial Services company. During December 2013 MEXCO purchased USD $20MM face value of high yield bonds. 2

3 During December 2013 MEXCO purchased a Credit Investment for MXN$50MM in a Financial Service Company. During December 2013 MEXCO purchased three Non-performing Mortgage Loan Portfolios for MXN$445.47MM. During December 2013 MEXCO purchased a Credit Investment for USD$19.8MM 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$520MM in a company dedicated to the construction business in Mexico. During February 2014 MEXCO purchased a Credit Investment for MXN$50MM in a Financial Service Company. During March 2014 MEXCO purchased a Credit Investment for MXN$30MM in a Financial Service Company. During April 2014 MEXCO purchased a Credit Investment for MXN$41MM in a Financial Service Company. During May 2014 MEXCO purchased a Credit Investment for MXN$500MM in a Real Estate Company. During May 2014 MEXCO purchased a Credit Investment for MXN$30MM 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$46.9MM at MXN$ /USD. The April 2013 investment was done in US dollars for which the Trust entered into an FX transaction to purchase USD$20.1MM at MXN$ /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$60.6MM at an average FX rate of MXN$ /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$12.95/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$13.12/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 May 30 th 2014, the Trust has purchased a total of USD $ MM at an average FX rate of MXN$ /USD. 3

4 Portfolio Overview We have invested a total of USD$344.97MM with a market value of USD$345.50MM (MXN$4,445.24) as of May 30 th, 2014, representing 66.35% of the total Assets Under Management ( AuM, or net proceeds received of $6,689,197,842 pesos) and 62.13% 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 ~3.41%. We believe that at our current rate of investment, the MEXCO funds should be 100% invested within our 2-year investment period. Cash invested in CS originated deals represent 13.04% of AUM within our portfolio guideline of 35% Our investment in the Transportation Industry represents 4.23% of the total NAV* Our investment in Oil & Gas Industry represents 15.61% of the total NAV* Our investment in Retail & Consumer Industry represents 4.76% of the total NAV* Our investment in Homebuilders represents 0.70% of the total NAV* Our investment in Telecom represents 3.76% of the total NAV* Our investment in Media represents 3.66% of the total NAV* Our investment in Chemicals and Refining represents 3.94% of the total NAV* Our investment in Housing represents 6.72% of the total NAV* Our investment in the Financial Services Industry represents 4.36% of the total NAV* Our investment in the Construction industry represents 7.37% of the NAV* Our investment in the Real Estate industry represents 7.02% of the NAV* 36.06% of the NAV is in US dollars* 26.07% of the NAV is in MXN* Clean Market Value Expected Mkt Value as Original Cost as USD Investments Original Notional Original Cost Current Notional Price Dirty Price (USD) Cash Cpn PIK Cpn IRR a % of NAV a % of AUM Transportation Loan $ 20,000,000 $ 20,000,000 $ 17,850, $ 16,344,915 L + 7.5% 7.50% 2.94% 3.85% Transportation Loan $ 7,000,000 $ 7,000,000 $ 7,738, $ 7,169, % 8.00% 19.00% 1.29% 1.35% Oil & Gas Loan $ 21,000,000 $ 21,000,000 $ 16,828, $ 16,892,206 L + 7.0% 7.00% 3.04% 4.04% Retail & Consumer Loan $ 20,000,000 $ 20,360,000 $ 21,235, $ 20,765,302 L % 6.00% 18.00% 3.73% 3.92% Retail & Consumer Warrants $ 2,407,410 NA 0.43% Oil & Gas Loan $ 25,000,000 $ 25,000,000 $ 25,000, $ 25,000, % 10.50% 4.50% 4.81% Medi a $ 20,000,000 $ 19,800,000 $ 20,000, $ 20,355,778 L+8.25% 9.84% 3.66% 3.81% Distressed bonds $ 3,492,000 $ 1,367,078 $ 3,492, $ 520,890 NA 15.00% 0.09% 0.26% Distressed bonds $ 7,020,000 $ 2,620,400 $ 7,020, $ 1,047,150 NA 15.00% 0.19% 0.50% Distressed bonds $ 15,561,000 $ 5,629,285 $ 15,561, $ 2,321,183 NA 15.00% 0.42% 1.08% Senior secured bonds $ 40,000,000 $ 39,740,400 $ 40,000, $ 44,918, % 8.50% 8.08% 7.64% Senior secured bonds $ 4,597,000 $ 4,472,589 $ 4,597, $ 4,826, % 9.70% 0.87% 0.86% Senior secured bonds $ 10,375,000 $ 9,994,872 $ 10,375, $ 10,893, % 10.13% 1.96% 1.92% Senior secured bonds $ 4,925,000 $ 4,393,194 $ 4,925, $ 5,171, % 13.00% 0.93% 0.84% Senior unsecured bonds $ 20,000,000 $ 19,868,000 $ 20,000, $ 21,908, % 8.00% 3.94% 3.82% Total $ 218,970,000 $ 201,245,818 $ 214,622,420 $ 200,543, % 36.06% 38.71% Clean Market Value Expected Mkt Value as Original Cost as MXN Investments Original Notional Original Cost Current Notional Price Dirty Price (MXN) Cash Cpn PIK Cpn IRR a % of NAV 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 $ 47,413, $ 38,630,240 NA 15.00% 0.54% 0.65% Financial Services Loan $ 301,000,000 $ 297,689,000 $ 301,000, $ 312,224, % 14.00% 4.36% 4.45% Construction $ 520,000,000 $ 520,000,000 $ 520,000, $ 527,239, % 13.19% 7.37% 7.77% Real Estate $ 500,000,000 $ 500,000,000 $ 500,000, $ 502,222, % 16.00% 7.02% 7.47% NPLs $ 1,829,235,262 $ 445,466,250 $ 1,746,931, $ 442,019,849 NA 20.00% 6.18% 6.66% NPLs $ 6,810,973,044 $ 42,452,962 $ 6,810,973, $ 42,452,962 NA 22.00% 0.59% 0.63% Total $ 10,017,843,821 $ 1,849,188,048 $ 9,926,576,632 $ 1,865,047, % 26.07% 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 May 2014 of MXN$ /USD. 4

5 USD Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Media, 3.66% Chemicals & refining, 3.94% Transportation, 4.23% Special Situations, 5.46% NPL & Distressed, 0.70% Telecom, 3.76% Homebuilders, 0.70% Retail & Consumer, 4.17% Oil & Gas, 15.61% Credit Investment, 29.91% Source: MEXCO These graphs represent the sector holdings breakdown of the USD portfolio as a percentage of NAV which totals to 36.06%. MXN Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Real Estate, 7.02% Retail & Consumer, 0.59% Housing, 6.72% Mezzanine, 7.02% NPL & Distressed, 6.78% Construction, 7.37% Financial Services, 4.36% Credit Investment, 7.37% Third Party Originated Retail Loan, 4.90% Source: MEXCO These graphs represent the sector holdings breakdown of the MXN portfolio as a percentage of NAV which totals to 26.07%. Consolidated Portfolio Sector Holdings breakdown (vs. total NAV) Industry Strategy Construction, 7.37% Real Estate, 7.02% Transportation, 4.23% Oil & Gas, 15.61% Cash, 37.87% Credit Investment, 37.28% Financial Services, 4.36% Housing, 6.72% Chemicals & refining, 3.94% Media, 3.66% Homebuilders, 0.70% Telecom, 3.76% Retail & Consumer, 4.76% Mezzanine, 7.02% Third Party Originated Retail Loan, 4.90% NPL & Distressed, 7.47% Special Situations, 5.46% Source: MEXCO These graphs represent the sector holdings breakdown of the USD and MXN portfolio as a percentage of NAV which totals to 62.13%. 5

6 Consolidated Portfolio Allocation by origination source (vs. total AUM) Origination as a % of AUM Broker, 4.45% MEXCO, 7.47% Primary Mkt, 13.39% Investment Bank, 12.58% CS, 13.04% NPL, 7.94% PE/Company, 3.92% Secondary Mkt, 3.55% Source: MEXCO This graph represents the consolidated portfolio allocation by origination source as a percentage of AUM which totals to 66.35%. Investment Updates As anticipated, we received the following payments in May 2014: An interest payment of USD$102, and an amortization of USD$383, from the Oil & Gas Loan 1 An interest payment of USD$223, from the Oil & Gas Loan 2 An interest payment of MXN$3,007, from the Financial Services Loan An interest payment of MXN$2,444, from the Real Estate Loan Mexico s Political and Economic Update - (Alonso Cervera) The following is a summary of the main economic and political developments in Mexico in May. In early May Fitch Ratings affirmed Mexico's BBB+ long-term foreign currency sovereign rating as well as the Stable outlook. Most investors likely had anticipated that Fitch would change the outlook on the rating from stable to positive, we think. According to Fitch, factors that could trigger a positive rating action include "a higher growth trajectory" and "material gains in fiscal flexibility and buffers to confront shocks". For 2014 Fitch anticipates real GDP growth to be 3%. Meanwhile, factors that could trigger a negative rating action include "sustained economic under-performance and fiscal deterioration" and "a sharp and sustained fall in oil income that seriously challenges Mexico's fiscal flexibility". As a reference, Fitch projects that the price of oil (Brent) will average $105 per barrel in 2014 and $100 per barrel in On 21 May, the central bank lowered its annual average real GDP growth forecast for 2014 to a range between 2.3% and 3.3%, from a previous range of between 3.0% and 4.0%. The mid-point of the new range is in line with our growth forecast of 2.8%. The bank left unchanged its growth forecast for 2015 in a range between 3.2% and 4.2%. Despite the reduction in the growth forecast for 2014, the bank noted in its quarterly inflation report that the most timely data suggests an incipient recovery of economic activity is under way. On the inflation front, the central bank s fan charts in the inflation report were not too different from those in the previous report (February 2014). The bank expects annual inflation to rise in the second half of 2014, partly due to a low base of comparison. This is consistent with our forecasts. Finally, on the monetary policy front, the bank reiterated the main messages from its most recent policy statement, namely that it will pay close attention to all determinants of inflation, in particular the output gap and its monetary policy stance relative to that of the US Federal Reserve. On 23 May the government reported that real GDP grew 0.3% quarter-on-quarter non-annualized and seasonally adjusted in the first quarter of This was below consensus expectations of 0.5% growth. In annual terms, growth was 1.8%, in line with our estimates but below market expectations of 2.1%. The government lowered on Friday its real GDP growth forecast for 2014 to 2.7% from 3.9%. Real GDP growth expectations for 2014 worsened in the May central bank survey to 2.8% from 3.0% in the April survey. For 2015, the latest average real GDP growth forecast is 3.9%. On the positive side, however, inflation expectations for year-end 2014 improved to 3.8%, the lowest level since the October 2013 survey. According to the results from the May 6

7 survey, 86% of analysts think that the business climate will improve in the next six months, the highest degree of optimism since April At the same time, 58% of survey respondents think that this is a good time to invest, the highest since May The government reported that the PMI fell slightly from 52.9 in April to 52.7 in May. Four of the five components of the index fell in monthly terms, with expected output posting the biggest drop from 55.2 in April to 53.8 in May. The government's PMI has fluctuated within a very narrow range of 52.4 to and 52.9 since November Meanwhile, the government also reported that the producer confidence index for the manufacturing sector was unchanged in May versus April at Three of the five components of this index fell in monthly terms. The main drop was in producers' perception as to whether this was a "good moment" to invest. This subindex fell to 41.6 from 42.2 in April, reaching the lowest level since January Finally, the government reported that consumer confidence rose for the fourth consecutive month in May. The consumer confidence index rose to 90.4, from 89.7 in April. This is the highest level since November Four of five components of the index rose in May while one was unchanged (ability to make purchases of durable goods). We think confidence is being underpinned by recent disinflation, higher remittances and higher credit availability to consumers. Finally, on the political front, The opposition PAN confirmed on 20 May that Gustavo Madero won the party's internal elections with approximately 57% of the votes, while Ernesto Cordero won 43%. Cordero acknowledged the defeat and said he would not challenge the results. He said that "we won't go into a legal battle for what our party needs is an ethical battle." Meanwhile, in his acceptance speech Madero said that the party's challenges were "in upcoming elections, in the approval of the best possible secondary laws to continue modernizing Mexico and in becoming Mexico's best political party." Annex A - Portfolio report published by AI Risk Management area of CSAM 7

8 Mexico Credit Opportunity Trust Risk Analysis Analysis Date: 3, 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. 8

9 Mexican Credit Opportunities Trust IRR 9

10 Mexican Credit Opportunities Trust Valuations 10

11 Business Date USD/MXN FX Rate MXN/USD FX Rate USD USD $ 556,061,038 Daily NAV MXN $ 7,154,281,316 Mexico Credit Opportunities Trust Exposure 5/30/2014 Gross Market Exposure (USD) 0.08 Cash Investments Gross Market Exposure (MXN) % of NAV 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 Cash & Cash Equivelent (USD) 20,720,054 $ 266,584, % Cash & Cash Equivelent (MXN) 189,838,247 $ 2,442,458, % Sub total $ - $ 210,558,301 $ 2,709,043, % 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 $ 7,738, % 92.65% $ 7,169,881 $ 92,247, % Investment C Senior Unsecured Credit Investment Transportation $ 17,850, % 91.57% $ 16,344,915 $ 210,293, % Investment D Senior Secured Credit Investment Oil & Gas $ 16,828, % % $ 16,892,206 $ 217,335, % Investment E Senior Secured Special Situations Retail & Consumer $ 21,235, % 97.79% $ 20,765,302 $ 267,166, % Investment E Warrants 11.34% 11.34% $ 2,407,410 $ 30,973, % Investment F Senior Unsecured NPL & Distressed Homebuilders $ 3,492, % 14.92% $ 520,890 $ 6,701, % Investment G Senior Unsecured NPL & Distressed Homebuilders $ 7,020, % 14.92% $ 1,047,150 $ 13,472, % Investment H Senior Unsecured NPL & Distressed Homebuilders $ 15,561, % 14.92% $ 2,321,183 $ 29,864, % Investment J Senior Secured Credit Investment Oil & Gas $ 40,000, % % $ 44,918,056 $ 577,915, % Investment K Senior Secured Credit Investment Telecommunication $ 19,897, % % $ 20,891,850 $ 268,794, % Investment P Senior Unsecured Credit Investment Oil & Gas $ 25,000, % % $ 25,000,000 $ 321,650, % Investment Q Senior Secured Credit Investment Media $ 20,000, % % $ 20,355,778 $ 261,897, % Investment S Senior Secured Credit Investment Chemical $ 20,000, % % $ 21,908,750 $ 281,877, % $ 214,622,420 $ 200,543,370 $ 2,580,191, % MXN Investments $ 345,502,737 $ 4,445,238, % 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, % % $ 20,053 $ 258, % Investment N Senior Secured Retail Loan Portfolio Housing $ 47,413, % 81.47% $ 3,002,506 $ 38,630, % Investment O Senior Secured Retail Loan Portfolio Financial Services $ 301,000, % % $ 24,267,379 $ 312,224, % Investment X Senior Unsecured Subordinated / Real Estate $ 500,000, % % $ 39,034,838 $ 502,222, % Investment T, U, V Senior Secured NPL & Distressed Housing $ 1,746,931, % 25.30% $ 34,355,654 $ 442,019, % Investment Y Senior Secured NPL & Distressed Housing $ 6,810,973, % 0.62% $ 3,299,624 $ 42,452, % Investment W Senior Secured Credit Investment Construction $ 520,000, % % $ 40,979,313 $ 527,239, % Sub total $ 9,926,576,632 $ 144,959,367 $ 1,865,047, % Fund Total $ 10,141,199,052 $ 556,061,038 $ 7,154,281, % 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 5/30/14 11

12 Mexican Credit Opportunities Trust Exposure 5/30/14 Subordinated / Mezzanine, Retail Loan 7.02% Portfolio, 4.90% NPL & Distressed, 7.47% Special Situations, 5.46% By Strategy Credit Investment, 37.28% Senior Unsecured, 15.89% By Capital Structure Senior Secured, 46.25% By Investments Chemical, 3.94% Media, 3.66% Financial Services, 4.36% Housing, 7.32% Real Estate, 7.02% Homebuildres, 0.70% By Industry Telecommunic ation, 3.76% Construction, 7.37% Transportation, 4.23% Oil & Gas, 15.61% Retail & Consumer, 4.17% Investment Y, 0.59% Investment X, 7.02% Investment W, 7.37% Investment T, U, V, 6.18% Investment B, 1.29% Investment C, 2.94% Investment D, 3.04% Investment E, 3.73% Investment E Warrants, 0.43% Investment F, 0.09% Investment G, 0.19% Investment H, 0.42% Investment J, 8.08% Investment K, 3.76% Investment S, 3.94% Investment Q, 3.66% Investment P, 4.50% Investment O, 4.36% Investment L, 0.00% Investment N, 0.54% * Excludes Cash and Cash Equivalent Assets 12

13 Mexico Credit Opportunities Trust Risk Summary 5/30/2014 Market Value Sensitivity MXN$ 7.1 bm Duration 2.616% 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 Correlations Matrix Absolute Bolsa Equity Index - 30% 1.063% 0.000% MXN Gov't Rate bps 1.051% % (1, 3, 6, 12, 24, 60, 84, 120 Mth Curves Shift up 100 bps) MXN Govt Curve Steepner 0.338% 0.003% (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% 5.437% 0.000% USD LIBOR bps % 0.259% (1, 3, 6, 12 Mth LIBOR Shifts up 100 bps) USD LIBOR Steepner 0.440% 0.269% ( 12 Month LIBOR +100 bps) USD LIBOR Curve Flattener % % (1 Month +100 bps) FX Scenarios 4 MXN/USD -1% % % USD/MXN > MXN/USD +1% 0.304% 0.396% USD/MXN > MXN/USD -5% % % USD/MXN > MXN/USD +5% 1.520% 1.978% USD/MXN > MXN/USD -20% % % USD/MXN > MXN/USD +20% 6.088% 7.913% 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 13

14 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% 2.62% -2.81% 3.65% 1.11% 2.67% 0.79% 3.46% 1.10% 2.50% MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant USD Investments 34.3% 0.01% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 26.1% 6.05% -1.54% 1.23% 0.56% 0.82% 0.24% 1.32% 0.57% 0.79% 3.7% 0.00% 0.00% 0.39% 0.10% 0.29% 0.08% 0.33% 0.10% 0.28% 35.8% 2.88% -1.27% 3.39% 0.94% 2.52% 0.65% 3.25% 0.96% 2.39% Using Correlations 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% 1.063% 1.051% 0.338% % 5.437% % 0.440% % % 0.304% % 1.520% % 6.088% MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant USD Investments 34.3% 0.000% % 0.003% % 0.000% % % % 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 26.1% % % % 0.078% % % % % 0.050% % 0.258% % 1.151% % 3.7% 0.139% 0.182% 0.043% % 0.639% 3.706% 0.298% 3.182% % 0.037% % 0.187% % 0.747% 35.8% 1.083% 1.348% 0.367% % 5.218% % 1.631% % % 0.316% % 1.575% % 6.226% 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% % 0.003% % 0.000% 0.259% 0.269% % % 0.396% % 1.978% % 7.913% MXN Cash & Cash Equivelant 34.3% 0.000% % 0.003% % 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 26.1% 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% 3.7% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% % 0.037% % 0.187% % 0.747% 35.8% 0.000% 0.000% 0.000% 0.000% 0.000% 0.259% 0.269% % % 0.358% % 1.791% % 7.166% 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 14

15 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% % 0.026% % 1.319% % 2.798% % 6.019% % % MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant 34.3% 0.000% 0.000% % 0.001% % 0.003% % 0.000% % 0.009% 26.1% % 0.016% % 0.810% % 1.663% % 3.505% % 8.919% 3.7% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% USD Investments 35.8% % 0.010% % 0.508% % 1.133% % 2.514% % 4.831% 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% % 0.029% % 1.475% % 2.980% % 6.019% % % MXN Cash & Cash Equivelant MXN Investments USD Cash & Cash Equivelant 34.3% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 26.1% % 0.016% % 0.810% % 1.663% % 3.505% % 8.919% 3.7% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% USD Investments 35.8% % 0.013% % 0.664% % 1.318% % 2.514% % 4.633% 15

16 Mexican Credit Opportunities Trust 16

17 Mexican Credit Opportunities Trust 17

18 Mexican Credit Opportunities Trust 18

19 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. 19

20 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. 20