CS Core Views 2013

Credit Suisse Core Views

Fixed Income Global Product Marketing

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+1 212 538 6399

August 2, 2013

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THE LINKED DISCLOSURE APPENDIXES CONTAIN IMPORTANT DISCLOSURES, ANALYST CERTIFICATIONS, AND THE STATUS OF NON-U.S ANALYSTS. FOR OTHER IMPORTANT DISCLOSURES, visit www.credit-suisse.com/researchdisclosures or call +1 (877) 291-2683 for Credit Suisse Equity Research disclosures and visit https://firesearchdisclosure.credit-suisse.com or call +1 (212) 538-7625 for Credit Suisse Fixed Income Research disclosures. US Disclosure: Credit Suisse does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the Firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.

1 August 2, 2013

Key Changes to Core Views Since June 28

US Economics: Following the release of 2Q GDP and the comprehensive revisions, we have lowered our 3Q GDP forecast to

2.0% (from 2.6%). We made no changes to future quarterly growth rates. Our 2013 y/y GDP forecast is now 1.4% (previously 1.6%). In terms of monetary policy, a September QE3 tapering still seems more likely than not. But the market is justified in assigning a lower probability to a near-term cutback in asset purchases than before, since the July 31 FOMC statement did not indicate any bias in that direction.

Brazil Economics: We lowered our forecast for GDP growth in 2013 to 2.0% (from 3.0% previously and 4.0% earlier in the year).

Global Equity Strategy: We upgraded Continental Europe to benchmark within a global equity portfolio. We also upgraded European banks to overweight.

US Fixed Income Asset Allocation: We further reduced our duration underweight. Within corporates, we also moved to overweight staples given relative value to the discretionary sector.

Global Demographics & Pensions: We expand on previous research, focusing on Chinese labor mobility, migration, urbanization and reforms. We contend that future Chinese growth and equality is contingent on hukou reform and sustainable urbanization. We also present demographic highlights for 20 selected countries from the recently released UN revision, along with trends in conditional longevity and effects on economic growth.

EEMEA Strategy: We believe that the backdrop for EEMEA local rates has become favorable and recommend received positions in Russia and Poland and curve trades in South Africa.

FX Strategy: Given the unusual lack of synchronization in both economies and monetary policy, we think it is now time to declare the end of the USD bear market, which occurred between 2002 and 2011, with the USD likely to appreciate against most of its trading partners over the coming year. We remain modestly bullish the euro, but have cut our EURUSD forecast to 1.30 in 3 months and 1.33 in 12 months (from 1.37 and 1.40, respectively). We have revised our forecasts for the CAD, SEK, NOK and AUD.

Non-Agency MBS: With a modicum of rate stability, the tone in the non-agency market is starting to firm up and we take a slightly less defensive stance.

Please see the new Credit Suisse Core Views page in CS Plus Analytics (powered by Locus). The page provides easy access to our views with the ability to filter by product.

2 August 2, 2013

For the research analysts' and non-research strategists’ most recent communications on views mentioned in this document, visit Credit Suisse Research & Analytics (http://research-and-analytics.csfb.com).

Outlook Over the Next 3-6 Months

Global Economics: We expect global growth in 2013 to be similar to that in 2012. Our central scenario for the global economy envisages GDP growth of 3.0% in 2013 and 3.8% in 2014. The growth gap between EM and DM should remain close to its narrowest level in ten years. See: Developed Economics & Emerging Market Economics.

Global Fixed Income Strategy: We expect Risk Appetite to re-test Euphoria as Global IP Momentum reaccelerates from its summer dip.

Global Equity Strategy: We are 4% overweight equities given that: (1) relative valuations are still attractive; (2) global economic momentum is accelerating; (3) the outlook for earnings is improving; (4) pessimism on the impact of tapering is overdone; (5) long-term investors are still cautiously positioned.

Market Strategies: We believe that the net result of the recent lack of action by the major central banks is that only strong data would justify the extent of flattening in the forwards.

Asset Allocation: We outline our asset allocation recommendations from US Fixed Income and Global Equity Strategy.

Technical Analysis: Global Risk Appetite continues to hold a top, and we look for a more concerted “risk off” phase. US Duration Risk Appetite is in “panic”, but no sign of a momentum turn yet. Equity Risk Appetite remains on the cusp of “panic”. AUD stays medium-term bearish and we look for further significant broad-based weakness. USD is showing tentative signs of strengthening again outright. We remain bearish Base and Precious metals, with significant end of trend reversals having been completed. EM Equity strength is seen as corrective prior to the core downtrends resuming. Weakness in Developed Equities has held key supports, and the trends stay up for now. 10yr US yields only see a more significant bearish break above 2.76%, for 2.86/90%, then 3.20/25%.

Global Demographics & Pensions: Based on our study of Chinese labor mobility and system, we believe that future Chinese growth is contingent on hukou reform and sustainable urbanization. Successful hukou and agricultural reform will enable sustained and balanced economic growth with equitable distribution - these are major priorities of the current Chinese leadership. We are overall positive on the Chinese government’s attempts to overhaul the hukou system. In a study on the demographic dynamics over business cycles and crises, we find that there are significant differences in consumer and worker characteristics across countries and periods. Therefore counter-cyclical policies need to be different. Global youth unemployment of 74.6 million in 2012 is a potential threat to growth and stability in many countries and regions. Demographic heterogeneity is related to varied degrees of fiscal sustainability in European countries in both the medium and long term.

Global Index & Alpha Strategies: Against a backdrop of ultra-low yields and limited opportunity for diversification, less conventional assets are highly likely to feature in the discussion of asset allocation choices in 2013. We highlight Credit Suisse volatility strategies that exploit the volatility risk premium in equities, interest rates, and currencies.

US Small Cap Equity Strategy: The R2000 has moved a bit above our year-end 2013 target of 950. We have argued that there was overshoot potential into the 1000-1025 area, but have worried that valuation pressures would return if that was achieved. The Russell 2000 has indeed recently surpassed 17x on a forward P/E multiple, in line with its April 2010 and April 2011 peaks. In this context, we think small caps are undergoing a significant test now. Just 2 of the 6 DRIVERs of small cap that we track appear positive – Investor Sentiment & Retail Money Flows – while 1 is now negative – Valuation.

Macro Core Views Summary

3 August 2, 2013

For the research analysts' and non-research strategists’ most recent communications on views mentioned in this document, visit Credit Suisse Research & Analytics (http://research-and-analytics.csfb.com).

Outlook Over the Next 3-6 Months

Commodities: The commodity complex is likely to remain under pressure. With the current unwind well under way, we expect commodities once again to begin to provide diversification benefits to many portfolios as the return of fundamentals continues. Supply growth is likely to remain the key driver of differentiation among individual commodities.

Credit

− European Credit Strategy: Our modal view of European BBB credit excess returns in 2013 is 275 bp. Risks are ever more “fat-tail” and dominated by the euro area. We still see the euro’s defining crisis as being in the future.

− Global Leveraged Finance Strategy: For US high yield for 2013, we project 7% total return and 1%-2% defaults. For US leveraged loans, we project 5.5% total return and 1%-4% defaults. For Western European high yield for 2013, we project 6% total return and 1%-2% defaults. For Western European leveraged loans, we project 5% total return and 2%-4% defaults.

Emerging Markets

Latam Strategy: We continue to recommend tactical rate receivers with compelling idiosyncratic drivers, positive carry, and limited mark-to-market risk. We favor short-dated receivers in Mexico and real rate receivers in Chile.

EEMEA Strategy: We continue to expect EEMEA rates to remain correlated with US rates and recommend focusing on the short end of the curves where inflation dynamics are favorable.

NJA Strategy: The bearish undertone in NJA rates markets is likely to persist. We expect most curves to bear steepen and bond swap spreads to widen.

Latam Corporate Credit: We favor Latam corporates that are market leaders in domestic consumption, infrastructure, and select low-cost commodity plays. 1Q13 earnings from the region were mixed, with Mexican homebuilders reporting particularly weak earnings and announcing plans to restructure.

FX Strategy: We expect the USD to appreciate over the coming year, with the magnitude of moves driven in large part by the policy response by each individual country to higher Fed rates. Our favorite shorts are the AUD and the JPY.

Interest Rate Strategy

US Rates: The Fed still looks to be on course for a September start to asset purchase tapering. A grinding recovery in the US economy, bond fund redemptions and a reduction in Fed purchases should remain bearish headwinds for the US rates market. We favor selling into strength for the remainder of the year while fading any long-end steepening. We continue to expect 10s to trade 2.60% by the end of 3Q and be at 2.75% at year-end.

European Rates: We expect risk and volatility to remain elevated but remain structurally bearish on long rates and expect the EUR and UK curves to steepen.

Japan Rates: The BoJ stayed on hold at the 11 June policy meeting, and the JGB market should remain unstable.

Securitized Products: We recommend being short the MBS basis. A stabilization in rates should help performance longer term. There has been a meaningful cheapening in the non-agency RMBS space. Yields look attractive across the spectrum, but we maintain our cautious short-term outlook, although we remain constructive long term. We prefer shorter-duration bonds and a barbell strategy of high- and low-beta sectors. The rise in rates, coupled with the view that they are likely to be somewhat range bound, at least over the near term, has been a positive for the new issue market, in our view.

Fixed Income Product Core Views Summary

4 August 2, 2013

Key Economic Releases and Policy Events

Sources: Credit Suisse, the BLOOMBERG PROFESSIONAL™ service, © 2013 Thomson Reuters Limited, various national statistical sources

Mon-05-Aug Tue-06-Aug Wed-07-Aug Thu-08-Aug Fri-09-Aug WEEKEND 10/11 Aug

Austrian (5y & 30y), UK (5y), and US

(3y) auctionsGerman (5y) and US (10y) auctions UK (21y) and US (30y) auctions Japanese auction (30y)

Mon-12-Aug Tue-13-Aug Wed-14-Aug Thu-15-Aug Fri-16-Aug WEEKEND 17/18 Aug

Japanese auction (5y)German (10y) and Spanish (5y & 10y)

auctionsUK auction (21y)

Mon-19-Aug Tue-20-Aug Wed-21-Aug Thu-22-Aug Fri-23-Aug WEEKEND 24/25 Aug

18:00: NY Fed Dealer Survey

results

3-year LTRO payback

announcement

Japanese (40y) and UK (5y) auctions German auction (2y) US auction (5y TIPS)

Mon-26-Aug Tue-27-Aug Wed-28-Aug Thu-29-Aug Fri-30-Aug UPCOMING

Italian (2y, 5y linker & 10y linker),

Japanese (20y) and US (2y) auctionsUS auction (5y)

Italian (5y & 10y), Japanese (2y)

and US (7y) auctions

3-year LTRO payback

announcement

10-15 Aug: CH New Yuan Loans

(Jul)

11 Aug: 23:50: JN GDP (2Q P)

10-15 Aug: CH New Yuan Loans (Jul)

4:30: JN Industrial Prod. (June F)

23:50: JN Machine Orders (Jun)

9:00: EA Industrial Prod. (Jun)

9:00: GER ZEW Survey (Aug)

11:30: US Small Biz Optimism (Jul)

12:30: US Retail Sales (Jul)

9:00: EA GDP (2Q A)

12:30: US PPI (Jul)

1:30: CH PPI / CPI (Jul)

5:30: CH Industrial Prod. (Jul), Fixed

Asset Inv. (Jul), Retail Sales (Jul)

6:45: FRA Industrial Prod. (Jun)

8:30: BoE Minutes

3-year LTRO payback

announcement

8:00: EA Services / Comp. PMI (Jul

F)

9:00: EA Retail Sales (Jun)

14:00: US ISM Non-Manuf. (Jul)

8:00: ITA Industrial Prod. (Jun)

8:30: UK Industrial Prod. (Jun)

10:00: GER Factory Orders (Jun)

12:30: US Trade Balance (Jun)

10:00: GER Industrial Prod. (Jun)

19:00: US Cons. Credit (Jun)

BoJ Target Rate18:00: Fed Senior Loan Officer

Survey results9:30: BoE Inflation Report

JN Eco Watchers (Jul)

CH Imports / Exports (Jul)

12:30: US Initial Jobless Claims

Key Data Releases for G3 and China and Main Policy Events (GMT)

Greek bond redemption (EUR 2.2bn) 18:00: FOMC minutes

20-24 Aug: GER IFO (Aug)

3-year LTRO payback

announcement

8:30: UK GDP (2Q P)

14:00: EA Cons. Conf. (Aug A)

14:00: US New Home Sales (Jul)

14:00: US Existing Home Sales (Jul)

12:30: US CPI (Jul), Empire Manuf.

(Aug), Initial Jobless Claims

13:15: US Industrial Prod. /

Capacity Utilization (Jul)

14:00: US Philadelphia Fed (Aug)

9:00: EA HICP (Jul)

12:30: US Housing Starts (Jul),

Productivity / Labor Costs (2Q P)

13:55: US U. Michigan Sent.

(Aug P)

1:45: CH HSBC Flash Manuf. PMI

(Aug)

8:00: EA Manuf. / Services / Comp.

PMI (Aug A)

12:30: US Initial Jobless Claims

22-24 Aug: KC Fed Jackson Hole Economic Summit

12:30: US Durable Goods (Jul)

13:00: US S&P / Case Shiller Home

Price (Jun)

14:00: US Cons. Conf. (Aug)

23:50: JN Retail Trade (Jul)

12:30: US GDP (2Q - 2nd Release),

Initial Jobless Claims

23:15: JN Markit/JMMA Manuf. PMI

(Aug)

23:50: JN Industrial Prod. (Jul P)

9:00: EA HICP Estimate (Aug),

Cons. Conf. (Aug F)

12:30: US Personal Income /

Spending (Jul)

13:45: US Chicago PMI (Aug)

13:55: US U. Michigan Conf.

(Aug F)

Aug: Portuguese EU/IMF review;

Eurogroup / ECOFIN meeting

Sep: German state election in

Bavaria; Eurogroup / ECOFIN

meeting

Sep 17-18: FOMC meeting

Sep 19: ECB meeting

Sep 22: German federal elections

Sep 23: Portuguese bond

redemption (EUR 6bn)

Sep 30: Italian bond redemption

(EUR 10.5bn)

Credit Suisse Macro Core Views

ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES ARE IN THE RESEARCH DISCLOSURE APPENDIX. FOR OTHER IMPORTANT

DISCLOSURES, PLEASE REFER TO https://firesearchdisclosure.credit-suisse.com.

6 August 2, 2013

For additional detail, please see: Global Economics Quarterly

Core Views

We expect global growth in 2013 to be similar to that in 2012. Our central scenario for the global economy envisages GDP

growth of 3.0% in 2013 and 3.8% in 2014. The growth gap between EM and DM should remain close to its narrowest level in

ten years.

We expect global growth to quicken in 2H following stabilization in 1Q. The pace of expansion should continue into next year,

supported by a more synchronized rebound in the global economy, namely recovery in the euro area, a quickening US economy,

and stabilization in China’s economic growth. We expect global growth to reach an annualized quarterly rate of 3.8% by year-

end.

We do not expect China’s slowdown will halt the upswing in the North Atlantic. In fact, we believe the improvement in the North

Atlantic data is likely to be of more significance for the pace of global growth than weakness in China and Asia.

Abrupt changes in financial conditions

“Muddle through” fails in Europe.

Downside surprise in global final demand.

Abrupt changes in oil prices.

Source: Credit Suisse

Global Economy 2012 2013E 2014E

Real GDP (% yoy) 3.2 3.0 3.8

IP (% yoy) 2.7 2.9 4.8

Inflation (% yoy) 3.1 2.8 3.4

Policy Rate Forecast 1Q 2Q 3QE 4QE

US Fed Funds 0-.25 0-.25 0-.25 0-.25

ECB Repo 0.75 0.50 0.50 0.50

BoJ Overnight Call 0-0.1 0-0.1 0-0.1 0-0.1

BoE Base 0.50 0.50 0.50 0.50

Key Forecasts Catalysts That Could Alter Our View

Global Economics Neal Soss

7 August 2, 2013

For additional detail, please see: Global Economics Quarterly and European Economics Quarterly

US Core Views

The US economy is making slow and steady progress. Growth is not “strong” relative to recent business cycle experience, but sustainability is less in doubt as the economy has

withstood successive slowdown scares and fiscal cliff-hangers. Our baseline assumes a moderate pick-up in the second half of this year and into 2014. Federal fiscal drag, which is peaking around now, will still be substantial, but sequentially less

intense in the period ahead and particularly next year. Consumer demand fundamentals are gradually improving. And we expect the housing recovery to persist. The dovish tone of the July 31 FOMC statement doesn’t rule out a reduction in the size of monthly asset purchases as early as the September 18 FOMC meeting. This is still our

baseline forecast. But the market is justified in assigning a lower probability to a near-term tapering than before, now that the FOMC has avoided even the mention of one.

Euro Area Core Views

There’s growing evidence that the euro area’s recession came to an end in the first half of 2012. We expect a tentative recovery to take hold in 2H and into 2014. Growth remains extremely unbalanced and, for the time being, entirely driven by exports. Domestic demand is only likely to recover next year. So the euro area is vulnerable to slower demand in the rest of the world, particularly Asia.

In the absence of palpable recovery, it seems likely that the trend of rising political instability will continue. Although we don’t expect the ECB to ease policy further, if growth is weaker than anticipated, there’s a significant risk that the deposit rate is cut into negative territory. Policy measures to improve SME financing at the margin are still some way off.

UK: We expect the BoE to implement Fed-style forward guidance in August with an intermediate threshold based on either the unemployment rate or nominal GDP growth. Given that the economy is likely to be some way from any thresholds specified, that may prove a spur to another round of asset purchases and renewed expansion of the BoE’s balance sheet. This combined policy stimulus should be supportive for growth.

Japan Core Views We expect the Japanese economy to grow strongly into 1Q 2014, followed by a temporary slowdown after the planned consumption tax hike in April 2014. We think that the outlook

for personal consumption and housing investment is brighter than that for net exports and business fixed investment, as aggressive monetary base expansion by the BoJ is expected

to bring about higher expected inflation rates at households.

OECD Core Views Canada: Despite 2.5% GDP growth in 1Q, second half growth risks keep our mild speed-up expectations in place. Payback from the run-up in housing and employment could play

out with a softer start to second-half household demand, although our US GDP outlook suggests upside risks to exports. Policymakers will welcome any speed-up in economic activity that helps absorb excess capacity, because inflation is still far enough away from the BoC’s 2% target. The overnight rate should end 2013 unchanged at 1.00% and end

2014 at 1.75%. Australia: We expect one more 25 bp cut from the RBA, bringing the cash rate to 2.50%. Our forecast is for calendar-year GDP growth to slow from an average

of 3.7% in 2012 to 2.5% in 2013. New Zealand: Set against a backdrop of broadly more positive activity and survey outturns, somewhat offset by increasing concerns about weakening agricultural output and the negative impact of an elevated currency, we expect the RBNZ to wait until at least the March 2014 quarter before raising the OCR by 25 bp to 2.75%.

Abrupt further increase in interest rates

“Muddle through” fails in Europe.

Downside surprise in global final demand.

Abrupt changes in oil prices.

Source: Credit Suisse

Catalysts That Could Alter Our View Key Forecasts

Real GDP (% yoy) 2012 2013E 2014E

US 2.8 1.4 2.5

Japan 1.9 1.6 1.3

Euro area -0.5 -0.5 1.2

UK 0.3 1.0 1.8

Canada 1.7 1.9 2.6

Developed Market Economics Neal Soss, Neville Hill, Hiromichi Shirakawa

8 August 2, 2013

Source: Credit Suisse

For additional detail, please see: Emerging Markets Quarterly and Global Economics Quarterly

Core Views

Emerging Markets should expand at about the same rate as in 2012. Inflation will likely remain below EM central banks’ targets for the rest of the year with only a few exceptions. While inflation targets may point these central banks towards easing, the capital outflows caused by recent financial market volatility complicate this expectation and likely delay or even negate the room for monetary maneuver.

Latam (Ex. Brazil)

We project that regional GDP growth will decelerate slightly in 2013. Most countries should also see higher inflation, while regional fiscal and external imbalances will remain modest.

The outlook for monetary policy and for regional currencies varies greatly by country. We see the Central Bank of Chile cutting the policy rate; most others should be on hold.

Event risk also varies by country; legal uncertainty dominates Argentina’s outlook, while we are very optimistic about Mexican structural reform prospects in upcoming quarters.

Brazil

We expect GDP growth of 2.0% in 2013. Compared to 2012, we expect greater expansion in the industrial and agricultural sectors on the supply side, and a resumption of investments on the demand side. We expect the Selic rate to reach 9.25% at year-end 2013 and to remain at this level until the end of 2014.

EEMEA

Available indicators for 2Q suggest an improvement in the QoQ real GDP growth rates in most EEMEA countries, and we expect this improvement to extend into 3Q. On our estimates, EEMEA economies currently have the largest spare capacity among all EM regions.

Core inflation dynamics are likely to remain benign, supporting the EEMEA central banks’ accommodative stance. We think inflation will be slightly higher in 2014 compared with 2013.

The growth differential between domestic demand in some EEMEA economies and external demand (mainly from the euro area) will continue to keep the current account deficits large in Poland, South Africa, and Turkey.

NJA

Our 2013 GDP growth forecast for NJA is 6.3%. Notwithstanding the recent weakness of most Asian currencies, inflationary pressures should remain reasonably tame, with the exception of Indonesia. Our year-end CPI inflation forecast is 4.1%. Indonesia is still the only country that we expect to hike rates in 2H, although the situation is clearly fluid.

China: The economy is still struggling with the lack of private investment momentum, but tentative signs are emerging, suggesting that perhaps the worst part of the deceleration is now behind us. A strong rebound in growth is unlikely without progress on structural reforms. We think reforms will eventually occur, but we would not place high hopes on the new leaders making significant progress with roadmaps and timetables for reforms at the third plenary session of the party congress. We think the peak in SHIBOR is behind us for now, but it is likely to stay at elevated levels.

India: We believe that GDP growth has bottomed and will improve modestly through 2013/14. The key fundamental drivers for improvement include the lagged benefits of the weaker INR, the end of the government’s big fiscal squeeze, softer commodity prices, and the prospect of stronger agricultural output as weather effects normalize. GDP growth is likely to exceed consensus expectations in both 2013/14 and 2014/15, although the risks to our current projections are on the downside in view of the recent RBI-induced spike in market interest rates as it squeezes liquidity to defend the currency.

Emerging Markets Economics Global: Neal Soss Latam: Alonso Cervera; Brazil: Nilson Teixeira; EEMEA: Berna Bayazitoglu; NJA: Dong Tao

Key Forecasts

Real GDP (% yoy) 2012 2013E 2014E 2012 2013E 2014E

Emerging Markets 5.0 5.0 5.7 Brazil 0.9 2.0 4.0

Latam 2.7 2.5 3.7 Russia 3.4 2.8 3.4

EEMEA 2.9 2.8 3.7 India 5.0 6.5 7.5

NJA 6.2 6.3 6.7 China 7.8 7.4 7.6

9 August 2, 2013

Core Views

Risk Appetite: Global Risk Appetite has fluctuated around its long-term average. US Duration Risk Appetite remains in “Panic” (<-3) and is likely to remain depressed as rates continue in their 2.40-2.75 range.

Growth: We expect a late-summer reacceleration of global IP, led by Europe and US. ISM New Orders, a global lead indicator, has jumped 6 points to a two-year high. Euro area PMIs were also strong and consumer confidence continues to improve suggesting healthier production and demand growth. Japan’s IP disappointed in June, but strength from corporate capex is likely to drive a subsequent rebound. Stronger growth from developed countries is likely to benefit EM markets and we see early positive signs from China and other Asian exporters.

Policy: Global policy makers are sending mixed messages. The Fed statement was slightly more dovish but it did not rule out a September tapering of asset purchases. China’s policy rhetoric has been more growth-friendly, despite their ongoing efforts to address structural issues. Meanwhile, Draghi appeared to undermine the significance of the newly-introduced ‘forward guidance’, suggesting it is merely a means of communicating its existing policy rather than a change to its policy framework.

Market: Mixed economic data and shifting policy expectations pushed up market volatility, especially in US Treasuries. Developed equities outperformed – peripheral Europe continued a multi-week rally and S&P has defended its new highs. Most EM equities remained weak, but some markets (Poland and Mexico) have rebounded. Industrial metals also show tentative signs of recovery.

Bottom Line: We expect Risk Appetite to re-test Euphoria as Global IP Momentum reaccelerates from its summer dip.

Key Forecasts

Global Fixed Income Strategy James Sweeney

Data key: bold = forecast, partial data.

Source: Credit Suisse

IP Momentum

Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13

-0.2% -0.7% 0.6% 1.8% 2.7% 3.0% 3.7% 4.1% 3.6% 3.2% 3.7% 5.4%

10 August 2, 2013

*Please view these publications and visit the Credit Suisse Equity Research Disclosures site for important disclosures.

Core Views (from Equity Research strategist Andrew Garthwaite’s recent publications on Credit Suisse Research & Analytics)*

We are 4% overweight equities. We also maintain a small overweight of corporate bonds, while being underweight government bonds and cash.

Our year-end 2013 target on the S&P 500 is 1,730.

We think equity markets are likely to rise by another 15% over the next two years, given that: (1) relative valuations are still attractive;

(2) global economic momentum is troughing; (3) the outlook for earnings is improving; (4) pessimism on the impact of tapering is overdone; (5)

long-term investors are still cautiously positioned.

Regional & country allocation: We favor the UK, Germany, Italy, Korea, and Japan. We have upgraded Continental Europe to benchmark

(having downgraded in November). We remain overweight Japan and emerging markets. We are underweight the US, which tends to be a

defensive market, and accordingly underperforms as global macro momentum accelerates.

Sectors: In Europe, we are overweight cyclicals (having upgraded in May) and financials. Our top overweights are software, media, airlines and

REITs. Our main underweights are mining, retailing, capital goods and energy. We are overweight cyclicals in the US (having upgraded in

December).

Key investment themes: US corporate discretionary spending, we think, will surprise positively; GEM consumer discretionary spending growth

is set to be 13% a year in real terms over the next ten years; the US housing recovery is accelerating; the theme of China as a competitive

threat is still underestimated. We think growth will continue to outperform in 2013. See 2013 Outlook: themes, sectors and styles for additional

details.

On the downside: a slowdown in Chinese growth below 6%, the Fed starting to raise rates prior to 2015, a sharp fall in US margins or a disorderly decline in the Yen.

On the upside: stronger-than-expected easing by developed market central banks (Fed, ECB, BoJ, BoE) in spite of an acceleration in global growth momentum, signs of a serious commitment to structural reforms in Japan, improving global earnings growth, a continued acceleration in the asset allocation switch from equities to bonds.

Catalysts That Could Alter Our View

Global Equity Strategy Andrew Garthwaite [email protected] +44 20 7883 6477

Source: Credit Suisse

Regional Weightings

Benchmark weight (%)

Recommended over/underweight

(% factor)

Hedged

Japan 9.2 16%

GEM 12.0 11%

UK 8.7 6%

Cont. Europe 16.9 0%

US 53.2 -6%

NB. Asia ex. Japan 10.3 17%

Source: Credit Suisse

Index Targets End

2013E

S&P 500 1,730

Euro Stoxx 50 2,900

FTSE 100 7,100

Nikkei 225 15,500

MSCI EMF GEM 1,120

MSCI AC World 430

11 August 2, 2013

Market Strategies Sean Shepley, David Homan

For additional detail, please see Macro Tactics

Core Views

The “kings of the market” that we believe dominate current price action are the expansion of equity multiples coming from the repricing of (especially US) private sector growth expectations and the rate/liquidity shock delivered by the Fed.

The most extreme expression of these two dynamics has been through long exposure to high beta US stocks (e.g., NDX or NTY) and short exposure to EEM. We show that the fixed income variant: long CDX HY and short CDX EM offers similar risk characteristics and modestly positive carry.

We believe that the net result of the recent lack of action by the major central banks is that only strong data would justify the extent of flattening in the forwards. In that context, we consider EUR 2s10s steepeners to be an attractive expression of a positive global growth view and, perhaps paradoxically, a trade that can enhance the portfolio performance of USD steepeners.

Although China policy now appears more supportive of macro stabilization, our debt market monitors suggest holding exposure to AUD and base metal shorts.

12 August 2, 2013

*Please view these publications and visit the Credit Suisse Equity Research Disclosures site for important disclosures.

US Fixed Income Allocation Core Views We utilize a top-down scorecard approach based on quantitative and

qualitative metrics. Our weightings are geared toward long-only unlevered

investors on a 6- to 12-month horizon. We recommend the following:

Modestly short duration;

Generally neutral curve exposure, with a slight steepening bias;

Overweight spread product;

Overweight corporates, Agency MBS, and investment grade EM against underweights in Agency senior debt and supra/sovereigns;

Within corporates, move to overweight staples given relative value to discretionary sector, maintain overweight in financials, neutral utilities.

Recommended Sector Allocation (deviation from benchmark)

Asset Allocation Andrew Garthwaite

Ira Jersey

Source: Credit Suisse

[email protected] +44 20 7883 6477

[email protected] +1 212 325 4674

Deviation from Benchmark Weight

Global Equity Strategy Core Views (from Equity Research strategist Andrew Garthwaite’s recent

publications on Credit Suisse Research & Analytics)*

Asset allocation recommendations:

Overweight equities versus cash

Prefer equities to corporate credit

Underweight government bonds (but, importantly, would be overweight corporate bonds versus government bonds)

Underweight commodities and cash

Asset Allocation Table

Source: Credit Suisse

Allocation Benchmark

(%)

Recommended

Weight

OW (+) UW

(-)

Equities 60.0 64.0 4.0

Gov Bonds 20.0 17.0 -3.0

Corp. Bonds 5.0 7.0 2.0

I-L Gov Bonds 2.5 2.5 0.0

Commodities 2.5 1.5 -1.0

Cash 10.0 8.0 -2.0

Total 100.0 100.0 0.0

13 August 2, 2013

Source: Credit Suisse

Core Views

Risk Appetite: Global Risk Appetite maintains a top, and with uptrend support broken we look for a more concerted “risk off” phase. US Duration Risk Appetite remains in “panic”, but momentum has yet to turn higher. Equity Risk Appetite is on the cusp of “panic”, but no sign of a momentum

turn yet. World Wealth strength is stalling, but uptrend support stays intact for now. Funding measures are showing signs of improving.

Fixed Income: 10yr US yields have moved higher, but only above their medium-term down trendline at 2.71/76% would mark an important bearish break, and further weakness to 2.90%, then 3.20/22%. Below 2.46% is needed to reassert a broader sideways range. We expect 2s10s

to steepen further, and 10s30s to flatten. 10yr TIPS Breakevens hold key support from the lower end of their medium-term range. 10yr Germany above 1.50/46% can see a slight bearish bias maintained. 10yr UK yields hold a yield base and we stay bearish, and look for steepening of 2s10s

and 5s10s. 30yr Spanish yields are threating to resume their bull trend, with a break below 5.065% seen as the trigger to a move back to

4.60/50%.

Equities: S&P 500 posts a new high and we look for strength to extend to 1750/75, from which a correction lower will be looked for. We remain

bullish US Tech and Financials. European Equities maintain uptrends, and Spain may be set for a break of key resistance from its medium-term

downtrend. We stay bullish European Banks. Emerging equities have rebounded, but this is seen as corrective and we stay medium-term bearish.

Nikkei is expected to range further, ahead of an eventual attempt to rally again.

FX: AUD stays bearish and we target .8675 next for AUDUSD, and eventually near .8100. EURAUD targets 1.5244. We look for NZD to start to come under pressure again soon also. Tentative signs are emerging the USD is set to begin a more bullish phase again. We remain bearish GBP for 1.48, and eventually 1.43/1.42. USDJPY is expected to remain in a sideways converging range for some time yet, but with an eventual upside

break expected.

Commodities: We remain bearish Gold for our $1155 target. Silver stays bearish for $17.30/00. Copper has achieved our $6635/6500 target. Although this should continue to be allowed to hold for a while, an eventual break is expected, for $6038/00. Aluminium has now also completed a

major top. WTI Crude Oil stays bullish for $110.55, then $114.83.

Key Levels

Support Resistance

10yr US Bond 2.76% 2.86/90% 2.46% 2.32%

S&P 500 1654 1560 1720 1750/75

EURUSD 1.3100 1.2755/46 1.3418 1.3711

Technical Analysis David Sneddon

14 August 2, 2013

Core Views

Most people miss the point on demographics by focusing just on age. In our view, demographics is about people as “consumers and

workers.” If viewed in that light, demographics affects income statements and balance sheets of companies, households, and nations.

GDP growth, public finances, inflation, and current accounts are affected by demographics. So too are asset prices-equity premia, real estate

prices, and long-bond yields, etc. Demographics also underlies emerging markets’ economic power.

Examples of How We Integrate Demographic Research into the Investment Processes

Demographics and Fiscal Sustainability

Growing age-related expenditures are causing strains in fiscal budgets from Japan to Greece and Portugal.

Demographics and GDP growth

Three demographic growth components help explain GDP growth rates and can be used to form views across pairs of countries.

Demographics & Sectors

With HOLT® and Delta-trading, we created a global basket of securities that has outperformed the MSCI Global Index.

Latest Research

Chinese Demographics – Labor mobility, migration, urbanization and reforms: We focus on labor mobility and the hukou system,

suggesting that accelerated reforms are needed to boost domestic demand and growth. We are overall positive on the Chinese

government’s attempts to overhaul the hukou system, which is essential for sustained and balanced growth.

Spotlight on UN revisions, Conditional longevity and Economic growth: Highlights from the UN revision focusing on 20 countries is

presented, along with trends in conditional longevity and its effect on economic growth.

Demographic dynamics over business cycles and crises: What matters is how different: Varying demographic dynamics over

business cycles and crises imply the need for differential fiscal and monetary policies over different crisis periods and across countries.

Rising Youth Unemployment: A Threat to Growth and Stability: Rising trends in youth unemployment post the recent financial crisis

have not only economic costs and implications but potentially longer lasting social and political implications too.

European Demographics & Fiscal Sustainability: European fiscal sustainability strains in the face of ageing and changing demographics

are discussed with detailed analysis for six countries (France, Germany, Italy, Greece, Portugal, and Spain).

How Increasing Longevity Affects Us All?: Market, Economic & Social Implications: We highlight the implications of increasing

longevity for individual investors, governments, fund managers, pension funds, insurance companies & SWFs.

Global Demographics & Pensions Research Amlan Roy

15 August 2, 2013

Core Views

In the June issue of the Systematic Alpha Monthly, we introduced the Credit Suisse JPY Bond Portfolio Hedging Index, a hedging

strategy for portfolios of Japanese Government Bonds (JGBs). The strategy dynamically adjusts short exposure to JPY swaps with

tenors ranging from 2 to 10 years.

In the 2013 Global Outlook, we considered the volatility risk premium across asset classes as a potential source of uncorrelated

return. We highlight three Credit Suisse strategies that dynamically exploit this premium in equities, interest rates and currencies.

We find that the negligible correlations among the Credit Suisse volatility strategies and with market benchmarks can push out the

efficient frontier of a conventional portfolio, allowing investors to achieve the same level of return for significantly lower risk.

We have released the 2013 edition of our CS Guide to Global Tradable and Benchmark Index Products. The Guide features our

comprehensive, ever-expanding family of cross-asset tradable indices that provide access to algorithmic and customized strategies,

as well as a set of benchmark indices that allow investors to perform relative value analysis and track market performance.

Global Index & Alpha Strategies Baldwin Smith

Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse.

Cumulative Index Performance, Apr 2003 – May 2013

85

90

95

100

105

110

115

Apr-03 Apr-05 Apr-07 Apr-09 Apr-11 Apr-13

JPY Bond Portfolio Hedging Index Short 10Y JPY Swap

Note: To facilitate comparison, returns of the rolling short 10Y JPY position are adjusted to match

the volatility of the Hedging Index.

16 August 2, 2013

*Please view these publications and visit the Credit Suisse Equity Research Disclosures site for important disclosures.

Core Views (from US Small/Mid Cap Analyst Lori Calvasina’s recent publications on Credit Suisse Research & Analytics)*

2013 Year-End Russell 2000 Target Of 950: The R2000 has moved a bit above our year-end 2013 target of 950. We have argued that there was overshoot

potential into the 1000-1025 area, but have worried that valuation pressures would return if that was achieved. The Russell 2000 has indeed recently surpassed 17x

on a forward P/E multiple, in line with its April 2010 and April 2011 peaks. In this context, we think small caps are undergoing a significant test now. Just 2 of the 6

DRIVERs of small cap that we track appear positive – Investor Sentiment & Retail Money Flows – while 1 is now negative – Valuation.

Two of Six DRIVERs Positive: (1) Investor Sentiment Signals Still Positive - High yield spreads have a bit more room to tighten; small usually leads large when

these occur. AAII bulls rebounded off extreme lows to 49% in mid July; often (but not always) peaks have been seen just north of 50%. Still overall a positive driver,

but a bit less so in our view. (2) Retail Money Flows Have Been Strong For Small Cap – Retail money flows (both active & ETF) got off to a strong start in 2013,

stronger than large on the active side. We have been worried that the normal seasonal weakness in small cap money flows on the actively managed side could return

over the summer, potentially removing a powerful underpinning of recent strength in the small cap space. That weakness does appear to be occurring, based on

recent Lipper/AMG flow data, but small cap ETF flows have surged, helping to extend the rally for now. (3) Watching Valuations Closely – At a 17x forward P/E at

the end of June, the R2000 has lost its valuation appeal. Not only is the small cap index well above its LT average of 15.4x, but it is near the peaks of April 2010 and

April 2011. (4) Economy Continues To Be A Mixed Bag – Key indicators for the small/large trade like the ISM & manufacturing jobs growth have been sluggish.

2013 real US GDP forecasts are a little below 2% (small, SMID and mid tend to lead large in 2-3% GDP, but lag in the 1-2% range). The good news is that 3Q13

expectations have picked up slightly since late May, but 4Q13 numbers have been flat. The relationship between small/large performance and interest rates has been

inconsistent over time, but an inverse relationship more recently suggesting small caps may suffer if rates rise. (5) Deals/M&A Off To A Sluggish Start To 2013 –

M&A has gotten off to a sluggish start in 2013 and we are not seeing the same degree of improvement in deals targeting small cap companies relative to large cap

companies that we were in late 2012. (6) Revisions/Earnings Have Been The Most Opaque Of Our Mixed DRIVERS – We suspect that revisions trends for the

R2000 index bottomed in 2012 , before hitting historical lows. However, it is not generating a clear signal currently.

Top Picks In Small & SMID: We highlight 57 names under $7 bn market cap, including 27 that are under $3 bn market cap, which are high conviction Outperforms among CS analysts on a 6-12 month view. Latest update was on August 2nd, 2013. Please see R&A to access the full reports.

Hunting For New Ideas In Small Cap: We highlight Russell 2000 stocks between $200 mn - $3 bn market cap that have also been lowly owned in small cap funds. We then screened for names that fall into HOLT styles that have outperformed at the small cap level over time (Best In Class,

Contrarian, Restructuring, Value Trap). Please see R&A to access the full reports.

The Darlings Of Small, SMID, Mid & Large Cap: We examine the holdings of 573 small cap funds, 200 SMID funds, 288 mid cap and 805 large cap funds at the end of 1Q13, using stock level holdings data from eVestment and Lipper. We highlight the most widely owned benchmark

and non benchmark names within each category, as well as names where ownership was rising or fading the most during 1Q13. Please see R&A to access the full reports.

Current Small Cap Sector Views Recent FAQ’s / Noteworthy Items

US Small Cap Strategy Lori Calvasina [email protected] +1 212 538 6396

Source: Credit Suisse

Overweight Market Weight Underweight

Energy Consumer

Discretionary Consumer Staples

Industrials/Producer Durables

Health Care Financials

Tech Utilities/Telecom Svcs Materials &

Processing

Credit Suisse Fixed Income Product Core Views

ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES ARE IN THE RESEARCH DISCLOSURE APPENDIX. FOR OTHER IMPORTANT

DISCLOSURES, PLEASE REFER TO https://firesearchdisclosure.credit-suisse.com.

18 August 2, 2013

Source: Credit Suisse

For additional detail, please see: Commodities Forecast Update: The Return of “Fundamentals” and Trading Recommendations

Core Views

The broad based downward pressure on commodities prices is likely to continue. Within this broad trend, however, supply growth is likely to remain the key driver of differentiation among individual commodities.

Copper and iron ore prices are likely to continue to decline as increased supply outpaces demand. In contrast, Brent oil is likely to be supported around the current level by subdued supply growth. Nickel, thermal coal, and aluminum prices should begin to stabilize over the course of H2 2013 as price bites deeper into the cost curve. With core PCE inflation in the US still slowing, and the Fed openly contemplating tapering its asset purchase program, gold is also likely to come under substantial further pressure.

We observe that commodity correlation is reverting to more “normal” levels. With the current unwind well under way, we expect commodities to once again begin to provide diversification benefits to many portfolios, as the return of fundamentals continues.

Specifically, we expect the following:

Energy: We see production growing marginally faster than demand, pushing Brent prices to the bottom of the $100-$120 range over the next few years, before dropping further after 2016.

Base Metals: While cost factors remain a critical variable in forecasting commodity prices, in the shorter term, there is much less rigid support in bear markets than many expect. Risks remain skewed to the downside, across the complex, but with copper perhaps the most vulnerable given that more of its “scarcity premium” looks set to be dislodged in 2013-14.

Precious Metals: We remain bearish gold, targeting $1,150 in 12 months’ time. While there are many moving parts in the gold equation risk reward of owning gold has fundamentally changed, for both technical and “fundamental” reasons. The worst may be over for silver; we do not project much downside beyond 4Q this year.

Bulk: We hold fast to our bearish outlook for iron ore, expecting $103 for H2 2013 and $96 for 2014. The post-2010 bear market remains intact for thermal coal and we forecast $86 for FOB Newcastle. From 2014 onwards, the potential for some form of recovery does still appear to be in place but we expect little more than a slow grind.

A stronger or weaker than anticipated rebound in China.

Failure to stem the bleeding in Europe.

Supply shocks for many commodities (e.g., oil, PGMs, grains).

Key Forecasts Catalysts That Could Alter Our View

Commodities Ric Deverell

2013 Ann Avg (f) 2014 Ann Avg (f) 2015 Ann Avg (f)

Gold (US$/oz) 1,400 1,180 1,200

Brent (US$/bbl) 108 110 100

WTI (US$/bbl) 97 100 90

US Natural Gas (US$/MMBtu) 4.00 4.00 4.40

Copper (US$/MT) 7,240 6,225 6,750

Aluminium (US$/MT) 1,866 1,863 2,000

Iron Ore (US$/MT) 120 96 90

19 August 2, 2013

For additional detail, please see: Outlook and Trades for 2013, European Credit Cash Weekly, and Our World in Pictures

Core Views

Our modal view of European BBB credit excess returns in 2013 is 275 bp, being coupon plus a small narrowing. For the AAA-A part of the rating spectrum, we expect a 100 bp excess return. For lower tier 2 financials, we expect excess returns of 620 bp. Using the respective market values of each of these three segments, we reach an overall projection for high grade excess return of approximately 2%. High grade total returns should be in the 1.25% range.

High yield vs. high grade outright is directional. In weighted terms, we prefer HY, and see it as one of the pockets of value overall for any further compression that may occur.

Risks are ever more “fat-tail” and dominated by the euro area. They have increasingly divergent effects on the investment decision of “domestics” and “non-domestics.” Broadly, we avoid sovereigns.

The misdiagnosis of the European banking system’s challenges as being based in liquidity not solvency continues to have effects; for this and other

reasons, we still see the euro’s defining crisis as being in the future.

Key Forecasts

European Credit Strategy William Porter

Issuance and redemption data in EUR bn. We consider euro, fixed-rate benchmark deals only. Source: Credit Suisse, Dealogic

IG Issuance Forecasts For 2013

Non-Financials Financials Total

2013 Issuance 150 120 270

2013 Redemptions 114 131 245 Source: Credit Suisse. Weights are in % market value terms. Difference (expressed in %) = Our Portfolio Weight – Benchmark Weight. Benchmark index is Credit Suisse investment grade EUR corporate index. All maturity bucket and rating bucket data based on senior securities only. All modified duration data similarly based on senior securities only.

Our Current Asset Allocation – EUR IG Credit

20 August 2, 2013

For additional detail, please see: 2013 Leveraged Finance Outlook and 2012 Annual Review, 2013 Global Outlook

Core Views

For US high yield for 2013, we project 7% total return and 1%-2% defaults. For US leveraged loans, we project 5.5% total return and 1%-4% defaults. We project $330 billion US high yield issuance in 2013, about the same as 2012. We estimate $230 billion institutional loan issuance in 2013.

For Western European high yield for 2013, we project 6% total return and 1%-2% defaults. For Western European leveraged loans, we project 5% total return and 2%-4% defaults. We expect Western European high yield issuance to set another record in 2013, projecting €75 billion of new issuance in 2013.

The drop in yields in 2012 has limited the remaining upside for 2013. We expect near-coupon returns ‒ a little less than coupon for US and European high yield and a little more than coupon for US and European leveraged loans.

Defaults are likely to remain low in most markets in 2013. Most of the risk is concentrated in a few companies, primarily in the US and European loan markets.

2013 Thematic Trade Ideas:

- Slowing EBITDA growth rates lead us to be more defensive, especially for high yield.

- European high yield is unlikely to outperform US high yield in 2013.

- US and European loans have significant excess spread to cushion against losses.

Global Leveraged Finance Strategy Jonathan Blau

Key Forecasts

Source: Credit Suisse

Performance Defaults

Annual Return

Projected 2013

Default Rate

Projected 2013

Default Rate

Projected 2014

US High Yield Bonds 7% 1%-2% 1%-3%

US Leveraged Loans 5.5% 1%-4% 3%-6%

Western Euro High Yield 6% 1%-2% 1%-3%

Western Euro Lev Loans 5% 2%-4% 2%-6%

21 August 2, 2013

Core Views

Latam Strategy:

The valuations in some rates markets look attractive at current levels, however, the volatility and low liquidity seen in our markets in the last two months will likely result in EM fixed income investors demanding higher risk premium. This, in our view, will result in structurally higher yields than pre-tapering.

We continue to recommend tactical rate receivers with compelling idiosyncratic drivers, positive carry, and limited mark-to-market risk. We favor front-end receivers in TIIE swaps in Mexico where the slower growth provides fundamental support for front-end receivers, particularly when the curve is still pricing in rate hikes (please see Mexico: Tactically receive 1-year TIIE swap rates of 28 June). We also recommend receiving 5-year real rates in Chile (please see Chile: Receive 5Y UF/Cam; take profits on B/E inflation of 10 July). UF/Camara swap receivers in Chile look attractive as the carry is high this month and will likely continue to be high in coming months supported by seasonal high inflation. We avoid longer-duration rates since positive surprises to the US economy may trigger renewed tapering concerns with curves most likely steepening again.

EEMEA Strategy: We believe that conditions are now in place to get involved in EEMEA rates. We continue to expect EEMEA fixed income markets to remain correlated with US

rates and recommend focusing on the short end of the curves where inflation dynamics are favorable. Please see EEMEA: Turning bullish on local currency rates and Global Weekly Snapshot for additional details.

We suggest going long OFZ 7% due 2015s in Russia, receiving 2-year IRS in Poland and putting on 2s5s IRS flattener in South Africa.

NJA Strategy:

Further weakness in USTs and EM fund outflows will likely keep markets under pressure. We expect most curves to bear steepen and bond swap spreads to widen. Liquidity dislocations in China are likely to ease. Recent PBoC guidance on this front is encouraging and we expect the repo IRS curve to steepen. We

recommend 2s5s repo IRS steepeners. We remain constructive on bonds in India and recommend staying long 2017 bonds. Weak growth, low inflation and rate cuts should allow markets to ignore external developments. We also recommend retaining 2s5s OIS steepeners.

We remain bearish on bonds in Malaysia and Indonesia. Vulnerabilities in Malaysia come from its sizeable dependence on foreign investors. In Indonesia, a combination of domestic and external negatives can trigger further extension in the current upmove in yields. We think Singapore bonds, especially the 10y segments, are oversold and see relative value vis-à-vis 10y IRS and 10y USTs.

Latam: A stabilization in US rates.

EEMEA: Weak currencies could trigger monetary policymakers across the region to reverse their dovish stance.

NJA: Renewed concerns on US growth and/or acceleration of euro zone problems could prompt further easing of monetary policy in Asia.

Key Forecasts Catalysts That Could Alter Our View Latam: Volatility to remain high in the near term; nominal curves will likely

continue to steepen.

EEMEA: EEMEA rates to remain correlated with US rates. Focus on the short end of the curves where inflation dynamics are favorable.

NJA: The bearish undertone in NJA rates markets is likely to persist. We expect most curves to bear steepen and bond swap spreads to widen.

Emerging Markets Strategy Latam: Daniel Chodos; EEMEA: Shahzad Hasan; Asia: Ashish Agrawal

22 August 2, 2013

Core Views

Latam Credit:

We favor Latam corporates that are market leaders in domestic consumption, infrastructure and select low-cost

commodity plays. However, we note that idiosyncratic challenges affecting sectors (such as Mexican homebuilders) or

certain companies will likely weigh on overall performance. We believe that infrastructure spending should pick up

across the region, especially in Brazil, as the country gears up for the World Cup and Olympics.

Although commodity producers showed negative earnings trends in 2012 and 1Q13, we believe that select low-cost

producers should benefit in 2013 from continued positive cash flows and better year-on-year comparison trends.

Agriculture-focused companies in Brazil should benefit from more normalized weather and a favorable cattle cycle in

2013.

Latam US$ corporate bond issuance was strong through 1Q13 but market volatility has curtailed issuance.

Latam: 1Q13 earnings reports were mixed, with particularly poor results from Mexican homebuilders.

Latam: Changes to actual or expected global growth, demand dynamics and FX volatility or downturn in Latam regional growth.

Key Forecasts Catalysts That Could Alter Our View

Emerging Markets Corporate Credit Global Head: Jamie Nicholson Latam: Jamie Nicholson, Celina Apostolo Merrill

23 August 2, 2013

Renewed deterioration in global growth indicators/global risk environment.

Renewed stress in peripheral bond markets.

Core Views

Given the unusual lack of synchronization in both economies and monetary policy, we think it is now time to declare the end of the USD bear market, which occurred between 2002 and 2011, with the USD likely to appreciate against most of its trading partners over the coming year. The degree of moves will in large part be driven by the policy response of each individual country to higher Fed rates. Our favorite shorts remain the AUD and the JPY.

We remain modestly bullish on the euro, forecasting EURUSD at 1.30 in 3 months and 1.33 in 12 months. While efforts to keep yields lower than in the US may limit the upside to the euro over coming months, we remain of the view that the market would need to begin pricing “break-up” risk again to push the euro out of the bottom of its 1.28-1.36 range.

We see modest downside risk to the GBP in coming months, with Mr. Carney likely to introduce guidance and possibly cut the policy rate a little further. However, on a 12-month view we do not expect the GBP to fall much further. We forecast EURGBP at 0.89 in 3 months and 12 months.

Kuroda’s first policy meeting dramatically surpassed expectations with its bold foray into uncharted waters. We expect the yen to fall to 105 in 3 months and to 120 in 12 months. Note that we see the risks to the yen as being to the downside.

With the RBA rejoining the global “race to the bottom” and mining investment likely to peak this year, we think AUD is likely to come under pressure. We expect both commodity prices and central bank divergence to support the NZD relative to AUD in the coming months. While the CAD is unlikely to fall as much as other commodity currencies, history suggests that it will fall against the USD in periods when the US TWI is increasing.

We expect SEK and NOK to trade weaker versus both the EUR and the USD. We see more potential for SEK to depreciate, forecasting 9.00 and 9.20 on EURSEK in 3- and 12-months, respectively.

In terms of future moves in EM currencies, central banks’ policy reactions will be a key differentiator, with many (e.g., Brazil) moving to reverse previous efforts to stem capital inflow, while others have begun to utilize their substantial foreign exchange reserves to slow the depreciation of their currencies. In general, those countries with the largest current account deficits and the weakest domestic fundamentals are likely to see the greatest pressure, with the BRL, TRY, CLP, IDR, INR and KRW likely to fall the most over the next 12 months. We expect only few currencies to be able to outperform the USD, with MXN on the top of our ranking.

Catalysts That Could Alter Our View

FX Strategy

Source: Credit Suisse

Key Forecasts

3M 12M 3M 12M

EURUSD 1.30 1.33 NZDUSD 0.750 0.694

USDJPY 105 120 AUDNZD 1.16 1.08

EURCHF 1.27 1.30 EURNOK 8.00 8.10

EURGBP 0.890 0.887 EURSEK 9.00 9.20

USDCAD 1.070 1.100 NOKSEK 1.125 1.136

AUDUSD 0.870 0.750 USDCNY 6.16 6.14

Ric Deverell

24 August 2, 2013

Core Views

US Rates

The Fed still looks to be on course for a September start to asset purchase tapering. A grinding recovery in the US economy, bond fund redemptions and a reduction in Fed purchases should remain bearish headwinds for the US rates market. We favor selling into strength for the remainder of the year while fading any long-end steepening.

We continue to expect 10s to trade 2.60% by the end of 3Q and be at 2.75% at year-end.

We remain bearish TIPS breakevens on the back of tapering expectations amid historically low delivered core inflation. We also favor real rate steepeners.

Significant improvements to the deficit picture painted by the CBO’s latest deficit projections caused the Treasury Department to announce it is reducing issuance. We project that Treasury should ultimately cut 2s, 3s, and 5s by $6-$8 billion per auction phasing the reduction in over a series of months.

European Rates

We think front-end rates should stay lower-for-longer, while long rates should sell-off further.

We expect the EUR curve to steepen; 3s30s is our favorite expression.

We recommend going long 30y core and soft core swap spreads; our preferred longs are in France.

We believe Italy and Spain remain vulnerable to higher rates and recommend 5s10s steepeners.

In the UK, we do not expect any further QE in the near term and expect 5y5y/10y10y to steepen.

Japan Rates

Japanese banks still have ample unrealized gains on their stock holdings.

Thus, even with the JGB market remaining unstable, they should have room to continue to reduce their interest rate risk.

US: Exogenous shocks.

Europe: A material change in economic data or positive political developments.

Japan: Price decline in stock market.

Source: Credit Suisse

Key Forecasts Catalysts That Could Alter Our View

Interest Rate Strategy Helen Haworth, Carl Lantz, Tomohiro Miyasaka

2013 3QE 2013 4QE

Yield (%) 2yr 10yr 30yr 2yr 10yr 30yr

US – Treasuries 0.30 2.60 3.75 0.40 2.75 3.95

Euro – German Benchmarks 0.15 1.65 2.50 0.20 1.80 2.60

UK – Gilts 0.30 2.20 3.50 0.35 2.40 3.60

Japan – JGBs 0.12 0.85 1.85 0.13 0.90 1.90

25 August 2, 2013

For additional detail, please see: Global Securitized Products Weekly

Agency MBS:

Short MBS basis.

Supply/demand is positive, but market focus has turned to the post-QE outlook. Fed demand remains a positive, REIT selling has been and remains a negative, bank demand remains subdued pending a stabilization in rates.

Prepayments should decline sharply following a roughly 100 bp mortgage rate increase.

Bearish trades such as up-in-coupon trades and IO should remain well supported.

Non-agency MBS:

Although the technical picture is improving, the market remains without conviction regarding the direction of spreads. We remain slightly cautious with the potential of rate volatility on the horizon. Alt-A ARMs and Option ARMs have lagged the tightening in Subprime and provide attractive entry points, in our view. Seasoned Subprime Mezz also looks attractive. We believe that Jumbo 2.0s provide attractive relative value to agency paper, but we believe this attractive entry point will likely fade in the medium term. Wells as the trustee unexpectedly recognized large losses on deals related to pent-up forbearance.

Consumer ABS:

We still prefer shorter duration assets – the directionality of rates and spreads remain somewhat uncertain in the medium term.

Shorter duration assets hold value, especially those down the capital stack that have widened much more relative to the curve. Tightening should be led by this sector. We also like Auto ABS subs. Moderate duration esoterics are also attractive – we prefer servicing advancing deals given the spread pick-up and their structural strength.

CMBS:

The CMBS market has been concentrating on the large slate of new issues being marketed. Indications are that demand for these new deals has been reasonably strong, across the capital stack. New issue last cash flow super-seniors have tightened but we maintain they still have good relative value as do legacy AMs, in our view.

CLO/CDO:

Moderate growth and a low-rate environment make corporate credit more attractive relative to other risky assets; corporate default rates should stay low – market consensus expects them to be about 2%-3% for 2013. Despite a recent pullback in risky assets and a spike in volatilities, we maintain our favorable view on CLOs in general, as we don’t believe the economy is strong enough for the Fed to end the QE program any time soon. On the new-issue front, approximately $46bn of CLOs have been issued YTD. New-issue AAA spreads have widened to around 130 bp.

Housing: The Case Shiller 10- and 20-city index rose by another 1.14% and 1.05% this month – down from the 1.7%+ pace last month. This takes the yoy increase to 12.2% on the 20 cities. With the back-up in rates, we expect the torrid pace of price increase to dampen a bit. We also expect sales volume to remain contained. Supplies of distressed homes continue to fall, helping prices. While the increase in rates will impact the housing sector, we think housing will remain well supported even at 5% rates. We expect prices to continue to post strong gains, albeit at a slower pace.

Prepayment: HARP cohorts are projected to slow down roughly 22% over the next three months. This slowdown should be most pronounced in HARP-eligible 5s, which are projected to slow down by roughly 40% by September. Furthermore, we project that relative change in prepay response across LTV for high coupon HARP cohorts should be comparable, except in the case of cuspy 5s.

Macroeconomic events

Policy

Key Forecasts Catalysts That Could Alter Our View

Securitized Products Global Head: Roger Lehman Mahesh Swaminathan, Qumber Hassan, Chandra Bhattacharya, David Yan

26 August 2, 2013

FIXED INCOME RESEARCH & ECONOMICS: Global Weekly Snapshot, Bank of Japan's shock therapy, The North Atlantic Outweighs China

ECONOMICS & STRATEGY

Global Economics: Quarterly, Weekly Calendar, Inflation Watch, Pulse of Global Industry, Manufacturing PMI Roundup

US Economics: Succession Planning at the Fed, Growth – jobs puzzle unrevised, FOMC Review - As if June Never Happened

European Economics: Quarterly, The Sterling Investor, Banking Union and beyond, Peripheral Data Monitor, Spain - The sun also rises, Portugal: Political

stability in the short term, challenges ahead

Japan Economics: Weekly, The BoJ’s new measure: negative real interest rate shock therapy?, Will the "third arrow" of Abenomics be encouraging?,

Credible irresponsibility needed?, Is yen devaluation reviving the economy?, Japan's potential growth rate set to slip into negative territory, Consumption tax

hikes and a capex tax break

EM Economics: EM Quarterly, Japan’s Reflation: Winners and Losers in NJA, Valuation of emerging markets currencies, US QE Tapering: Asian Implications,

NJA Economic Primers

Strategy

Global Fixed Income Strategy: Global Strategy Blog, Global Weekly Snapshot, Market Focus: Reviving Production

Global Equity Strategy: Equities: stay overweight despite turbulence, H1 trends: which are likely to persist?, Upgrade Continental Europe: what to buy, Upgrade

European banks to overweight, Thematic Trade Ideas - Summer

Market Strategies: Macro Tactics

Technical Analysis: Weekly Macro Chart Pack

NJA Strategy & Economics: Asia Macro Strategy, Focus Asia (2Q 2013)

Global Demographics & Pensions: ASEAN's positive demographics underpins stable growth, European Demographics & Fiscal Sustainability, Rising youth

unemployment, Demographic dynamics over business cycles and crises, Spotlight on UN revisions, Chinese Demographics

Global Index & Alpha Strategies: CS Guide to Global Tradable & Benchmark Index Products, Systematic Alpha Monthly, Monthly Global Fixed Income Index

Performance, Institutional Commodity Investor Monthly

PRODUCT AREAS

US Rates: US Interest Rate Strategy Weekly, US Rates Flash, US Fixed Income Core Allocation Monthly Canadian Rates: Canadian Rates Insights

European Rates: European Strategy & Trades, LDI Focus Japan Rates: Japan Economics/Fixed Income Weekly

FX Strategy: FX Compass, EM FX Forecast Update, Japanese Portfolio Flow Monitor

Global Leveraged Finance Strategy: Leveraged Finance Strategy Monthly, 2013 Leveraged Finance Outlook and 2012 Annual Review, 2Q13 Default

Review, Duration in the Leveraged Finance Markets, 2Q’13 New Issue Review

European Credit: Our World in Pictures, Credit Cash Weekly, Captive position, High yield outflows accelerate, Banking business as lose-ual

Emerging Markets Strategy: Global Weekly Snapshot, EEMEA: Turning bullish on local currency rates, Non-residents’ holdings in local currency

government bonds

EM Credit: Where We See Value Now in Latam Corporates

Securitized Products: Global Securitized Products Weekly

Commodities: Quarterly Forecast Update, Quarterly Trades, Commodities Advantage, The Shale Revolution, Gold: A long way to go if this time is not

different, Iron Ore: The Last Waltz, Copper: Mine Supply Shows Growing Improvement

Snapshot of Global Economic, Fixed Income, & Equity Strategy Offering

GLOBAL FIXED INCOME & ECONOMICS RESEARCH

Eric Miller, Managing Director

Co-Head, Securities Research & Analytics

+1 212 538 6480

[email protected]

MACRO RESEARCH FIXED INCOME PRODUCTS

GLOBAL ECONOMICS COMMODITIES

DEVELOPED GLOBAL ENERGY

US/GLOBAL EUROPE Ric Deverell, Managing Director Jan Stuart, Managing Director

Neal Soss, Chief Economist Neville Hill, Managing Director +44 20 7883 2523 +1 212 325 1013

+1 212 325 3335 +1 212 325 3335 [email protected] [email protected]

[email protected] [email protected]

CREDIT

JAPAN EUROPEAN CREDIT STRATEGY EM CORPORATE CREDIT

Hiromichi Shirakawa, Managing Director William Porter, Managing Director Jamie Nicholson, Managing Director

+81 3 4550 7117 +44 20 7888 1207 +1 212 538 6769

[email protected] [email protected] [email protected]

EMERGING MARKETS ECONOMICS AND STRATEGY GLOBAL LEVERAGED FINANCE STRATEGY LATIN AMERICA CEEMEA Jonathan Blau, Managing Director

Alonso Cervera, Managing Director Berna Bayazitoglu, Managing Director +1 212 538 3533

+52 55 5283 3845 +44 20 7883 3431 [email protected]

[email protected] [email protected]

GLOBAL CURRENCIES AND EMERGING MARKETS (GCEM)

NON-JAPAN ASIA FX STRATEGY

Dong Tao, Managing Director GLOBAL AMERICAS

+852 2101 7469 Ric Deverell, Managing Director Alvise Marino, Vice President

[email protected] +44 20 7883 2523 +1 212 325 5911

[email protected] [email protected]

STRATEGY GLOBAL STRATEGY ASIA STRATEGY ASIA EMEA

James Sweeney, Managing Director Ray Farris, Managing Director Ray Farris, Managing Director Aditya Bagaria, Vice President

+1 212 538 4648 +65 6212 3412 +65 6212 3412 +44 20 7888 7428

[email protected] [email protected] [email protected] [email protected]

MARKET STRATEGIES INTEREST RATES

Sean Shepley, Managing Director EUROPEAN RATES US RATES

+44 20 7888 1333 Helen Haworth, Director Carl Lantz, Managing Director

[email protected] +44 20 7888 0757 +1 212 538 5081

[email protected] [email protected]

TECHNICAL ANALYSIS

David Sneddon, Managing Director JAPAN RATES

+44 20 7888 7173 Tomohiro Miyasaka, Director

[email protected] + 81 3 4550 7171

[email protected]

DEMOGRAPHICS AND PENSIONS Amlan Roy, Managing Director SECURITIZED PRODUCTS +44 20 7888 1501 GLOBAL AND CMBS RESIDENTIAL AND AGENCY MBS

[email protected] Roger Lehman, Managing Director Mahesh Swaminathan, Managing Director

+1 212 325 2123 +1 212 325 8789

INDEX AND ALPHA STRATEGY [email protected] [email protected]

Baldwin Smith, Managing Director

+1 212 325 5524 NON-AGENCY MBS/CONSUMER ABS [email protected] Chandrajit Bhattacharya, Director

+1 212 325 1546

[email protected]

28

Disclosure Appendix Analyst Certification

The analysts identified in this report each certify, with respect to the companies or securities that the individual analyzes, that (1) the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her

compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report.

Important Disclosures

Credit Suisse's policy is only to publish investment research that is impartial, independent, clear, fair and not misleading. For more detail, please refer to Credit Suisse's Policies for Managing Conflicts of Interest in connection with Investment Research: http://www.csfb.com/research-and-

analytics/disclaimer/managing_conflicts_disclaimer.html

Credit Suisse’s policy is to publish research reports as it deems appropriate, based on developments with the subject issuer, the sector or the market that may have a material impact on the research views or opinions stated herein.

The analyst(s) involved in the preparation of this research report received compensation that is based upon various factors, including Credit Suisse's total revenues, a portion of which are generated by Credit Suisse's Investment Banking and Fixed Income Divisions.

Credit Suisse may trade as principal in the securities or derivatives of the issuers that are the subject of this report.

At any point in time, Credit Suisse is likely to have significant holdings in the securities mentioned in this report.

As at the date of this report, Credit Suisse acts as a market maker or liquidity provider in the debt securities of the subject issuer(s) mentioned in this report.

For important disclosure information on securities recommended in this report, please visit the website at https://firesearchdisclosure.credit-suisse.com or call +1-212-538-7625.

For the history of any relative value trade ideas suggested by the Fixed Income research department as well as fundamental recommendations provided by the Emerging Markets Sovereign Strategy Group over the previous 12 months, please view the document at http://research-and-

analytics.csfb.com/docpopup.asp?ctbdocid=330703_1_en. Credit Suisse clients with access to the Locus website may refer to http://www.credit-suisse.com/locus.

For the history of recommendations provided by Technical Analysis, please visit the website at http://www.credit-suisse.com/techanalysis.

Credit Suisse does not provide any tax advice. Any statement herein regarding any US federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purposes of avoiding any penalties.

Emerging Markets Bond Recommendation Definitions

Buy: Indicates a recommended buy on our expectation that the issue will deliver a return higher than the risk-free rate.

Sell: Indicates a recommended sell on our expectation that the issue will deliver a return lower than the risk-free rate.

Corporate Bond Fundamental Recommendation Definitions

Buy: Indicates a recommended buy on our expectation that the issue will be a top performer in its sector.

Outperform: Indicates an above-average total return performer within its sector. Bonds in this category have stable or improving credit profiles and are undervalued, or they may be weaker credits that, we believe, are cheap relative to the sector and are expected to outperform on a total-return

basis. These bonds may possess price risk in a volatile environment.

Market Perform: Indicates a bond that is expected to return average performance in its sector.

Underperform: Indicates a below-average total-return performer within its sector. Bonds in this category have weak or worsening credit trends, or they may be stable credits that, we believe, are overvalued or rich relative to the sector.

Sell: Indicates a recommended sell on the expectation that the issue will be among the poor performers in its sector.

Restricted: In certain circumstances, Credit Suisse policy and/or applicable law and regulations preclude certain types of communications, including an investment recommendation, during the course of Credit Suisse's engagement in an investment banking transaction and in certain other

circumstances.

Not Rated: Credit Suisse Global Credit Research or Global Leveraged Finance Research covers the issuer but currently does not offer an investment view on the subject issue.

Not Covered: Neither Credit Suisse Global Credit Research nor Global Leveraged Finance Research covers the issuer or offers an investment view on the issuer or any securities related to it. Any communication from Research on securities or companies that Credit Suisse does not cover is

factual or a reasonable, non-material deduction based on an analysis of publicly available information.

Corporate Bond Risk Category Definitions

In addition to the recommendation, each issue may have a risk category indicating that it is an appropriate holding for an "average" high yield investor, designated as Market, or that it has a higher or lower risk profile, designated as Speculative and Conservative, respectively.

Credit Suisse Credit Rating Definitions

Credit Suisse may assign rating opinions to investment-grade and crossover issuers. Ratings are based on our assessment of a company's creditworthiness and are not recommendations to buy or sell a security. The ratings scale (AAA, AA, A, BBB, BB, B) is dependent on our assessment of an

issuer's ability to meet its financial commitments in a timely manner. Within each category, creditworthiness is further detailed with a scale of High, Mid, or Low – with High being the strongest sub-category rating: High AAA, Mid AAA, Low AAA – obligor's capacity to meet its financial

commitments is extremely strong; High AA, Mid AA, Low AA – obligor's capacity to meet its financial commitments is very strong; High A, Mid A, Low A – obligor's capacity to meet its financial commitments is strong; High BBB, Mid BBB, Low BBB – obligor's capacity to meet its financial

commitments is adequate, but adverse economic/operating/financial circumstances are more likely to lead to a weakened capacity to meet its obligations; High BB, Mid BB, Low BB – obligations have speculative characteristics and are subject to substantial credit risk; High B, Mid B, Low B –

obligor's capacity to meet financial commitments is very weak and highly vulnerable to adverse economic, operating, and financial circumstances; High CCC, Mid CCC, Low CCC – obligor's capacity to meet its financial commitments is extremely weak and is dependent on favorable economic,

operating, and financial circumstances. Credit Suisse's rating opinions do not necessarily correlate with those of the rating agencies.

Credit Suisse’s Distribution of Global Credit Research Recommendations* (and Banking Clients)

Global Recommendation Distribution**

Buy 6% (of which 86% are banking clients)

Outperform 26% (of which 74% are banking clients)

Market Perform 51% (of which 70% are banking clients)

Underperform 16% (of which 76% are banking clients)

Sell <1% (of which 100% are banking clients)

*Data are as at the end of the previous calendar quarter.

**Percentages do not include securities on the firm’s Restricted List and might not total 100% as a result of rounding.

29

Disclosure Appendix cont’d

Structured Securities, Derivatives, and Options Disclaimer

Structured securities, derivatives, and options (including OTC derivatives and options) are complex instruments that are not suitable for every investor, may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and

assuming the risks involved. Supporting documentation for any claims, comparisons, recommendations, statistics or other technical data will be supplied upon request. Any trade information is preliminary and not intended as an official transaction confirmation.

OTC derivative transactions are not highly liquid investments; before entering into any such transaction you should ensure that you fully understand its potential risks and rewards and independently determine that it is appropriate for you given your objectives, experience, financial and operational

resources, and other relevant circumstances. You should consult with such tax, accounting, legal or other advisors as you deem necessary to assist you in making these determinations. In discussions of OTC options and other strategies, the results and risks are based solely on the hypothetical

examples cited; actual results and risks will vary depending on specific circumstances. Investors are urged to consider carefully whether OTC options or option-related products, as well as the products or strategies discussed herein, are suitable to their needs.

CS does not offer tax or accounting advice or act as a financial advisor or fiduciary (unless it has agreed specifically in writing to do so). Because of the importance of tax considerations to many option transactions, the investor considering options should consult with his/her tax advisor as to how

taxes affect the outcome of contemplated options transactions.

Use the following link to read the Options Clearing Corporation's disclosure document: http://www.theocc.com/publications/risks/riskstoc.pdf

Transaction costs may be significant in option strategies calling for multiple purchases and sales of options, such as spreads and straddles. Commissions and transaction costs may be a factor in actual returns realized by the investor and should be taken into consideration.

HOLT®

With respect to the analysis in this report based on the Credit Suisse HOLT methodology, Credit Suisse certifies that (1) the views expressed in this report accurately reflect the Credit Suisse HOLT methodology and (2) no part of the Firm’s compensation was, is, or will be directly related to the

specific views disclosed in this report.

The Credit Suisse HOLT methodology does not assign recommendations to a security. It is an analytical tool that involves use of a set of proprietary quantitative algorithms and warranted value calculations, collectively called the Credit Suisse HOLT valuation model, that are consistently applied

to all the companies included in its database. Third-party data (including consensus earnings estimates) are systematically translated into a number of default variables and incorporated into the algorithms available in the Credit Suisse HOLT valuation model. The source financial statement,

pricing, and earnings data provided by outside data vendors are subject to quality control and may also be adjusted to more closely measure the underlying economics of firm performance. These adjustments provide consistency when analyzing a single company across time, or analyzing

multiple companies across industries or national borders. The default scenario that is produced by the Credit Suisse HOLT valuation model establishes the baseline valuation for a security, and a user then may adjust the default variables to produce alternative scenarios, any of which could occur.

Additional information about the Credit Suisse HOLT methodology is available on request.

The Credit Suisse HOLT methodology does not assign a price target to a security. The default scenario that is produced by the Credit Suisse HOLT valuation model establishes a warranted price for a security, and as the third-party data are updated, the warranted price may also change. The

default variables may also be adjusted to produce alternative warranted prices, any of which could occur. Additional information about the Credit Suisse HOLT methodology is available on request.

Backtested, Hypothetical or Simulated Performance Results

Backtested, hypothetical or simulated performance results have inherent limitations. Unlike an actual performance record based on trading actual client portfolios, simulated results are achieved by means of the retroactive application of a backtested model itself designed with the benefit of

hindsight. Backtested performance does not reflect the impact that material economic or market factors might have on an adviser's decision-making process if the adviser were actually managing a client’s portfolio. The backtesting of performance differs from actual account performance because

the investment strategy may be adjusted at any time, for any reason, and can continue to be changed until desired or better performance results are achieved. The backtested performance includes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the

deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. No representation is made that any account will or is likely to achieve profits or losses similar to those shown. Alternative modeling techniques or assumptions

might produce significantly different results and prove to be more appropriate. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis. As a sophisticated investor, you accept and agree to use such

information only for the purpose of discussing with Credit Suisse your preliminary interest in investing in the strategy described herein.

30

Disclosure Appendix cont’d References in this report to Credit Suisse include all of the subsidiaries and affiliates of Credit Suisse operating under its investment banking division. For more information on our structure, please use the following link: https://www.credit-suisse.com/who_we_are/en/. This report may contain material that is not directed to, or intended for distribution to or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation or which would subject Credit Suisse AG or its affiliates ("CS") to any registration or licensing requirement within such jurisdiction. All material presented in this report, unless specifically indicated otherwise, is under copyright to CS. None of the material, nor its content, nor any copy of it, may be altered in any way, transmitted to, copied or distributed to any other party, without the prior express written permission of CS. All trademarks, service marks and logos used in this report are trademarks or service marks or registered trademarks or service marks of CS or its affiliates. The information, tools and material presented in this report are provided to you for information purposes only and are not to be used or considered as an offer or the solicitation of an offer to sell or to buy or subscribe for securities or other financial instruments. CS may not have taken any steps to ensure that the securities referred to in this report are suitable for any particular investor. CS will not treat recipients of this report as its customers by virtue of their receiving this report. The investments and services contained or referred to in this report may not be suitable for you and it is recommended that you consult an independent investment advisor if you are in doubt about such investments or investment services. Nothing in this report constitutes investment, legal, accounting or tax advice, or a representation that any investment or strategy is suitable or appropriate to your individual circumstances, or otherwise constitutes a personal recommendation to you. CS does not advise on the tax consequences of investments and you are advised to contact an independent tax adviser. Please note in particular that the bases and levels of taxation may change. Information and opinions presented in this report have been obtained or derived from sources believed by CS to be reliable, but CS makes no representation as to their accuracy or completeness. 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