ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES ARE IN THE DISCLOSURE APPENDIX. FOR OTHER IMPORTANT DISCLOSURES, PLEASE REFER TO https://firesearchdisclosure.credit-suisse.com.

CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION™

Client-Driven Solutions, Insights, and Access

Credit Index Analyser

Index trading around the roll Credit Indices have continued to rally over the past week, on the back of

positive headlines from the Fed. Overall, credit indices are currently slightly wider than their YTD tight, hit just before the March Roll.

Index trends: Although some indicators still point towards credit indices being still marginally wide (see Exhibit 1 and Exhibit 2), we continue to favor a marginal short view in the medium term from a risk-reward perspective given the very weak economic background.

Index curves: Main 3s5s flatteners still attractive, in our view, benefitting from positive carry & rolldown.

Index volatility: We think the potential for further tightening is overestimated in OTM Xover receiver options. ATM Xover volatility also seems cheap vs. Main.

Market theme: Index roll

We review the constituent changes in the new iTraxx series, as well as the roll Fair value and the trends experienced in previous rolls. We are concerned about the deteriorating liquidity on Xover, and from a trading perspective we recommend waiting before buying the roll (i.e. buy protection on the new series) on all of the iTraxx indices.

Locus Focus: A new page is now available on our Locus platform to monitor the rolls. It provides the constituent changes between two series on any index, and history of both roll quoted spread and fair value.

Exhibit 1: Summary of views

Market View

Outright Risk-reward favors marginal short positioning

Relative value Xover to underperform in the medium term.

Volatility Xover 80% volatility seems high, and Xover ATM volatility low vs. Main

Curves Flatteners looking attractive to hedge a curve regime shift

Skew Positive skew supportive for outright spreads Source: Credit Suisse. iTraxx is a trademark of International Index Company Ltd

18 September 2012Fixed Income Research

http://www.credit-suisse.com/researchandanalytics

Research AnalystsJoachim Edery

+44 20 7888 7382joachim.edery@credit-suisse.com

Christian Schwarz+44 20 7888 3161

christian.schwarz.2@credit-suisse.com

Chiraag Somaia+44 20 7888 2776

chiraag.somaia@credit-suisse.com

Jessica Orts+44 20 7888 4188

jessica.orts@credit-suisse.com

William Porter+44 20 7888 1207

william.porter@credit-suisse.com

18 September 2012

Credit Index Analyser 2

Themes and trades Index trends Risk-reward favors marginal short view on spreads

Credit Indices continued to rally over the past week, on the back of positive headlines from the Fed. Overall, credit indices are currently slightly wider than their YTD tight hit just before the March Roll. US indices have significantly outperformed European ones, with CDX IG and HY tightening by 11% in relative terms over the week, vs. 7% for iTraxx Main. This leaves CDX IG around 85bps, at the very low end of its post-Lehman range. iTraxx Main hit a local low on Friday 14th September around 117bps, before widening back towards 125bps as of writing. iTraxx Financial Senior currently trades around 195bps and has outperformed the other indices as systemic concerns have continued to ease.

Despite the positive headlines from the US, the strength of this rally was not as strong as what was experienced following the ECB meeting the week before, as several of the supports for the rally have been weakening in our view. Although some indicators still point towards credit indices being still marginally wide (see Exhibit 1 and Exhibit 2), we continue to favor a marginal short view in the medium term from a risk-reward perspective given the very weak economic background. We prefer to express this via relative value trades, such as preferring Main over Xover. In any case we would wait for the index roll to be able to set trades on the new index series.

Exhibit 2: Spread catch-up with vol almost complete Exhibit 3: Main quoted spread slightly wide vs. FV Historical index spread in bps vs. Avg implied equity volatility of its constituents iTraxx Main 5y Skew history (Mark – FV)

20%

25%

30%

35%

40%

45%

50%

80

100

120

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220

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

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ad

Quoted spread Constituents Equity Vol

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-10

-8

-6

-4

-2

0

2

4

6

8

10

Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12

iTraxx Main 5Y Skew

Skew (Mark - constituents FV) 5y mark (RHS)

Source: Credit Suisse, iTraxx is a trademark of International Index Company Limited Source: Credit Suisse

18 September 2012

Credit Index Analyser 3

Index curves Curves not steepening nor flattening despite the rally

Index curves have not particularly moved despite the recent rally. Overall single-name curves have steepened a bit, and the gap between the quoted 3s5s and constituent implied 3s5s has slightly closed. With curves standing at very steep levels, we continue to favor flatteners as can be monitored in the CDS Carry & Roll calculator available on Locus. We estimate for example that a DV01 neutral flattener on the 3s5s benefits from a positive carry & rolldown of about 5bps over three months. Because of this, such a position would actually still be in the money if curves steepen by another 1.8bps in the next three months.

Index Volatility Participants hedging another leg tighter

Despite the tightening seen in indices, index ATM volatility has actually increased over the past week. The near-term maturities have underperformed, with the 30d ATM vol on Main increasing by 1.2%, vs. 0.4% for the 90d and 0.1% for the 120d. Similar moves were seen in Xover volatility, leaving the gap between Xover and Main volatility still at high levels.

After the tightening seen over the past weeks, credit volatility is now in line with CDS spreads. However, iTraxx Main volatility still looks high when looking against other asset classes. For example, Exhibit 4 and 5 suggest that iTraxx Main volatility is still wide vs. Vstoxx or Eur-USD vol. The implied volatility in the equity or FX market has actually decreased over the past week, and the underperformance of credit volatility leaves it relatively wide.

This was mainly driven by the underperformance of the OTM receiver vol (80% volatility). As participants are looking to hedge against further tightening, the 80% volatility currently stands above the ATM volatility in both Main and Xover. We continue to view the 80% volatility as too high vs. the ATM volatility on both indices, i.e. the expectations of a significant leg tighter are too highly priced in the option space. We note that the 80% volatility quotes in line with the 120% volatility in Xover, and we therefore view OTM payer on Xover as attractive hedges against potential economic weaknesses.

More data in the iTraxx Options section.

Exhibit 4: Easing tail risk after the ECB conference Exhibit 5: Xover 30d ATM vol low vs. Main Relative change over the week in different assets Main and Xover 30d ATM Implied vol

58%; 21%

R² = 78%

10%

20%

30%

40%

50%

40% 50% 60% 70% 80% 90% 100% 110% 120%

Vst

oxx

Main 30d ATM vol

Main vol vs. Vstoxx since Sep 11

58%; 9%

R² = 78%

5%

10%

15%

20%

40% 50% 60% 70% 80% 90% 100% 110% 120%

Eu

r-U

SD

1m

vo

l

Main 30d ATM vol

Main vol vs Eur-USD vol since Sep 11

Source: Credit Suisse Source: Credit Suisse

18 September 2012

Credit Index Analyser 4

Market theme: Index roll The final list of constituents is now available on the Markit website, and the roll is due on Thursday 20th September. We review the name changes, their potential impact on liquidity and the technicals around the roll. A new page is now available on our Locus platform to monitor the rolls. It provides the constituent changes between two series on any index, and history of both roll quoted spread and fair value.

Name changes

There are six changes in iTraxx Main: three names are excluded for liquidity reasons and three due to a rating downgrade. The Financial Senior index has been particularly impacted, with two of its most liquid names (BBVA and MONTE) dropping out because of a rating downgrade. They will be replaced by names that are less liquid and trade much tighter, namely ING and Standard Chartered Bank.

There are five changes in iTraxx Xover, with the excluded names all too tight for the index. We note that issuers have to trade above 2xNon-Financial Main on average over the last ten days of August to be eligible for the index. The definition of this threshold hasn’t changed for a long period although Main and Xover have significantly compressed, and we therefore advocate modifying the calculation. Two names have been included from the supplementary list (i.e. based on recent bond issuance rather than CDS liquidity), namely Schaeffler and Eileme 2.

Cyprus is excluded from the new iTraxx SovX WE given its low liquidity, and will not be replaced, leaving the index at 14 constituents.

Exhibit 6: iTraxx Main constituent changes Exhibit 7: iTraxx Xover constituent changes

Sector OUT IN Reason

Autos & Industrials ADO AZN Liquidity

Consumers CDBRYH ACCOR Liquidity

Consumers JTI ANBUS Liquidity

Energy REPSSA TECFPN Rating downgrade.

Financials MONTE INTNED-BankNV Rating downgrade.

Financials BBVSM STAN-Bank Rating downgrade.

Name IN/OUT Reason

C&W WORLDWIDE PLC OUT Too tight

Continental OUT Too tight

Deutsche Lufthansa OUT Too tight

ITV PLC OUT Too tight

UPC Germany HoldCo 1 GmbH OUT Too tight

BRISA IN

Clariant AG IN

EILEME 2 AB IN (Supplementary list)

REPSOL, S.A. IN

SCHAEFFLER FINANCE BV IN (Supplementary list)

Source: Credit Suisse, Markit Source: Credit Suisse, Markit

18 September 2012

Credit Index Analyser 5

Liquidity: newly traded names are a concern for Xover

From a liquidity perspective, we are concerned about the liquidity of iTraxx Xover. As previously highlighted in the European CDS Flows publication, the liquidity on this index has decreased more in relative terms than on Main or Financial Senior over the past year. The liquidity of the single-names recently traded and added from the supplementary list is lagging behind the liquidity of the other constituents, according to a recent report from DTCC (Exhibit 8 and 9). In our view, despite entering the index, the newly traded names did not quite get the traction expected in terms of liquidity and we would be cautious about the addition of even more names from the supplementary list going forward.

Exhibit 8: Most liquid Xover constituents Exhibit 9: Least liquid Xover constituents Average weekly notional traded over the last six months based on DTCC Average weekly notional traded over the last six months based on DTCC

Rank Name

Avg Wekly notional in 

USD equivalent

1 ArcelorMittal 435,489,607                   

2 Nokia Oyj 308,379,345                   

3 PEUGEOT SA 304,341,874                   

4 HELLENIC TELECOMMUNICATIONS 291,199,235                   

5 LAFARGE 287,224,780                   

6 Continental Aktiengesellschaft 280,284,249                   

7 Portugal Telecom 245,035,617                   

8 FIAT S.P.A. 195,219,767                   

9 RENAULT 187,352,544                   

10 ThyssenKrupp AG 175,382,143                   

Rank Name

Avg Wekly notional 

in USD equivalent

41 CIR S.P.A. 33,353,862                  

42 FIAT INDUSTRIAL S.P.A. 31,974,364                  

43 CABLE & WIRELESS WORLDWIDE PLC 31,055,516                  

44 HAVAS 30,017,945                  

45 CABLE & WIRELESS LIMITED 26,515,332                  

46 Sunrise Communications 22,052,353                  

47 ConvaTec Healthcare E S.A. 19,974,089                  

48 ARDAGH PACKAGING FINANCE 16,804,725                  

49 JAGUAR LAND ROVER PLC 16,111,631                  

50 Kabel BW Musketeer GmbH 9,154,987                     Source: Credit Suisse, DTCC Source: Credit Suisse, DTCC

Roll Fair value: new series much wider in Xover, much tighter in Fins

Exhibit 10 provides the roll Fair value based on the final list of names communicated by Markit. In iTraxx Main, the change in constituents lead to a 4bps drop in index fair value, with this move driven by the three names exiting due to a rating downgrade. After including the maturity increase and given the very steep curves, the overall roll fair value on iTraxx Main stands at +3.5bps. In iTraxx Xover, the new series should trade significantly wider than the current one, given that the five exclusions are due to the single-names being too tight. Our calculations indicate that the changes in constituents lead to a widening of 32bps, to what we need to add 21bps due to the maturity increase. This leads to an overall Xover roll FV of +53bps. In iTraxx Financial Senior and Sub, the widening resulting from the maturity increase does not compensate for the tightening due to the exclusions of BBVA and MONTE. On iTraxx Financial Snr and Sub, the roll FV stands respectively at -10.8bps and -26.4bps.

Exhibit 10: Index roll Fair Value across indices

5Y maturity Main Xover SnrFin SubFin SovX WEConstituent change -4.2 32.1 -20.2 -36.8 -42.3Maturity increase 7.7 20.8 9.4 10.4 7.7Total Roll FV +3.5 +52.9 -10.8 -26.4 -34.7S17 FV (17sep COB) 116 478 187 306 174S18 FV (17sep COB) 120 531 176 280 139

Source: Credit Suisse

18 September 2012

Credit Index Analyser 6

Trading the roll: Better to wait before buying the roll

As a trend we have noticed that over the last four rolls quoted rolls tend to open above Fair value (see Exhibit 11). On average over the last four rolls, the roll skew (Roll mark – Roll FV) stands at about 1bp in Main, 9bps in Xover and 1bp in Financial Senior. Given the Roll FV given above, this could provide a guidance regarding where the roll could open on Thursday.

Some trends also appear in the change in quoted roll two weeks after the roll date (Exhibit 12). The roll in Financial senior has consistently tightened over the last four rolls, suggesting that it may be better to wait before buying the roll on Financial Senior. Regarding iTraxx Main, the S13/14 and S14/15 rolls occurred in a benign environment, with spreads being range bound and not very volatile. The roll therefore did not move significantly after two weeks. The S15/16 roll occurred in a widening environment, and the roll widened significantly as in our view more and more participants were rolling their short positions into the new series. Back then, buying the roll early was therefore the best choice. On the contrary, the S16/17 roll occurred after a significant rally, which had likely cleared a great amount of the short positioning and therefore buying the roll late was actually marginally better. Similar trends have been seen in iTraxx Xover, with the exception of the widening in S13/14 roll. In our view, the current environment is similar to the previous roll given the strong tightening seen in credit indices, and we therefore recommend waiting before buying the roll on Main or Xover.

Exhibit 11: Rolls generally quote above FV Exhibit 12: Trends two week after the roll Roll quoted – Roll FV at the roll date Change in quoted roll between the roll date and two weeks after the roll

-2bps

+0bps

+2bps

+4bps

+6bps

+8bps

+10bps

+12bps

Main Xover Fin Snr

13/14 14/15 15/16 16/17

-4bps

-2bps

+0bps

+2bps

+4bps

+6bps

+8bps

+10bps

Main Xover Fin Snr

13/14 14/15 15/16 16/17

Source: Credit Suisse, DTCC Source: Credit Suisse, DTCC

18 September 2012

Credit Index Analyser 7

Themes and trades 2 

Index trends .............................................................................. 2 

Index curves .............................................................................. 3 

Index Volatility ........................................................................... 3 

Market theme: Index roll ............................................................ 4 

Credit spreads and risk premiums 8 

CDS Vs. Other Assets 9 

iTraxx Main 10 

iTraxx Xover 11 

iTraxx Financial Senior 12 

iTraxx SovX WE 13 

iTraxx Main Curves 14 

CDX IG 15 

CDX HY 16 

iTraxx options 17 

Previous publications 18 

18 September 2012

Credit Index Analyser 8

Credit spreads and risk premiums Exhibit 13: Index analytics Exhibit 14: iTraxx Main systemic premium Analytics Index 5y spread vs. PR+ Model*

As of 17-Sep-12iTraxx

MainiTraxx Xover

iTraxx Fin Snr

iTraxx SovX WE CDX IG CDX HY

Spread (bps) 120 bps 469 bps 189 bps 180 bps 85 bps 448 bps

1w Spd Change -9 bps -40 bps -23 bps -20 bps -11 bps -55 bps

1w Spd % Change -7% -8% -11% -10% -11% -11%

PR+ Model Spread* 132 bps 575 bps 228 bps 212 bps 89 bps 517 bps

Systemic premium/discount -12 bps -106 bps -39 bps -32 bps -4 bps -69 bps

Constituents Equity Vol 26% 55% 34% 29% 22% 49%

Skew (Mark - FV) +4 bps -9 bps +2 bps +6 bps -3 bps -20 bps

1w 5% VaR 23 bps 107 bps 34 bps 24 bps 18 bps 67 bps

*We estimate a model spread of an index by performing a historical regression of 5% VaR against spread levels. The difference between the quoted spread and the model spread provides an estimate of the systemic premia/discount priced into an index, i.e. by how much the index level differs from what is implied by its underlying risk according to PortfolioRisk+.

80

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-30

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t (-

) /

pre

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m (

+)

Mark - Model (lhs) Mark (rhs) PR+ Model (rhs)

More details about the PR+ model spread on p51 in our 2012 Outlook. Source: Credit Suisse Source: Credit Suisse

Exhibit 15: Attractive Index Longs and Short Exhibit 16: CDX IG systemic premium Relative attractiveness in %, based on PR+ Premium over spread Index 5y spread vs. PR+ Model*

-20% -10% 0% 10% 20%

iTraxx Main

iTraxx Xover

iTraxx Fin Snr

iTraxx SovX WE

CDX IG

CDX HY

Attractive short Attractive long

75

100

125

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50Ja

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(-)

/ p

rem

ium

(+

)

Mark - Model Mark PR+ Model

Source: Credit Suisse Source: Credit Suisse

Exhibit 17: Relative spreads between indices Exhibit 18: iTraxx Fin Snr systemic premium Benchmark relative spreads: Xover-4xMain and Fin Snr-Main Index 5y spread vs. PR+ Model*

-50

-25

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Fin Snr - Main Xover -4xMain

100

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isco

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) /

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m (

+)

Mark - Model (lhs) Mark (rhs) PR+ Model (rhs)

Source: Credit Suisse Source: Credit Suisse

18 September 2012

Credit Index Analyser 9

CDS Vs. Other Assets Exhibit 19: Analytics

Mark Dly chg Wkly chg Mthly Chg Correl vs Main YTD Low YTD High

Main 5Y 120 +2 -9 -25 -2% 114 184

Main 30d ATM Vol 58% +2.6% +1.2% +3% 0% 47% 79%

EuroStoxx 50 2584 -11 +55 +127 100% 2069 2608

Vstoxx 21% -0.2% -2.5% -2.2% 64% 18% 36%

German 5y ASW -41 -1 +3 +15 -86% -89 -40

5Y Spain over Bund 416 +28 +22 -97 58% 261 729

EURUSD 1.312 -0.001 +0.034 +0.076 57% 1.205 1.345

EURUSD 1m vol 8.8% +0.1% +0.3% -0.5% 73% 8.3% 13%

Gold 1770 -1 +40 +154 -68% 1542 1787

WTI 97 -2 +0 +1 52% 79 110

Red indicates a negative for risky asset, green a positive for risky assets, correlation o f daily log-returns over the last 90d

YTD Range

Exhibit 20: Main vs. Stoxx

1500

2000

2500

3000

50

100

150

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250

Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12

iTraxx Main vs EuroStoxx 50

Main 5Y spread EuroStoxx 50 (rhs, inverted)

120; 2584R² = 94%

2000

2200

2400

2600

2800

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90 110 130 150 170 190 210 230

Eu

ro S

toxx

50

iTraxx Main

Main vs Stoxx since Jan 11

Exhibit 21: Main vs. rates

-120

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-60

-40

-2050

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Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12

iTraxx Main vs 5Y German ASW

Main 5Y spread German 5y ASW (rhs, inverted)

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Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12

iTraxx Main vs 5Y Spain over Bund

Main 5Y spread 5Y Spain over Bund (rhs)

Exhibit 22: Main vol vs. Vstoxx

0%

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40%

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60%

0%

20%

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60%

80%

100%

120%

Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12

Main vol vs Vstoxx

Main 30d ATM Vol Vstoxx

58%; 21%

R² = 78%

10%

20%

30%

40%

50%

40% 50% 60% 70% 80% 90% 100% 110% 120%

Vst

oxx

Main 30d ATM vol

Main vol vs. Vstoxx since Sep 11

Source: Credit Suisse , the BLOOMBERG PROFESSIONAL™ service Source: Credit Suisse , the BLOOMBERG PROFESSIONAL™ service

18 September 2012

Credit Index Analyser 10

iTraxx Main Exhibit 23: Analytics Exhibit 24: Index spread vs. constituents equity vol Index analytics Historical index spread in bps vs. Avg implied equity volatility of its constituents

17-Sep 1w Chg 1m ChgSpread 120 bps -9 bps -24 bps3s5s 39 bps +1 bps +0 bps5s10s 28 bps +1 bps -0 bpsConstituents Equity Vol 26% -1% -0%Skew 4 bps +2 bps +3 bpsPR+ model spread* 132 bps -11 bps -16 bpsSystemic premium -12 bps +1 bps -9 bps1w 5% VaR 23 bps -2 bps -2 bps

20%

25%

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40%

45%

50%

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Jan-

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Quoted spread Constituents Equity Vol

*More details about the PR+ model spread on p51 in our 2012 Outlook. Source: Credit Suisse Source: Credit Suisse

Exhibit 25: Exposure by sector Exhibit 26: Exposure by country Index exposure by sector, in terms of notional or 5% VaR (systemic risk) Index exposure by country, in terms of notional or 5% VaR (systemic risk)

0%

5%

10%

15%

20%

25%

30%

Consumers Autos &Industrials

Financials Energy TMT

Index notional VaR weight

0%

5%

10%

15%

20%

25%

30%U

K

Fra

nce

Ger

ma

ny

Ben

elu

x

Sw

itzer

land

No

rdic

Italy

Spa

in

Aus

tria

Index notional Var Weight

Source: Credit Suisse

Exhibit 27: Top single-name opportunities Top CUSP Short Top CUSP Long Top Systemic hedge

Issuer5Y Spread

CUSP FV

Premium / Par

Commerzbank AG 211 384 -82%Credit Agricole SA 208 368 -77%Telecom Italia SpA 291 458 -57%Royal Bank of Scotland PLC/190 299 -57%Societe Generale SA 216 336 -56%Intesa Sanpaolo SpA 290 448 -54%Banca Monte dei Paschi di S549 845 -54%BAE Systems PLC 95 146 -54%UniCredit SpA 310 473 -53%Gas Natural SDG SA 288 433 -50%European Aeronautic Defence100 147 -47%British American Tobacco PL37 53 -43%Next PLC 95 135 -42%Suedzucker AG 48 68 -42%Iberdrola SA 249 343 -38%

Issuer5Y Spread

CUSP FV

Premium / Par

EnBW Energie Baden-Wuerttem 78 0 100%Telefonaktiebolaget LM Ericsson144 62 57%Bayerische Motoren Werke AG 87 76 13%RWE AG 88 77 13%Daimler AG 89 78 12%Electrolux AB 61 54 11%Wolters Kluwer NV 64 57 11%E.ON AG 78 70 10%Statoil ASA 62 56 10%Banco Bilbao Vizcaya Argentaria305 277 9%Koninklijke KPN NV 125 115 8%Deutsche Telekom AG 79 74 6%Banco Santander SA 295 282 4%Koninklijke DSM NV 57 55 4%HSBC Bank PLC 113 110 3%

Issuer Spread 5% VaR5% VaR /

spdVATTENFALL AB 53 14 27%JTI UK Finance PLC 29 8 27%Svenska Cellulosa AB 53 13 24%Cadbury PLC 27 7 24%EnBW Energie Baden-W 75 18 24%Fortum OYJ 52 13 24%Telenor ASA 56 13 24%TeliaSonera AB 49 12 24%Centrica PLC 52 12 24%BASF SE 57 13 24%Linde AG 52 12 24%Koninklijke DSM NV 54 13 23%STMicroelectronics NV 129 30 23%Experian Finance PLC 41 9 23%Siemens AG 58 13 23%

Source: Credit Suisse, More details on the CUSP single-name opportunities on our Locus Platform, or via our Quant-daily email. Systemic hedges ranked by their 5% VaR relative to spread.

18 September 2012

Credit Index Analyser 11

iTraxx Xover Exhibit 28: Analytics Exhibit 29: Systemic premium Index analytics Index 5y spread vs. PR+ Model

17-Sep 1w Chg 1m ChgSpread 469 bps -40 bps -114 bps3s5s 115 bps +10 bps +20 bps5s10s 30 bps +15 bps +30 bpsConstituents Equity Vol 55% -1% -2%Skew -9 bps -2 bps -10 bpsPR+ model spread* 575 bps -28 bps -51 bpsSystemic premium -106 bps -12 bps -63 bps1w 5% VaR 107 bps -3 bps -4 bps

300

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nt

(-)

/ pre

miu

m (

+)

Mark - Model (lhs) Mark (rhs) PR+ Model (rhs)

*More details about the PR+ model spread on p51 in our 2012 Outlook. Source: Credit Suisse Source: Credit Suisse

Exhibit 30: Exposure by sector Exhibit 31: Exposure by country Index exposure by sector, in terms of notional or PR+ risk Index exposure by country, in terms of notional or PR+ risk

0%

10%

20%

30%

40%

50%

60%

Autos &Industrials

TMT Consumers Energy Financials

Index notional VaR weight

0%

5%

10%

15%

20%

25%U

K

Ge

rma

ny

Fra

nce

No

rdic

Italy

Ben

elu

x

Spa

in

Por

tug

al

Sw

itzer

land

Gre

ece

Irel

and

Index notional VaR weight

Source: Credit Suisse

Exhibit 32: Top single-name opportunities Top CUSP Short Top CUSP Long Top Systemic hedge

Issuer5Y Spread

CUSP FV

Premium / Par

Cable & Wireless Ltd 476 598 -26%Nokia OYJ 888 1089 -23%ThyssenKrupp AG 300 362 -21%Alcatel-Lucent/France 1463 1747 -19%Havas SA 223 265 -19%Finmeccanica SpA 381 431 -13%TUI AG 505 560 -11%Continental AG 190 206 -8%UPM-Kymmene OYJ 291 314 -8%Dixons Retail PLC 561 605 -8%Societe Air France 771 829 -8%Deutsche Lufthansa AG 210 225 -7%ITV PLC 151 156 -3%Lafarge SA 267 274 -3%Ladbrokes PLC 243 244 0%

Issuer5Y Spread

CUSP FV

Premium / Par

CUSP Premium

International Consolidated Airl 618 498 19% 120Stora Enso OYJ 334 297 11% 37HeidelbergCement AG 261 235 10% 26Renault SA 304 283 7% 21Virgin Media Finance PLC 274 257 6% 17ArcelorMittal 476 450 5% 26UPC Holding BV 472 448 5% 24Peugeot SA 604 588 3% 16Fiat SpA 594 586 1% 8

Issuer Spread 5% VaR5% VaR /

spdKABEL BW MUSKETEER GM 51 24 48%Rallye SA 430 176 41%Cable & Wireless Worldwide 50 19 38%KABEL DEUTSCHLAND VER 238 77 33%CIR International SA 642 205 32%METSA BOARD OYJ 471 144 31%EDP - Energias de Portugal S 459 134 29%UNITYMEDIA GMBH/OLD 383 109 28%Continental AG 181 49 27%Fiat Industrial SpA 332 90 27%Sunrise Communications Inte 403 106 26%Havas SA 212 55 26%JAGUAR LAND ROVER PLC 448 116 26%ISS A/S 303 78 26%Portugal Telecom Internationa 486 125 26%

Source: Credit Suisse, More details on the CUSP single-name opportunities on our Locus Platform, or via our Quant-daily email. Systemic hedges ranked by their 5% VaR relative to spread.

18 September 2012

Credit Index Analyser 12

iTraxx Financial Senior Exhibit 33: Analytics Exhibit 34: Index spread vs. constituents equity vol Index analytics Historical index spread in bps vs. Avg implied equity volatility of its constituents

17-Sep 1w Chg 1m ChgSpread 189 bps -23 bps -52 bps5s10s 15 bps +0 bps +0 bpsConstituents Equity Vol 34% -3% -1%Skew 2 bps -3 bps +5 bpsPR+ model spread* 228 bps -22 bps -19 bpsSystemic premium -39 bps -1 bps -32 bps1w 5% VaR 34 bps -3 bps -2 bps

20%

30%

40%

50%

60%

70%

80%

100

150

200

250

300

350

400

Jan-

11 Apr

-11

Jul-1

1

Oct

-11 Ja

n-12 Apr

-12

Jul-1

2

Co

nst

itu

ents

Eq

uit

y V

ol

Ind

ex s

pre

ad

Quoted spread Constituents Equity Vol

*More details about the PR+ model spread on p51 in our 2012 Outlook. Source: Credit Suisse Source: Credit Suisse

Exhibit 35: Exposure by country Exhibit 36: Banks vs. insurance spreads Index exposure by sector, in terms of notional or PR+ risk Spreads of banks vs. insurance constituents

0%

5%

10%

15%

20%

25%

30%

UK

Ger

ma

ny

Fra

nce

Sw

itzer

land

Italy

Spa

in

Be

nelu

x

Index notional VaR Weight

-200

-100

0

100

200

300

400

500

Sep

-08

De

c-08

Ma

r-0

9

Jun-

09

Sep

-09

De

c-09

Ma

r-1

0

Jun-

10

Sep

-10

De

c-10

Ma

r-1

1

Jun-

11

Sep

-11

De

c-11

Ma

r-1

2

Jun-

12

Bank - insurance Bank Insurance

Source: Credit Suisse Source: Credit Suisse

Exhibit 37: Top single-name opportunities Top CUSP Short Top CUSP Long Top Systemic hedge

Issuer5Y Spread CUSP FV

Premium / Par

Commerzbank AG 211 384 -82%Credit Agricole SA 208 368 -77%Royal Bank of Scotland PLC/The 190 299 -57%Societe Generale SA 216 336 -56%Intesa Sanpaolo SpA 290 448 -54%Banca Monte dei Paschi di Siena549 845 -54%UniCredit SpA 310 473 -53%Credit Suisse Group AG 120 163 -36%BNP Paribas SA 163 217 -33%Deutsche Bank AG 149 197 -32%Hannover Rueckversicherung AG 95 123 -29%Lloyds Banking Group PLC 184 234 -27%Allianz SE 99 125 -26%UBS AG 134 163 -22%Barclays Bank PLC 167 202 -21%

Issuer5Y Spread

CUSP FV

Premium / Par

Banco Bilbao Vizcaya Argentar305 277 9%Banco Santander SA 295 282 4%HSBC Bank PLC 113 110 3%Swiss Reinsurance Co Ltd 95 95 0%

Issuer Spread 5%VaR5% VaR /

spdDeutsche Bank AG 142 29 21%UBS AG 129 26 21%BNP Paribas SA 156 31 20%Muenchener Rueckversiche 47 9 20%Barclays Bank PLC 160 32 20%Societe Generale SA 208 41 20%Commerzbank AG 204 40 19%Credit Agricole SA 200 39 19%Credit Suisse Group AG 115 22 19%Lloyds Banking Group PLC 176 33 19%Royal Bank of Scotland PL 183 34 18%Intesa Sanpaolo SpA 284 51 18%Banco Santander SA 290 51 18%Banco Bilbao Vizcaya Arge 300 52 17%HSBC Bank PLC 107 19 17%

Source: Credit Suisse, More details on the CUSP single-name opportunities on our Locus Platform, or via our Quant-daily email. Systemic hedges ranked by their 5% VaR relative to spread.

18 September 2012

Credit Index Analyser 13

iTraxx SovX WE Exhibit 38: Analytics Exhibit 39: Index spread vs. constituents equity vol Index analytics Historical index spread in bps vs. Average implied equity volatility of the major

equity index of each country

17-Sep 1w Chg 1m ChgSpread 180 bps -20 bps -59 bps5s10s -19 bps +0 bps -0 bpsConstituents Equity Vol 29% +1% +6%Skew 6 bps +3 bps +3 bpsPR+ model spread* 212 bps -12 bps -38 bpsSystemic premium -32 bps -8 bps -21 bps1w 5% VaR 24 bps -1 bps -2 bps

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

0

50

100

150

200

250

300

350

400

450

Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12

Co

nst

itu

ents

Eq

uit

y V

ol

Ind

ex s

pre

ad

Quoted spread Constituents equity vol

*More details about the PR+ model spread on p51 in our 2012 Outlook. Source: Credit Suisse Source: Credit Suisse

Exhibit 40: Exposure by country Exhibit 41: Systemic premium Index exposure by country, in terms of notional or PR+ risk Index 5y spread vs. PR+ Model

0%

5%

10%

15%

20%

25%

30%

No

rdic

Be

nelu

x

UK

Ger

ma

ny

Fra

nce

Ita

ly

Sp

ain

Aus

tria

Irel

and

Po

rtug

al

Index notional VaR weight

0

50

100

150

200

250

300

350

400

450

-80

-60

-40

-20

0

20

40

60

80

100

Jan-

11

Ma

r-1

1

Ma

y-1

1

Jul-1

1

Sep

-11

No

v-11

Jan-

12

Ma

r-1

2

Ma

y-1

2

Jul-1

2

Sep

-12

Ind

ex s

pre

ad

Sys

tem

ic d

isco

un

t (-

) / p

rem

ium

(+

)

Mark - Model (lhs) Mark (rhs) PR+ Model (rhs)

Source: Credit Suisse Source: Credit Suisse

Exhibit 42: Weekly spread change by issuer

-25%

-20%

-15%

-10%

-5%

+0%

FR

A (

89bp

s)

IRL

(282

bps)

BE

L (1

06bp

s)

PR

T (

430b

ps)

DE

U (

45b

ps)

NLD

(55

bps)

GB

R (

43bp

s)

AU

T (

63bp

s)

SW

E (

26bp

s)

ITA

(3

07bp

s)

FIN

(35

bps)

NO

R (

21bp

s)

DN

K (

55b

ps)

ES

P (

351b

ps)

1W %

Sp

d c

han

ge

Source: Credit Suisse

18 September 2012

Credit Index Analyser 14

iTraxx Main Curves Exhibit 43: Curve Mark, FV and VaR Exhibit 44: 3s5s mark vs. FV Weekly change in non-tail vs. tail risk Historical 3s5s quoted and constituents FV

81 bps

120 bps

138 bps

148 bps

105 bps

142 bps

158 bps166 bps

75 bps

85 bps

95 bps

105 bps

115 bps

125 bps

135 bps

145 bps

155 bps

165 bps

175 bps

1 3 5 7 9 11

17-Sep mark 17-Sep FV 1w 5% VaR

-20

-15

-10

-5

0

5

10

15

20

25

-40

-30

-20

-10

0

10

20

30

40

50

Jan-

08

Apr

-08

Jul-0

8

Oct

-08

Jan-

09

Apr

-09

Jul-0

9

Oct

-09

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

3s5s

Mark - FV (rhs) 3s5s Mark 3s5s FV

Source: Credit Suisse Source: Credit Suisse

Exhibit 45: Weekly top curve movers Exhibit 46: 3s5s vs. 5y spread Top curve movers (3s5s in bps) Historical 5y spreads vs. 3s5s/5Y

-10bps-8bps-6bps-4bps-2bps+0bps+2bps+4bps+6bps+8bps

+10bps

Tel

efo

nica

SA

(92

bps

)

Gas

Na

tura

l SD

G S

A…

Re

pso

l SA

(7

7bps

)

Ene

l SpA

(7

3bp

s)

Iber

drol

a S

A (

73bp

s)

Ass

icur

azi

oni G

ene

rali…

Tel

eco

m It

alia

Sp

A (

95b

ps)

Cie

Fin

anci

ere

Mic

helin

…

AX

A S

A (

53bp

s)

Aeg

on

NV

(50

bps

)

Sie

men

s A

G (

25b

ps)

Da

imle

r A

G (

37b

ps)

Un

ited

Util

ities

PL

C (

32b

ps)

Ce

ntric

a P

LC (

25b

ps)

Vol

ksw

agen

AG

(36

bps

)

Xst

rata

PLC

(4

9bp

s)

Ban

co B

ilba

o V

izca

ya…

Ban

co S

anta

nd

er S

A…

Eur

ope

an A

ero

nau

tic…

BA

E S

yste

ms

PL

C (

40b

ps)

1w c

han

ge

in 3

s5s

50

70

90

110

130

150

170

190

210

230

0% 5% 10% 15% 20% 25% 30% 35% 40%

Mai

n 5

y

Main 3s5s / 5y

2011 2012 Current

Source: Credit Suisse Source: Credit Suisse

Exhibit 47: Curve review by sector Exhibit 48: Curve review by country 3s5s and 5s10s spreads, weekly change and VaR by sector 3s5s and 5s10s spreads, weekly change and VaR by country

Sector Avg 5y Avg 3s5s 1w Chg1w 5%

VaR (bps)Avg

5s10s1w 5%

VaR (bps)consumer products 59 24 -0.2 1 21 -1healthcare 61 26 -0.3 2 19 -1media 91 31 0.2 0 23 -3gas pipelines 110 33 1.1 -2 18 -5energy 112 35 2.5 -2 15 -5manufacturing 118 43 -0.4 0 29 -4retail 120 44 0.3 -1 24 -4telecom 140 40 5.4 -4 17 -6basic industries 140 46 0.4 -2 20 -6electric utilities 140 43 3.2 -3 16 -7technology 143 37 0.2 -5 22 -7insurance 150 38 3.1 -4 21 -6transportation 172 61 -0.1 -3 30 -9bank 243 48 2.1 -10 18 -11

Country Avg 5y Avg 3s5s 1w Chg1w 5%

VaR (bps)Avg

5s10s1w 5%

VaR (bps)FIN 58 26 0.1 2 23 -1NOR 63 24 0.0 1 21 -1SWE 91 32 -0.5 0 25 -3DEU 98 35 0.6 0 23 -3GBR 99 34 0.2 -1 22 -3NLD 107 36 0.6 -1 22 -4BEL 116 47 -0.3 1 19 -4AUT 119 37 0.1 -2 24 -6FRA 131 44 0.7 -2 23 -5CHE 133 43 0.4 -2 23 -5ESP 312 62 6.1 -15 9 -17ITA 328 52 5.7 -16 10 -16

Source: Credit Suisse Source: Credit Suisse

18 September 2012

Credit Index Analyser 15

CDX IG Exhibit 49: Analytics Exhibit 50: Index spread vs. constituents equity vol Index analytics Historical index spread in bps vs. Avg implied equity volatility of its constituents

17-Sep 1w Chg 1m ChgSpread 85 bps -11 bps -15 bps3s5s 36 bps -0 bps -3 bps5s10s 39 bps +2 bps +3 bpsConstituents Equity Vol 22% -0% +2%Skew -3 bps -1 bps +4 bpsPR+ model spread* 89 bps -7 bps -6 bpsSystemic premium -4 bps -3 bps -9 bps1w 5% VaR 18 bps -1 bps -1 bps

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

50

60

70

80

90

100

110

120

130

140

150

Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12

Co

nst

itu

ents

Eq

uit

y V

ol

Ind

ex s

pre

ad

Quoted spread Constituents Equity Vol

*More details about the PR+ model spread on p51 in our 2012 Outlook. Source: Credit Suisse Source: Credit Suisse

Exhibit 51: Exposure by sector Exhibit 52: Systemic premium Index exposure by sector, in terms of notional or PR+ risk Index 5y spread vs. PR+ Model

0%

5%

10%

15%

20%

25%

30%

35%

Aut

os

&In

dust

ria

ls

Co

nsum

ers

TM

T

Fin

anci

als

Ene

rgy

Index notional VaR weight

75

100

125

150

175

200

-50

-40

-30

-20

-10

0

10

20

30

40

50Ja

n-11

Ma

r-1

1

Ma

y-1

1

Jul-1

1

Sep

-11

No

v-11

Jan-

12

Ma

r-1

2

Ma

y-1

2

Jul-1

2

Sep

-12

Ind

ex s

pre

ad

Sys

tem

ic d

isco

un

t (-

) / p

rem

ium

(+

)

Mark - Model Mark PR+ Model

Source: Credit Suisse Source: Credit Suisse

Exhibit 53: Top single-name opportunities Top CUSP Short Top CUSP Long Top Systemic hedge

Issuer5Y Spread

CUSP FV

Premium / Par

AutoZone Inc 47 67 -43%Reynolds American Inc 96 125 -30%Altria Group Inc 62 76 -23%Dominion Resources Inc/VA36 44 -22%Kraft Foods Inc 41 50 -22%Quest Diagnostics Inc 73 88 -21%Loews Corp 60 72 -20%ConAgra Foods Inc 88 104 -18%Exelon Corp 67 79 -18%Northrop Grumman Corp 41 48 -17%FirstEnergy Corp 112 131 -17%Tyson Foods Inc 146 170 -16%International Paper Co 108 125 -16%HJ Heinz Co 51 59 -16%Marriott International Inc/DE 90 104 -16%

Issuer5Y Spread

CUSP FV

Premium / Par

Goodrich Corp 14 0 100%Pitney Bowes Inc 345 233 32%Home Depot Inc/The 45 37 18%Walt Disney Co/The 24 20 17%CVS Caremark Corp 43 36 16%ACE Ltd 51 43 16%Vornado Realty Trust 136 115 15%Expedia Inc 144 122 15%CA Inc 113 96 15%Cigna Corp 75 64 15%Sara Lee Corp 136 117 14%Arrow Electronics Inc 131 113 14%Pfizer Inc 52 45 13%Dell Inc 201 174 13%Time Warner Cable Inc 99 87 12%

Issuer Spread 5% VaR5% VaR /

spdGoodrich Corp 14 4 31%Ingersoll-Rand Co 40 11 28%AutoZone Inc 45 12 27%Honeywell International Inc 31 8 27%Halliburton Co 58 15 26%Walt Disney Co/The 22 6 26%McDonald's Corp 24 6 25%COX Communications Inc 46 12 25%National Rural Utilities Coope 76 19 25%Beam Inc 46 11 25%Northrop Grumman Corp 39 10 25%Deere & Co 45 11 25%Duke Energy Corp 32 8 24%Devon Energy Corp 66 16 24%Kraft Foods Inc 39 9 24%

Source: Credit Suisse, More details on the CUSP single-name opportunities on our Locus Platform, or via our Quant-daily email. Systemic hedges ranked by their 5% VaR relative to spread.

18 September 2012

Credit Index Analyser 16

CDX HY Exhibit 54: Analytics Exhibit 55: Index spread vs. constituents equity vol Index analytics Historical index spread in bps vs. Avg implied equity volatility of its constituents

17-Sep 1w Chg 1m ChgSpread 448 bps -55 bps -93 bps3s5s 112 bps +8 bps +7 bps5s10s 46 bps +9 bps +27 bpsConstituents Equity Vol 49% -0% +2%Skew -20 bps -9 bps +3 bpsPR+ model spread* 517 bps -28 bps -38 bpsSystemic premium -69 bps -27 bps -56 bps1w 5% VaR 67 bps -2 bps -1 bps

40%

45%

50%

55%

60%

65%

70%

75%

80%

300

400

500

600

700

800

900

1000

Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12

Co

nst

itu

ents

Eq

uit

y V

ol

Ind

ex

spre

ad

Quoted spread Constituents Equity Vol

*More details about the PR+ model spread on p51 in our 2012 Outlook. Source: Credit Suisse Source: Credit Suisse

Exhibit 56: Exposure by sector Exhibit 57: Systemic premium Index exposure by sector, in terms of notional or PR+ risk Index 5y spread vs. PR+ Model

0%

5%

10%

15%

20%

25%

30%

35%

Aut

os &

Indu

stria

ls

Co

nsum

ers

TM

T

En

ergy

Fin

anci

als

Index notional VaR weight

300

400

500

600

700

800

900

-100-80-60-40-20

020406080

100

Jan-

11

Ma

r-1

1

Ma

y-1

1

Jul-1

1

Sep

-11

No

v-11

Jan-

12

Ma

r-1

2

Ma

y-1

2

Jul-1

2

Sep

-12

Ind

ex s

pre

ad

Sys

tem

ic d

isco

un

t (-

) / p

rem

ium

(+

)

Mark - Model Mark PR+ Model

Source: Credit Suisse Source: Credit Suisse

Exhibit 58: Top single-name opportunities Top CUSP Short Top CUSP Long Top Systemic hedge

Issuer 5Y SpreadCUSP FV

Premium / Par

Rite Aid Corp 706 1803 -155%RadioShack Corp 1552 2748 -77%MGIC Investment Corp 1563 2183 -40%Chesapeake Energy Corp 518 723 -40%iStar Financial Inc 545 756 -39%K Hovnanian Enterprises In771 1045 -36%KB Home 419 549 -31%Forest Oil Corp 538 670 -25%Sunoco Inc 102 127 -25%Sprint Nextel Corp 429 515 -20%Radian Group Inc 1023 1216 -19%Gannett Co Inc 217 257 -18%Sealed Air Corp 293 343 -17%Boyd Gaming Corp 793 925 -17%AK Steel Corp 924 1047 -13%

Issuer5Y Spread CUSP FV

Premium / Par

Knight Ridder Inc 988 491 50%Hertz Corp/Old 383 277 28%Sanmina-SCI Corp 487 362 26%Deluxe Corp 399 300 25%Dillard's Inc 219 170 22%Unisys Corp 345 270 22%Sears Roebuck Acceptance 990 800 19%PolyOne Corp 308 252 18%SUPERVALU Inc 1123 951 15%Health Management Associa 434 368 15%Fifth & Pacific Cos Inc 274 235 14%Universal Health Services Inc 171 152 11%Ford Motor Co 238 213 11%Ltd Brands Inc 181 163 10%TRW Automotive Inc 247 227 8%

Issuer Spread 5% VaR5% VaR /

spdGoodrich Corp 14 4 31%Ingersoll-Rand Co 40 11 28%AutoZone Inc 45 12 27%Honeywell International Inc 31 8 27%Halliburton Co 58 15 26%Walt Disney Co/The 22 6 26%McDonald's Corp 24 6 25%COX Communications Inc 46 12 25%National Rural Utilities Coope 76 19 25%Beam Inc 46 11 25%Northrop Grumman Corp 39 10 25%Deere & Co 45 11 25%Duke Energy Corp 32 8 24%Devon Energy Corp 66 16 24%Kraft Foods Inc 39 9 24%

Source: Credit Suisse, More details on the CUSP single-name opportunities on our Locus Platform, or via our Quant-daily email. Systemic hedges ranked by their 5% VaR relative to spread.

18 September 2012

Credit Index Analyser 17

iTraxx options Exhibit 59: iTraxx Main Analytics Exhibit 60: iTraxx Xover Analytics

17-Sep COB Dly chg Wkly chg 3m Low 3m High

Spread ref 120 +2 -10 118 179

ATM Vol

30d 57.5% +2.6% +1.2% 51% 62%

90d 58.4% +2.3% +0.4% 53% 63%

120d 58.9% +2.2% +0.1% 53% 64%

Vol premium

30d 16.9% +11.5% +11.3% -1% 28%

90d 10.0% +2.3% -0.2% 4% 23%

120d 7.9% +2.1% -1.2% 3% 24%

Red indicates a negative for risky asset, green a positive for risky assets

17-Sep COB Dly chg Wkly chg 3m Low 3m High

Spread ref 469 +9 -40 460 685

ATM Vol

30d 46.0% -0.0% +1.2% 45% 56%

90d 46.4% -0.5% +0.4% 46% 57%

120d 46.8% -0.7% +0.0% 46% 58%

Vol premium

30d 9.3% +5.1% +3.8% 3% 24%

90d 6.3% -0.7% -0.8% 5% 18%

120d 3.8% -0.7% -0.6% 3% 18%

Exhibit 61: Main 30d Implied vs Realized Vol Exhibit 62: Xover 30d Implied vs Realized Vol

0

50

100

150

200

250

-20%

0%

20%

40%

60%

80%

100%

120%

140%

Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12

Vol premium Implied vol Realized vol spread (rhs)

0%

10%

20%

30%

40%

50%

20%

30%

40%

50%

60%

70%

80%

Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12

Vol premium Implied vol Realized vol

Exhibit 63: Main vs. IG Vol Exhibit 64: Main vs Xover Vol

0%

5%

10%

15%

20%

25%

30%

35%

30%

40%

50%

60%

70%

80%

90%

Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12

Main - IG vol Main 30d ATM vol CDX IG 30d ATM vol

0%

5%

10%

15%

40%

50%

60%

70%

80%

Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12

Main - Xover vol (rhs) Main 30d ATM vol Xover 30d ATM vol

Exhibit 65: Main 30d Vol Skew Exhibit 66: Xover 30d Vol Skew

40%

50%

60%

70%

80%

90%

80% 90% 100% 110% 120% 130%

Strike / Forward

1m range current

40%

50%

60%

70%

80%

90%

80% 90% 100% 110% 120% 130%

Strike / Forward

1m range current

Source: Credit Suisse Source: Credit Suisse

18 September 2012

Credit Index Analyser 18

Previous publications Exhibit 67: 2012 publications

11 Sep 12 – Weakening support for the rally 12 Jun 12 - Credit trends and trades for the week-end

04 Sep 12 – Options and curves attractive hedges for September 30 May 12 – iTraxx Financial Senior country diversification

28 Aug 12 – Buying volatility for September and beyond 22 May 12 – Xover – Main compression in perspective

21 Aug 12 – Time to position for September 15 May 12 – How fat is your tail?

14 Aug 12 – Carry trades continue for now 08 May 12 – Holding the compression trade

07 Aug 12 – Cautious summer carry themes 01 May 12 - Risks and returns in single-name CDS

31 Jul 12 – Almost time to sell the fact 24 Apr 12 - Risks and returns in investment-grade CDS

24 Jul 12 – What’s left to widen 17 Apr 12 – Earnings and tightenings

18 Jul 12 – Relative value opportunity amidst summer drift 03 Apr 12 – Recent weakness opening entry points for Q2

10 Jul 12 - Systemic premiums rise as credit lags equity 27 Mar 12 – Take profit on the decompression trade

03 Jul 12 – Summer recess 20 Mar 12 – Trading the roll

19 Jun 12 – Waiting for the squeeze 13 Mar 12 – Grinding tighter

06 Mar 12– Moderate weakness to persist

28 Feb 12 – LTRO might well mark local top

21 Feb 12 – Tighter after all

14 Feb 12 – Tightening slowly

07 Feb 12 – Testing the rally

31 Jan 12 – Still constructive, but hedge for the worst

24 Jan 12 – Rally to mature

17 Jan 12 - Risk premium still high in financials

10 Jan 12 - Basket of shorts for systemic risk hedging

03 Jan 12 – New Year, New Trades

Source: Credit Suisse

18 September 2012

Credit Index Analyser 19

Exhibit 68: Previous years’ publications

29 Nov 11 – Market pricing binary outcomes 30-Aug-11 – The equity vs. credit dislocation

22 Nov 11 - Take profit on the compression trade 16-Aug-11 – iTraxx Xover vs. Main compression trade

15 Nov 11 - Hedging against further contagion 09-Aug-11 – A week to remember

08 Nov 11 - Index exposure to Italian issuers 02-Aug-11 – Low beta sovereigns to widen further

02 Nov 11 – Keep compressing, keep hedging 26-Jul-11 – More correlation, more tail events

25 Oct 11 - Compression set to continue 20-Jul-11 – CDS Index exposure to systemic risk

18 Oct 11 - Xover vs Main compression trade - redux 12-Jul-11 – CDS Index exposure to contagion risk

11 Oct 11 - Sovereign single-names better systemic hedges than indices 05-Jul-11 - Monitoring curves

04 Oct 11 – Contagion to the US 28-Jun-11 - The benefits of 5s10s flatteners

27 Sep 11 - Xover S16 benefits from more diversification 22-Jun-11 - Understanding Curve Risk

21 Sep 11 – iTraxx index roll 14-Jun-11 - The cheapest hedge

13 Sep 11 – Historical wides: not (yet!) an opportunity 07-Jun-11 - European decoupling

06 Sep 11 – Understanding the drivers of spread widening 31-May-11 - The impact of correlation on index risk

And the original Fear Factor publication :

27-Sep-10 - The fear factor - What market prices tell us about systemic risk Source: Credit Suisse

Credit Strategy and Quantitative Research

William Porter, Managing Director

Group Head +44 20 7888 1207 william.porter@credit-suisse.com

Christian Schwarz, Vice President

+44 20 7888 3161 christian.schwarz.2@credit-suisse.com

Chiraag Somaia, Associate

+44 20 7888 2776 chiraag.somaia@credit-suisse.com

Joachim Edery, Analyst

+44 20 7888 7382 joachim.edery@credit-suisse.com

Jessica Orts, Analyst

+44 20 7888 4188 jessica.orts@credit-suisse.com

sDisclosure 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.

CUSP® Certification and Definition With respect to the analysis in this report based on the CUSP® methodology, Credit Suisse certifies that (1) the views expressed in this report accurately reflect the CUSP® 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. CUSP® is an analytical model that relates an issuer's capital structure, stock price, and equity option-implied volatility to its credit risk. CUSP® can be used for systematic monitoring of credit risk. Details on the CUSP® methodology can be found in the Corporates, Reference, Education tab of Locus (http://locus.fi.csfb.com/) or by contacting the Credit Suisse Quantitative Credit Strategy Group.

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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.

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

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

Outperform 25% (of which 81% are banking clients)

Market Perform 49% (of which 80% are banking clients)

Underperform 19% (of which 91% 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.

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