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

CMBS Market Watch Weekly Structured Products Americas

Market Monitor Interest in higher-yielding CMBS bonds remained strong this week and the focus shifted down the capital structure slightly to encompass originally AA-rated and A-rated bonds. Relative to these bonds, the top of the capital structure appeared to lag a little and we believe spreads on these bonds will tighten further. On the week, super senior AAAs tightened 10bp to S+240bp.

The third quarter flow of funds data released by the Federal Reserve showed that most CRE lenders are still in a deleveraging mode; however, CMBS originators and life insurance companies should lead the way out of this phase in terms of CRE lending outside of multi-family properties.

A/B note splits, a game change for credit IOs With the majority of CMBS losses from delinquent loans yet to be realized, a large number of the most junior classes in CMBS trusts are priced like strips of interest without expecting any principal recovery, the so called “credit IOs.” We think that the increase in loan modifications involving A/B note splits and/or rate reductions should have a material impact on such classes, in particular with respect to interest shortfall recoveries.

CMBS and CMBX Spreads and Prices

∆ bps ∆ bps ∆ bps ∆ bps ∆ $ ∆ $ ∆ $CMBS Spreads 12/09/10 12/02/10 11/10/10 12/09/10 12/02/10 11/10/10 12/09/10 12/02/10 CMBX.4 12/09/10 12/02/10 11/10/10AAA 5y r 293 -8 -12 275 0 0 CMBX.NA.AAA 95.13 -0.17 0.34AAA 10y r (Super SR)* 250 -17 -30 240 -10 -25 CMBX.NA.AM 87.19 -0.29 0.33AAA 10y r (AM) 415 -32 -120 405 -25 -115 $96 +$1 CMBX.NA.AJ 72.04 0.83 -1.64AAA 10y r (Junior) 900 -87 -190 890 -80 -185 $75 +$2 CMBX.NA.AA 49.17 1.93 0.63AA 10y r 2790 -112 -685 2780 -105 -680 $33 +$1 CMBX.NA.A 39.75 1.04 -0.11A 10y r 3570 -152 -705 3560 -145 -700 $25 +$1 CMBX.NA.BBB 20.15 0.01 -0.37BBB 10y r na na na na na na $7 --- CMBX.NA.BBB- 19.00 -0.05 -0.88BBB- 10y r na na na na na na $5 --- CMBX.NA.BB 5.00 0.00 0.00BB 10y r na na na $2 --- Source: M arkit

B 10y r na na na $1 ---PAC IO 300 0 0 CMBS ∆ bps ∆ bpsSupport IO 790 0 -10 Credit Curve 12/09/10 12/02/10 11/10/10Strip IO 790 0 -10 AAA 5y r/10y r -1 -11 -16

AAA/AA 2506 -94 -664Interest-Rate Swap Spreads to UST AA/A 780 -40 -205y r Sw ap 18 -8 -1210y r Sw ap 10 -7 -5

SWAP

SWAPUST PRICEPRICE

* 2006+ TRX constituents. Source: Credit Suisse

10 December 2010Fixed Income Research

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

Contributors Serif Ustun, CFA

Vice President +1 212 538 4582

serif.ustun@credit-suisse.com

Sylvain Jousseaume Vice President

+1 212 325 1356 sylvain.jousseaume@credit-suisse.com

Tee Chew Associate

+1 212 325 8703 tee.chew@credit-suisse.com

10 December 2010

CMBS Market Watch Weekly 2

Market Monitor Interest in higher-yielding CMBS bonds remained strong this week and the focus shifted down the capital structure slightly from AMs and AJs to include originally AA-rated and A-rated bonds. We estimate AMs gained $1 on the week to $96 and AJs $2 to $75. Originally AA-rated and A-rated bonds also gained $1 on average over the past week. Relative to these bonds, the top of the capital structure appeared to lag a little. Recent vintage super senior AAAs tightened 10bp, spread-wise, to S+240bp, with bonds that were perceived to be weaker tightening more. CMBX was a mixed bag this week; most of the more seasoned CMBX.1 tranches sold off and the more recent CMBX.3-5 “middle” tranches – the AJ, AA and A – rallied.

The third quarter flow of funds data released by the Federal Reserve showed that most CRE lenders are still in a deleveraging mode except for GSEs/federal government (Exhibit 1). Commercial real estate lending outside of multi-family “improved” slightly, with third quarter 2010 flows at negative $188bn compared with the peak negative flow at $208bn as at fourth quarter 2009. The quarterly flow for multi-family assets turned positive after three consecutive quarters of negative flows. This was led by a large increase from GSEs/federal government this quarter relative to the previous two quarters. Overall, the speed of deleveraging remained steady with a very slight improvement (Exhibit 2).

With the restart of securitization programs, arguably from the second half of this year, CMBS originators (ABS issuers in Exhibits 1 and 2) and life insurance companies should lead the way out of this phase in terms of CRE lending outside of multi-family properties. According to Commercial Mortgage Alert, $13bn of deals is already in the pipeline for the first quarter of 2011 and, as highlighted in our publication on November 12, ACLI recently reported a sharp increase in commercial mortgage commitments over the third quarter this year.

Exhibit 1: Outstanding CRE assets Exhibit 2: Net change in CRE assets

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

Q386 Q390 Q394 Q398 Q302 Q306 Q310

OthersREITLife CoABS IssuersComm. Banking / Saving Inst.GSE/Federal Govt

$bn

-300-200-100

100200300400500

Q304 Q305 Q306 Q307 Q308 Q309 Q310GSE/Federal Govt Comm. Banks/Saving Inst.ABS Issuers Life CoREIT Others

$bn

Source: Federal Reserve Flow of Funds, Credit Suisse Source: Federal Reserve Flow of Funds, Credit Suisse

10 December 2010

CMBS Market Watch Weekly 3

A/B note splits could be a game change for “credit IOs” With the majority of CMBS losses from delinquent loans yet to be realized, a large number of the most junior classes in CMBS trusts are priced like strips of interest without expecting any principal recovery, the so called “credit IOs.” We think that the increase in loan modifications involving A/B note splits should have a material impact on such classes, in particular with respect to interest shortfall recoveries.

While it is apparent that rate modifications will create non-recoverable interest shortfalls at the bottom of the capital stack, the mechanics and effects of A/B note splits are more convoluted. To create a framework for understanding this process, we consider a hypothetical CMBS transaction that includes three sub-pools of performing loans of equal aggregate balance: pools X, Y and Z. Similarly, the bond capital structure is simplified, with only six equal size, sequential pay certificates, with Class A the most senior class and Class F the most junior class (Exhibit 3). All certificates and loans are assumed to be paying a 6.25% coupon. The lifespan of the deal is six years, grouped into three periods of 24 months each in which key events occur (i.e., delinquency, modification, liquidation and maturity).

Exhibit 3: Sample Transaction Tranches Collateral Period Class A $50mn, 6.25% coupon Pool X ($100mn, 6.25% coupon, full IO) Period 1: Year 1 & 2Class B $50mn, 6.25% coupon Pool Y ($100mn, 6.25% coupon, full IO) Period 2: Year 3 & 4Class C $50mn, 6.25% coupon Pool Z ($100mn, 6.25% coupon, full IO) Period 3: Year 5 & 6Class D $50mn, 6.25% coupon Class E $50mn, 6.25% coupon Class F $50mn, 6.25% coupon Source: Credit Suisse

We examine the principal and interest cash flow profiles under two scenarios. In the first scenario, any delinquent loans go through the typical delinquency/foreclosure/REO/liquidation cycle without any modification (Scenario 1). The second scenario involves loan modifications for some of the delinquent loans (Scenario 2).

In Scenario 1, we assume that two pools (Y and Z) become delinquent at the end of the first period, with the servicer only advancing 50% during period 2 based on the appraisal reduction amount, implying 50% ASER1. Consequently the most junior classes, E and F, do not receive any interest during period 2.

The delinquent pools Y and Z are liquidated at the end of period 2 with only 50% of the balance recovered, in line with the appraisal reduction.

As discussed in one of our previous reports (“Focus on Appraisal Reductions and Shortfalls”, July 16, 2010), any loan recoveries are applied first to repay servicer advancing and unpaid accrued interest shortfall. As a result, all interest shortfalls on Classes E and F are recovered at the end of period 2 and the effective principal severity increases to 62.5% (Exhibit 5).2

At the deal level, 62.5% severity on two-thirds of the collateral equals approximately a 42% write-down, wiping out the entire Classes E and F, and writing down Class D by half. The principal recoveries equal 25% of deal balance, resulting in full paydown of Class A and 50% of Class B (Exhibit 4).

1 ASER, or Appraisal Subordination Entitlement Reduction, is a fraction of interest due on the mortgage asset that is not advanced

by servicers to alleviate losses. 2 50% recovered net from 6.25% x 2 years is 37.5% principal recovered for the CMBS bonds (i.e., 62.5% loss severity).

Developing a framework for

implications of A/B note splits

Scenario 1: shortfall

recoveries

10 December 2010

CMBS Market Watch Weekly 4

At the end of period 3, pool X is paid off, retiring all outstanding classes.

Exhibit 4: Profile of principal balances when there are no A/B splits

Source: Credit Suisse

Exhibit 5: Profile of interest accruals when there are no A/B splits

Source: Credit Suisse

In Scenario 2, we assume all the loans in pool Y turn delinquent at the end of period 1. All such loans are modified shortly thereafter using an A/B note split strategy. The pool Z is unchanged, with default by the end of period 1 and liquidation by the end of period 2. Similarly, pool X continues to perform (Exhibit 6).

A/B note splits for pool Y are scaled to 50% using property appraisals and anticipated recovery amounts. The servicer advances interest payments on the A-notes of pool Y. The B-notes accrue without an effective interest payment (a hope note, Exhibit 7).

By the end of period 2, pool Z is liquidated with all associated accruals and advances repaid. The deal is written down 21%; 12.5% is recovered from the loans and used to pay down 75% of Class A. However, the modified pool Y remains outstanding until maturity at the end of period 3.

At the end of period 3, pool X balloons as anticipated. For pool Y, we assume that no progress was made on the properties and only 50% can be recovered upon liquidation. At this particular point, a major difference compared to Scenario 1 arises, namely modification loan terms and CMBS pooling and servicing agreements typically state that proceeds for pool Y should be applied as follows:

1. Interest advances and unpaid interest on the A-note;

2. Principal balance of the A-note;

3. Interest advances and unpaid interest on the B-note; and

4. Principal balance of the B-note.

Scenario 2: permanent

shortfall

10 December 2010

CMBS Market Watch Weekly 5

In the case of pool Y, we find that 12.5% of the initial pool balance is applied to repay the A-note accruals and 37.5% is applied to repay a fraction of the A-note balance. The B-note does not receive any proceeds.

Based on these rules, none of the interest shortfalls on Class F are recovered at the end of period 2. Similarly, Class E will not recover interest accrued in period 3 and Class D will not recover 25% of the interest accrued in the same period.

At the deal level, a 62.5% severity on two-thirds of the collateral generates an additional 21% write-down, setting the cumulative write-down at 42%.

Exhibit 6: Profile of principal balances when there are A/B splits

Source: Credit Suisse

Exhibit 7: Profile of interest distributions when there are A/B splits

Source: Credit Suisse

10 December 2010

CMBS Market Watch Weekly 6

Comparing Scenario 2 with Scenario 1, we note the following differences:

• The full repayment of Class A is postponed to the end of period 3 in Scenario 2. • Classes D and E experience non-recoverable interest shortfalls during period 3. • Class F’s interest shortfall during period 2 is not recoverable.

In the light of those observations, our conclusions about CMBS performance are as follows:

• The increase in A/B splits modifications should delay the repayment speed of shorter super senior classes. In particular, loans that were initially expected to be liquidated over the medium term could now extend to their full initial maturity. This could increase the value of select premium short bonds.

• The increase in A/B splits modifications should delay the write-down of underwater classes and reduce interest shortfall recoveries. We recommend that investors considering the purchase of a subordinated class screen the transaction for any potential large loan modification in the deal, especially if the class credit support is close to or below expected loss levels. Indeed, if one had bought Class F by the end of period 1, expecting an additional 24 months of interest, one would face very low recovery on investment in Scenario 2.

The effect on total write-down at the deal level is harder to assess and is likely to vary depending on the specifics of the loan: the expected increase in resolution lag, the location of the A/B split cut and whether the additional time and sponsor incentive will materialize into better loan recoveries.

Over the past quarter, trustees have reported an increasing number of loan modifications. In particular, A/B note splits seem to be gaining traction, with $1,538mn realized in the second half of this year so far compared with $115mn done in the first half of 2010.

Consider MSC 2007-HQ12 as an example, in which November interest shortfalls reached to Class D with a $698,128 monthly amount. Of that amount, $264,126 (38%) came from special servicing fees, $387,156 (55%) was attributable to the deferred interest on the hope note created from the Columbia Center loan modification3 and $46,847 (7%) resulted from ASER on other loans4. Had the Columbia Center A/B split not occurred, we would have expected to recover this fraction of interest shortfall at liquidation with very high certainty; we now believe that this amount could be facing tangible risks of non-recoverability, depending on whether the A-Note can be fully recovered.

3 Appraisal reduction reported on 8/20, modification reported on 9/17 4 $32,705 from North Main Office, $8,495 from Overland Retail Plaza and $5,647 from Whispering Wind Drive.

Watch out for deep credit IOs

A/B splits and modifications are

increasing

10 December 2010

CMBS Market Watch Weekly 7

TECHNICAL UPDATE Exhibit 8: Americold 2010 LLC Trust, 2010-ART Priced: December 9, 2010

Tranche Size($mn) Fitch S&P Realpoint Subordination Average Life (yr.) Pricing Spread (bp)A-1 157.066 AAA AAA AAA 34.17 5.53 S+160

A-2FX 150.334 AAA AAA AAA 34.17 10.08 S+170 A-2FL 87.600 AAA AAA AAA 34.17 10.08 L+150

B 60.000 AA AA AA 24.17 10.08 S+280 C 62.400 A A A 13.77 10.08 S+360 D 82.600 BBB- BBB- BBB- 0.00 10.08 S+425

Property types: Warehouse (100%). Concentrations: Pennsylvania (21.9%), California (21.7%), Texas (16%) and Wisconsin (11.4%). Loan Contributor: Americold, an Atlanta REIT. Source: Credit Suisse

Exhibit 9: Recent CMBS transactions

Deal Deal Type Date Priced Thickest

AAA Tranche Subordination of the

AAA Tranche (%) Average Life (yr) Pricing Spread (bp) /

Yield (%) ACRE 2010-ART Single Borrower 12/9/10 A-2FX 34.17 10.1 Swaps+170 BALL 2010-HLTN Floater 11/18/10 Single Class 0.00 2.9 7.5% ESA 2010-ESH Single Borrower 11/3/10 A 40.00 4.7 Swaps+165 WFCMT 2010-C1 Multi Borrower 10/28/10 A-2 17.75 9.7 Swaps+135 COMM 2010-C1 Multi Borrower 10/20/2010 A-3 17.38 9.6 Swaps+140 JPMCC 2010-C2 Multi Borrower 10/7/2010 A-3 18.25 9.8 Swaps+150 JPMCC 2010-CNTR Single Borrower 9/1/2010 A-2 29.40 9.8 Swaps+165 VNO 2010-VNO Single Borrower 8/10/2010 A-2FX 23.59 10.1 Swaps+120 GSMC 2010-C1 Multi Borrower 8/4/2010 A-2 18.50 9.9 Swaps+135 OBP 2010-OBP Single Borrower 6/25/2010 Single Class 0.00 10.0 Swaps+150 JPMCC 2010-C1 Multi Borrower 6/11/2010 A-3 15.00 9.5 Swaps+165 RBSCF 2010-MB1* Multi Borrower 4/9/2010 A-2 22.25 4.9 Swaps+90 JPMCC 2009-IWST Single Borrower 12/10/2009 A-2 22.20 10.0 Swaps+205 BALL 2009-FDG* Single Borrower 12/3/2009 A 23.91 6.7 Swaps+225 * Please note the mismatch in average life and generic spreads. Source: Credit Suisse

Exhibit 10: US CMBS pipeline Deals in Q4 2010 Deal Type Rate Type Estimated Size ($bn) GSMS 2010-C2 Multiple borrower Fixed 0.88 Deals in Q1 2011 Deal Type Rate Type Estimated Size ($bn) Deutsche Bank, UBS, Ladder Multiple borrower Fixed 2.90 Morgan Stanley, Bank of America Multiple borrower Fixed 1.80 Wells Fargo, RBS, Basis Capital, Natixis Multiple borrower Fixed 1.70 J.P. Morgan Multiple borrower Fixed 1.50 Hines partnership (California office portfolio) Single borrower Fixed 1.50 Genesis Healthcare/JER (healthcare portfolio) Single borrower Fixed 1.50 Goldman Sachs Multiple borrower Fixed 1.25 Cerberus Partners/Kyo-ya (hotel portfolio) Single borrower Fixed 0.90 Total Pipeline 13.93 Source: Commercial Mortgage Alert

10 December 2010

CMBS Market Watch Weekly 8

Exhibit 11: 2010 CMBS issuance in millions

Month Multi-

Borrower Floating Rate Single

Borrower Other2010 US

Total2009 US

Total2010 Non-US

Total*2010 Global

Total US Agency

CMBSUS Resecur. /

CDOJanuary $0 $0 $0 $1,900 $1,900 $0 $0 $1,900 $1,107 $840 February $0 $0 $0 $250 $250 $0 $1,655 $1,905 $2,524 $493 March $0 $0 $0 $0 $0 $0 $552 $552 $4,160 $423 April $310 $0 $0 $196 $506 $0 $470 $976 $1,344 $150 May $0 $0 $0 $0 $0 $0 $0 $0 $948 $743 June $716 $0 $650 $302 $1,668 $559 $1,435 $3,103 $2,031 $1,176 July $0 $0 $0 $0 $0 $250 $0 $0 $1,553 $0 August $789 $0 $660 $0 $1,449 $0 $0 $1,449 $921 $0 September $0 $0 $485 $0 $485 $0 $0 $485 $3,099 $0 October $2,694 $0 $0 $0 $2,694 $81 $0 $2,694 $1,783 $0 November $0 $1,559 $2,000 $0 $3,559 $400 $0 $3,559 $2,526 $0 December $0 $0 $600 $0 $600 $1,704 $0 $600 $0 $0 Total $4,508 $1,559 $4,395 $2,648 $13,110 $2,994 $4,112 $17,222 $21,996 $3,825 *Does not include international deals created for central-bank exchanges. Source: Credit Suisse, Commercial Mortgage Alert, IFR

Exhibit 12: Historical CMBS issuance in millions

Supply Conduit/

Fusion Floating Rate Single

Borrower Other US Total [] Non-US Total* Global Total US Agency

CMBSUS Resecur. /

CDO2009 $0 $0 $1,360 $1,634 $2,994 $4,576 $7,570 $8,927 $4,119 2008 $10,707 $0 $1,438 $0 $12,146 $6,728 $18,874 $3,725 $5,828 2007 $188,477 $20,225 $11,318 $13,657 $233,677 $84,798 $318,475 $3,366 $34,957 2006 $161,748 $25,114 $6,921 $10,599 $204,381 $107,993 $312,374 $7,503 $35,205 2005 $136,210 $18,649 $8,479 $6,170 $169,507 $70,299 $239,806 $4,625 $16,187 2004 $73,961 $13,093 $5,153 $631 $92,838 $35,438 $128,276 $6,117 $8,901 2003 $52,885 $14,386 $6,851 $3,879 $78,000 $20,803 $98,803 $6,999 $5,196 2002 $35,141 $10,497 $3,351 $3,084 $52,074 $28,706 $80,779 $5,247 $8,722 2001 $35,619 $10,505 $13,585 $7,441 $67,150 $22,714 $89,864 $3,331 $3,506 2000 $27,848 $10,057 $4,766 $4,368 $47,039 $12,116 $59,156 $1,945 $935 1999 $35,273 $6,353 $7,073 $7,872 $56,571 $9,402 $65,973 $1,335 $751 1998 $50,646 $14,902 $2,061 $6,722 $74,332 $629 $74,961 $1,640 $2,542 1997 $21,543 $1,733 $3,272 $10,250 $36,798 $3,557 $40,355 $357 $1,009 1996 $9,995 $710 $3,110 $12,523 $26,338 $958 $27,296 $1,255 $419 Total $840,053 $146,224 $78,738 $88,830 $1,153,845 $408,717 $1,562,562 $56,372 $128,277 *Does not include international deals created for central-bank exchanges. Source: Credit Suisse, Commercial Mortgage Alert, IFR

10 December 2010

CMBS Market Watch Weekly 9

Exhibit 13: Implied loss analysis as of December 9, 2010

Index Cpn Market

Price Imp

Spread(1) IO

Value(2) PO

Value

Imp Cum Bond Lvl

Loss

Imp Avg Life

Avg Size of the

Tranche(3)Avg CE

Imp Cum Loan Lvl

Loss

Annual Loan Lvl

Loss Rate

Loan Lvl

Severity

Annual Loan Lvl

Dft Rate(4)

CMBX 5 CMBX-NA-AAA 5 35 94.96 117 2.14 92.82 7.18% 6.56 70.50% 29.52% 34.58% 5.27% 60% 8.78%CMBX-NA-AM 5 50 87.17 265 2.98 84.19 15.81% 6.42 10.08% 19.87% 21.46% 3.34% 60% 5.57%CMBX-NA-AJ 5 98 77.27 507 5.44 71.83 28.17% 5.97 7.20% 12.66% 14.69% 2.46% 60% 4.10%CMBX-NA-AA 5 175 60.47 1000 8.38 52.09 47.91% 5.14 1.20% 10.64% 11.21% 2.18% 60% 3.64%CMBX-NA-A 5 350 48.27 1647 13.96 34.31 65.69% 4.26 0.90% 8.00% 8.59% 2.02% 60% 3.36%CMBX-NA-BBB 5 500 20.10 3916 11.70 8.40 91.60% 2.49 1.10% 4.72% 5.73% 2.30% 60% 3.83%CMBX-NA-BBB- 5 500 19.02 4069 11.34 7.68 92.32% 2.42 1.00% 3.68% 4.60% 1.91% 60% 3.18%CMBX-NA-BB 5 500 5.00 11287 4.40 0.60 99.40% 0.97 0.40% 2.69% 3.09% 3.18% 60% 5.30%CMBX 4 CMBX-NA-AAA 4 35 95.13 117 2.07 93.06 6.94% 6.34 70.10% 29.90% 34.77% 5.49% 60% 9.14%CMBX-NA-AM 4 50 87.19 273 2.87 84.32 15.68% 6.16 10.06% 19.99% 21.57% 3.50% 60% 5.84%CMBX-NA-AJ 4 96 72.04 637 4.96 67.08 32.92% 5.53 7.56% 12.33% 14.82% 2.68% 60% 4.47%CMBX-NA-AA 4 165 49.17 1379 6.91 42.26 57.74% 4.47 1.43% 10.23% 11.06% 2.48% 60% 4.13%CMBX-NA-A 4 348 39.75 2054 12.29 27.46 72.54% 3.76 0.97% 7.77% 8.47% 2.25% 60% 3.75%CMBX-NA-BBB 4 500 20.15 3984 11.46 8.69 91.31% 2.44 1.10% 4.44% 5.44% 2.23% 60% 3.72%CMBX-NA-BBB- 4 500 19.00 4149 11.10 7.90 92.10% 2.36 1.08% 3.36% 4.35% 1.84% 60% 3.07%CMBX-NA-BB 4 500 5.00 11303 4.40 0.60 99.40% 0.97 0.31% 2.50% 2.80% 2.89% 60% 4.82%CMBX 3 CMBX-NA-AAA 3 8 95.38 91 0.45 94.93 5.07% 5.93 70.00% 30.00% 33.55% 5.66% 60% 9.43%CMBX-NA-AM 3 50 88.15 269 2.70 85.45 14.55% 5.76 10.12% 20.05% 21.52% 3.74% 60% 6.23%CMBX-NA-AJ 3 147 77.94 592 7.28 70.66 29.34% 5.27 8.46% 11.46% 13.94% 2.65% 60% 4.41%CMBX-NA-AA 3 27 51.04 1186 1.14 49.90 50.10% 4.49 1.61% 9.49% 10.30% 2.29% 60% 3.82%CMBX-NA-A 3 62 38.60 1732 2.28 36.32 63.68% 3.90 1.18% 7.17% 7.92% 2.03% 60% 3.38%CMBX-NA-BBB 3 200 19.16 3398 5.06 14.10 85.90% 2.68 1.02% 3.92% 4.80% 1.79% 60% 2.98%CMBX-NA-BBB- 3 320 16.96 4053 7.12 9.84 90.16% 2.36 1.11% 2.78% 3.78% 1.60% 60% 2.67%CMBX-NA-BB 3 500 5.00 11351 4.38 0.62 99.38% 0.96 0.29% 2.15% 2.44% 2.53% 60% 4.21%CMBX 2 CMBX-NA-AAA 2 7 96.32 78 0.36 95.96 4.04% 5.44 69.60% 30.40% 33.21% 6.10% 60% 10.17%CMBX-NA-AM 2 50 92.21 201 2.57 89.64 10.36% 5.44 10.30% 20.34% 21.41% 3.93% 60% 6.55%CMBX-NA-AJ 2 109 86.67 380 5.36 81.31 18.69% 5.21 7.78% 12.40% 13.85% 2.66% 60% 4.43%CMBX-NA-AA 2 15 73.13 590 0.70 72.43 27.57% 4.94 1.61% 9.49% 9.93% 2.01% 60% 3.35%CMBX-NA-A 2 25 57.80 1035 1.04 56.76 43.24% 4.42 1.18% 7.17% 7.68% 1.74% 60% 2.90%CMBX-NA-BBB 2 60 23.44 2766 1.70 21.74 78.26% 3.00 1.02% 3.92% 4.72% 1.58% 60% 2.63%CMBX-NA-BBB- 2 87 19.04 3224 2.25 16.79 83.21% 2.73 1.11% 2.78% 3.70% 1.35% 60% 2.26%CMBX-NA-BB 2 180 5.00 7063 2.48 2.52 97.48% 1.48 0.29% 2.15% 2.43% 1.64% 60% 2.74%CMBX 1 CMBX-NA-AAA 1 10 97.45 66 0.45 97.00 3.00% 4.74 69.64% 30.36% 32.45% 6.85% 60% 11.41%CMBX-NA-AM 1 50 95.53 147 2.31 93.22 6.78% 4.86 10.41% 20.55% 21.26% 4.37% 60% 7.29%CMBX-NA-AJ 1 84 90.44 297 3.77 86.67 13.33% 4.72 7.36% 12.77% 13.75% 2.91% 60% 4.85%CMBX-NA-AA 1 25 81.02 462 1.08 79.94 20.06% 4.56 1.65% 10.63% 10.96% 2.40% 60% 4.01%CMBX-NA-A 1 35 70.61 758 1.42 69.19 30.81% 4.27 1.49% 7.88% 8.34% 1.95% 60% 3.25%CMBX-NA-BBB 1 76 40.48 1916 2.46 38.02 61.98% 3.41 1.03% 4.58% 5.21% 1.53% 60% 2.55%CMBX-NA-BBB- 1 134 28.75 2599 3.87 24.88 75.12% 3.06 1.18% 3.39% 4.27% 1.40% 60% 2.33%We assume zero prepayment on the underlying loans, which, unless they otherwise go into default, will be paid off as scheduled. Detailed loan-level information can be found in Trepp or Intex.(1) Assumes a flat constant default curve, with default occurring immediately (2) Based on coupon (3) As a % of entire capital structure, and also include pari passu tranches (4) As a % of current balance

Source: Credit Suisse

10 December 2010

CMBS Market Watch Weekly 10

Relative Value Monitor Exhibit 14: 10-Year sector – CMBS, REIT, and corporate spreads

0

100

200

300

400

500

600

700

800

10/30/09 12/14/09 1/28/10 3/14/10 4/28/10 6/12/10 7/27/10 9/10/10 10/25/10 12/9/10

Spre

ads

to U

ST

0

100

200

300

400

500

600

700

800

Spreads to UST

CMBS AAA

REIT BBB Index

Corporate A

Source: Credit Suisse

Exhibit 15: 5-Year sector Exhibit 16: 10-Year sector ∆ bps ∆ bps 3-month 12/09/10 12/02/10 11/04/10 Hi Lo Avg UST Yield 1.90 % +22 +57 1.90 1.03 1.38 Swap 18bp -8 -12 30 18 25 AAA CMBS 293 -8 -12 310 261 297 Agency 19 0 -0 29 19 22 LUCI Single-A 94 -4 +4 106 90 97

∆ bps ∆ bps 3-month 12/09/10 12/02/10 11/04/10 Hi Lo Avg

UST Yield 3.22 % +22 +49 3.22 2.49 2.76 Swap 10bp -8 -6 17 6 12 AAA CMBS 250 -17 -15 276 250 263 Agency 17 -1 +3 21 12 16 FNMA DUS 80 -7 -15 95 80 88 LUCI Single-A 115 -6 +11 121 104 113

Liquid U.S. Corporate Index is an investment grade, corporate bond index consisting of ~800 liquid, US dollar-denominated issues, priced daily and rebalanced monthly by Credit Suisse. Source: Credit Suisse

Liquid U.S. Corporate Index is an investment grade, corporate bond index consisting of ~800 liquid, US dollar-denominated issues, priced daily and rebalanced monthly by Credit Suisse. Source: Credit Suisse

10 December 2010

CMBS Market Watch Weekly 11

Exhibit 17: AAA and AJ CMBX-2, 3, 4 prices

$20$30$40$50$60$70$80$90

$100

8/19/10 8/26/10 9/2/10 9/9/10 9/16/10 9/23/10 9/30/10 10/7/10 10/14/10 10/21/10 10/28/10 11/4/10 11/11/10 11/18/10 11/25/10 12/2/10 12/9/10$20$30$40$50$60$70$80$90$100

CMBX-NA-AAA 2 CMBX-NA-AAA 3 CMBX-NA-AAA 4CMBX-NA-AJ 2 CMBX-NA-AJ 3 CMBX-NA-AJ 4

Prices before April 20, 2009 are based on Credit Suisse estimates . Source: Credit Suisse

Exhibit 18: AA & A CMBX-2, 3, 4 prices

$20

$30

$40

$50

$60

$70

$80

8/19/10 8/26/10 9/2/10 9/9/10 9/16/10 9/23/10 9/30/10 10/7/10 10/14/10 10/21/10 10/28/10 11/4/10 11/11/10 11/18/10 11/25/10 12/2/10 12/9/10$20

$30

$40

$50

$60

$70

$80CMBX-NA-AA 2 CMBX-NA-A 2CMBX-NA-AA 3 CMBX-NA-A 3CMBX-NA-AA 4 CMBX-NA-A 4

Prices before April 20, 2009 are based on Credit Suisse estimates . Source: Credit Suisse

Exhibit 19: BBB, BBB- and BB CMBX-2, 3, 4 Prices

$0

$5

$10

$15

$20

$25

$30

$35

8/19/10 8/26/10 9/2/10 9/9/10 9/16/10 9/23/10 9/30/10 10/7/10 10/14/10 10/21/10 10/28/10 11/4/10 11/11/10 11/18/10 11/25/10 12/2/10 12/9/10$0

$5

$10

$15

$20

$25

$30

$35CMBX-NA-BBB 2 CMBX-NA-BBB- 2 CMBX-NA-BB 2CMBX-NA-BBB 3 CMBX-NA-BBB- 3 CMBX-NA-BB 3CMBX-NA-BBB 4 CMBX-NA-BBB- 4 CMBX-NA-BB 4

Prices before April 20, 2009 are based on Credit Suisse estimates . Source: Credit Suisse

10 December 2010

CMBS Market Watch Weekly 12

Exhibit 20: CMBX prices as at December 9, 2010 CMBX 5 (CMBX 2008-1) AAA AM AJ AA A BBB BBB- BB Current Price 94.96 87.17 77.27 60.47 48.27 20.10 19.02 5.00 Change vs. Prior Week -0.02 -0.26 0.57 0.79 0.86 -0.02 -0.08 0.00 Minimum (18 mo.) 67.72 68.38 28.60 17.02 15.00 11.27 10.54 5.00 Maximum (18 mo.) 96.41 89.90 80.86 60.83 48.27 22.70 21.07 6.61 Average (18 mo.) 85.04 79.46 55.70 36.44 29.29 18.18 16.96 5.34 Standard Deviation 6.52 5.78 11.14 9.93 7.90 2.51 2.52 0.49 # of Std. Dev. 1.52 1.33 1.94 2.42 2.40 0.77 0.82 -0.69 CMBX 4 (CMBX 2007-2) AAA AM AJ AA A BBB BBB- BB Current Price 95.13 87.19 72.04 49.17 39.75 20.15 19.00 5.00 Change vs. Prior Week -0.17 -0.29 0.83 1.93 1.04 0.01 -0.05 0.00 Minimum (18 mo.) 67.73 65.07 28.52 17.11 15.04 11.27 10.54 5.00 Maximum (18 mo.) 96.14 89.17 75.79 50.75 45.38 22.56 21.14 6.64 Average (18 mo.) 84.33 77.51 52.08 33.53 27.13 18.01 16.97 5.33 Standard Deviation 6.49 6.28 9.94 7.78 6.88 2.56 2.62 0.49 # of Std. Dev. 1.67 1.54 2.01 2.01 1.84 0.84 0.78 -0.68 CMBX 3 (CMBX 2007-1) AAA AM AJ AA A BBB BBB- BB Current Price 95.38 88.15 77.94 51.04 38.60 19.16 16.96 5.00 Change vs. Prior Week -0.19 -0.40 0.58 1.04 0.74 0.07 0.05 0.00 Minimum (18 mo.) 69.61 68.86 30.21 17.33 14.98 11.43 10.54 5.00 Maximum (18 mo.) 96.66 89.98 80.94 52.10 40.14 23.13 20.31 6.79 Average (18 mo.) 85.75 80.58 56.04 34.08 25.80 16.79 15.06 5.33 Standard Deviation 6.08 5.68 10.89 7.58 5.60 2.43 1.94 0.50 # of Std. Dev. 1.58 1.33 2.01 2.24 2.29 0.97 0.98 -0.67 CMBX 2 (CMBX 2006-2) AAA AM AJ AA A BBB BBB- BB Current Price 96.32 92.21 86.67 73.13 57.80 23.44 19.04 5.00 Change vs. Prior Week -0.34 -0.41 0.44 0.06 0.25 0.25 0.11 0.00 Minimum (18 mo.) 76.38 76.68 40.92 24.38 18.17 12.40 10.81 4.52 Maximum (18 mo.) 97.00 93.93 89.75 76.79 61.35 26.36 22.70 5.66 Average (18 mo.) 89.87 85.43 67.76 48.57 38.23 20.66 16.64 5.02 Standard Deviation 4.32 4.94 11.71 12.61 10.39 3.38 2.43 0.10 # of Std. Dev. 1.49 1.37 1.61 1.95 1.88 0.82 0.99 -0.22 CMBX 1 (CMBX 2006-1) AAA AM AJ AA A BBB BBB- Current Price 97.45 95.53 90.44 81.02 70.61 40.48 28.75 Change vs. Prior Week -0.20 -0.24 -0.45 -0.77 -0.39 0.36 0.54 Minimum (18 mo.) 84.43 84.69 50.32 36.00 26.52 17.02 14.09 Maximum (18 mo.) 98.04 96.00 92.52 86.17 73.96 44.46 32.19 Average (18 mo.) 92.99 89.86 77.37 62.36 51.44 31.30 24.23 Standard Deviation 2.77 3.65 9.17 12.02 10.78 6.38 4.07 # of Std. Dev. 1.61 1.55 1.42 1.55 1.78 1.44 1.11 Prices before April 20, 2009 are based on Credit Suisse estimates. CMBX 2007-1 AJ and CMBX 2007-2 AJ were added on January 4, 2008. CMBX 2007-1 AM and CMBX 2007-2 AM were added on February 9, 2010 Source: Credit Suisse

10 December 2010

CMBS Market Watch Weekly 13

Exhibit 21: CMBS historical spreads CMBS Spreads - Change on the YearSPREAD TO SWAPS 5AAA 10AAA 10AA 10A 10BBB 10BBB-12/9/2010 275 240 2780 3560 na na12/30/2009 350 300 3525 4825 na naChange (75) (60) (745) (1265) na na

SPREAD TO UST 5AAA 10AAA 10AA 10A 10BBB 10BBB-12/9/2010 293 250 2790 3570 na na12/30/2009 381 514 3539 4839 na naChange (88) (264) (749) (1269) na na

SWAP SPREADS 5yr Sw ap 10yr Sw ap12/9/2010 18 1012/30/2009 31 14Change (13) (4)CMBS Spread to Swaps History

5AAA 10AAA 10AA 10A 10BBB 10BBB-YTD Average 275 312 3381 4443 na naRange 235 - 350 220 - 415 2780 - 3525 3560 - 4900 na na2009 Average 736 634 4029 5729 na naRange 350-1450 300-1200 3000-5500 3900-8100 na na2008 Average 466 365 1362 1807 2747 3202Range 125-1500 82-1400 275-5500 400-6500 825-9000 950-97002007 Average 49 44 101 142 315 386Range 16-125 21-105 33-260 42-380 65-900 85-10002006 Average 17 26 38 47 87 122Range 14 - 22 22 - 32 32 - 51 40 - 61 75 - 120 85 - 1752005 Average 19 28 41 51 103 151Range 16 - 25 22 - 34 28 - 49 36 - 59 80 - 122 125 - 1752004 Average 28 30 37 45 84 126Range 24 - 33 26 - 35 32 - 43 40 - 54 75 - 95 115 - 1352003 Average 36 37 47 56 111 162Range 28 - 45 29 - 47 36 - 61 44 - 77 85 - 140 130 - 1852002 Average 44 47 59 73 121 155Range 38 - 51 42 - 54 52 - 74 62 - 95 105 - 150 135 - 1862001 Average 46 52 69 87 141 185Range 35 - 60 45 - 64 59 - 84 74 - 105 125 - 170 164 - 2152000 Average 25 36 53 70 119 165Range 22 - 35 31 - 45 47 - 63 62 - 84 102 - 143 138 - 2171999 Average 35 42 61 82 144 232Range 19 - 51 35 - 54 51 - 79 66 - 109 105 - 199 185 - 2981998 Average 32 41 57 77 125 174Range 11-95 21-105 35-125 50-160 82-245 106-321

Source: Credit Suisse

..

STRUCTURED PRODUCTS RESEARCH

NORTH AMERICA Eleven Madison Avenue, New York, NY 10010

Asset-Backed Securities (ABS)

Chandrajit Bhattacharya, Director Senior Strategist, Group Head +1 212 325 1546 chandrajit.bhattacharya@credit-suisse.com

Aashish Marfatia, Vice President +1 212 325 4142 aashish.marfatia@credit-suisse.com

Thomas Suehr, Associate +1 212 325 3663 thomas.suehr@credit-suisse.com

Collateralized Debt Obligations (CDO) / Collateralized Loan Obligations (CLO)

David Yan, Director +1 212 325 5792 david.yan@credit-suisse.com

Commercial Mortgage Backed Securities (CMBS)

Sylvain Jousseaume, Vice President +1 212 325 1356 sylvain.jousseaume@credit-suisse.com

Serif Ustun, Vice President +1 212 538 4582 serif.ustun@credit-suisse.com

Tee Chew, Associate +1 212 325 8703 tee.chew@credit-suisse.com

Mortgage Backed Securities — Residential (MBS)

Mahesh Swaminathan, Director Senior Strategist, Group Head +1 212 325 8789 mahesh.swaminanthan@credit-suisse.com

Mukul Chhabra, Vice President +1 212 325 0709 mukul.chhabra@credit-suisse.com

Qumber Hassan, Vice President +1 212 538 4988 qumber.hassan@credit-suisse.com

LONDON One Cabot Square, London E14 4QJ

Carlos Diaz, Associate + 44 20 7888 2414 carlos.diaz@credit-suisse.com

JAPAN Izumi Garden Tower, 1-6 Roppongi 1-Chome, Minato-ku, Tokyo 106-6024

Tomohiro Miyasaka, Director Japan Head + 81 3 4550 7171 tomohiro.miyasaka@credit-suisse.com

Hua Wang, Associate + 81 3 4550 7447 hua.wang@credit-suisse.com

Disclosure Appendix

Analyst Certification Serif Ustun, Sylvain Jousseaume and Tee Chew each certify, with respect to the companies or securities that he or she 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.

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