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Moderator: Adrian Aguilera, Director-CMBS Group, CREDIT SUISSE, Panelists: Emil Arca,

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Presentation on theme: "Moderator: Adrian Aguilera, Director-CMBS Group, CREDIT SUISSE, Panelists: Emil Arca,"— Presentation transcript:

1 Moderator: Adrian Aguilera, Director-CMBS Group, CREDIT SUISSE, Panelists: Emil Arca, Partner, DEWEY BALLANTINE, ( , Samuel Fox, Senior Director-Latin American Structured Finance, FITCH RATINGS, ( , 1:00 TRACK B: COMMERCIAL MORTGAGE BACKED SECURITIES

2 Introduction to Mexican CMBS Potential Sam Fox Senior Director — Chicago

3 Quantifying CMBS proposals: >Driven by Annual Net Cash Flow assumptions –Rent Rates –Vacancy Rates –Expenses (Management Fees, Maintenance, etc) >Annual Net Cash Flow used to calculate the two primary sizing and rating parameters: –Loan to Value Ratios (LTV) –Debt Service Coverage Ratios (DSCR) >Challenged is to apply to Mexican economic environment

4 Source: FitchRatings

5

6 Mexican Lease Rates: Source: Source: Cushman & Wakefield; Jones, Lang, Lasalle; CBRE, Colliers International

7 Mexican Vacancy Rates: Source: Source: Cushman & Wakefield; Jones, Lang, Lasalle; CBRE, Colliers International

8 Industrial Comparisons by Submarkets:

9

10 Challenges to Mexican Landscape >General emerging market volatility –Rent rates –Vacancy –Interest Rates >Refinance Risk –Shorter lease tenors –Access to market risks >Mitigants: –These effects are covered by adding premiums to >DSCR >Constant Rates (Mexico premium in range of bps over US equivalents)

11 Fitch Ratings London Eldon House 2 Eldon Street London EC2M 7UA UK Singapore 7 Temasek Blvd. Singapore New York One State Street Plaza New York, NY FITCH The Fitch GroupFitch Ratings Algorithmics Fitch Training

12 Moderator: Adrian Aguilera, Director-CMBS Group, CREDIT SUISSE, Panelists: Emil Arca, Partner, DEWEY BALLANTINE, ( , Samuel Fox, Senior Director-Latin American Structured Finance, FITCH RATINGS, ( , 1:00 TRACK B: COMMERCIAL MORTGAGE BACKED SECURITIES

13 Credit Suisse Real Estate Finance & Securitization Group CONFIDENTIAL October 2007 PRELIMINARY | SUBJECT TO FURTHER REVIEW AND EVALUATION THESE MATERIALS MAY NOT BE USED OR RELIED UPON FOR ANY PURPOSE OTHER THAN AS SPECIFICALLY CONTEMPLATED BY A WRITTEN AGREEMENT WITH CREDIT SUISSE.

14 14 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /14 The Credit Suisse Global Real Estate Group AMERICAS AUSTRALIA / ASIA EUROPE REAL ESTATE GROUP Real Estate Capital Partners Andrew Rifkin Real Estate Private Fund Group Douglas Weill Real Estate Finance and Securitization Robert Brennan Leveraged Loans David Miller Investment Banking Eric Anderson  Raised $20B for sponsors since 1995  Domestic offices in New York, San Francisco, and Chicago  17 professionals  Lead Managed $102B+ in 214 securitizations since 1993  6,200+ loans exceeding $55B since 1993  Active in mezzanine debt and CBOs  229 professionals  $2B under current management  Completed 80+ transactions totaling over $5B  Markets include U.S., Europe and Asia  28 professionals  Residential land loans of $10B  Real estate syndicated loans in excess of $6B  Aggressive provider of staple financing  25 professionals  Merger advisor in over 60 transactions in excess of $90B since 1995  Raised $27B in equity since 1995 and $35B in unsecured debt since 1995  30+ professionals

15 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /15 Global Leader in CMBS

16 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /16 Property Types Office Self Storage Retail Industrial Hotel Construction

17 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /17 Credit Suisse Global Loan Originations 72% 80% - 10,000 20,000 30,000 40,000 50, $ Volume (in MM) AmericasEuropeAsia $13.3B Total$22.9B Total $41.2B Total

18 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /18 History of RMBS Deals in the Mexican Market Mexican RMBS League Table 03 – 07 YTD Source: Credit Suisse and BMV as of Sept 10, 2007 Note: 50% of amount issued to joint-led issuances. Excludes transactions by Infonavit Breakdown by Currency RMBS Growth Projections Source: Standard & Poors and CS (US$ in millions) Number of Deals YTD Mexican RMBS Market Growth Source: Credit Suisse and BMV as of Sept 10, 2007

19 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /19 Securitizations Penetration in the US: RMBS vs CMBS Source: Federal Reserve, Flow of Funds Date through 2006, year 16 (CMBS) and year 36 (Single Family)

20 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /20 Corporate vs. CMBS Bond Defaults: 1990–2003 (%) –––––– Cumulative Defaults ––––– CorporateCMBS Investment Grade2.10%0.10% Below Investment Grade55.00%1.61% All Bonds11.00%0.19% –––– Average Annual Defaults ––– CorporateCMBS Investment Grade0.15%0.01% Below Investment Grade3.94%0.12% All Bonds0.78%0.01% Source: FitchRatings

21 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /21 REAL ESTATE CAPITAL MARKETS Typical Capital Stack Total Capitalization 100% Equity Mezzanine B-Note Investment Grade Sponsor Equity JV / Preferred Equity 100% 95% 85% 75% 50% EXPECTED SPREADPOSITION 11% - 15+% PREFERRED & COMMON EQUITY Typically quoted as total rate with fixed coupon – may include back- end participation. 4% - 10% MEZZANINE Typically quoted as spread over a Libor floor. 1.5% - 3% B-NOTES Typically quoted as spread over Libor – Libor floor may not be needed. <1% - 1.5% INVESTMENT GRADE Typically CMBS execution – can also be whole loan sale.

22 \\cnyc12p20001a\CapMark$\TFI Cap MKT\Latam\Mexico\Local Market Issuances\ \Presentation Latin Finance Event sept-07 (4).ppt - Sep :44 /22 CS does not provide any tax advice. Any tax statement herein regarding any US federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purpose of avoiding any penalties. Any such statement herein was written to support the marketing or promotion of the transaction(s) or matter(s) to which the statement relates. Each taxpayer should seek advice based on the taxpayer's particular circumstances from an independent tax advisor. These materials have been provided to you by Credit Suisse ("CS") in connection with an actual or potential mandate or engagement and may not be used or relied upon for any purpose other than as specifically contemplated by a written agreement with CS. In addition, these materials may not be disclosed, in whole or in part, or summarized or otherwise referred to except as agreed in writing by CS. The information used in preparing these materials was obtained from or through you or your representatives or from public sources. CS assumes no responsibility for independent verification of such information and has relied on such information being complete and accurate in all material respects. To the extent such information includes estimates and forecasts of future financial performance (including estimates of potential cost savings and synergies) prepared by or reviewed or discussed with the managements of your company and/or other potential transaction participants or obtained from public sources, we have assumed that such estimates and forecasts have been reasonably prepared on bases reflecting the best currently available estimates and judgments of such managements (or, with respect to estimates and forecasts obtained from public sources, represent reasonable estimates). These materials were designed for use by specific persons familiar with the business and the affairs of your company and CS assumes no obligation to update or otherwise revise these materials. Nothing contained herein should be construed as tax, accounting or legal advice. You (and each of your employees, representatives or other agents) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the transactions contemplated by these materials and all materials of any kind (including opinions or other tax analyses) that are provided to you relating to such tax treatment and structure. For this purpose, the tax treatment of a transaction is the purported or claimed U.S. federal income tax treatment of the transaction and the tax structure of a transaction is any fact that may be relevant to understanding the purported or claimed U.S. federal income tax treatment of the transaction. CS has adopted policies and guidelines designed to preserve the independence of its research analysts. CS’s policies prohibit employees from directly or indirectly offering a favorable research rating or specific price target, or offering to change a research rating or price target, as consideration for or an inducement to obtain business or other compensation. CS’s policies prohibit research analysts from being compensated for their involvement in investment banking transactions.

23 Moderator: Adrian Aguilera, Director-CMBS Group, CREDIT SUISSE, Panelists: Emil Arca, Partner, DEWEY BALLANTINE, ( , Samuel Fox, Senior Director-Latin American Structured Finance, FITCH RATINGS, ( , 1:00 TRACK B: COMMERCIAL MORTGAGE BACKED SECURITIES


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