LTP Trade Finance IndexÖ - February 2003 performance update

While margins on the whole appear to be fairly stable, persistent global uncertainty has moved liquidity from riskier countries towards those that, whilst still offering reasonably high yields, are less directly affected by the uncertain background.

Brazilian credit margins continued to tighten in February, and are now at levels last seen in September 2002. However they remain well above the levels seen this time last year. Peru and Colombia have seen a tightening in credit margins at the short end of the curve. Investors appear to have to have moved towards a more positive risk assessment of these countries and the shortage of assets has driven margins lower. As a consequence of the above changes, the LATAM segment has now been the best performer in each of the last 4 months.

In Europe, Turkey continues to be the main focus. Towards the end of February (and before the Turkish parliament’s rejection of the US package) there was a small increase in margins reflecting the increased perception of risk. At the time of writing the situation is still unresolved, and reports from the market suggest that liquidity has temporarily dried up.

The following table breaks down the performance for the Total Return Index between capital appreciation and interest accrual (note that, because of compounding effects, the constituents may not sum to the total):

Further information on the LTP Trade Finance Index™ can be obtained by contacting:

Patrick Bayliss

Tel: (+44) 020 7292 7963