LTP Trade Finance IndexÖ - November 2002 performance update

The LTP Trade Finance IndexÖ showed that, overall, trade finance assets delivered negative capital returns for the month of November as LIBOR rose against a background of stable credit margins.

 As a result, November was the second lowest monthly return for 2002.

LTP Trade Finance IndexÖ

  

29-Nov-02

MoM Change

YTD Change

Total Return

1,189.06

0.12%

4.34%

Av Spread (bps)

207.14

7.94

10.80

LATAM

1,161.35

0.28%

4.06%

Av Spread (bps)

456.27

10.87

167.90

EMEA

1,230.67

0.01%

5.62%

Av Spread (bps)

174.34

16.19

(97.14)

ASIA

1,179.15

0.08%

3.69%

Av Spread (bps)

57.97

0.03

(25.77)

In total the LTP Trade Finance IndexÖ rose by 0.12% in November. The small positive result was due to a gain of 0.28% from interest accrual on the month which was offset by a capital loss of 0.16%. The capital loss arose from an increase in LIBOR of 0.09% and an increase in the average credit margin of 0.07%. The average credit margin on the whole Index now stands at 2.07%, the highest-level seen in 2002.

Notwithstanding the elections in Brazil, Latin America continues to be the best performing region within the Index. The relatively high level of margin (over 4.5%) in past months has compensated investors handsomely for the risk.

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

 

Accrual

Capital

Total Return

January

0.35%

0.00%

0.36%

February

0.32%

0.21%

0.53%

March

0.33%

-0.50%

-0.17%

April

0.40%

0.35%

0.75%

May

0.36%

0.09%

0.45%

June

0.31%

0.19%

0.50%

July

0.35%

0.07%

0.43%

August

0.30%

0.24%

0.55%

September

0.30%

0.07%

0.38%

October

0.31%

0.06%

0.37%

November

0.28%

-0.16%

0.12%


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

Patrick Bayliss

Tel: (+44) 020 7292 7963