LTP Trade Finance IndexÖû June 03 Update

LTP Trade Finance IndexÖ rose 0.37% during the month of June, the second highest monthly return of 2003.

The LTP Trade finance index rose 0.37% during the month of June, the second highest monthly return of 2003. This brings the return for the first seven months of the year to 2.11%, and equates to an annualized return of 3.64%.

 

 

MoM Change

YTD Change

Total Return

1,222.16

0.37%

2.11%

Av Spread  (bps)

173.35

(10.79)

(25.48)

 

 

 

 

LATAM

1,217.17

0.61%

3.81%

Av Spread  (bps)

334.44

(20.90)

(102.31)

 

 

 

 

EMEA

1,260.17

0.35%

1.74%

Av Spread  (bps)

171.95

(9.14)

7.37

 

 

 

 

ASIA

1,198.65

0.22%

1.18%

Av Spread  (bps)

60.16

(5.21)

2.58

For the second month running we saw a contraction in credit margin across all sub-indices with Brazil and Turkey continuing to be the key drivers of performance. So far this year we have seen credit margins in Brazil fall by 2.625%. In Turkey the credit spreads have fallen by 0.75% from the level seen in March in the run up to the invasion of Iraq. Brazil and Turkey contributed to 0.08% of the 0.11% contraction in overall credit margin over the month, South Korea, Colombia and Indonesia made up the difference.

2charts

For comparative purposes we have constructed an index from 1 year LIBOR deposit rates, this is calculated on the same basis as the LTP Trade Finance IndexTM. So far this year an investor would have returned 0.92% from investing in the LIBOR index, much less than the 2.11% from the LTP Trade Finance IndexTM.  As the chart below illustrates, the performance of the basket of trade finance assets is highly correlated with that of LIBOR deposits, however trade finance assets have returned 0.04% more per week on average, this equates to about 2% per annum.

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):

 

Accrual

Capital

Total Ret

January

0.28%

0.05%

0.33%

February

0.25%

0.09%

0.34%

March

0.27%

-0.02%

0.25%

April

0.27%

0.04%

0.30%

May

0.25%

0.24%

0.49%

June

0.24%

0.13%

0.37%

 


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

Patrick Bayliss

Tel: (+44) 020 7292 7963

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