Emerging Market Indices Weekly

Transcription

1 Fixed Income Research Emerging Market Indices Weekly Research Analysts Baldwin Smith Jamie Nicholson Younghoon Kim Samarth Sanghavi Yoon May Choong Shonan Noronha Dian Hong Chua Wasim Tahir Andrew De Luca Luis Serrano Fixed Income Index Products and Alpha Strategies Summary: Notable EM Index Highlights for the Week of August 17 August 21 The Emerging Markets Corporate Index (EMCI) generated negative.63% in total returns while the Sovereign Bond Index (SBI) generated negative.84% in total returns during the week of August 17 August 21. The EMCI and SBI have contributed positive 2.03% and positive.19%, respectively, in total returns since the start of The EMCI Asia region led the overall index with negative.06% in total returns the past week (positive 2.29% YTD). Korean corporates (comprising 14.0% of the regional index) in particular performed strongly, generating positive.31% in total returns the past week (positive 1.69% YTD). Of note, Korea Gas Corp bonds due 2042 returned positive.78% in total returns (positive.87% YTD). Meanwhile, Indonesian corporates generated negative 1.82% in total returns the past week to weigh on the index (negative 1.62% YTD). Pertamina Persero PT bonds performed poorly, collectively returning negative 2.10% in total returns over the past week. The EMCI EMEA region weighed on the overall index with negative 1.09% in total returns the past week (positive 6.40% YTD). Russian corporates (comprising 28.3% of the regional index) returned negative 1.87% in total returns the past week (positive 16.84% YTD). Gazprom bonds due 2037 posted negative 4.34% in total returns the past week (positive 4.06% YTD). Kazak corporates also underperformed, returning negative 2.93% in the past week to weigh on the index (positive 4.59% YTD). The EMCI Americas region lagged the overall index with negative 1.11% in total returns the past week (negative 1.44% YTD). Top 4 countries in this region by market weight all posted negative returns. Worst performing were Brazilian corporates (comprising 37.3% of regional index) with negative 1.56% in total returns the past week (negative 4.57% YTD). Petrobras bonds reversed their previous week gains, collectively returning negative 2.23% in total returns the past week. Their bonds due 2043 returned negative 4.71% in the past week alone (negative 11.14% YTD). Meanwhile, Mexican corporates (comprising 29.3% of the regional index) also generated negative.92% in total returns to weigh on the index (negative.15% YTD). Emerging market BBB-rated corporates generated negative.57% in total returns while BB-rated corporates returned negative 1.61% over the week (positive.61% and positive 3.50%, respectively, YTD). Emerging market BBB-rated sovereigns returned negative.89% during the week (negative 2.34% YTD) versus BB-rated sovereigns' negative.77% in total returns (positive 3.74% YTD). The Emerging Markets Local Currency Sovereign Bond Index (EMLC) generated negative 1.89% in unhedged USD returns this week (negative 9.37% YTD). Russian local currency sovereign bonds returned negative 7.65% to weigh heavily on the index (positive 2.37% YTD). Mexican local currency sovereign bonds also performed negatively, posting negative 3.44% in unhedged USD total returns (negative 10.43% YTD). Both countries local currencies were impacted by falling crude prices. For more information on our emerging market indices, please see our index page on Credit Suisse PLUS. DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES AND ANALYST CERTIFICATIONS. CREDIT SUISSE SECURITIES RESEARCH & ANALYTICS BEYOND INFORMATION Client-Driven Solutions, Insights, and Access

2 Exhibit 1: EM Corporates (EMCI), EM Sovereigns (SBI), US Corporates (LUCI), and US Treasury (USGI) Exhibit 2: Americas Corporates (LACI), Americas Sovereigns (SBI), US Corporates (LUCI), and US Treasury (USGI) Exhibit 3: EMEA Corporates (EMCI), EMEA Sovereigns (SBI), US Corporates (LUCI), and US Treasury (USGI) Exhibit 4: Asia Corporates (ABI), Asia Sovereigns (ABI), US Corporates (LUCI), and US Treasury (USGI) Emerging Market Indices Weekly 2

3 Exhibit 5: High Grade EM Corporates (EMCI) vs. High Grade US Corporates (LUCI) Exhibit 6: High Grade Latin American Corporates (LACI) vs. High Grade US Corporates (LUCI) Exhibit 7: High Grade EMEA Corporates (EMCI) vs. High Grade US Corporates (LUCI) Exhibit 8: High Grade Asia Corporates (EMCI) vs. High Grade US Corporates (LUCI) Emerging Market Indices Weekly 3

4 Exhibit 9: Asia (ABI) High Yield WTD Exhibit 10: Asia (ABI) High Yield YTD Exhibit 11: Asia (ABI) High Grade WTD Spread Change Exhibit 12: Asia (ABI) High Grade YTD Spread Change Emerging Market Indices Weekly 4

5 Exhibit 13: Latin America (LACI) High Yield WTD Exhibit 14: Latin America (LACI) High Yield YTD Exhibit 15: Latin America (LACI) Investment Grade WTD Spread Change Exhibit 16: Latin America (LACI) Investment Grade YTD Spread Change Emerging Market Indices Weekly 5

6 Exhibit 17: Eastern European Corporate Index (EEI) High Yield WTD Exhibit 18: Eastern European Corporate Index (EEI) High Yield YTD Exhibit 19: Eastern European Corporate Index (EEI) Investment Grade WTD Spread Change Exhibit 20: Eastern European Corporate Index (EEI) Investment Grade YTD Spread Change Emerging Market Indices Weekly 6

7 Exhibit 21: Middle East and Africa (MACI) High Yield WTD Exhibit 22: Middle East and Africa (MACI) High Yield YTD Exhibit 23: Middle East and Africa (MACI) Investment Grade WTD Spread Change Exhibit 24: Middle East and Africa (MACI) Investment Grade YTD Spread Change Emerging Market Indices Weekly 7

8 Exhibit 25: Sovereign Bond Index (SBI) YTD Total Return Exhibit 26: Sovereign Bond Index (SBI) YTD Total Return by Rating and Countries Exhibit 27: Emerging Market Local Currency Index (EMLC) YTD Exhibit 28: Emerging Market Local Currency Index (EMLC) YTD s Exhibit 29: Assetswap Spread Comparison Exhibit 30: Average Yield Comparison Emerging Market Indices Weekly 8

9 Exhibit 31: Emerging Market Corporates Index (EMCI) ($) No of Issues % Wgt of Index Par Amt Mkt Value Coupon Rem Term Mod Duration Total CONGLOMERATES FINANCIAL INDUSTRIAL PUBLIC UTILITY Conglomerates Bank Finance Insurance Reits Basic Industries Consumer Products Energy Gaming and Lodging Healthcare Manufacturing Media Property Real Estate Retail Services Technology Telecom textile & apparel Transportation Agency Supranational Electric Utilities Gas Pipelines Water Not Rated AAA Bucket AA Bucket A Bucket BBB Bucket BB Bucket B Bucket CCC Bucket CC Bucket C Bucket D Bucket Non Performing PLUS Street Yield Emerging Market Indices Weekly 9

10 Exhibit 32: Emerging Market Corporates Index (EMCI) ($) MTD Total Ret MTD Excess Return YTD Total Ret YTD Excess Return Bench Spread MTD Bmk Sprd Chg YTD Bmk Sprd Chg Total CONGLOMERATES FINANCIAL INDUSTRIAL PUBLIC UTILITY Conglomerates Bank Finance Insurance Reits Basic Industries Consumer Products Energy Gaming and Lodging Healthcare Manufacturing Media Property Real Estate Retail Services Technology Telecom textile & apparel Transportation Agency Supranational Electric Utilities Gas Pipelines Water Not Rated AAA Bucket AA Bucket A Bucket BBB Bucket BB Bucket B Bucket CCC Bucket CC Bucket C Bucket D Bucket Non Performing PLUS Emerging Market Indices Weekly 10

11 Exhibit 33: Latin American Corporate Index (LACI) ($) No of Issues % Wgt of Index Par Amt Mkt Value Coupon Mod Duration Total ,907, ,772, CONGLOMERATES , , FINANCIAL ,153, ,408, INDUSTRIAL ,863, ,354, PUBLIC ,849, ,226, UTILITY ,509, ,223, Conglomerates , , Bank ,091, ,491, Finance ,762, ,590, Insurance , , Basic Industries ,980, ,779, Consumer Products ,049, ,253, Energy ,252, ,371, Gaming and Lodging , , Manufacturing ,848, ,559, Media ,300, ,737, Real Estate ,849, ,724, Retail ,800, ,556, Services ,316, ,025, Technology , , Telecom ,905, ,747, Transportation ,336, ,315, Agency , , Supranational ,049, ,439, Electric Utilities ,830, ,456, Gas Pipelines ,189, ,274, Water , , Not Rated ,378, ,104, AA Bucket ,849, ,294, A Bucket ,012, ,561, BBB Bucket ,365, ,628, BB Bucket ,868, ,959, B Bucket ,480, ,203, CCC Bucket ,981, ,992, CC Bucket ,031, , C Bucket , , D Bucket , , Non Performing ,995, ,603, ,269, ,764, ,096, ,239, ,554, ,039, PLUS ,991, ,125, Street Yield Emerging Market Indices Weekly 11

12 Exhibit 34: Latin American Corporate Index (LACI) ($) MTD MTD ExSwap YTD YTD ExSwap ASW Spread MTD ASW Chg YTD ASW Chg Total CONGLOMERATES FINANCIAL INDUSTRIAL PUBLIC UTILITY Conglomerates Bank Finance Insurance Basic Industries Consumer Products Energy Gaming and Lodging Manufacturing Media Real Estate Retail Services Technology Telecom Transportation Agency Supranational Electric Utilities Gas Pipelines Water Not Rated AA Bucket A Bucket BBB Bucket BB Bucket B Bucket CCC Bucket , CC Bucket , C Bucket , D Bucket , , Non Performing PLUS Emerging Market Indices Weekly 12

13 Exhibit 35: Middle East and Africa Corporate Index (MACI) ($) No of Issues % Wgt of Index Par Amt Mkt Value Coupon Rem Term Mod Duration Total ,172, ,255, Yield CONGLOMERATES ,100,000 2,336, FINANCIAL ,458,954 56,602, INDUSTRIAL ,307,255 61,573, PUBLIC ,200,000 5,563, UTILITY ,105,988 23,178, Conglomerates ,100,000 2,336, Bank ,658,954 51,661, Finance ,800,000 4,941, Basic Industries ,050,000 7,902, Energy ,682,675 21,567, Healthcare ,833,801 2,908, Manufacturing , , Media ,900,000 3,052, Real Estate ,700,000 8,268, Retail , , Telecom ,118,574 8,471, Transportation ,822,205 8,205, Agency ,000,000 2,326, Supranational ,200,000 3,236, Electric Utilities ,187,487 20,993, Gas Pipelines ,918,501 2,184, Not Rated ,622,205 6,817, AAA Bucket ,000,000 10,090, AA Bucket ,500,000 24,206, A Bucket ,036,117 46,691, BBB Bucket ,587,401 40,977, BB Bucket ,341,474 13,500, B Bucket ,875,000 6,465, CCC Bucket , , C Bucket ,000 17, Non Performing ,000 17, ,266,629 61,506, ,535,354 48,859, ,616,578 23,148, PLUS ,143,636 15,723, Emerging Market Indices Weekly 13

14 Exhibit 36: Middle East and Africa Corporate Index (MACI) ($) MTD MTD Excess Return YTD YTD Excess Return Bench Spread MTD Bmk Sprd Chg YTD Bmk Sprd Chg Total CONGLOMERATES FINANCIAL INDUSTRIAL PUBLIC UTILITY Conglomerates Bank Finance Basic Industries Energy Healthcare Manufacturing Media Real Estate Retail , Telecom Transportation Agency Supranational Electric Utilities Gas Pipelines Not Rated AAA Bucket AA Bucket A Bucket BBB Bucket BB Bucket B Bucket CCC Bucket , , C Bucket , Non Performing PLUS Emerging Market Indices Weekly 14

15 Exhibit 37: Liquid Eastern European Index (EEI) ($) No of Issues % Wgt of Index Par Amt Mkt Value Coupon Rem Term Mod Duration Total CONGLOMERATES FINANCIAL INDUSTRIAL PUBLIC UTILITY Conglomerates Bank Finance Basic Industries Consumer Products Energy Manufacturing Technology Telecom Transportation Agency Electric Utilities Gas Pipelines Not Rated AAA Bucket A Bucket BBB Bucket BB Bucket B Bucket CCC Bucket CC Bucket C Bucket Non Performing PLUS Yield Emerging Market Indices Weekly 15

16 Exhibit 38: Liquid Eastern European Index (EEI) ($) MTD MTD Excess Return YTD YTD Excess Return Bench Spread MTD Bmk Sprd Chg YTD Bmk Sprd Chg Total CONGLOMERATES FINANCIAL INDUSTRIAL PUBLIC UTILITY Conglomerates Bank Finance Basic Industries Consumer Products Energy Manufacturing Technology Telecom Transportation Agency Electric Utilities Gas Pipelines Not Rated AAA Bucket A Bucket BBB Bucket BB Bucket B Bucket CCC Bucket CC Bucket C Bucket Non Performing PLUS Emerging Market Indices Weekly 16

17 Exhibit 39: Asian Bond Index (ABI) % Wgt Rem Mod Street No of Issues of Index Par Amt Mkt Value Coupon Term Duration Yield Total ,828, ,343, CONGLOMERATES ,897,376 24,850, FINANCIAL ,774, ,058, INDUSTRIAL ,617, ,287, PUBLIC ,475, ,651, UTILITY ,062,268 43,494, Conglomerates ,897,376 24,850, Bank ,916, ,230, Finance ,303,379 70,135, Insurance ,055,000 6,190, Reits , , Basic Industries ,801,268 38,446, Consumer Products ,316,531 7,245, Energy ,940,000 91,784, Gaming and Lodging ,675,000 5,808, Manufacturing ,133,595 14,282, Media , , Property ,019,284 3,175, Real Estate ,855,754 67,300, Retail ,059,243 8,225, Services , , Technology ,359,497 25,358, Telecom ,778,400 12,696, textile & apparel , , Transportation ,344,339 20,702, Agency ,300,000 5,952, Sovereign ,745,784 95,161, Supranational ,430,000 14,538, Electric Utilities ,317,268 29,931, Gas Pipelines ,795,000 12,607, Water , , A Bucket ,085, ,876, AA Bucket ,154, ,956, AAA Bucket ,430,000 18,700, B Bucket ,261,882 41,630, BB Bucket ,928,576 52,340, BBB Bucket ,922, ,055, C Bucket ,000, , CC Bucket ,850,000 1,657, CCC Bucket ,525,000 2,220, Not Rated ,670,619 40,649, Non Performing ,630,000 1,093, ,833, ,603, ,896, ,199, ,877, ,667, PLUS ,589,852 73,778, Emerging Market Indices Weekly 17

18 Exhibit 40: Asian Bond Index (ABI) MTD MTD Excess Return YTD YTD Excess Return Bench Spread MTD Bmk Sprd Chg YTD Bmk Sprd Chg Total CONGLOMERATES FINANCIAL INDUSTRIAL PUBLIC UTILITY Conglomerates Bank Finance Insurance Reits Basic Industries Consumer Products Energy Gaming and Lodging Manufacturing Media Property Real Estate Retail Services Technology Telecom textile & apparel Transportation Agency Sovereign Supranational Electric Utilities Gas Pipelines Water A Bucket AA Bucket AAA Bucket B Bucket BB Bucket BBB Bucket C Bucket CC Bucket CCC Bucket Not Rated Non Performing PLUS Emerging Market Indices Weekly 18

19 Exhibit 41: Sovereign Bond Index (SBI) ($) No of Issues % Wgt of Index Par Amt Adjusted Par Amt Mkt Value Coupon Rem Term Str Yield Total ,939, ,939, ,966, AMERICAS ,814, ,814, ,248, ASIA ,830,634 64,830,634 74,947, EMEA ,294, ,294, ,770, Central America & Caribbean ,823,746 33,823,746 36,550, North America ,537,582 40,537,582 44,261, South America ,453, ,453,176 99,436, Asia & Pacific Rim ,830,634 64,830,634 74,947, Africa ,399,414 33,399,414 34,102, Europe ,727, ,727, ,521, Middle East ,167,469 27,167,469 28,146, Belize , , , Bermuda ,250,000 1,250,000 1,361, Costa Rica ,000,000 4,000,000 3,767, DOMINICAN REPUBLIC ,000,000 8,000,000 8,491, EL SALVADOR ,353,500 5,353,500 5,465, GUATEMALA ,400,000 1,400,000 1,457, HONDURAS ,000,000 1,000,000 1,130, JAMAICA ,050,000 2,050,000 2,315, PANAMA ,690,318 9,690,318 11,550, TRINIDAD AND TOBAGO , , , MEXICO ,537,582 40,537,582 44,261, ARGENTINA ,508,942 11,508,942 9,003, BOLIVIA ,000,000 1,000,000 1,044, BRAZIL ,677,467 27,677,467 28,840, COLOMBIA ,864,459 19,864,459 21,629, Ecuador ,500,000 3,500,000 3,179, PARAGUAY ,780,000 1,780,000 1,855, PERU ,933,920 8,933,920 11,610, URUGUAY ,393,774 8,393,774 9,187, VENEZUELA ,794,614 30,794,614 13,083, INDONESIA ,750,000 30,750,000 33,948, KOREA REPUBLIC OF ,000,000 4,000,000 4,577, MONGOLIA ,000,000 1,000, , PAKISTAN ,750,000 2,750,000 2,944, PHILIPPINES ,435,183 20,435,183 26,572, SRI LANKA ,150,000 4,150,000 4,196, VIETNAM ,745,451 1,745,451 1,839, Cote Divoire ,268,904 4,268,904 3,993, EGYPT ,000,000 3,000,000 3,030, Ethiopia ,000,000 1,000, , Gabon ,000,000 2,000,000 1,907, Ghana ,530,510 2,530,510 2,465, Kenya ,750,000 2,750,000 2,737, Morocco ,250,000 2,250,000 2,297, Emerging Market Indices Weekly 19

20 Exhibit 42: Sovereign Bond Index (SBI) ($) No of Issues % Wgt of Index Par Amt Adjusted Par Amt Mkt Value Coupon Rem Term Str Yield Namibia , , , Nigeria ,500,000 1,500,000 1,495, Senegal ,000,000 1,000,000 1,050, SOUTH AFRICA ,250,000 10,250,000 11,343, Tanzania , , , Zambia ,750,000 1,750,000 1,626, Armenia ,000,072 1,000,072 1,010, AZERBAIJAN ,250,000 1,250,000 1,254, Belarus , , , CROATIA ,000,000 9,000,000 9,717, GEORGIA , , , HUNGARY ,500,000 14,500,000 16,556, Iceland ,000,000 1,000,000 1,151, KAZAKHSTAN ,500,000 6,500,000 6,217, Latvia ,750,000 2,750,000 2,911, Lithuania ,750,000 5,750,000 6,862, POLAND ,500,000 10,500,000 11,599, Portugal ,500,000 4,500,000 4,813, Romania ,750,000 5,750,000 6,556, RUSSIA ,727,608 35,727,608 40,297, Serbia ,250,000 5,250,000 5,693, SLOVAKIA ,500,000 1,500,000 1,668, Slovenia ,250,000 9,250,000 10,393, Spain ,000,000 2,000,000 2,150, TURKEY ,000,000 42,000,000 47,371, UKRAINE ,200,000 8,200,000 4,954, BAHRAIN ,500,000 5,500,000 5,895, Iraq ,700,000 2,700,000 2,151, ISRAEL ,000,000 5,000,000 5,366, LEBANON ,467,469 12,467,469 13,269, TUNISIA ,500,000 1,500,000 1,463, A Bucket ,750,000 30,750,000 34,347, BBB Bucket ,082, ,082, ,763, BB Bucket ,407, ,407, ,675, B Bucket ,515,834 66,515,834 67,846, CCC Bucket ,683,484 45,683,484 25,613, CC Bucket ,200,000 8,200,000 4,954, ,465,346 73,465,346 79,645, Apr ,332,857 94,332,857 99,711, Jul ,361, ,361, ,239, PLUS ,260, ,260, ,058, Emerging Market Indices Weekly 20

21 Exhibit 43: Sovereign Bond Index (SBI) ($) MTD YTD Bench Spread MTD Bmk Sprd Chg YTD Bmk Sprd Chg Str Sprd Over YC MTD Str Sprd Over YC Chg YTD Str Sprd Over YC Chg Total AMERICAS ASIA EMEA Central America & Caribbean North America South America Asia & Pacific Rim Africa Europe Middle East Belize Bermuda Costa Rica DOMINICAN REPUBLIC EL SALVADOR GUATEMALA HONDURAS JAMAICA PANAMA TRINIDAD AND TOBAGO MEXICO ARGENTINA BOLIVIA BRAZIL COLOMBIA Ecuador PARAGUAY PERU URUGUAY VENEZUELA INDONESIA KOREA REPUBLIC OF MONGOLIA PAKISTAN PHILIPPINES SRI LANKA VIETNAM Cote Divoire EGYPT Ethiopia Gabon Ghana Kenya Morocco Emerging Market Indices Weekly 21

22 Exhibit 44: Sovereign Bond Index (SBI) ($) MTD YTD Bench Spread MTD Bmk Sprd Chg YTD Bmk Sprd Chg Str Sprd Over YC MTD Str Sprd Over YC Chg YTD Str Sprd Over YC Chg Namibia Nigeria Senegal SOUTH AFRICA Tanzania Zambia Armenia AZERBAIJAN Belarus CROATIA GEORGIA HUNGARY Iceland KAZAKHSTAN Latvia Lithuania POLAND Portugal Romania RUSSIA Serbia SLOVAKIA Slovenia Spain TURKEY UKRAINE BAHRAIN Iraq ISRAEL LEBANON TUNISIA A Bucket BBB Bucket BB Bucket B Bucket CCC Bucket CC Bucket Apr Jul PLUS Emerging Market Indices Weekly 22

23 Exhibit 45: Emerging Markets Local Currency Index (EMLC) No of Issues % Weight of Index Par Amt Mkt Value Coupon Remaining Term Mod Duration Total ,514,891,671 1,559,052, ,983, ,253, ,582, ,668, ,349, ,785, PLUS ,976, ,343, BRL ,228, ,905, CLP ,381,921 13,378, COP ,319,289 83,309, CZK ,138,930 62,992, EGP ,228,956 16,716, HRK ,526,554 5,930, HUF ,546,820 47,013, IDR ,687,344 87,262, ILS ,306,827 73,462, KRW ,046, ,905, MXN ,686, ,905, MYR ,376, ,120, PEN ,121,225 12,843, PHP ,304,731 42,897, PLN ,597, ,260, RUB ,949, ,938, THB ,399, ,824, TRY ,204,917 94,085, ZAR ,839, ,300, AA Bucket ,381,921 13,378, A Bucket ,305, ,041, BBB Bucket ,777, ,669, BB Bucket ,425, ,962, Emerging Market Indices Weekly 23

24 Exhibit 46: Emerging Markets Local Currency Index (EMLC) MTD Total Ret YTD Total Ret Total PLUS BRL CLP COP CZK EGP HRK HUF IDR ILS KRW MXN MYR PEN PHP PLN RUB THB TRY ZAR AA Bucket A Bucket BBB Bucket BB Bucket Emerging Market Indices Weekly 24

25 CS EMCI The Emerging Market Corporate Index (EMCI) provides a benchmark for Emerging Market (EM) corporate debt that represents the characteristics, pricing and total return performance of different asset classes within the EM corporate universe. With the creation of the CS EMCI, investors can gain exposure to this rapidly growing market. CS LACI CS-LACI is a diversified basket of liquid, tradable Latin American corporate bond issues that are denominated in US dollars. This index provides a region-specific benchmark that represents characteristics, pricing, and total return performance of different asset classes within the Latin American corporate bond universe. The index is divided into three different categories, including supranational, quasi-sovereign, and corporate bonds and can be broken down by country of issuance. CS EMLC Credit Suisse s Emerging Market Local Currency Sovereign Bond Index (CSEMLC) provides a benchmark for Emerging Market (EM) sovereign debt that represents the characteristics, pricing and total return performance of the EM sovereign universe. Given the absence of a formal definition of emerging markets, a broad selection criteria is used to determine the list of countries whose debt is eligible for the index. All bonds in the CSEMLC Index are selected according to a fully transparent set of rule-based inclusion criteria regarding issue size, bond type, maturity and liquidity. All issue amounts are converted into USD and settlement days are based on local trading conventions. CS ABI The Asian Bond Index is composed primarily of liquid, tradable bonds issued by Asian governments, quasi-sovereign entities and corporations in USD. Daily pricing of all these instruments is provided by Credit Suisse traders based on actual transaction and market-making activities. To portray an accurate representation of the Asia ex-japan USD bond market, the index can be broken down into various asset classes and categories allowing for in-depth analysis of Asian USD corporate and sovereign debt performance. CS MACI Credit Suisse Middle East and Africa Index (CS-MACI), the latest addition to our family of benchmark indices, tracks the performance of liquid, tradable USD debt issued by corporates, quasi-sovereigns and supranationals in the Middle East and Africa region. CS-MACI bonds are selected in accordance with a transparent set of rule-based inclusion criteria. The selection criteria are based on the issue type, size, maturity and liquidity. CS EEI The Credit Suisse Eastern Europe Corporate Index (CS-EEI) is comprised of tradable USD debt issued by corporates, quasi-sovereigns and supranationals in the Eastern European countries. The index was built to accurately represent trends in the Eastern Europe non-sovereign bond market. All bonds in the CS-EEI are selected in accordance with a transparent set of rule-based inclusion criteria, mainly based on issue type, size, maturity and liquidity. CS SBI SBI is a diversified basket of liquid, tradable US dollar-denominated, lower-rated sovereign debt. By differentiating performing and non-performing assets, meaningful risk measures can be assessed. The SBI is constrained to ensure that no country will have a par amount greater than 15% of the overall index par amount. Excess weight is redistributed on a par-weighted basis to the other issuers in the index. Emerging Market Indices Weekly 25

26 GLOBAL FIXED INCOME AND ECONOMIC RESEARCH Ric Deverell Global Head of Fixed Income and Economic Research INDEX & ALPHA STRATEGIES Baldwin Smith Group Head NEW YORK Peter Han Samarth Sanghavi Yongchu Song, Ph.D Shonan Noronha Haresh Hingorani Young Kim Steven Tang, Ph.D Olivia Zhong LONDON Varin Wimalasena Daniela Toro Wasim Tahir SINGAPORE Yoon May Choong Dian Hong Chua

27 Disclosure Appendix Analyst Certification The analysts identified in this report each certify, with respect to the companies or securities that the individual 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: 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 or call For the history of trade ideas suggested by the Fixed Income Research department over the previous 12 months, please view the document at Credit Suisse clients with access to the Locus website may refer to For the history of trade ideas suggested by Emerging Markets Strategy Research, please see the latest Emerging Markets Fixed Income Views report on Credit Suisse PLUS. For the history of recommendations provided by Technical Analysis, please visit the website at 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.