Asian Income Plus Strategy Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 28 th February 2005

Transcription

1 Asian Income Plus Strategy Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 28 th February 2005 Strategy II Performance Table (1) MoM Ytd Strategy Total Return (USD) % 30.9% Strategy Price Return (USD) % 4. Strategy Yield % 26.9% Trader Commentary Due to the market volatility, Strategy II down 1. MoM and up 30.9% since inception in Total Return. There was no coupon payment for the month. Most sectors were flat except Financials (WGT: 23%) and Consumer Discretionary (WGT: ) which were down 1.03% and down 0.8% respectively. As expected in the market, Financials took a hit as the credit market future remains unclear. On the currency front, JPY (WGT: 15.93%) contributed 0.43% MoM to the strategy but KRW pushed the strategy down 0.54%. Top Two Names From Each Country (4) Company Sector Currency Country INFOSYS TECH Information Technology INR India RELIANCE Energy INR India KOOKMIN BANK Financials KRW Korea POSCO Materials KRW Korea SONY CORP Consumer Discretionary JPY Japan HONDA MOTOR Consumer Discretionary JPY Japan CHINA LIFE Financials HKD Hong Kong SINOPEC CORP Energy HKD Hong Kong KEPPEL CORP Industrials SGD Singapore SPORE TELECOM Telecommunication Services SGD Singapore MoM Currency Impact within Strategy (2) Country/Currency Breakdown (3) 0.6% 0.4% 0.2% % -0.4% -0.6% HKD JPY KRW SGD INR 12.24% 16.09% 26.47% HongKong (HKD) S.Korea (KRW) India (INR) MoM Sector Returns within Strategy (5) Sector Breakdown (6) Financials Consumer Discretionary Information Technology Consumer Staples Utilities Telecommuni cation Services Materials Industrials Health Care Energy % 13% 9% 4% 3% 29.27% 15.93% Japan (JPY) Singapore (SGD) 17% 2% Consumer Discretionary Energy 23% Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Consumer Staples 13% (1) Return figures are calculated as a % change over the period, include income distributed by Strategy and assume no reinvestment over life. (N.B. The % coupon paid on a Note linked to Strategy is not the same as the % income distributed by Strategy, as a Note s coupon is among other things a function of allocation to Strategy). Yield is based on value of Strategy as of beginning of period. (2) Percentage change of each currency holdings within Strategy versus USD over the past month, using currency weightings as of end of month. (3) Breakdown as of beginning of month using live weights and prevailing exchange rates and showing the exposure of Strategy holdings to the currencies listed. (4) Top two holdings from each country as of last rebalancing. (5) Price performance showing sector returns as measured in the stocks respective local currencies over the past month, using live weights as of beginning of month. (6) Breakdown as of beginning of month using live weights reflecting the relative value of each stock/sector as of that time in percentage of the value of the total Strategy holdings. MoM means month on month change. All figures are calculated using month end data unless otherwise stated. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited 1

2 Asian Income Plus Note 1 Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 28 th February 2005 Maturity Date: 11 th March 2011 ISIN: XS Note 1 (Strategy II) Note Value (indicative) (i) 95.3% 96.8% 96. MoM Ytd Note Price Return (ii) % -0.7% Note Yield (iii) % % % 30.9% Ytd Coupon Paid to Date (USD) (iv) , Market Data USD Interest Rate to Maturity 4.9% 5.1% 4.4% Strategy Monthly Change (USD) ** CI Monthly Change (USD) ** 59 Allocation to Strategy 35.1% 56.7% Gap Measure (% of Note Value) (vi) 25.6% 20.3% Feb-05 Aug-07 (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 2, an up-leverage event will occur; a fall of the Gap measure below 1 would lead to de-leverage event. 2

3 Asian Income Plus Note 2 Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 28 th February 2005 Maturity Date: 11 th March 2011 ISIN: XS Note 2 (Strategy II) Note Value (indicative) (i) 95.7% MoM Ytd Note Price Return (ii) -1.8% 0.2% -1.3% Note Yield (iii) % 15.1% -1.8% % % 30.9% Ytd Coupon Paid to Date (USD) (iv) , Market Data USD Interest Rate to Maturity 4.9% 5.1% 4.4% Strategy Monthly Change (USD) ** CI Monthly Change (USD) ** 71 Allocation to Strategy % Gap Measure (% of Note Value) (vi) 25.6% 25.2% 1 - Feb-05 (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 2, an up-leverage event will occur; a fall of the Gap measure below 1 would lead to de-leverage event. 3

4 Asian Income Plus Note 4 Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 4 th April 2005 Maturity Date: 15 th April 2011 ISIN: XS Note 4 (Strategy II) Note Value (indicative) (i) % 97. MoM Ytd Note Price Return (ii) -2.7% -0.4% -0. Note Yield (iii) % 16.9% -2.7% 3.3% 16.4% % 30.9% Ytd Coupon Paid to Date (USD) (iv) , Market Data USD Interest Rate to Maturity 4.9% 5.2% 4.4% Strategy Monthly Change (USD) ** CI Monthly Change (USD) ** 65 Allocation to Strategy 40.8% 53.8% Gap Measure (% of Note Value) (vi) 25.6% (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 2, an up-leverage event will occur; a fall of the Gap measure below 1 would lead to de-leverage event. 4

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