European Convertible Bonds

Page 1
European Convertible Bonds
04-Jan-07
Details of Convertible Bond
Citi ID
Underlying (issuer)
CCY
Coupon
Frequency
Maturity
Credit Sprd
III 1.375
3i
EUR
1.375
2
01-Aug-08
ABB 3.5
ABB
CHF
3.5
1
10-Sep-10
ACCP 1.75
Accor
EUR
1.75
1
ACERGY 2.25
Acergy
USD
2.25
ATLZN 0
Actelion
CHF
0
ATLZN 0-11
Actelion
CHF
ADEZ 0
Adecco
CHF
ADEZ S 1.5
Adecco (Sonata)
CHF
ADSG 2.5
Adidas-Salomon
CDM 2.25
AEM (Milan)
Theoretical Bond Values
Bond Floor
Bond Price
Parity
Premium
YTM
Run Yield
Fair Value
Cheap/Rich
Delta
Impled Vol
Ass Vol
100-day Vol
25
95.55
128.88
40
101.47
230.98
124.74
3.31%
-13.78%
1.07%
126.81
2.070
86.34%
28.65%
23.00%
na
231.37
-0.17%
-18.21%
1.52%
230.33
0.650
99.03%
41.59%
33.50%
01-Jan-08
10
39.32
57.90
na
59.05
-1.95%
-29.40%
1.22%
57.83
0.070
99.95%
56.25%
24.00%
na
2
11-Oct-13
150
76.54
1
15-Oct-08
25
119.98
108.88
79.46
37.02%
0.89%
2.07%
108.14
0.740
70.16%
41.39%
40.00%
na
174.25
173.89
0.21%
-16.58%
0.00%
173.89
0.360
100.00%
63.00%
35.00%
na
0
1
28-Nov-11
125
0
1
26-Aug-13
35
82.79
116.63
98.49
18.41%
-3.09%
0.00%
114.04
2.590
70.94%
33.57%
30.00%
na
99.61
113.95
89.10
27.89%
0.28%
0.00%
110.78
3.170
46.21%
29.86%
25.00%
1.5
1
09-Dec-10
140
na
97.56
127.50
112.97
12.86%
-2.91%
1.18%
125.28
2.220
69.67%
27.96%
25.00%
na
EUR
2.5
1
08-Oct-18
35
94.97
156.25
149.14
4.77%
-1.76%
1.60%
154.83
1.420
86.61%
30.19%
27.50%
na
EUR
2.25
2
22-Dec-09
5
94.81
126.75
120.52
5.17%
-5.79%
1.78%
123.40
3.350
81.22%
26.12%
20.00%
na
AIRF 2.75
Air France
EUR
2.75
1
01-Apr-20
50
19.19
34.52
32.74
5.44%
-1.68%
1.63%
34.25
0.270
86.29%
34.30%
32.00%
na
CGEP 4.75
Alcatel
EUR
4.75
1
01-Jan-11
65
16.18
17.70
11.65
51.93%
2.27%
4.34%
17.32
0.380
31.95%
36.07%
29.00%
na
ALTR 3.75
Altran
EUR
3.75
1
01-Jan-09
150
12.27
12.48
7.42
68.13%
4.71%
3.82%
12.54
-0.060
17.36%
30.08%
33.00%
na
AU 2.375
AngloGold Ashanti
USD
2.375
2
27-Feb-09
40
93.67
100.38
70.63
42.11%
2.18%
2.37%
100.00
0.380
32.06%
36.31%
35.00%
na
ASMI 4.25
ASM Int.
USD
4.25
2
06-Dec-11
350
82.88
116.63
102.28
14.02%
0.79%
3.64%
116.81
-0.180
70.19%
27.63%
28.00%
na
ASML 5.5
ASML
EUR
5.5
1
15-May-10
75
101.87
139.90
131.26
6.58%
-5.08%
3.93%
137.74
2.160
51.58%
48.50%
32.00%
na
AGL 0
Autogrill
EUR
0
1
16-Jun-14
35
81.40
86.00
73.68
16.73%
2.04%
0.00%
83.63
2.370
19.56%
61.28%
20.00%
na
AEAJ 6.125
Aveng
ZAR
6.125
2
17-Mar-12
250
81.27
227.63
218.78
4.04%
-11.25%
2.69%
221.63
6.000
96.65%
52.42%
25.00%
na
AXA 2.5
Axa
EUR
2.5
1
01-Jan-14
23
195.75
210.38
131.85
59.56%
3.22%
1.96%
200.13
10.250
16.89%
37.39%
18.00%
na
AXA 3.75
Axa
EUR
3.75
1
01-Jan-17
32
222.31
232.88
131.85
76.63%
3.96%
2.66%
226.11
6.770
11.81%
43.20%
18.00%
na
BPLO 4.75
Banca Pop Italiana
EUR
4.75
1
01-Jun-10
35
100.82
112.25
67.98
65.11%
1.05%
4.23%
102.90
9.350
18.82%
58.49%
18.50%
na
ESP 3.55
Banco Espirito Santo
EUR
3.55
1
15-Nov-25
100
92.01
120.13
103.97
15.54%
3.22%
2.96%
106.57
13.560
58.90%
28.85%
12.00%
na
BENI 2.5
Beni Stabili
EUR
2.5
1
27-Oct-11
100
89.08
130.63
122.20
6.89%
-3.27%
1.91%
125.81
4.820
81.56%
29.77%
22.00%
na
BSY 0.75
BSkyB (News Corp)
USD
0.75
2
15-Mar-23
30
87.58
98.38
80.15
22.74%
0.92%
0.76%
99.18
-0.800
41.43%
18.48%
20.00%
na
BUHR 2
Buhrmann
EUR
2
1
18-Dec-10
75
89.91
155.38
146.52
6.04%
-9.02%
1.29%
149.39
5.990
86.58%
44.54%
32.00%
na
CW 4
Cable & Wireless
GBP
4
2
16-Jul-10
150
90.75
120.38
111.38
8.08%
-1.59%
3.32%
118.34
2.040
69.43%
33.80%
27.50%
na
CAP 2.5
Capgemini
EUR
2.5
1
01-Jan-10
45
48.13
56.65
48.46
16.90%
-1.11%
2.25%
56.03
0.620
48.61%
33.87%
30.00%
na
CAP 1
Capgemini
EUR
1
1
01-Jan-12
75
34.67
52.33
48.46
7.98%
-3.58%
0.71%
51.77
0.560
77.82%
33.39%
31.00%
na
CAP 2
Capgemini (Wendel)
EUR
2
1
19-Jun-09
40
38.01
52.60
48.46
8.54%
-8.70%
1.52%
52.42
0.180
77.17%
32.82%
32.00%
na
CAP 2.6
Capitalia
EUR
2.6
1
13-Jun-07
15
99.32
159.38
160.40
-0.64%
0.00%
1.63%
158.91
0.470
99.98%
45.53%
30.00%
na
CASINO 3.25
Casino (Rallye)
EUR
3.25
1
01-Jul-13
100
85.59
92.88
71.35
30.17%
3.40%
2.80%
91.62
1.260
31.97%
25.85%
21.50%
na
CMPR 2
Cimpor (CSFB)
EUR
2
1
03-Dec-07
7
98.10
140.13
144.71
-3.17%
-29.43%
1.43%
140.42
-0.290
99.79%
12.00%
na
CLUB 3
Club Mediterranee
EUR
3
1
01-Nov-08
100
65.17
65.50
40.77
60.66%
4.82%
2.66%
65.33
0.170
3.72%
#N/A
25.15%
22.00%
na
CLUB 4.375
Club Mediterranee
EUR
4.375
1
01-Nov-10
250
45.30
49.13
40.77
20.49%
4.21%
4.32%
48.44
0.690
33.91%
25.54%
22.00%
na
CONG 1.625
Continental
EUR
1.625
1
19-May-11
25
89.31
185.77
174.97
6.18%
-12.08%
0.87%
175.86
9.910
92.48%
53.09%
32.50%
na
HOOG 4.625
Corus
NLG
4.625
1
22-Apr-07
100
99.87
103.38
101.42
1.92%
-6.26%
4.47%
102.19
1.190
42.02%
20.52%
15.00%
na
Page 2
European Convertible Bonds
04-Jan-07
Details of Convertible Bond
Theoretical Bond Values
Citi ID
Underlying (issuer)
CCY
Coupon
Frequency
Maturity
Credit Sprd
Bond Floor
Bond Price
Parity
Premium
YTM
Run Yield
Fair Value
Cheap/Rich
Delta
Impled Vol
Ass Vol
100-day Vol
DELB 2.75
Delhaize
EUR
2.75
1
30-Apr-09
100
94.91
121.75
114.21
6.60%
-5.74%
2.26%
118.83
2.920
74.85%
32.05%
23.00%
na
KFW 0.5
Deutsche Post (KfW)
EUR
0.5
1
03-Feb-10
5
89.60
123.90
119.45
3.72%
-6.27%
0.40%
121.58
2.320
84.69%
30.03%
25.00%
na
DTE 0.75
Deutsche Tel (KfW)
EUR
0.75
1
08-Aug-08
5
94.82
100.21
87.96
13.93%
0.61%
0.75%
99.93
0.280
40.90%
20.75%
20.00%
na
EDP 2.69
EDP (Parpublica)
EUR
2.69
1
16-Dec-10
5
94.72
117.25
106.28
10.32%
-1.52%
2.29%
112.29
4.960
66.04%
25.05%
18.00%
na
EFG 1
EFG Eurobank
EUR
1
1
29-Nov-09
35
100.79
127.25
118.76
7.15%
-3.66%
0.79%
122.12
5.130
71.83%
34.10%
24.00%
na
ELIOR 1
Elior
EUR
1
1
08-Jun-07
50
19.83
20.00
16.23
23.23%
2.33%
0.84%
19.84
0.160
1.74%
26.99%
15.00%
na
EMI 5.25
EMI
USD
5.25
2
02-Oct-10
120
96.60
178.15
166.89
6.75%
-11.03%
2.95%
168.51
9.640
92.87%
69.04%
35.00%
na
EPCOS 2.5
Epcos
EUR
2.5
1
16-Jul-10
120
91.12
105.88
80.82
31.00%
0.80%
2.36%
103.31
2.570
49.87%
31.95%
27.00%
na
82.10
81.15
1.17%
-10.28%
0.93%
81.41
0.690
93.54%
29.74%
25.00%
na
2606.00 2144.00
21.53%
1.11%
1.58%
2554.00
52.000
29.72%
28.62%
23.00%
na
ESSI 1.5
Essilor
EUR
1.5
1
02-Jul-10
25
51.04
FTEL 1.6
France Telecom
EUR
1.6
1
01-Jan-09
20
2450.00
FRAG 0
Fraport (JPM Lux)
EUR
0
1
12-Mar-07
5
99.30
122.85
122.54
0.25%
0.00%
0.00%
122.75
0.100
95.64%
32.17%
30.00%
na
FP 5.25
Friends Prov
GBP
5.25
2
11-Dec-07
40
99.35
130.38
129.09
0.99%
-22.14%
4.03%
129.16
1.220
93.08%
29.96%
22.00%
na
FUGRO 2.375
Fugro
EUR
2.375
1
27-Apr-10
50
93.25
157.63
152.99
3.03%
-11.05%
1.51%
155.17
2.460
91.93%
35.56%
28.00%
na
GBL 2.95
GBL
EUR
2.95
1
27-Apr-12
50
92.28
119.38
105.23
13.44%
-0.63%
2.47%
110.80
8.580
67.36%
31.29%
15.00%
na
GED 1
Gedeon Richter (Hungary)
EUR
1
1
28-Sep-09
40
100.55
130.70
123.94
5.45%
-5.11%
0.77%
131.10
-0.400
65.65%
32.39%
33.00%
na
GASI 1.625
Generali (Capitalia)
EUR
1.625
1
07-May-09
15
94.22
130.68
128.82
1.44%
-9.45%
1.24%
130.31
0.370
90.31%
24.76%
23.00%
na
GASI 2.5
Generali (Unicredito)
EUR
2.5
1
19-Dec-08
10
96.80
123.68
120.44
2.68%
-8.15%
2.02%
122.20
1.480
77.54%
30.62%
21.50%
na
GVKN 5.5
Getronics
EUR
5.5
1
05-Nov-08
100
100.56
103.63
65.06
59.28%
3.38%
5.31%
103.67
-0.040
21.40%
34.81%
35.00%
na
GTN 2.75
Getronics
EUR
2.75
1
28-Oct-10
400
82.94
89.75
48.54
84.89%
5.80%
3.06%
87.83
1.920
31.55%
41.91%
35.00%
na
GPOR 5.25
Gt Portland
GBP
5.25
2
27-Feb-08
10
99.51
223.90
225.65
-0.77%
-56.09%
2.34%
223.73
0.170
100.00%
91.00%
25.00%
na
HAGN 5.75
Hagemeyer
EUR
5.75
1
05-Feb-09
300
97.33
187.50
187.25
0.13%
-22.31%
3.07%
187.39
0.110
99.62%
53.37%
42.00%
na
HAGN 3.5
Hagemeyer
EUR
3.5
1
30-Mar-12
400
80.88
150.38
134.98
11.40%
-4.74%
2.33%
145.90
4.480
82.72%
51.46%
42.00%
na
HARM 4.875
Harmony Gold
ZAR
4.875
2
21-May-09
220
87.35
109.13
91.22
19.63%
0.96%
4.47%
108.43
0.700
57.90%
41.88%
40.00%
na
EURC 4
Havas AdvertIsing
EUR
4
1
01-Jan-09
75
10.58
10.63
4.82
120.50%
4.63%
4.05%
10.59
0.040
1.55%
31.70%
24.00%
na
HDDG 0.875
Heidelberger D
EUR
0.875
1
09-Feb-12
50
99.23
118.40
94.10
25.83%
0.39%
0.74%
113.92
4.480
51.06%
33.69%
26.00%
na
HDDG 0
Heidelberger D (RWE)
EUR
0
1
22-Jun-07
7
98.19
110.40
105.34
4.80%
-19.14%
0.00%
108.28
2.120
69.89%
33.63%
23.00%
na
HOLZ 1 CHF
Holcim
CHF
1
1
10-Jun-12
20
107.18
132.00
132.07
-0.06%
-1.43%
0.76%
132.16
-0.160
91.01%
23.18%
24.50%
na
HOLZ 0 USD
Holcim
USD
0
1
10-Jun-17
20
64.84
98.00
95.64
2.47%
0.19%
0.00%
96.22
1.780
93.13%
37.49%
28.00%
na
ILD 2.2
Iliad
EUR
2.2
1
01-Jan-12
175
74.45
92.25
69.00
33.70%
1.21%
2.10%
90.98
1.270
54.33%
39.78%
37.00%
na
IFX 4.25
Infineon
EUR
4.25
1
06-Feb-07
50
99.93
100.07
30.40
229.22%
2.67%
4.25%
99.93
0.140
0.00%
166.25%
35.00%
na
IFX 5
Infineon
EUR
5
1
05-Jun-10
125
98.81
117.45
105.23
11.61%
-0.11%
4.26%
115.47
1.980
31.60%
55.38%
26.50%
na
IPR 3.75
International Power
USD
3.75
2
22-Aug-23
125
91.76
282.75
277.31
1.96%
-3.93%
1.33%
282.01
0.740
99.11%
35.47%
27.00%
na
IPR 3.25
International Power
EUR
3.25
2
20-Jul-13
190
85.58
124.88
102.37
21.98%
-0.49%
2.60%
121.35
3.530
73.21%
33.64%
27.00%
na
INTRA 2.25
Intralot
EUR
2.25
2
20-Dec-13
175
90.00
107.10
90.16
18.78%
3.08%
2.10%
105.35
1.750
48.65%
32.99%
30.00%
na
JAZZ 5
Jazztel
EUR
5
1
29-Apr-10
1100
74.90
78.13
36.70
112.88%
13.56%
6.40%
75.91
2.220
11.32%
49.92%
35.00%
na
JELZ 2.25
Jelmoli
CHF
2.25
1
31-May-07
75
99.68
106.63
108.54
-1.77%
-12.60%
2.11%
108.10
-1.470
79.53%
15.00%
na
KAR 4.5
Karstadt
EUR
4.5
1
22-Dec-09
200
95.68
249.25
254.68
-2.13%
-23.98%
1.81%
248.95
0.300
97.27%
42.00%
na
#N/A
47.82%
Page 3
European Convertible Bonds
04-Jan-07
Details of Convertible Bond
Theoretical Bond Values
Citi ID
Underlying (issuer)
CCY
Coupon
Frequency
Maturity
Credit Sprd
Bond Floor
Bond Price
Parity
Premium
YTM
Run Yield
Fair Value
Cheap/Rich
Delta
Impled Vol
Ass Vol
100-day Vol
KUD 1.625
Kudelski
CHF
1.625
1
05-Oct-12
125
88.26
97.38
69.29
40.54%
2.11%
1.67%
94.11
3.270
31.33%
31.96%
25.00%
na
LII 3.95
Liberty Int
GBP
3.95
2
30-Sep-10
100
98.16
175.63
174.63
0.57%
-11.61%
2.25%
175.45
0.180
99.23%
27.81%
25.00%
na
LLB 1.65
Liechtenstein LB
CHF
1.65
1
12-Apr-11
10
95.54
111.63
88.51
26.12%
-1.00%
1.48%
103.12
8.510
42.84%
31.50%
17.50%
na
LING 1.25
Linde
EUR
1.25
1
05-May-09
20
93.31
137.88
139.48
-1.15%
-11.84%
0.91%
136.89
0.990
92.28%
34.29%
27.00%
na
LOG 2.875
Logica
EUR
2.875
1
19-Sep-08
125
95.98
98.20
60.22
63.07%
3.95%
2.93%
97.42
0.780
14.42%
34.19%
30.00%
na
LONZA 2.5
Lonza (EMS Chem)
CHF
2.5
1
23-Apr-10
25
98.72
107.00
85.28
25.47%
0.36%
2.34%
106.07
0.930
39.30%
21.83%
20.00%
na
LONN 1.5
Lonza Group
CHF
1.5
1
15-Jul-09
25
96.65
122.88
116.25
5.70%
-6.52%
1.22%
121.17
1.710
75.57%
24.03%
21.00%
na
LHAG 1.25
Lufthansa
EUR
1.25
1
04-Jan-12
10
97.17
112.95
108.18
4.40%
-1.25%
1.11%
111.96
0.990
69.45%
22.23%
20.00%
na
LUKOIL3.5 07
LukOil
USD
3.5
2
29-Nov-07
250
115.39
433.35
433.55
-0.05%
0.00%
0.81%
433.17
0.180
100.00%
108.50%
30.00%
na
MAN 3.75
Man Grp (Forester)
GBP
3.75
2
12-Nov-09
30
94.59
250.88
249.77
0.44%
-27.46%
1.49%
250.84
0.040
99.68%
39.52%
37.00%
na
MAUR 3.5
Maurel & Prom
EUR
3.5
1
01-Jan-10
275
20.46
22.14
16.26
36.13%
3.99%
3.55%
21.81
0.330
31.31%
34.62%
30.00%
na
MXP 6.75
Maxwell Petroleum
USD
6.75
2
08-Sep-11
400
91.21
108.25
73.17
47.93%
4.74%
6.24%
107.26
0.990
49.37%
42.22%
40.00%
na
MICC 4
Millicom
USD
4
2
07-Jan-10
300
89.26
189.38
182.79
3.60%
-17.33%
2.11%
187.36
2.020
94.70%
43.50%
35.00%
na
MOL 4
Mol (Magnolia)
EUR
4
4
20-Mar-16
350
77.05
111.47
83.93
32.82%
2.61%
3.59%
111.55
-0.080
59.30%
34.89%
35.00%
na
MNDI 2
Mondadori
EUR
2
1
20-Oct-08
100
94.75
105.25
97.83
7.58%
-0.90%
1.90%
105.48
-0.230
54.23%
24.45%
25.00%
na
NESZ 0
Nestle
USD
0
1
11-Jun-08
5
92.79
115.35
113.48
1.65%
-9.69%
0.00%
113.96
1.390
91.27%
23.10%
17.50%
na
NETCARE 6
Network Care
ZAR
6
2
30-Sep-11
200
83.60
109.25
87.35
25.07%
3.83%
5.49%
106.22
3.030
67.38%
32.88%
27.00%
na
NEX 1.5
Nexans
EUR
1.5
1
01-Jan-13
125
68.24
103.05
94.70
8.82%
-1.86%
1.07%
100.45
2.600
77.06%
33.40%
27.00%
na
NUMICO 3
Numico
EUR
3
1
11-Jul-10
75
94.06
200.60
190.40
5.35%
-15.99%
1.50%
196.40
4.200
92.95%
43.89%
33.00%
na
OMVV 1.5
OMV
EUR
1.5
1
01-Dec-08
15
291.77
420.70
429.50
-2.05%
-14.02%
1.09%
420.09
0.610
92.25%
41.15%
38.00%
na
WEA 4.75
Orascom (Weather)
EUR
4.75
2
27-Feb-13
425
90.53
113.75
80.44
41.41%
2.34%
4.18%
111.78
1.970
66.74%
31.12%
28.00%
na
ORCO 1
Orco Property
EUR
1
1
31-May-13
200
138.67
145.75
99.55
46.41%
5.27%
0.95%
143.71
2.040
22.54%
23.71%
20.00%
na
OTP 3.95
OTP Bank
EUR
3.95
1
01-Jan-50
225
82.26
114.50
97.98
16.87%
0.61%
3.45%
118.17
-3.670
69.62%
25.33%
30.00%
na
PARG 1.7
Pargesa
CHF
1.7
1
27-Apr-13
35
92.33
110.00
85.90
28.06%
0.11%
1.55%
101.28
8.720
45.68%
29.92%
16.00%
na
PH 7.125
Peter Hambro
USD
7.125
2
11-Aug-10
500
91.19
164.75
145.86
12.95%
-8.02%
4.32%
160.53
4.220
83.07%
49.51%
40.00%
na
PRTP 1.5-07
Pinault (Artemis)
EUR
1.5
1
16-May-07
70
310.66
310.80
114.80
170.73%
4.46%
1.22%
310.66
0.140
0.00%
63.00%
17.00%
na
PRTP 2
Pinault (Artemis)
EUR
2
1
31-Jul-11
250
122.67
141.25
114.80
23.04%
3.24%
1.76%
136.70
4.550
48.26%
26.44%
21.00%
na
PRAG 2.25
Praktiker
EUR
2.25
1
28-Sep-11
125
87.26
109.63
82.91
32.22%
0.20%
2.05%
107.44
2.190
58.69%
38.82%
35.00%
na
PRS 1.75
Prisa
EUR
1.75
1
19-Dec-08
125
93.42
105.00
90.90
15.51%
-0.78%
1.67%
103.86
1.140
48.85%
27.97%
25.00%
na
PUBP 0.75
Publicis
EUR
0.75
1
17-Jul-08
15
27.62
34.15
31.96
6.85%
-9.25%
0.64%
33.12
1.030
66.98%
39.15%
24.00%
na
PUBP 1
Publicis
EUR
1
1
18-Jan-18
35
41.04
43.02
31.96
34.62%
2.77%
0.91%
43.63
-0.610
31.04%
19.07%
22.50%
na
PUB 5
Punch Taverns
GBP
5
2
14-Dec-10
225
96.19
129.63
108.13
19.88%
-0.58%
3.86%
127.69
1.940
75.84%
28.00%
25.00%
na
QCEG 0
Q-Cells (CS)
EUR
0
0
27-Apr-09
10
90.90
102.63
68.51
49.79%
-1.11%
0.00%
99.40
3.230
36.94%
51.29%
40.00%
na
QIAGEN 1.5
Qiagen
USD
1.5
2
18-Aug-24
100
81.83
136.75
124.56
9.79%
-0.49%
1.10%
133.16
3.590
80.62%
35.39%
30.00%
na
QIAGEN 3.25
Qiagen
USD
3.25
2
20-May-26
150
82.83
107.38
79.49
35.07%
2.75%
3.03%
107.85
-0.470
63.71%
29.29%
30.00%
na
RALLYE 3.75
Rallye
EUR
3.75
1
01-Jan-08
55
47.71
49.75
43.35
14.77%
0.31%
3.32%
48.64
1.110
24.74%
24.93%
17.00%
na
RANK 3.875
Rank
GBP
3.875
2
20-Jan-09
65
95.58
98.38
63.23
55.58%
4.68%
3.94%
96.98
1.400
14.77%
30.46%
24.00%
na
Page 4
European Convertible Bonds
04-Jan-07
Details of Convertible Bond
Theoretical Bond Values
Citi ID
Underlying (issuer)
CCY
Coupon
Frequency
Maturity
Credit Sprd
Bond Floor
Bond Price
Parity
Premium
YTM
Run Yield
Fair Value
Cheap/Rich
Delta
Impled Vol
Ass Vol
100-day Vol
REP 4.5
Repsol (Pemex)
USD
4.5
2
26-Jan-11
65
95.61
153.88
151.48
1.58%
-6.79%
2.92%
152.92
0.960
88.01%
28.54%
26.00%
na
ROCZG 0-21
Roche
USD
0
1
25-Jul-21
6
58.68
97.47
97.51
-0.03%
0.18%
0.00%
97.51
-0.040
100.00%
21.00%
20.00%
na
BMW 1.875
Rolls Royce (BMW)
EUR
1.875
1
18-Dec-08
22
95.45
190.65
191.83
-0.61%
-26.90%
0.98%
191.72
-1.070
100.00%
#N/A
25.00%
na
RWEG 1.75
RWE (Dusseldorf)
EUR
1.75
1
05-Jul-09
10
94.24
169.85
170.98
-0.66%
-17.85%
1.03%
170.08
-0.230
100.00%
#N/A
25.50%
na
SR 3.25
S R Tele
EUR
3.25
1
01-Jan-08
200
20.55
30.55
30.10
1.50%
-28.82%
2.24%
29.16
1.390
96.53%
118.38%
30.00%
na
SCOR 4.125
Scor
EUR
4.125
1
01-Jan-10
45
1.98
2.70
2.39
12.91%
-6.15%
3.06%
2.55
0.150
68.19%
48.25%
30.00%
na
SSE 3.75
Scot & Sth Energy
GBP
3.75
2
29-Oct-09
30
98.35
174.28
173.44
0.48%
-16.03%
2.15%
172.90
1.380
98.83%
31.68%
23.50%
na
SPW 4
Scottish Power
USD
4
2
10-Jul-11
60
93.41
206.13
194.15
6.17%
-12.68%
1.94%
194.16
11.970
99.92%
26.00%
na
SEM 1.875
Semapa (CSFB)
EUR
1.875
1
25-May-09
10
94.77
133.50
135.70
-1.62%
-9.85%
1.40%
134.41
-0.910
85.22%
23.00%
na
SEOZ 0.5
Serono
CHF
0.5
1
26-Nov-08
20
103.40
103.25
77.59
33.07%
1.78%
0.48%
103.40
-0.150
0.00%
SIEG 1.375
Siemens
EUR
1.375
1
04-Jun-10
10
91.13
136.00
134.44
1.16%
-7.47%
1.01%
133.85
2.150
89.46%
SKP 6 24
Skye Pharma
GBP
6
2
04-May-24
750
86.15
87.63
27.89
214.13%
7.25%
6.85%
86.61
1.020
SOCO 4.5
Soco Int.
USD
4.5
2
16-May-13
450
85.67
103.50
67.53
53.28%
3.86%
4.35%
104.21
-0.710
SGC 1.75
Sogecable (Vivendi)
EUR
1.75
1
30-Oct-08
35
28.05
31.08
27.91
11.36%
-1.30%
1.65%
29.95
1.130
43.93%
SOI 4.625
Soitec
EUR
4.625
1
20-Dec-09
500
6.20
27.90
27.93
-0.11%
-35.41%
1.16%
27.93
-0.030
100.00%
SOL 4.3
Sol Melia
EUR
4.3
1
14-Nov-08
35
99.64
133.13
129.33
2.94%
-10.78%
3.23%
132.32
0.810
85.66%
#N/A
20.74%
#N/A
10.00%
na
33.24%
24.00%
na
7.97%
46.07%
35.00%
na
60.57%
38.52%
40.00%
na
29.15%
20.00%
na
#N/A
24.35%
30.00%
na
22.00%
na
STEIN 5.7
Steinhoff Int.
ZAR
5.7
2
31-Jul-13
150
80.40
107.55
87.21
23.33%
4.35%
5.30%
107.90
-0.350
67.70%
29.27%
30.00%
na
FINMEC 0.375
STM (Finmeccanica)
EUR
0.375
1
08-Aug-10
25
87.00
92.65
56.40
64.27%
2.54%
0.40%
90.04
2.610
22.76%
35.65%
26.00%
na
STM 0-13
STMicro
USD
0
1
05-Jul-13
12
89.73
91.17
55.81
63.37%
0.66%
0.00%
91.07
0.100
15.40%
26.45%
26.00%
na
STM 0
STMicro
USD
0
2
23-Feb-16
23
86.83
104.00
80.44
29.28%
1.21%
0.00%
101.54
2.460
53.57%
29.64%
26.00%
na
SUB 2.8
Subsea
USD
2.8
2
06-Jun-11
200
84.01
105.50
70.46
49.73%
1.50%
2.65%
103.41
2.090
58.40%
44.50%
40.00%
na
SZU 3
Suedzucker
EUR
3
2
08-Dec-08
20
97.63
109.97
92.84
18.45%
-2.05%
2.73%
107.04
2.930
42.89%
35.86%
26.00%
na
UHRZ 2.625
Swatch
CHF
2.625
1
15-Oct-10
35
98.61
126.90
112.55
12.75%
-3.85%
2.07%
124.23
2.670
64.84%
28.92%
23.50%
na
SWISS CH
Swiss Life
CHF
0.625
1
10-Jun-10
40
92.18
150.13
146.33
2.59%
-10.67%
0.42%
146.33
3.800
93.95%
58.64%
30.00%
na
SPSN 2
Swiss Prime Site
CHF
2
1
03-Feb-10
225
91.84
117.75
114.15
3.15%
-3.37%
1.70%
116.51
1.240
83.79%
15.51%
12.00%
na
RUKZN 3.25
Swiss Re
USD
3.25
1
21-Nov-11
22
91.11
99.13
68.45
44.81%
3.41%
3.28%
96.30
2.830
33.30%
26.72%
21.00%
na
RUKZN 2.25
Swiss Re (WVB)
DEM
2.25
1
17-Apr-08
30
98.74
99.00
50.55
95.86%
3.03%
2.27%
98.75
0.250
0.20%
32.01%
20.50%
na
SCMN 0.25
SwissCom (Swiss Confed)
CHF
0.25
1
19-Dec-07
5
97.91
101.63
94.28
7.80%
-1.42%
0.25%
100.46
1.170
35.23%
17.84%
14.25%
na
OLIV 1.5-10
Telecom Italia
EUR
1.5
1
01-Jan-10
40
107.82
121.93
109.87
10.97%
0.26%
1.23%
118.37
3.560
49.45%
27.70%
21.00%
na
TMN 1.5
Temenos
CHF
1.5
1
21-Mar-13
350
87.05
140.75
119.32
17.96%
-1.97%
1.07%
133.66
7.090
76.48%
41.64%
30.00%
na
TMM 1-08
Thomson
EUR
1
1
01-Jan-08
20
39.24
39.33
14.91
163.75%
4.04%
1.03%
39.24
0.090
0.02%
49.19%
27.00%
na
TUI 4
TUI
EUR
4
1
01-Dec-08
105
97.87
102.25
77.79
31.45%
2.74%
3.91%
101.76
0.490
29.70%
24.36%
23.00%
na
USG 2012
USG People
EUR
3
1
18-Oct-12
250
83.01
197.63
190.96
3.49%
-9.06%
1.52%
191.32
6.310
95.17%
44.30%
30.00%
na
VLOF 2.375
Valeo
EUR
2.375
1
01-Jan-11
60
42.55
45.69
32.20
41.90%
2.78%
2.41%
44.97
0.720
29.64%
30.53%
26.00%
na
VED 4.60
Vedenta
USD
4.6
2
21-Feb-26
250
85.49
112.63
87.14
29.25%
3.67%
4.08%
111.22
1.410
63.04%
33.14%
30.00%
na
VAST 1.5-10
Voestalpine
EUR
1.5
1
21-Jul-10
35
90.47
228.55
224.59
1.76%
-19.88%
0.66%
223.92
4.630
99.52%
49.94%
30.00%
na
WEHA 2.5
Wereldhave
EUR
2.5
2
23-Mar-11
35
92.71
114.63
106.39
7.74%
-0.90%
2.18%
111.58
3.050
69.90%
22.48%
18.00%
na
Page 5
European Convertible Bonds
04-Jan-07
Details of Convertible Bond
Theoretical Bond Values
Citi ID
Underlying (issuer)
CCY
Coupon
Frequency
Maturity
Credit Sprd
Bond Floor
Bond Price
Parity
Premium
YTM
Run Yield
Fair Value
Cheap/Rich
Delta
WIEN 1.25
Wienerberger (Bk Austria)
EUR
1.25
1
15-Jan-07
10
99.90
188.28
189.75
-0.78%
0.00%
0.66%
188.52
-0.240
100.00%
Impled Vol
WPP 2
WPP
GBP
2
2
11-Apr-07
15
104.32
104.42
65.54
59.33%
5.15%
1.92%
104.32
0.100
0.00%
44.30%
20.00%
na
XTA 3.95
Xstrata
USD
3.95
2
15-Aug-10
30
95.38
540.17
539.59
0.11%
-39.92%
0.73%
539.80
0.370
99.97%
83.25%
37.00%
na
#N/A
Ass Vol
100-day Vol
24.00%
na
XTA 4.125
Xstrata (Glencore)
USD
4.125
2
06-Oct-10
25
106.89
391.40
389.49
0.49%
-28.42%
1.05%
389.95
1.450
99.74%
53.11%
37.00%
na
ALL ABN
ABN (Allegro)
EUR
1.5
1
04-Aug-10
0
91.45
104.00
99.59
4.42%
0.37%
1.44%
103.95
0.050
62.00%
18.09%
18.00%
na
BCEE ALL
Allianz (BCEE)
EUR
0
1
24-Mar-11
0
84.94
104.00
96.25
8.05%
-0.92%
0.00%
103.95
0.050
66.32%
22.57%
22.50%
na
ALL CONT
Continental (Allegro)
EUR
0.25
1
23-Mar-11
0
85.34
98.13
77.93
25.92%
0.70%
0.25%
98.28
-0.150
51.86%
26.94%
27.20%
na
ALL DBK
DBK (Allegro)
EUR
0.25
1
03-Nov-10
0
86.57
117.00
114.92
1.81%
-3.78%
0.21%
117.02
-0.020
84.40%
23.55%
23.60%
na
ALS11
DPB (Allegro)
EUR
0.25
1
03-May-11
0
85.16
102.38
90.75
12.81%
-0.26%
0.24%
102.34
0.040
61.33%
23.55%
23.50%
na
ALL EON 1
E.On (Allegro)
EUR
1
1
04-Aug-10
0
89.82
123.75
122.27
1.21%
-4.90%
0.81%
123.77
-0.020
85.97%
23.11%
23.15%
na
ALL ERI 0
Ericsson (Allegro)
EUR
0
1
16-Feb-09
0
91.81
99.25
83.29
19.16%
0.36%
0.00%
99.29
-0.040
42.78%
24.71%
24.80%
na
ALL FORT
Fortis (Allegro)
EUR
0
1
07-Jan-10
0
88.58
153.25
153.39
-0.09%
-13.21%
0.00%
153.39
-0.140
100.00%
19.50%
18.50%
na
ALL LVMH 0.5
LVMH (Allegro)
EUR
0.5
1
01-Mar-11
0
86.47
100.00
85.90
16.41%
0.50%
0.50%
99.95
0.050
54.03%
23.43%
23.35%
na
ALL MICP
Michelin (Allegro)
EUR
0
1
26-Jan-10
0
88.40
135.50
133.70
1.35%
-9.43%
0.00%
135.74
-0.240
88.99%
27.08%
27.70%
na
ALL NESZ
Nestlé (Allegro)
USD
0
1
23-Jun-08
0
92.70
127.25
127.22
0.02%
-15.73%
0.00%
127.27
-0.020
99.10%
16.80%
17.40%
na
ALL NOK 0.25
Nokia (Allegro)
EUR
0.25
1
15-Jun-09
0
91.18
113.50
108.07
5.02%
-4.81%
0.22%
113.49
0.010
71.98%
25.35%
25.35%
na
ALL OMV 0.25
OMV (Allegro)
EUR
0.25
1
23-Sep-09
0
90.25
97.13
66.87
45.25%
1.33%
0.26%
97.19
-0.060
36.38%
34.83%
35.00%
na
ALL PEUG
Peugeot (Allegro)
EUR
1.5
1
15-Jan-10
0
92.68
109.50
102.24
7.10%
-1.54%
1.37%
109.19
0.310
55.20%
26.05%
24.83%
na
ALL PHIL
Philips (Allegro)
EUR
0.5
1
28-Jun-10
0
88.50
112.63
104.58
7.70%
-2.89%
0.44%
112.72
-0.090
70.43%
24.76%
24.90%
na
CFI RWE 0.25
RWE (Citi)
EUR
0.25
1
08-Sep-09
0
90.39
106.63
100.52
6.08%
-2.13%
0.23%
106.02
0.610
64.71%
24.42%
23.30%
na
BCEE 01/11
Siemens (BCEE)
EUR
0
1
31-Jan-11
0
85.44
99.75
89.62
11.31%
0.06%
0.00%
99.74
0.010
58.53%
21.77%
21.75%
na
CFI SWLIFE 0
Swiss Life (Citi)
CHF
0
1
02-Jun-11
0
89.41
99.38
81.42
22.05%
0.14%
0.00%
99.21
0.170
45.86%
22.97%
22.70%
na
BCEE.LX
Syngenta (BCEE)
EUR
0.125
1
15-Feb-11
0
85.19
122.75
118.97
3.18%
-4.74%
0.10%
122.79
-0.040
82.43%
24.68%
24.75%
na
ALL TECH
Technip (Allegro)
EUR
0.125
1
23-Mar-11
0
84.87
95.50
73.10
30.65%
1.23%
0.13%
95.63
-0.130
46.82%
28.26%
28.50%
na
Page 6
European Convertible Bonds
04-Jan-07
Details of Convertible Bond
Theoretical Bond Values
Citi ID
Underlying (issuer)
CCY
Coupon
Frequency
Maturity
Credit Sprd
Bond Floor
Bond Price
Parity
Premium
YTM
Run Yield
Fair Value
Cheap/Rich
Delta
Impled Vol
Ass Vol
100-day Vol
ALL TI 1
Telecom Italia (Allegro)
EUR
1
1
01-Mar-10
0
90.96
92.00
65.39
40.68%
3.73%
1.09%
92.19
-0.190
13.71%
19.02%
19.85%
na
ALL TPG 1
TNT (Allegro)
EUR
1
1
08-Mar-10
0
90.91
128.88
126.65
1.76%
-6.83%
0.78%
129.05
-0.170
85.78%
23.32%
23.71%
na
ALL TOTF
Total (Allegro)
EUR
0
1
20-Feb-09
0
91.77
139.50
139.39
0.08%
-14.44%
0.00%
139.48
0.020
98.81%
22.02%
21.60%
na
ALL TOTF B
Total (Allegro)
EUR
0
1
10-Nov-09
0
89.15
127.50
126.39
0.88%
-8.16%
0.00%
127.49
0.010
91.09%
22.80%
22.75%
na
ALL TOTF C
Total. (Allegro)
EUR
1
1
04-Feb-10
0
91.14
121.50
119.51
1.67%
-5.23%
0.82%
121.63
-0.130
84.82%
22.28%
22.60%
na
ALL TOTF D
Total..(Allegro)
EUR
0
1
27-Jul-10
0
86.64
103.75
99.58
4.19%
-1.03%
0.00%
103.89
-0.140
70.04%
19.85%
20.10%
na
ALL UMI
Umicore (Allegro)
EUR
0
1
06-Oct-10
0
85.97
127.75
123.83
3.17%
-6.31%
0.00%
127.92
-0.170
83.14%
27.29%
27.60%
na
ALL VOD
Vodafone (Allegro)
GBP
0
1
15-Mar-10
0
84.09
106.25
104.21
1.96%
-1.89%
0.00%
106.43
-0.180
81.32%
22.14%
22.60%
na
ALL VOD
Vodafone (Allegro)
GBP
0
1
15-Mar-10
0
84.09
106.25
104.21
1.96%
-1.89%
0.00%
106.43
-0.180
81.32%
22.14%
22.60%
na
Page 7
Convertible Bonds
EUR44.28
4-Jan-07
Equity
Bond
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
3i 1.375
10.33
1.78
%
8.16
ABB 3.5
22.05
0.73
%
10.49
Reuters RIC Bloomberg
Market
Call
Amt Outst. (MM)
8.53 III.L
III LN
GB
EUR 550
9.53 ABBN.VX
ABBN VX
CH
CHF 1000
40.25 ACCP.PA
First Call
Call Price
Put
Trigger
10-Sep-07
100
150
Next Put
Put Price
Rating
Yield to Put
Citi
Moody
S&P
NR
A1
A+
2M
BAA1
BBB
BBB
Accor 1.75
59.05
2.03
40.25
2.48
AC FP
FR
EUR 257
1-Feb-05
100
110
1M
NA
Acergy 2.25
119.50
0.00
%
4.16
157.05 ACY.OL
ACY NO
NO
USD 500
25-Oct-10
100
130
NR
NA
NA
Actelion 0
266.75
0.00
%
0.65
153.40 ATLN.S
ATLN SW
CH
CHF 144
15-Oct-06
126.12
130
NR
NA
NA
Actelion 0
266.75
0.00
%
0.37
270.84 ATLN.S
ATLN SW
CH
CHF 460
NR
NA
NA
Adecco 0
84.20
1.25
%
1.06
ADEN VX
CH
CHF 900
26-Aug-10
116.05
0
26-Aug-10
110.98
-0.72%
1M
BAA2
BBB-
1M
NA
NA
8-Oct-09
100
130
8-Oct-09
100
-13.06%
NR
NA
NA
2M
AA2
NA
1-Apr-12
100
-7.20%
2H
NA
NA
BB-
94.50 ADEN.VX
Adecco (Sonata) 1.5
84.20
1.25
%
1.34
74.53 ADEN.VX
ADEN VX
CH
CHF 767
Adidas-Salomon 2.5
38.03
0.97
%
3.92
25.50 ADSG.DE
ADS GR
DE
EUR 400
AEM (Milan) 2.25
2.56
2.23
%
47.17
2.12 AEMI.MI
AEM IM
IT
EUR 336
Air France 2.75
32.74
1.68
20.5
4.88
20.50 AIRF.PA
AF FP
FR
EUR 450
1-Apr-10
100
130
Alcatel 4.75
11.65
1.55
16.18
6.18
16.18 ALU.PA
CGE FP
FR
EUR 1022
12-Jun-08
100
125
1H
BA2
Altran 3.75
7.42
0.00
12.7
7.87
12.70 ALTR.PA
ALT FP
FR
EUR 206
9-Jul-07
100
130
NR
NA
NA
45.91
1.63
%
1.54
65.00 AU.N
AU US
SA
USD 1000
14-Mar-07
100
130
NR
NA
NA
AngloGold Ashanti 2.375
ASM Int. 4.25
16.14
0.00
%
4.80
20.82 ASMI.AS
ASM NA
NL
USD 150
6-Dec-07
100
130
2H
NA
B-
ASML 5.5
18.77
0.00
%
6.99
14.30 ASML.AS
ASML NA
NL
EUR 380
27-May-06
100
150
1H
NR
NA
NA
Autogrill 0
14.18
1.69
%
5.20
19.25 AGL.MI
AGL IM
IT
EUR 39
15-Jun-04
100
0
1M
NA
Aveng 6.125
32.97
1.00
%
6.64
15.07 AEGJ.J
AEG SJ
SA
ZAR 1000
17-Mar-09
100
130
15-Jun-09
90.57
2.14%
NR
NA
NA
Axa 2.5
31.77
3.31
165
2.52
39.76 AXAF.PA
CS FP
FR
EUR 1518
1-Jan-05
139.93
125
1M
A3
BBB+
BBB+
Axa 3.75
31.77
3.31
165.5
2.51
39.88 AXAF.PA
CS FP
FR
EUR 1099
1-Jan-07
162.63
125
1M
A3
Banca Pop Italiana 4.75
11.09
1.35
%
6.13
16.31 BPI.MI
BPI.IM
IT
EUR 300
15-Jun-05
100
135
NR
NA
NA
Banco Espirito Santo 3.55
25.13
0.50
%
4.14
24.17 ESF.LS
ESF PL
PT
EUR 500
29-Nov-10
100
140
NR
A2
NA
Beni Stabili 2.5
1.22
2.13
%
100.00
1.00 BNSI.MI
BNS IM
IT
EUR 477
10-Nov-09
100
130
BSkyB (News Corp) 0.75
5.32
2.72
%
7.71
8.30 BSY.L
BSY LN
GB
USD 1655
20-Mar-10
100
0
Buhrmann 2
Cable & Wireless 4
Capgemini 2.5
NR
NA
NA
3M
BAA3
BBB
B
2.04
%
13.00
7.69 BUHR.AS
BUHR NA
NL
EUR 115
9-Jul-08
100
150
1M
B2
3.22
%
68.97
1.45 CW.L
CW/ LN
GB
GBP 258
16-Jul-07
100
130
1S
B1
B
48.46
1.24
51
1.96
CAP FP
FR
EUR 460
2-Jul-07
100
125
1H
NA
BB+
27-Jun-09
113.24
130
1H
NA
BB+
1H
NA
BBB+
51.00 CAPP.PA
48.46
1.24
37
2.70
37.00 CAPP.PA
CAP FP
FR
EUR 437
48.46
1.24
39.86
2.51
39.86 CAPP.PA
CAP FP
FR
EUR 279
Cimpor (CSFB) 2
1.58%
1.62
Capgemini (Wendel) 2
Casino (Rallye) 3.25
100
11.27
Capgemini 1
Capitalia 2.6
15-Mar-10
7.22
3.18
%
22.20
4.50 CPTA.MI
CAP IM
IT
EUR 312
71.35
3.08
80
1.25
80.00 CASP.PA
CO FP
FR
EUR 300
1-Jul-08
108.58
-0.60%
2M
A2
NA
3M
NA
NA
1-Jul-06
119.07
125
NR
NA
NA
30-Apr-06
116.94
130
NR
NA
NA
6.30
2.70
%
22.99
4.35 CPR.LS
CIMP PL
PT
EUR 370
Club Mediterranee 3
40.77
0.00
58
1.72
58.00 CMIP.PA
CU FP
FR
EUR 127
Club Mediterranee 4.375
40.77
0.00
48.5
2.06
48.50 CMIP.PA
CU FP
FR
EUR 150
1-Nov-07
100
120
NR
NA
NA
Continental 1.625
88.62
1.41
%
1.97
50.65 CONG.DE
CON GR
DE
EUR 400
19-May-09
100
130
1M
NA
BBB+
7.95
1.46
%
5.78
17.31 CS.AS
CORS NA
GB
NLG 335
22-Apr-00
100
130
NR
NA
NA
Corus 4.625
Page 8
Convertible Bonds
EUR44.28
4-Jan-07
Equity
Bond
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Market
Call
Amt Outst. (MM)
Delhaize 2.75
65.10
1.84
%
1.75
57.00 DELBt.BR
DELB BB
BE
EUR 300
Deutsche Post (KfW) 0.5
23.15
3.02
%
5.16
19.38 DPWGn.DE
DPW GR
DE
EUR 1100
Deutsche Tel (KfW) 0.75
14.07
5.04
%
5.71
16.19 DTEGn.DE
3.80
2.89
%
27.93
3.58 EDP.LS
EFG Eurobank 1
28.70
3.31
%
4.14
Elior 1
15.00
1.07
16.83
6.43
EDP (Parpublica) 2.69
EMI 5.25
2.64
3.03
%
32.41
Epcos 2.5
15.72
1.27
%
5.14
First Call
15-May-07
100
DTE GY
DE
EUR 5000
EDP PL
PT
EUR 573
24.17 EFGr.AT
EUROB GA
GR
EUR 350
29-Nov-07
111.4
15.56 ELIO.PA
ELR FP
FR
EUR 107
8-Jun-04
108.9635
1.93 EMI.L
19.45 EPCGn.DE
20-Sep-06
Call Price
100
Put
Trigger
AA-
A2
A-
125.3
NR
NA
NA
EMI LN
GB
USD 243
16-Oct-07
100
130
1H
WR
BB
EPC GR
DE
EUR 126
17-Jul-08
100
150
2H
NA
BBBNA
1.96
51.15 ESSI.PA
EF FP
FR
EUR 269
2-Jul-08
104.7
130
25.73 FTE.PA
FTE FP
FR
EUR 1150
1-Jan-07
100
130
Fraport (JPM Lux) 0
55.45
1.71
%
2.21
45.25 FRAG.DE
FRA GR
DE
EUR 272
FP/ LN
GB
GBP 290
27-Dec-05
100
FUGR NA
NL
EUR 125
11-May-08
100
11-May-08
100
130
GBL 2.95
4.12
1.71 FP.L
24.25 FUGRc.AS
91.55
2.03
%
1.15
87.00 LAMBt.BR
42,672.50
1.41
%
0.73
34000.00 GDRB.BU
Generali (Capitalia) 1.625
33.82
1.98
%
3.81
Generali (Unicredito) 2.5
Gedeon Richter (Hungary) 1
AAA
1M
3.89
58.48
NA
130
2581
%
NA
2M
AAA
51.15
%
S&P
AA2
1.31
3.58
NA
AAA
5.52
1.62
Moody
1L
2H
81.15
2.21
Citi
2M
21.38
37.10
Yield to Put
129.9333
France Telecom 1.6
Fugro 2.375
Put Price
130
Essilor 1.5
Friends Prov 5.25
Next Put
Rating
GBL BB
BE
EUR 435
RICHT HB
HU
EUR 639
26.25 GASI.MI
G IM
IT
EUR 1057
2-Jul-08
103.3
-24.25%
1L
NA
2H
A3
A-
2M
NA
NA
130
2M
BAA1
A-
130
NR
NA
NA
NR
NA
NA
1M
NA
NA
A2
23-May-07
100
130
2M
33.82
1.98
%
3.56
28.08 GASI.MI
G IM
IT
EUR 1148
3-Jan-07
100
130
2M
A1
A+
Getronics 5.5
6.33
1.58
%
10.28
9.73 GTN.AS
GTN NA
NL
EUR 11
5-Nov-06
100
140
3H
CAA1
CCC
Getronics 2.75
6.33
1.58
%
7.67
13.04 GTN.AS
GTN NA
NL
EUR 150
11-Nov-08
100
130
3H
NR
CCC
Gt Portland 5.25
6.99
1.62
%
32.26
3.10 GPOR.L
GPOR LN
GB
GBP 58
29-Mar-03
100
0
NR
NA
NA
Hagemeyer 5.75
3.82
0.79
%
49.02
2.04 HAGN.AS
HAGN NA
NL
EUR 150
19-Feb-07
100
130
NR
NA
NA
Hagemeyer 3.5
Harmony Gold 4.875
3.82
0.79
%
35.34
110.38
0.91
%
0.83
2.83 HAGN.AS
121.00 HARJ.J
HAGN NA
NL
EUR 135
13-Apr-09
100
130
NR
NA
NA
HAR SJ
SA
ZAR 1700
5-Jun-07
100
130
NR
NA
NA
Havas AdvertIsing 4
4.20
1.67
10.75
10.67
9.37 EURC.PA
HAV FP
FR
EUR 450
1-Jan-05
100
125
Heidelberger D 0.875
36.51
1.92
%
2.58
38.80 HDDG.DE
HDD GR
DE
EUR 280
9-Feb-09
116.28273
130
Heidelberger D (RWE) 0
2S
NA
NA
9-Feb-10
111.28191
-1.23%
2M
NA
NA
2M
A1
NA
2M
NA
BBB+
36.56
1.91
%
2.88
34.71 HDDG.DE
HDD GR
DE
EUR 460
22-Aug-06
100
120
Holcim 1
114.60
1.61
%
1.15
86.77 HOLN.VX
HOLN VX
CH
CHF 600
10-Jun-07
116.805
0
10-Jun-07
107.8844
-36.54%
Holcim 0
114.60
1.61
%
1.02
158.47 HOLN.VX
HOLN VX
CH
USD 130
10-Jun-08
100
0
10-Jun-08
70.0159
-22.10%
2M
NA
BBB+
Iliad 2.2
69.00
0.43
88.05
1.14
88.05 ILD.PA
ILD FP
FR
EUR 331
29-Jun-09
100
130
NR
NA
NA
Infineon 4.25
10.77
0.00
%
2.82
35.43 IFXGn.DE
IFX GY
DE
EUR 640
6-Feb-05
100
115
1H
NA
NA
Infineon 5
10.77
0.00
%
9.77
10.23 IFXGn.DE
IFX GY
DE
EUR 700
5-Jul-06
100
125
1H
NA
NA
International Power 3.75
3.90
1.66
%
36.37
1.73 IPR.L
IPR LN
GB
USD 253
13-Sep-08
100
130
2M
NA
NA
International Power 3.25
3.90
1.66
%
17.72
3.91 IPR.L
IPR LN
GB
EUR 230
10-Aug-09
100
130
2M
NA
NA
27.50
2.10
%
3.28
30.50 INLr.AT
INLOT GA
GR
EUR 200
10-Jan-10
115.04
130
3H
NA
NA
0.65
0.00
%
56.46
1.77 JAZ.MC
JAZ SM
ES
EUR 275
29-May-08
100
140
NR
NA
NA
Jelmoli 2.25
2,789.00
1.29
%
0.04
JEL SW
CH
CHF 200
1-Jun-01
100
150
NR
NA
NA
Karstadt 4.5
22.31
0.00
%
11.42
KAR GR
DE
EUR 159
22-Dec-07
100
130
NR
NA
NA
Intralot 2.25
Jazztel 5
2569.54 JEL.S
8.76 KARG.DE
22-Aug-10
100
-24.49%
Page 9
Convertible Bonds
EUR44.28
4-Jan-07
Equity
Bond
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Kudelski 1.625
46.95
0.64
%
1.48
Liberty Int 3.95
13.97
2.18
%
12.50
1,043.00
2.68
%
0.08
Liechtenstein LB 1.65
Linde 1.25
Reuters RIC Bloomberg
67.76 KUD.VX
8.00 LII.L
1178.45 LLB.S
Market
Call
Amt Outst. (MM)
First Call
Call Price
Put
Trigger
Citi
Moody
S&P
NR
NA
NA
NR
NA
NA
130
NR
NA
NA
BBB-
KUD VX
CH
CHF 350
5-Oct-10
100
110
LII LN
GB
GBP 111
14-Oct-08
100
120
LLB SW
CH
CHF 270
27-Apr-09
100
Next Put
30-Sep-07
Put Price
Rating
100
Yield to Put
-60.82%
78.78
1.79
%
1.77
56.48 LING.DE
LIN GY
DE
EUR 538
5-May-07
100
120
3H
BAA2
1.91
2.93
%
21.31
3.24 LOG.L
LOG LN
GB
EUR 303
3-Oct-06
100
140
2H
NA
NA
Lonza (EMS Chem) 2.5
106.60
1.22
%
0.80
125.00 LONN.VX
LONN VX
CH
CHF 350
23-Apr-02
100
130
1H
NA
NA
Lonza Group 1.5
Logica 2.875
106.60
1.22
%
1.09
91.70 LONN.VX
LONN VX
CH
CHF 430
Lufthansa 1.25
21.51
2.56
%
4.96
19.86 LHAG.DE
LHA GY
DE
EUR 51
4-Jan-05
100
130
LukOil 3.5
88.51
1.41
%
4.90
20.42 LUKOY.PK
LUKOY US
RU
USD 54
20-Dec-05
120.53
130
5.32
1.86
%
46.95
EMG LN
GB
GBP 248
27-Nov-07
100
130
16.26
2.15
22.44
4.46
MAU FP
FR
EUR 375
1-Jan-06
100
MXP LN
GB
USD 75
22-Sep-09
US
USD 200
21-Jan-08
HU
EUR 610
Man Grp (Forester) 3.75
Maurel & Prom 3.5
Maxwell Petroleum 6.75
Millicom 4
Mol (Magnolia) 4
Mondadori 2
2.13 EMG.L
22.44 MAUP.PA
0.94
0.00
%
40.08
1.33 MXP.L
63.72
0.00
%
2.87
34.86 MICC.O
21,430.00
1.52
%
0.98
26669.50 MOLB.BU
8.04
4.98
%
12.17
435.25
2.11
%
0.32
546.13 NESN.VX
Network Care 6
13.36
2.10
%
6.54
Nexans 1.5
94.70
1.16
73.8
1.36
Numico 3
40.77
0.74
%
4.67
Nestle 0
8.22 MNDI.MI
MOL HB
20-Oct-06
1H
NA
NA
1H
NA
BBB
NR
NA
BB+
2M
BAA1
NA
150
NR
NA
NA
100
130
NR
NA
NA
100
130
NR
B3
B-
3M
NA
BB
NR
NA
NA
2L
NA
AAA
NA
100
4-Jan-08
100
-10.34%
MN IM
IT
EUR 110
NESN VX
CH
USD 700
15.30 NTCJ.J
NTC SJ
SA
ZAR 1700
13-Nov-09
100
130
NR
NA
73.80 NEXS.PA
NEX FP
FR
EUR 280
7-Jul-08
116.2
150
NR
NA
BB
21.41 NUMCc.AS
NUM NA
NL
EUR 345
25-Jul-08
100
150
1M
NA
NA
OMV AV
1-Jan-07
100
125
OMV 1.5
42.95
2.56
306.6
3.26
30.66 OMVV.VI
Orascom (Weather) 4.75
70.30
1.05
%
1.51
78.89 ORTEq.L
Orco Property 1
99.55
1.00
138
0.72
138.00 ORCO.PA
OTP Bank 3.95
8,738.50
2.29
%
2.82
9346.00 OTPB.BU
137.20
1.70
%
0.63
159.72 PARG.S
Peter Hambro 7.125
10.06
0.00
%
7.43
7.56 POG.L
POG LN
GB
USD 140
25-Aug-08
100
150
1H
NA
NA
Pinault (Artemis) 1.5
114.80
2.61
252
0.40
252.00 PRTP.PA
PP FP
FR
EUR 1200
16-May-05
115.0874
143.85
2M
NA
NA
Pinault (Artemis) 2
Pargesa 1.7
AT
EUR 315
EG
EUR 825
ORC FP
FR
EUR 150
1-Jul-08
100
OTP HB
HU
EUR 514
31-Oct-16
100
PARG SW
CH
CHF 600
27-Apr-09
100
130
1H
NA
NA
NR
NA
NA
130
1M
NA
NA
0
1M
NA
NA
130
NR
NA
NA
27-Feb-10
100
0.34%
114.80
2.61
124.1
0.81
124.10 PRTP.PA
PP FP
FR
EUR 1000
31-Aug-09
121.03
125
2M
NA
NA
Praktiker 2.25
28.00
1.79
%
2.96
33.77 PRAG.DE
PRA GR
DE
EUR 150
28-Sep-09
100
130
NR
NA
NA
Prisa 1.75
13.49
1.07
%
6.74
14.84 PRS.MC
PRS SM
ES
EUR 162
19-Dec-06
100
130
1M
NA
NA
Publicis 0.75
31.96
1.25
29
3.45
29.00 PUBP.PA
PUB FP
FR
EUR 672
15-Dec-05
100
130
1M
NA
BBB+
Publicis 1
31.96
1.25
39.15
2.55
39.15 PUBP.PA
PUB FP
FR
EUR 262
18-Jan-07
134.59
125
1M
NA
BBB+
Punch Taverns 5
12.74
1.08
%
8.49
11.78 PUB.L
PUB LN
GB
GBP 275
1H
NA
NA
Q-Cells (CS) 0
35.61
0.00
%
1.92
51.98 QCEG.DE
QCE GY
DE
EUR 225
1M
AA3
AA-
12-May-07
100
18-Jan-10
115.42784
2.82%
125
Qiagen 1.5
15.75
0.00
%
7.91
12.64 QGEN.O
QGENF UQ
DE
USD 150
18-Aug-11
100
120
18-Aug-11
100
-5.39%
NR
NA
NA
Qiagen 3.25
12.05
0.00
%
5.00
15.75 QGEN.DE
QIA GR
??
USD 300
16-May-13
100
130
16-May-13
100
2.00%
NR
NA
NA
Rallye 3.75
42.50
4.94
44
2.32
43.14 GENC.PA
RAL FP
FR
EUR 264
1-Jan-06
109.67
125
NR
NA
NA
Rank 3.875
2.38
3.07
%
26.57
RNK LN
GB
GBP 168
4-Feb-07
100
130
2M
NA
BB-
3.76 RNK.L
Page 10
Convertible Bonds
EUR44.28
4-Jan-07
Equity
Bond
Repsol (Pemex) 4.5
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Market
Call
Amt Outst. (MM)
First Call
Call Price
Put
Trigger
Citi
Moody
S&P
3M
Baa1
BBB
1M
NA
NA
130
3M
A1
NA
100
130
1M
NA
NA
31-Jan-07
100
125
1M
NA
NA
1-Jan-08
100
130
26.55
2.71
%
4.32
18.92 REP.MC
REP SM
ES
USD 1374
9-Feb-08
100
130
223.50
1.30
%
0.53
331.95 ROG.VX
ROG VX
CH
USD 2051
25-Jul-07
100
0
4.55
1.99
%
28.47
2.46 RR.L
RR/ LN
GB
EUR 101
31-Jan-07
100
RWE (Dusseldorf) 1.75
85.49
3.74
%
2.00
50.00 RWEG.DE
RWE GY
DE
EUR 182
5-Aug-07
S R Tele 3.25
30.10
1.08
21.1
4.74
21.10 ROCH.PA
RCF FP
FR
EUR 159
Scor 4.125
22.84
2.19
2
5.24
19.10 SCOR.PA
SCO FP
FR
EUR 200
Scot & Sth Energy 3.75
15.61
3.13
%
11.11
SSE LN
GB
GBP 300
Roche 0
Rolls Royce (BMW) 1.875
9.00 SSE.L
Scottish Power 4
7.58
5.00
%
13.12
4.54 SPW.L
SPW LN
GB
USD 700
Semapa (CSFB) 1.875
8.85
1.24
%
14.93
6.45 SEM.LS
SEMA PL
PT
EUR 158
1,098.00
1.00
%
0.07
1415.11 SEO.VX
SEO VX
CH
CHF 600
Siemens 1.375
75.51
1.92
%
1.78
SIE GY
DE
Skye Pharma 6
0.26
0.00
%
105.26
SKP LN
GB
Soco Int. 4.5
13.86
0.00
%
2.50
21.85 SIA.L
SIA LN
Sogecable (Vivendi) 1.75
27.58
0.00
29.32
3.45
28.98 SGC.MC
SGC SM
Serono 0.5
56.17 SIEGn.DE
0.95 SKP.L
Next Put
25-Jul-07
29-Oct-07
10-Jul-09
100
Put Price
Rating
60.4741
100
Yield to Put
-69.79%
-55.08%
130
26-Nov-06
105.8101
115
EUR 2500
18-Jun-07
100
130
GBP 70
14-May-09
100
GB
USD 250
31-May-10
ES
EUR 605
8-Oct-06
NR
NA
A-
1L
NR
A+
BBB+
2M
BAA2
NR
AA3
NA
20-Mar-07
103.8011
3.05%
NR
NA
NA
1M
AA3
AA-
130
4-May-09
100
12.20%
NR
NA
NA
100
130
16-May-10
100
3.37%
NR
NA
NA
100
125
1M
BAA2
BBB
NA
Soitec 4.625
27.93
0.00
6.97
14.35
6.97 SOIT.PA
SOIT FP
FR
EUR 28
20-Dec-07
100
120
NR
NA
Sol Melia 4.3
15.39
0.97
%
8.40
11.90 SOL.MC
SOL SM
ES
EUR 150
5-Dec-07
100
130
1M
NA
BB
Steinhoff Int. 5.7
23.90
1.67
%
3.65
27.40 SHFJ.J
SHF SJ
SA
ZAR 1500
21-Jul-09
100
130
NR
NA
NA
STM (Finmeccanica) 0.375
14.14
0.67
%
3.99
25.07 STM.PA
STM FP
FR
EUR 501
29-Aug-06
100
125
3H
A3
NA
STMicro 0
14.14
0.67
%
2.99
33.43 STM.PA
STM FP
FR
USD 23
6-Aug-06
100
130
5-Aug-08
97.528
4.29%
3H
A3
A-
STMicro 0
14.14
0.67
%
4.31
19.46 STM.PA
STM FP
FR
USD 974
10-Mar-11
116.118
130
23-Feb-11
107.758
0.86%
3H
A3
A-
Subsea 2.8
161.86 SUB.OL
NA
116.00
0.00
%
3.80
SUB NO
NO
USD 300
20-Jun-09
100
150
NR
NA
Suedzucker 3
18.78
3.09
%
4.94
20.23 SZUG.DE
SZU GR
DE
EUR 250
9-Dec-06
100
130
NR
A3
A-
Swatch 2.625
55.15
0.91
%
2.04
49.00 UHRN.VX
UHRN VX
CH
CHF 412
15-Oct-07
100
150
NR
NA
NA
306.75
1.96
%
0.48
209.63 SLHN.VX
SLHN VX
CH
CHF 317
10-Jun-06
100
130
2M
NA
BBB
72.60
0.00
%
1.57
63.60 SPSN.S
SPSN SW
CH
CHF 170
3-Feb-08
100
130
NR
NA
NA
Swiss Re 3.25
104.30
2.68
%
0.80
207.19 RUKN.VX
RUKN VX
CH
USD 1150
6-Dec-06
100
120
2M
A1
A
Swiss Re (WVB) 2.25
104.30
2.68
%
0.40
203.77 RUKN.VX
RUKN VX
CH
DEM 300
17-Apr-03
100
130
2M
NA
NA
SwissCom (Swiss Confed) 0.2
468.25
3.63
%
0.20
496.68 SCMN.VX
SCMN VX
CH
CHF 290
3-Jan-07
100
125
2M
AAA
AAA
2.33
6.01
%
47.16
2.12 TLIT.MI
TIT IM
IT
EUR 485
1-Jan-04
118.37825
140
3M
BAA2
BBB+
Temenos 1.5
21.55
0.00
%
5.54
18.06 TEMN.S
TEMN SW
CH
CHF 132
6-Apr-09
100
150
3H
NA
NA
Thomson 1
14.91
2.08
40.5
2.47
40.50 TMS.PA
TMS FP
FR
EUR 13
1-Nov-03
100
120
NR
NA
BBB
BB+
Swiss Life 0.625
Swiss Prime Site 2
Telecom Italia 1.5
TUI 4
15.43
0.00
%
5.04
19.84 TUIGn.DE
TUI1 GY
DE
EUR 385
NR
NR
USG People 3
34.21
1.17
%
5.58
17.92 USG.AS
USG NA
NL
EUR 115
18-Oct-10
100
130
NR
NA
NA
Valeo 2.375
31.79
3.62
46.4
2.18
45.80 VLOF.PA
FR FP
FR
EUR 463
31-Jan-07
100
130
NR
A3
NA
NR
NA
BB
NR
NA
NA
NR
NA
NA
Vedenta 4.6
11.58
0.90
%
3.85
14.54 VED.L
VED LN
GB
USD 725
14-Mar-09
100
130
Voestalpine 1.5
42.10
1.19
%
5.33
18.75 VOES.VI
VAST AV
AT
EUR 250
1-Jan-09
100
130
Wereldhave 2.5
103.20
3.39
%
1.03
97.00 WEHA.AS
WHA NA
NL
EUR 200
21-Feb-13
100
2.36%
Page 11
Convertible Bonds
EUR44.28
4-Jan-07
Equity
Bond
Wienerberger (Bk Austria) 1.2
WPP 2
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Market
Call
Amt Outst. (MM)
45.54
2.82
%
4.17
24.00 WBSV.VI
WIE AV
AT
EUR 17
6.98
1.60
%
9.39
10.65 WPP.L
WPP LN
GB
GBP 450
First Call
30-Jan-06
Call Price
100
Put
Trigger
120
Next Put
Put Price
Rating
Yield to Put
Citi
Moody
NR
A2
S&P
A-
NR
BAA2
BBB+
Xstrata 3.95
24.17
0.85
%
11.43
5.44 XTA.L
XTA LN
GB
USD 239
6-Sep-07
100
130
NR
NA
NA
Xstrata (Glencore) 4.125
24.17
0.85
%
8.25
7.45 XTA.L
XTA LN
GB
USD 799
20-Oct-08
113.76
130
NR
BAA3
BBB-
ABN (Allegro) 1.5
24.82
4.63
%
4.01
24.92 AAH.AS
AABA NA
NL
EUR 40
3M
AA1
NA
Allianz (BCEE) 0
157.52
2.03
%
0.61
163.65 ALVG.DE
ALV GY
DE
EUR 25
1M
AA1
AA+
113.72 CONG.DE
NA
Continental (Allegro) 0.25
88.62
1.41
%
0.88
CON GR
DE
EUR 10
1M
AA1
DBK (Allegro) 0.25
103.34
3.10
%
1.11
89.92 DBKGn.DE
DBK GY
DE
EUR 10
1M
AA1
NA
DPB (Allegro) 0.25
64.87
1.93
%
1.40
71.48 DPBGn.DE
DPB GR
DE
EUR 20
3H
AA1
NA
E.On (Allegro) 1
103.75
2.99
%
1.18
84.85 EONG.DE
Ericsson (Allegro) 0
28.65
1.92
%
26.25
3.81 ERICb.ST
EOA GY
DE
EUR 33
NR
AA1
NA
ERICB SS
SE
EUR 10
1H
AA1
Fortis (Allegro) 0
33.21
3.90
%
4.62
NA
21.65 FOR.AS
FORA NA
NL
EUR 45
2M
AA1
LVMH (Allegro) 0.5
79.40
1.74
%
NA
1.08
92.43 LVMH.PA
MC FP
FR
EUR 85
1M
AA1
Michelin (Allegro) 0
72.85
1.92
NA
%
1.84
54.49 MICP.PA
ML FP
FR
EUR 50
2M
AA1
435.25
NA
2.11
%
0.36
279.55 NESN.VX
NESN VX
CH
USD 20
2L
NA
NA
Nokia (Allegro) 0.25
OMV (Allegro) 0.25
15.82
2.59
%
6.83
14.63 NOK1V.HE
NOK1V FH
FI
EUR 50
1H
NA
NA
42.95
2.56
%
1.56
64.23 OMVV.VI
OMV AV
AT
EUR 7
1H
NA
NA
Peugeot (Allegro) 1.5
52.25
2.58
%
1.96
51.11 PEUP.PA
UG FP
FR
EUR 100
2H
AA1
NA
Philips (Allegro) 0.5
28.84
1.61
%
3.63
27.58 PHG.AS
PHIA NA
NL
EUR 40
1M
NA
NA
RWE (Citi) 0.25
85.49
3.74
%
1.18
85.05 RWEG.DE
RWE GY
DE
EUR 20
1M
AA1
NA
Siemens (BCEE) 0
75.51
1.92
%
1.19
84.26 SIEGn.DE
SIE GY
DE
EUR 10
1M
AA1
NA
Swiss Life (Citi) 0
306.75
1.96
%
0.27
376.74 SLHN.VX
SLHN VX
CH
CHF 50
2M
AA1
NA
Syngenta (BCEE) 0.125
228.50
1.44
%
0.84
184.84 SYNN.VX
SYNN VX
CH
EUR 10
2L
AA1
AA+
Technip (Allegro) 0.125
51.90
0.89
%
1.41
71.00 TECF.PA
TEC FP
FR
EUR 20
NR
AA1
NA
Nestlé (Allegro) 0
16-Jan-07
100
120
Page 12
Convertible Bonds
EUR44.28
4-Jan-07
Equity
Bond
Telecom Italia (Allegro) 1
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Citi
Moody
S&P
EUR 30
3M
NA
NA
TNT NA
NL
EUR 25
1M
AA1
NA
159.30 TOTF.PA
FP FP
FR
EUR 80
1L
AA1
NA
0.57
175.70 TOTF.PA
FP FP
FR
EUR 150
1L
AA1
NA
0.54
185.81 TOTF.PA
FP FP
FR
EUR 30
1L
AA1
NA
0.45
223.00 @TOTFn.PA
FR
EUR 120
NR
AA1
NA
104.58 ACUMt.BR
%
28.07
3.56 TLIT.MI
TNT (Allegro) 1
33.25
2.17
%
3.81
26.25 TNT.AS
Total (Allegro) 0
222.05
0.84
%
0.63
Total (Allegro) 0
222.05
0.84
%
Total. (Allegro) 1
222.05
0.84
%
Total..(Allegro) 0
222.05
3.20
%
Umicore (Allegro) 0
First Call
Call Price
Trigger
Next Put
Put Price
Rating
IT
6.01
Amt Outst. (MM)
Put
TIT IM
2.33
Market
Call
Yield to Put
129.50
1.54
%
0.96
UMI BB
BE
EUR 25
1M
AA1
NA
Vodafone (Allegro) 0
1.45
4.58
%
71.75
1.39 VOD.L
VOD LN
GB
GBP 30
NR
AA1
NA
Vodafone (Allegro) 0
1.45
4.58
%
71.75
1.39 VOD.L
VOD LN
GB
GBP 30
NR
AA1
NA
Page 13
DATA GUIDE
Frequency
Frequency of coupon payment: 1= Annual, 2= Semi-annual.
Maturity
The maturity date is the final redemption date of the bond.
Credit Spread
The credit spread is the spread over the swaps curve (or sometimes Government bond curve) at which the issuer is assumed able to issue a straight bond that is otherwise identical to the convertible.
Bond Floor
The bond floor is the value of the straight fixed income element of the convertible (i.e. if rights of conversion are ignored).
Parity
Parity is the market value of the shares into which the bond may be converted. It is calculated by multiplying the conversion ratio by the current share price expressed in bond currency terms.
It is expressed according to the quoting convention of the bond (per unit or per cent).
Premium
A convertible's premium is the percentage by which the market price of the convertible bond exceeds parity. It represents the extra cost an investor must pay to buy the shares a bond converts into via a
convertible.
YTM
Yield to maturity is the discount rate that equates the current market price of a bond to the present value of its fixed cash flows. For bonds denominated in USD and GBP it is stated semi-annually, for other
currencies it is stated annually.
Run Yield
The running (or current) yield is the income per unit of currency invested. It is calculated by dividing the coupon by the current convertible price. (For bonds that are quoted 'clean' the clean price is used).
Fair Value
The theoretical fair value of a bond.
Cheap/Rich
Fair Value minus the Bond Price
Delta
Delta is a measure of the sensitivity of the convertible bond price to share price movements. It is the model output for the change in the convertible price for a small absolute change in parity.
Implied Vol
Implied volatility is the convertible pricing model volatility input needed to bring the fair value of a convertible in line with its market price.
Ass Vol
Assumed volatility - the volatility assumption that has been used in the convertible bond pricing model.
100-day Vol
This is the actual observed volatility for the preceding 100 trading days.
Div Yield
The dividend yield is calculated by dividing the annual dividend per share by the share price.
Conversion Ratio
The conversion ratio expressed here as the number of shares into which each 100 nominal of the bond can be converted.
Initial Conv Price
The conversion price is the price at which shares are effectively "bought" upon conversion, if the convertible is purchased at the issue price. It is calculated by dividing the issue price of the bond
by the conversion ratio.
First Call &
A call feature gives a convertible issuer the right to redeem a convertible bond prior to maturity at a price determined at issue. Holders of convertibles who receive a call notice will generally have time to
Call Price
exercise their rights of conversion before repayment takes place.
Trigger
The trigger indicates the share price condition for provisionally callable convertibles. It is expressed as a percentage of the conversion price.
First Put &
A put feature gives investors the option to sell back the convertible bond to the issuer at a fixed price on a given date or dates.
Put Price
Yield To Put
Yield to put is the discount rate that equates the current market price of a bond to the present value of its future cash flows up until the first put date, assuming the put is exercised.
Page 14
This communication is made by Citigroup Global Markets Limited (“the Firm”), and any investment services or products offered therein made available solely to market counterparties and intermediate customers (each as
defined by the Financial Services Authority). No other person may rely on the contents of such communications nor have access to any such investment services or products. This Convertibles Market Commentary,
which is a product of the Firm’s Convertibles Department, provides market commentary and strategy ideas to the Firm’s clients. Such commentary and ideas are based upon generally available information. On occasion,
information provided herein might include excerpts, abstracts, or other summary material derived from research reports published by Smith Barney Citigroup’s Global Equity Research Department. Readers are directed to
the original research report or note to review the Equity Research Analyst’s full analysis of the Subject Company. In addition, important disclosures relating to the companies that are the subject of research reports or
notes published by the Global Equity Research Department are contained on the Firm’s Disclosure website at www.citigroup.com. Private Client Division clients should refer to www.salomonsmithbarney.com/research
and can obtain disclosure information from their Financial Consultants. In addition, valuation methodologies and associated risks pertaining to price targets, as well as other important disclosures are contained in research
reports and notes published after July 8, 2002. Although all information has been obtained from and is based upon sources the Firm believes to be reliable, we do not guarantee its accuracy and it may be incomplete or
condensed. Any opinions attributed to the Firm constitute our judgment as of the date of the material and are subject to change without notice. This material is for your sole use and is for informational purposes only.
© Citigroup Global Markets Ltd., 2005. All rights reserved. Any unauthorised use, duplication, redistribution or disclosure is prohibited by law and will result in prosecution.
Page 15
Page 16
Page 17
Page 18