European Convertible Bonds

Page 1
European Convertible Bonds
(see also Bloomberg page CGCB)
17-Aug-07
Details of Convertible Bond
Citi ID
Underlying (issuer)
Theoretical Bond Values
CCY
Coupon
Frequency
Maturity
Credit Sprd
Bond Floor
Bond Price
Parity
Premium
YTM
Run Yield
Fair Value
Cheap/Rich
Delta
III 1.375
3i
EUR
1.375
2
01-Aug-08
25
96.93
122.13
118.19
3.33%
-17.71%
1.13%
120.46
1.670
83.11%
ABB 3.5
ABB [called]
CHF
3.5
1
10-Sep-07
2
99.99
266.45
270.20
-1.39%
0.00%
1.31%
266.88
-0.430
100.00%
ACCP 1.75
Accor
EUR
1.75
1
01-Jan-08
10
40.24
55.55
55.50
0.09%
-55.35%
1.27%
55.50
0.050
100.00%
Impled Vol
Ass Vol
100-day Vol
30.63%
25.00%
na
#N/A
43.50%
35.00%
na
28.00%
na
ACERGY 2.25
Acergy
USD
2.25
2
11-Oct-13
150
77.66
118.25
97.46
21.34%
-0.66%
1.90%
119.61
-1.360
75.64%
35.55%
38.00%
na
ATLZN 0-11
Actelion
CHF
0
1
28-Nov-11
125
83.36
129.50
112.98
14.62%
-5.85%
0.00%
126.88
2.620
77.21%
38.86%
35.00%
na
AXC 3.75
Addax Petroleum
USD
3.75
2
31-May-12
350
82.42
91.65
56.50
62.21%
6.11%
4.09%
92.47
-0.820
46.31%
31.05%
33.00%
na
ADEZ 0
Adecco
CHF
0
1
26-Aug-13
100
98.56
108.03
79.89
35.21%
1.19%
0.00%
106.65
1.380
39.11%
30.68%
28.00%
na
ADEZ S 1.5
Adecco (Sonata)
CHF
1.5
1
09-Dec-10
140
97.97
117.50
101.52
15.74%
-1.24%
1.28%
117.06
0.440
61.46%
25.65%
25.00%
na
ADSG 2.5
Adidas-Salomon
EUR
2.5
1
08-Oct-18
35
95.32
167.55
162.75
2.95%
-2.63%
1.49%
165.62
1.930
91.65%
32.37%
27.50%
na
CDM 2.25
AEM (Milan)
EUR
2.25
2
22-Dec-09
5
95.03
119.25
111.90
6.57%
-5.26%
1.89%
116.15
3.100
76.38%
26.12%
20.00%
na
AIRB 1.5
Air Berlin
EUR
1.5
1
11-Apr-27
350
75.39
88.25
51.45
71.54%
2.24%
1.70%
88.23
0.020
54.41%
38.04%
38.00%
na
AIRF 2.75
Air France
EUR
2.75
1
01-Apr-20
50
18.82
30.64
28.17
8.77%
-0.86%
1.84%
30.02
0.620
81.59%
37.25%
32.00%
na
CGEP 4.75
Alcatel-Lucent
EUR
4.75
1
01-Jan-11
150
16.05
16.33
7.70
112.08%
5.41%
4.71%
16.27
0.060
12.58%
30.52%
28.00%
na
ALDAR 5.767
Aldar Properties
USD
5.767
4
10-Nov-11
125
98.06
111.00
115.84
-4.18%
2.98%
5.20%
120.28
-9.280
66.32%
30.00%
na
ALTR 3.75
Altran
EUR
3.75
1
01-Jan-09
150
12.64
12.63
5.98
111.12%
5.99%
3.77%
12.67
-0.040
4.09%
18.47%
33.00%
na
AU 2.375
AngloGold Ashanti
USD
2.375
2
27-Feb-09
75
95.22
96.50
52.26
84.65%
4.73%
2.46%
95.97
0.530
9.04%
37.09%
32.50%
na
#N/A
ASMI 4.25
ASM Int.
USD
4.25
2
06-Dec-11
350
84.62
126.00
117.66
7.09%
-1.57%
3.37%
128.05
-2.050
75.90%
23.31%
28.00%
na
ASML 5.5
ASML
EUR
5.5
1
15-May-10
50
101.20
138.90
138.32
0.42%
-6.88%
3.96%
138.82
0.080
78.37%
25.35%
25.00%
na
ATEC 2.75
A-TEC Industries
EUR
2.75
1
10-May-14
225
190.86
216.75
133.34
62.55%
3.49%
2.85%
208.88
7.870
40.66%
37.56%
30.00%
na
AGL 0
Autogrill
EUR
0
1
16-Jun-14
35
83.11
85.88
72.01
19.25%
2.25%
0.00%
84.40
1.480
15.08%
39.20%
20.00%
na
AEAJ 6.125
Aveng
ZAR
6.125
2
17-Mar-12
250
78.20
306.63
303.32
1.09%
-19.58%
2.00%
303.49
3.140
99.92%
69.92%
25.00%
na
AXA 3.75
Axa
EUR
3.75
1
01-Jan-17
75
212.37
229.25
115.29
98.85%
4.46%
2.71%
215.32
13.930
12.31%
48.92%
18.00%
na
BPLO 4.75
Banca Pop Italiana
EUR
4.75
1
01-Jun-10
35
99.70
101.38
46.26
119.13%
4.18%
4.69%
99.74
1.640
0.98%
35.97%
18.50%
na
ESP 3.55
Banco Espirito Santo
EUR
3.55
1
15-Nov-25
100
87.01
126.25
126.05
0.16%
2.85%
2.81%
124.98
1.270
98.28%
18.28%
12.00%
na
BENI 2.5
Beni Stabili
EUR
2.5
1
27-Oct-11
100
88.91
103.88
96.80
7.31%
1.53%
2.41%
102.86
1.020
52.17%
23.63%
22.00%
na
BIOPET 4
Biopetrol
EUR
4
1
21-Feb-12
600
77.33
96.38
64.90
48.49%
4.89%
4.15%
95.82
0.560
59.88%
41.29%
40.00%
na
BSY 0.75
BSkyB (News Corp)
USD
0.75
2
15-Mar-23
30
90.38
110.93
98.76
12.32%
0.11%
0.68%
109.62
1.310
61.63%
22.71%
20.50%
na
BUHR 2
Buhrmann
EUR
2
1
18-Dec-10
75
90.27
127.88
112.43
13.74%
-5.39%
1.56%
125.56
2.320
71.96%
36.95%
32.00%
na
BOBJ 2.25
Business Objects
EUR
2.25
1
01-Jan-27
200
35.25
42.63
28.41
50.04%
2.21%
2.22%
42.93
-0.300
59.47%
33.73%
35.00%
na
CAP 2.5
Capgemini
EUR
2.5
1
01-Jan-10
45
49.06
55.00
42.84
28.38%
-0.14%
2.32%
53.95
1.050
38.13%
38.90%
31.00%
na
CAP 1
Capgemini
EUR
1
1
01-Jan-12
75
35.09
49.50
42.84
15.55%
-2.83%
0.75%
47.30
2.200
70.34%
42.41%
32.00%
na
CAP 2
Capgemini (Wendel)
EUR
2
1
19-Jun-09
40
38.02
47.15
42.84
10.06%
-6.81%
1.69%
47.27
-0.120
67.99%
32.40%
33.00%
na
CASINO 3.25
Casino (Rallye)
EUR
3.25
1
01-Jul-13
100
85.39
91.25
66.69
36.83%
3.60%
2.85%
89.52
1.730
29.24%
29.02%
22.50%
na
CMPR 2
Cimpor (CSFB)
EUR
2
1
03-Dec-07
7
99.16
148.00
149.54
-1.03%
0.00%
1.35%
148.11
-0.110
100.00%
26.00%
25.00%
na
CTY 4.5
Citycon Oij
EUR
4.5
1
02-Aug-13
250
87.76
118.38
96.13
23.14%
1.27%
3.80%
118.46
-0.080
67.03%
36.87%
37.00%
na
CLUB 3
Club Mediterranee
EUR
3
1
01-Nov-08
100
66.97
67.63
48.84
38.46%
4.56%
2.57%
67.33
0.300
7.72%
25.36%
22.00%
na
Page 2
European Convertible Bonds
(see also Bloomberg page CGCB)
17-Aug-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
CLUB 4.375
Club Mediterranee
EUR
4.375
1
01-Nov-10
250
46.62
55.38
48.84
13.38%
0.97%
3.83%
53.03
2.350
53.38%
40.51%
22.00%
na
CONG 1.625
Continental
EUR
1.625
1
19-May-11
25
89.43
182.80
178.93
2.16%
-13.70%
0.89%
182.44
0.360
92.80%
40.99%
40.00%
na
CREW GOLD 6 Crew Gold
NOK
6
1
01-Dec-10
400
90.16
115.25
88.55
30.16%
1.22%
5.21%
116.19
-0.940
61.65%
43.22%
45.00%
na
CYTOS 2.875
Cytos
CHF
2.875
1
20-Feb-12
425
83.26
98.63
57.77
70.72%
3.19%
2.91%
95.47
3.160
46.99%
48.67%
40.00%
na
DNX 2.9
Dana Petroleum
GBP
2.9
2
17-Jul-14
125
82.41
92.50
56.17
64.68%
4.15%
3.14%
93.00
-0.500
50.56%
27.08%
28.00%
na
DELB 2.75
Delhaize
EUR
2.75
1
30-Apr-09
40
96.60
117.20
111.63
4.99%
-6.46%
2.35%
116.60
0.600
67.83%
24.82%
23.00%
na
KFW 0.5
Deutsche Post (KfW)
EUR
0.5
1
03-Feb-10
5
90.76
115.60
105.62
9.44%
-5.25%
0.43%
112.70
2.900
70.95%
33.06%
27.50%
na
DTE 0.75
Deutsche Tel (KfW)
EUR
0.75
1
08-Aug-08
5
96.47
100.19
86.33
16.06%
0.54%
0.75%
98.94
1.250
28.83%
26.55%
21.50%
na
DRAKA 4
Draka Holding
EUR
4
1
22-Sep-10
200
93.13
212.25
210.68
0.74%
-19.06%
1.88%
211.17
1.080
96.95%
42.15%
35.00%
na
EDP 2.69
EDP (Parpublica)
EUR
2.69
1
16-Dec-10
5
94.33
122.22
110.75
10.36%
-3.48%
2.20%
115.30
6.920
73.39%
28.89%
18.00%
na
EFG 1
EFG Eurobank
EUR
1
1
29-Nov-09
35
102.10
119.13
116.69
2.09%
-2.03%
0.84%
120.57
-1.440
68.07%
21.12%
24.00%
na
EMI 5.25
EMI
USD
5.25
2
02-Oct-10
120
97.30
217.00
169.05
28.36%
-19.87%
2.42%
169.65
47.350
98.95%
EPCOS 2.5
Epcos
EUR
2.5
1
16-Jul-10
120
91.61
99.25
68.89
44.06%
2.76%
2.52%
99.17
0.080
38.06%
ESSI 1.5
Essilor
EUR
1.5
1
02-Jul-10
25
51.48
84.79
84.62
0.20%
-13.66%
0.90%
84.67
0.120
ABN A 1.875
Fortis (ABN)
EUR
1.875
1
27-Oct-10
20
91.78
106.13
94.25
12.59%
-0.05%
1.77%
106.13
0.000
FTEL 1.6
France Telecom
EUR
1.6
1
01-Jan-09
20
2504.00
2648.00 2068.00
28.03%
0.44%
1.56%
2598.00
50.000
#N/A
35.00%
na
32.20%
32.00%
na
98.46%
28.02%
25.00%
na
56.44%
27.00%
27.00%
na
27.35%
33.84%
27.00%
na
FP 5.25
Friends Prov
GBP
5.25
2
11-Dec-07
40
99.36
106.50
101.87
4.54%
-14.02%
4.93%
104.43
2.070
55.90%
31.64%
22.00%
na
FUGRO 2.375
Fugro
EUR
2.375
1
27-Apr-10
25
94.11
193.13
190.72
1.26%
-20.11%
1.23%
191.94
1.190
99.80%
39.69%
20.00%
na
GBL 2.95
GBL
EUR
2.95
1
27-Apr-12
50
91.41
109.50
92.49
18.39%
0.87%
2.69%
104.46
5.040
54.35%
27.75%
18.00%
na
GED 1
Gedeon Richter (Hungary)
EUR
1
1
28-Sep-09
40
101.96
115.13
101.52
13.41%
-0.99%
0.87%
117.86
-2.730
52.72%
28.06%
33.00%
na
GALQ 2.75
Gen de Alquiler
EUR
2.75
1
20-Aug-12
500
82.63
90.63
63.70
42.27%
7.43%
3.03%
90.86
-0.230
37.49%
31.46%
32.00%
na
GASI 1.625
Generali (Capitalia)
EUR
1.625
1
07-May-09
15
95.15
123.83
121.51
1.90%
-10.27%
1.31%
122.90
0.930
80.75%
28.40%
23.00%
na
GASI 2.5
Generali (Unicredito)
EUR
2.5
1
19-Dec-08
15
97.30
118.38
113.83
4.00%
-9.63%
2.11%
116.38
2.000
70.31%
30.98%
21.50%
na
GTN 2.75
Getronics
EUR
2.75
1
28-Oct-10
400
84.42
99.88
46.70
113.85%
2.77%
2.75%
87.62
12.260
23.76%
87.85%
35.00%
na
GTN 3.875
Getronics
EUR
3.875
2
12-Jan-14
600
70.24
103.63
84.00
23.36%
3.26%
3.74%
106.42
-2.790
72.60%
34.67%
40.00%
na
GRI 3.625
Grainger
GBP
3.625
2
17-May-14
175
79.25
84.88
57.87
46.66%
6.41%
4.27%
88.37
-3.490
46.75%
15.94%
23.00%
na
HAGN 3.5
Hagemeyer
EUR
3.5
1
30-Mar-12
300
84.66
139.13
117.31
18.59%
-4.03%
2.52%
131.70
7.430
77.31%
53.06%
37.00%
na
HARM 4.875
Harmony Gold
ZAR
4.875
2
21-May-09
600
82.88
86.50
55.05
57.13%
13.68%
5.64%
86.88
-0.380
28.34%
38.33%
40.00%
na
EURC 4
Havas AdvertIsing
EUR
4
1
01-Jan-09
75
10.85
10.83
4.44
143.81%
5.35%
3.97%
10.85
-0.020
0.14%
HDDG 0.875
Heidelberger D
EUR
0.875
1
09-Feb-12
50
100.58
110.25
78.69
40.11%
1.97%
0.79%
108.35
1.900
37.93%
IGD 2.5
IGD
EUR
2.5
1
28-Jun-12
250
81.77
91.25
59.58
53.14%
4.53%
2.74%
90.29
0.960
43.22%
30.11%
28.00%
na
IIG 6.75
IIG
USD
6.75
4
10-Jul-12
600
89.88
100.13
80.50
24.37%
6.75%
6.74%
100.33
-0.200
41.87%
31.60%
32.00%
na
ILD 2.2
Iliad
EUR
2.2
1
01-Jan-12
175
75.86
97.45
66.75
45.99%
0.07%
1.99%
90.10
7.350
51.21%
55.73%
37.00%
na
IMMO 2.75
Immofinanz
EUR
2.75
1
20-Jan-14
150
87.53
92.10
53.36
72.60%
4.16%
2.99%
92.58
-0.480
32.27%
23.81%
25.00%
na
IFX 5
Infineon
EUR
5
1
05-Jun-10
125
98.05
116.20
104.74
10.94%
-0.72%
4.30%
115.84
0.360
40.04%
32.33%
30.00%
na
IPR 3.75
International Power
USD
3.75
2
22-Aug-23
125
93.23
285.00
280.91
1.46%
-4.22%
1.32%
283.97
1.030
99.54%
41.58%
27.00%
na
IPR 3.25
International Power
EUR
3.25
2
20-Jul-13
425
75.37
119.38
102.16
16.85%
-0.02%
2.72%
115.93
3.450
78.36%
34.84%
27.00%
na
#N/A
30.35%
24.00%
na
26.00%
na
Page 3
European Convertible Bonds
(see also Bloomberg page CGCB)
17-Aug-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
INTRA 2.25
Intralot
EUR
2.25
2
20-Dec-13
175
89.50
111.80
78.69
42.08%
2.45%
2.01%
100.71
11.090
41.07%
52.74%
30.00%
na
IVG 1.75
IVG Immobilien
EUR
1.75
1
29-Mar-17
150
76.87
84.50
56.27
50.16%
3.69%
2.07%
85.84
-1.340
44.33%
24.45%
27.00%
na
JAZZ 5
Jazztel
EUR
5
1
29-Apr-10
850
82.58
87.13
22.78
282.50%
10.67%
5.74%
82.62
4.510
1.00%
100.97%
35.00%
na
KAR 4.5
Karstadt
EUR
4.5
1
22-Dec-09
200
95.70
210.25
213.01
-1.30%
-24.38%
2.14%
210.03
0.220
100.00%
#N/A
42.00%
na
KCO 1.5
Kloeckner
EUR
1.5
1
27-Jul-12
325
74.93
80.70
49.55
62.87%
6.13%
1.86%
81.84
-1.140
39.00%
31.86%
35.00%
na
KUD 1.625
Kudelski
CHF
1.625
1
05-Oct-12
100
88.54
94.50
55.32
70.84%
2.78%
1.72%
91.97
2.530
24.77%
31.12%
24.00%
na
LII 3.95
Liberty Int
GBP
3.95
2
30-Sep-10
100
99.49
137.25
134.13
2.33%
-6.60%
2.88%
136.33
0.920
89.84%
28.25%
25.00%
na
LLB 1.65
Liechtenstein LB
CHF
1.65
1
12-Apr-11
10
94.90
107.75
88.41
21.88%
-0.45%
1.53%
102.39
5.360
44.19%
26.55%
17.50%
na
LING 1.25
Linde
EUR
1.25
1
05-May-09
20
94.49
145.55
145.48
0.05%
-18.67%
0.86%
145.11
0.440
99.99%
58.13%
30.00%
na
LOG 2.875
LogicaCMG
EUR
2.875
1
19-Sep-08
65
97.65
97.70
47.10
107.43%
5.03%
2.94%
97.69
0.010
1.07%
30.00%
30.00%
na
LONZA 2.5
Lonza (EMS Chem)
CHF
2.5
1
23-Apr-10
25
98.14
108.88
84.96
28.15%
-0.77%
2.30%
106.85
2.030
41.12%
29.52%
25.00%
na
LONN 1.5
Lonza Group
CHF
1.5
1
15-Jul-09
25
96.99
122.75
115.81
5.99%
-8.87%
1.22%
121.71
1.040
74.93%
27.11%
25.00%
na
LHAG 1.25
Lufthansa
EUR
1.25
1
04-Jan-12
10
98.67
107.75
98.76
9.10%
-0.50%
1.16%
107.23
0.520
53.42%
26.24%
25.00%
na
MAN 3.75
Man Grp (Forester)
GBP
3.75
2
12-Nov-09
30
94.50
209.00
209.74
-0.35%
-27.87%
1.79%
208.75
0.250
99.59%
52.63%
42.00%
na
MAUR 3.5
Maurel & Prom
EUR
3.5
1
01-Jan-10
350
20.82
21.50
13.71
56.89%
6.44%
3.65%
21.86
-0.360
25.01%
32.64%
40.00%
na
MXP 6.75
Max Petroleum
USD
6.75
2
08-Sep-11
450
90.62
126.50
78.44
61.28%
0.18%
5.34%
106.10
20.400
49.73%
84.38%
35.00%
na
MICP 0
Michelin
EUR
0
1
01-Jan-17
70
85.26
112.52
84.20
33.64%
2.32%
0.00%
105.08
7.440
56.61%
39.52%
28.00%
na
MICC 4
Millicom
USD
4
2
07-Jan-10
300
91.50
197.25
192.13
2.67%
-23.74%
2.03%
193.50
3.750
98.06%
61.59%
35.00%
na
MOL 4
Mol (Magnolia)
EUR
4
4
20-Mar-16
350
75.71
121.75
97.00
25.52%
1.32%
3.29%
128.26
-6.510
72.68%
20.61%
30.00%
na
MNDI 2
Mondadori
EUR
2
1
20-Oct-08
100
96.14
99.75
80.00
24.68%
2.19%
2.01%
97.53
2.220
17.96%
28.85%
20.00%
na
MTU 2.75
MTU Aero Engines
EUR
2.75
1
01-Feb-12
125
88.32
111.38
87.90
26.71%
0.18%
2.47%
108.39
2.990
60.72%
35.29%
30.00%
na
NEOCHI 1.25
Neochimiki
EUR
1.25
2
30-Apr-14
175
92.47
98.63
69.79
41.32%
4.12%
1.27%
98.42
0.210
30.78%
30.47%
30.00%
na
NESZ 0
Nestle
USD
0
1
11-Jun-08
5
95.93
126.85
125.97
0.70%
-26.94%
0.00%
126.24
0.610
95.94%
24.89%
20.00%
na
NETCARE 6
Network Care
ZAR
6
2
30-Sep-11
150
82.14
97.63
76.99
26.80%
6.64%
6.15%
97.47
0.160
58.80%
27.31%
27.00%
na
NEX 1.5
Nexans
EUR
1.5
1
01-Jan-13
100
60.88
112.20
107.17
4.69%
-6.20%
0.99%
110.09
2.110
87.56%
38.00%
30.00%
na
NOKIAN 0
Nokian
EUR
0
1
27-Jun-14
100
84.58
95.50
62.70
52.32%
3.75%
0.00%
98.00
-2.500
48.56%
31.33%
36.00%
na
NUMICO 3
Numico
EUR
3
1
11-Jul-10
5
95.86
276.75
249.66
10.85%
-28.00%
1.08%
279.24
-2.490
111.98%
WEA 4.75
Orascom (Weather)
EUR
4.75
2
27-Feb-13
300
93.99
105.88
72.31
46.42%
3.58%
4.49%
110.57
-4.690
60.05%
ORCO 1
Orco Property
EUR
1
1
31-May-13
300
131.92
139.45
97.55
42.95%
6.52%
0.99%
141.73
-2.280
OTP 3.95
OTP Bank
EUR
3.95
1
01-Jan-50
210
81.04
113.75
93.78
21.29%
0.57%
3.47%
115.18
-1.430
PARG 1.7
Pargesa
CHF
1.7
1
27-Apr-13
35
90.69
101.00
74.51
35.56%
1.51%
1.68%
100.26
0.740
#N/A
1.00%
na
24.27%
32.00%
na
31.47%
23.80%
28.00%
na
69.58%
28.09%
30.00%
na
41.19%
26.49%
25.00%
na
PARG 1.75
Pargesa
CHF
1.75
1
15-Jun-14
35
88.95
95.13
63.47
49.88%
2.53%
1.84%
96.00
-0.870
35.78%
23.16%
25.00%
na
PH 7.125
Peter Hambro
USD
7.125
2
11-Aug-10
500
92.68
149.75
130.23
14.99%
-7.46%
4.76%
145.70
4.050
78.00%
49.39%
40.00%
na
PIPEX 3.875
Pipex
GBP
3.875
2
28-Mar-11
450
80.40
92.63
55.26
67.61%
6.16%
4.18%
89.45
3.180
42.71%
46.87%
37.00%
na
PTC 4.125
Potugal Telecom
EUR
4.125
2
28-Aug-14
60
93.95
102.53
69.11
48.36%
3.72%
4.02%
97.35
5.180
25.96%
27.32%
17.00%
na
PRTP 2
PPR (Artemis)
EUR
2
1
31-Jul-11
250
123.30
141.57
113.82
24.38%
3.24%
1.75%
135.61
5.960
45.74%
28.75%
21.00%
na
PRAG 2.25
Praktiker
EUR
2.25
1
28-Sep-11
125
87.39
112.50
85.55
31.50%
-0.74%
2.00%
107.42
5.080
58.53%
45.30%
35.00%
na
Page 4
European Convertible Bonds
(see also Bloomberg page CGCB)
17-Aug-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
PMO 2.875
Premier Oil
USD
2.875
2
27-Jun-14
150
78.77
94.88
58.01
63.54%
3.72%
3.03%
92.63
2.250
54.69%
34.26%
30.00%
100-day Vol
na
PRS 1.75
Prisa
EUR
1.75
1
19-Dec-08
125
95.01
111.75
102.29
9.25%
-6.35%
1.57%
108.56
3.190
60.63%
35.11%
25.00%
na
PUBP 0.75
Publicis
EUR
0.75
1
17-Jul-08
15
28.03
32.45
30.52
6.32%
-10.77%
0.67%
31.93
0.520
66.87%
30.77%
25.00%
na
PUBP 1
Publicis
EUR
1
1
18-Jan-18
35
41.40
43.70
30.52
43.18%
2.69%
0.90%
43.47
0.230
27.67%
26.65%
25.00%
na
PUB 5
Punch Taverns
GBP
5
2
14-Dec-10
175
97.49
109.70
83.81
30.88%
3.89%
4.56%
110.13
-0.430
53.22%
24.26%
25.00%
na
QCEG 1.375
Q-Cells
EUR
1.375
1
28-Feb-12
150
81.96
107.25
84.37
27.12%
-0.22%
1.28%
106.23
1.020
61.94%
39.19%
37.00%
na
QCEG 0
Q-Cells (CS)
EUR
0
1
27-Apr-09
5
92.81
115.63
108.42
6.65%
-8.19%
0.00%
115.48
0.150
54.88%
37.94%
37.00%
na
QIAGEN 1.5
Qiagen
USD
1.5
2
18-Aug-24
100
83.99
137.00
127.44
7.50%
-0.57%
1.09%
133.92
3.080
80.94%
34.92%
30.00%
na
QIAGEN 3.25
Qiagen
USD
3.25
2
20-May-26
150
83.72
108.00
81.95
31.79%
2.70%
3.01%
107.52
0.480
61.81%
30.73%
30.00%
na
RALLYE 3.75
Rallye
EUR
3.75
1
01-Jan-08
55
48.96
49.75
45.24
9.96%
0.83%
3.32%
49.57
0.180
22.31%
22.28%
20.00%
na
RANK 3.875
Rank
GBP
3.875
2
20-Jan-09
175
94.66
95.30
38.56
147.13%
7.33%
4.07%
94.67
0.630
0.11%
46.00%
24.00%
na
REP 4.5
Repsol (Pemex)
USD
4.5
2
26-Jan-11
30
97.41
153.75
152.24
0.99%
-8.58%
2.93%
153.11
0.640
91.90%
30.17%
27.00%
na
RHA 0.5
Rhodia
EUR
0.5
1
01-Jan-14
300
35.40
42.85
27.34
56.73%
4.36%
0.56%
41.99
0.860
52.09%
39.15%
35.00%
na
RISA 1
Risanamento
EUR
1
1
10-May-14
425
74.76
80.50
39.41
104.27%
7.62%
1.24%
79.94
0.560
33.62%
33.78%
32.00%
na
BMW 1.875
Rolls Royce (BMW)
EUR
1.875
1
18-Dec-08
12
96.56
197.15
198.73
-0.80%
-38.63%
0.95%
197.47
-0.320
100.00%
40.00%
na
ROSN 0
Rosneft (Dresdner)
USD
0
0
22-Jun-09
5
91.37
99.38
81.08
22.57%
0.34%
0.00%
98.39
0.990
39.40%
29.92%
27.00%
na
RWEG 1.75
RWE (Dusseldorf)
EUR
1.75
1
05-Jul-09
10
95.00
161.15
160.96
0.12%
-21.12%
1.09%
160.74
0.410
100.00%
59.63%
25.50%
na
SCOR 4.125
Scor
EUR
4.125
1
01-Jan-10
45
2.02
2.23
1.75
27.54%
0.34%
3.70%
2.22
0.010
39.52%
32.00%
30.00%
na
SSE 3.75
Scot & Sth Energy
GBP
3.75
2
29-Oct-09
30
99.31
152.43
153.44
-0.66%
-15.33%
2.46%
152.28
0.150
100.00%
28.60%
25.00%
na
SEM 1.875
Semapa (CSFB)
EUR
1.875
1
25-May-09
10
95.51
172.50
175.49
-1.70%
-25.20%
1.09%
171.24
1.260
96.61%
32.49%
25.00%
na
SGL 0.75
SGL Carbon
EUR
0.75
1
16-May-13
125
75.80
109.30
86.91
25.76%
-0.82%
0.69%
106.04
3.260
69.08%
40.90%
35.00%
na
SHP 2.75
Shire
USD
2.75
2
09-May-14
150
84.49
98.70
70.44
40.11%
2.96%
2.79%
100.45
-1.750
58.80%
24.17%
27.00%
na
SKP 6 24
Skye Pharma
GBP
6
2
04-May-24
500
92.14
93.63
16.32
473.83%
6.62%
6.41%
92.15
1.480
0.19%
82.65%
35.00%
na
SOCO 4.5
Soco Int.
USD
4.5
2
16-May-13
375
89.84
120.88
93.21
29.69%
0.77%
3.72%
122.04
-1.160
71.42%
37.81%
40.00%
na
SGC 1.75
Sogecable (Vivendi)
EUR
1.75
1
30-Oct-08
35
28.71
31.73
27.99
13.36%
-3.66%
1.62%
30.27
1.460
43.23%
33.22%
20.00%
na
SOL 4.3
Sol Melia
EUR
4.3
1
14-Nov-08
35
99.35
123.00
117.65
4.55%
-11.71%
3.50%
121.23
1.770
80.30%
27.55%
22.00%
na
SOLON 4.5
Solon [called]
EUR
4.5
1
29-Aug-07
225
99.87
135.75
136.23
-0.35%
0.00%
3.31%
135.58
0.170
100.00%
146.63%
50.00%
na
SPEEDEL 3.5
Speedel
CHF
3.5
1
24-Jan-11
450
88.10
103.88
67.74
53.34%
2.30%
3.37%
101.52
2.360
49.53%
45.02%
40.00%
na
STEIN 5.7
Steinhoff Int.
ZAR
5.7
2
31-Jul-13
120
77.05
100.03
82.15
21.75%
5.67%
5.70%
100.87
-0.840
64.82%
28.05%
30.00%
na
FINMEC 0.375
STM (Finmeccanica)
EUR
0.375
1
08-Aug-10
25
88.14
90.00
47.91
87.87%
4.00%
0.42%
88.79
1.210
8.52%
31.92%
24.00%
na
#N/A
STM 0
STMicro
USD
0
2
23-Feb-16
23
89.78
100.00
69.79
43.28%
1.76%
0.00%
98.81
1.190
42.11%
30.62%
28.50%
na
SUB 2.8
Subsea
USD
2.8
2
06-Jun-11
200
86.02
107.75
82.09
31.26%
0.72%
2.60%
108.27
-0.520
61.81%
34.95%
36.00%
na
SUB 0
Subsea
USD
0
0
29-Jun-17
150
85.72
102.13
76.70
33.15%
-0.21%
0.00%
103.02
-0.890
57.04%
34.54%
36.00%
na
SIEM 0
Subsea (Siem)
USD
0
0
12-Jul-17
50
87.97
102.50
76.70
33.64%
0.70%
0.00%
104.98
-2.480
55.99%
32.05%
36.00%
na
SZU 3
Suedzucker
EUR
3
2
08-Dec-08
20
97.96
100.00
66.29
50.84%
2.98%
3.00%
99.45
0.550
14.69%
33.20%
30.00%
na
UHRZ 2.625
Swatch
CHF
2.625
1
15-Oct-10
35
97.81
136.38
130.20
4.74%
-7.19%
1.92%
135.95
0.430
76.00%
26.17%
25.00%
na
SWISS CH
Swiss Life
CHF
0.625
1
10-Jun-10
40
92.70
129.88
127.42
1.93%
-8.33%
0.48%
130.54
-0.660
75.49%
27.15%
30.00%
na
Page 5
European Convertible Bonds
(see also Bloomberg page CGCB)
17-Aug-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
SPSN 2
Swiss Prime Site
CHF
2
1
03-Feb-10
50
96.57
109.00
101.12
7.79%
-1.56%
1.83%
107.82
1.180
61.04%
20.27%
18.00%
100-day Vol
na
RUKZN 3.25
Swiss Re
USD
3.25
1
21-Nov-11
14
92.35
97.88
63.45
54.24%
3.74%
3.32%
94.93
2.950
22.20%
27.39%
20.00%
na
RUKZN 2.25
Swiss Re (WVB)
DEM
2.25
1
17-Apr-08
30
99.22
99.25
46.04
115.57%
3.33%
2.27%
99.22
0.030
0.00%
38.01%
22.50%
na
SCMN 0.25
SwissCom (Swiss Confed)
CHF
0.25
1
19-Dec-07
5
99.10
99.48
83.10
19.70%
1.79%
0.25%
99.15
0.330
2.01%
21.80%
15.00%
na
OLIV 1.5-10
Telecom Italia
EUR
1.5
1
01-Jan-10
30
109.19
116.13
88.79
30.78%
2.08%
1.29%
112.74
3.390
25.47%
29.85%
22.00%
na
TMN 1.5
Temenos
CHF
1.5
1
21-Mar-13
200
94.25
157.00
132.61
18.39%
-4.24%
0.96%
146.52
10.480
76.99%
50.28%
32.00%
na
TUI 4
TUI
EUR
4
1
01-Dec-08
125
97.87
106.00
88.27
20.09%
-0.65%
3.77%
104.72
1.280
41.06%
31.35%
28.00%
na
TUI 2.75
TUI
EUR
2.75
1
01-Sep-12
500
73.70
88.50
63.26
39.90%
5.40%
3.11%
87.49
1.010
56.98%
29.89%
28.00%
na
USG 2012
USG People
EUR
3
1
18-Oct-12
150
86.73
143.25
128.36
11.60%
-4.29%
2.09%
136.87
6.380
81.42%
43.40%
33.00%
na
VLOF 2.375
Valeo
EUR
2.375
1
01-Jan-11
75
43.05
47.26
34.40
37.36%
2.26%
2.33%
46.01
1.250
34.14%
33.58%
26.00%
na
VED 4.60
Vedanta
USD
4.6
2
21-Feb-26
175
89.41
128.63
114.41
12.43%
2.63%
3.58%
129.84
-1.210
73.95%
27.08%
30.00%
na
VIVR 1.5
Vivartia
EUR
1.5
2
29-Jun-17
225
87.63
134.75
136.48
-1.27%
0.54%
1.11%
136.26
-1.510
100.00%
VAST 1.5-10
Voestalpine
EUR
1.5
1
21-Jul-10
20
91.44
280.40
280.39
0.00%
-28.87%
0.53%
280.27
0.130
100.00%
#N/A
WAVE 1.75
Wavecom
EUR
1.75
1
01-Jan-14
200
25.81
28.00
17.00
64.71%
3.66%
1.96%
29.69
-1.690
50.42%
28.40%
40.00%
na
WEHA 2.5
Wereldhave
EUR
2.5
2
23-Mar-11
35
92.47
101.88
85.97
18.50%
1.96%
2.45%
100.71
1.170
45.21%
23.03%
21.00%
na
46.13%
24.00%
na
40.00%
na
XTA 4.125
Xstrata (Glencore)
USD
4.125
2
06-Oct-10
25
108.46
412.20
410.98
0.30%
-35.22%
1.00%
411.68
0.520
99.84%
51.89%
37.00%
na
ALL ABN
ABN (Allegro)
EUR
1.5
1
04-Aug-10
0
91.85
129.00
127.80
0.94%
-6.96%
1.16%
129.13
-0.130
90.52%
21.87%
22.30%
na
CFI ACCP
Accor (CFI)
EUR
0.25
1
26-Jul-09
0
92.31
110.13
99.11
11.11%
-4.61%
0.23%
109.92
0.210
63.15%
30.14%
29.72%
na
BCEE ALL
Allianz (BCEE)
EUR
0
1
24-Mar-11
0
85.80
104.38
93.27
11.90%
-1.18%
0.00%
104.55
-0.170
63.13%
27.83%
28.12%
na
ALL CONT
Continental (Allegro)
EUR
0.25
1
23-Mar-11
0
86.15
97.63
78.75
23.97%
0.92%
0.26%
97.45
0.180
49.53%
27.09%
26.78%
na
ALL DBK
DBK (Allegro)
EUR
0.25
1
03-Nov-10
0
87.55
109.75
101.92
7.68%
-2.61%
0.23%
109.71
0.040
70.04%
28.75%
28.68%
na
ALS11
DPB (Allegro)
EUR
0.25
1
03-May-11
0
85.82
97.38
72.73
33.89%
0.99%
0.26%
97.37
0.010
48.08%
32.02%
32.02%
na
ALL EON 1
E.On (Allegro)
EUR
1
1
04-Aug-10
0
90.49
140.38
138.29
1.51%
-10.00%
0.71%
140.40
-0.020
90.33%
28.52%
28.60%
na
ALL ERI 0
Ericsson (Allegro)
EUR
0
1
16-Feb-09
0
93.68
96.63
67.04
44.13%
2.30%
0.00%
96.71
-0.080
23.86%
31.65%
32.00%
na
Page 6
European Convertible Bonds
(see also Bloomberg page CGCB)
17-Aug-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
ALL FORT
Fortis (Allegro)
EUR
0
1
07-Jan-10
0
90.03
120.00
119.72
0.23%
-7.32%
0.00%
119.99
0.010
95.39%
18.61%
18.50%
100-day Vol
na
ALL LVMH 0.5
LVMH (Allegro)
EUR
0.5
1
01-Mar-11
0
87.17
98.88
83.84
17.94%
0.82%
0.51%
99.04
-0.160
50.94%
24.45%
24.72%
na
ALL MICP
Michelin (Allegro)
EUR
0
1
26-Jan-10
0
89.82
155.38
154.53
0.55%
-16.47%
0.00%
155.64
-0.260
94.98%
27.70%
29.00%
na
ALL NESZ
Nestlé (Allegro)
USD
0
1
23-Jun-08
0
95.82
141.13
141.23
-0.08%
-36.50%
0.00%
141.25
-0.120
99.69%
6.47%
17.40%
na
ALL NOK 0.25
Nokia (Allegro)
EUR
0.25
1
15-Jun-09
0
92.75
145.50
143.67
1.27%
-18.31%
0.17%
145.70
-0.200
91.38%
30.29%
31.00%
na
ALL OMV 0.25
OMV (Allegro)
EUR
0.25
1
23-Sep-09
0
91.69
95.13
66.94
42.09%
2.66%
0.26%
95.22
-0.090
25.92%
28.68%
29.00%
na
ALL PEUG
Peugeot (Allegro)
EUR
1.5
1
15-Jan-10
0
93.27
114.50
111.38
2.80%
-4.09%
1.31%
114.45
0.050
55.98%
28.80%
28.38%
na
ALL PHIL
Philips (Allegro)
EUR
0.5
1
28-Jun-10
0
89.49
109.25
98.30
11.14%
-2.57%
0.46%
109.42
-0.170
64.45%
28.21%
28.50%
na
CFI RWE 0.25
RWE (Citi)
EUR
0.25
1
08-Sep-09
0
91.84
102.50
94.63
8.32%
-0.94%
0.24%
102.50
0.000
56.81%
22.50%
22.50%
na
BCEE SAP
SAP (BCEE)
EUR
0
1
31-Jan-11
0
86.37
98.88
81.01
22.05%
0.33%
0.00%
98.71
0.170
52.31%
26.28%
26.00%
na
BCEE 01/11
Siemens (BCEE)
EUR
0
1
31-Jan-11
0
86.37
113.13
102.92
9.91%
-3.50%
0.00%
113.08
0.050
70.35%
30.08%
30.00%
na
BCEE SIE
Siemens (BCEE)
EUR
0
1
31-Jan-11
0
86.37
113.00
102.92
9.79%
-3.47%
0.00%
113.08
-0.080
70.35%
29.88%
30.00%
na
CFI SWLIFE 0
Swiss Life (Citi)
CHF
0
1
02-Jun-11
0
89.54
94.00
70.74
32.88%
1.64%
0.00%
94.14
-0.140
30.91%
21.40%
21.70%
na
ALL TECH
Technip (Allegro)
EUR
0.125
1
23-Mar-11
0
85.75
95.50
72.49
31.74%
1.41%
0.13%
95.81
-0.310
45.18%
29.81%
30.40%
na
ALL TI 1
Telecom Italia (Allegro)
EUR
1
1
01-Mar-10
0
91.79
92.25
52.85
74.55%
4.27%
1.08%
92.13
0.120
5.36%
23.22%
22.00%
na
ALL TPG 1
TNT (Allegro)
EUR
1
1
08-Mar-10
0
91.73
120.63
113.09
6.66%
-6.18%
0.83%
120.70
-0.070
75.22%
28.34%
28.47%
na
ALL TOTF
Total (Allegro)
EUR
0
1
20-Feb-09
0
93.64
131.75
131.79
-0.03%
-16.61%
0.00%
131.90
-0.150
98.24%
14.29%
21.60%
na
ALL TOTF B
Total (Allegro)
EUR
0
1
10-Nov-09
0
90.66
126.38
125.83
0.43%
-9.93%
0.00%
126.49
-0.110
92.91%
21.70%
22.25%
na
ALL TOTF C
Total. (Allegro)
EUR
1
1
04-Feb-10
0
91.99
115.38
112.99
2.11%
-4.72%
0.87%
115.52
-0.140
78.59%
22.28%
22.60%
na
ALL TOTF D
Total..(Allegro)
EUR
0
1
27-Jul-10
0
87.87
104.00
94.62
9.91%
-1.32%
0.00%
104.05
-0.050
60.93%
26.31%
26.40%
na
CFI DG 0.25
Vinci (CFI)
EUR
0.25
1
29-Jan-10
0
90.35
94.13
73.54
27.99%
2.75%
0.27%
94.25
-0.120
29.24%
22.67%
23.00%
na
ALL VOD
Vodafone (Allegro)
GBP
0
1
15-Mar-10
0
85.73
111.13
107.33
3.53%
-4.05%
0.00%
111.08
0.050
77.66%
28.10%
28.00%
na
Page 7
Convertible Bonds
EUR44.28
17-Aug-07
Equity
Bond
3i 1.375
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
Next Put
Put Price
Rating
Yield to Put
Citi
Moody
S&P
A+
9.80
2.23
%
8.16
8.53 III.L
III LN
GB
EUR 550
NR
A1
ABB [called] 3.5
25.75
1.22
%
10.49
9.53 ABBN.VX
ABBN VX
CH
CHF 211
2M
BAA1
A-
Accor 1.75
55.50
2.88
40.25
2.48
40.25 ACCP.PA
AC FP
FR
EUR 257
1-Feb-05
100
110
1M
NA
BBB
Acergy 2.25
25-Oct-10
100
130
NR
NA
NA
NR
NA
NA
NR
NA
NA
1M
BAA2
BBB
1M
NA
NA
NA
139.00
0.11
%
4.20
155.43 ACY.OL
ACY NO
NO
USD 500
Actelion 0
61.20
0.00
%
1.85
54.17 ATLN.S
ATLN SW
CH
CHF 460
Addax Petroleum 3.75
30.72
0.65
%
1.98
56.06 AXC.TO
AXC CN
CA
USD 300
20-Jun-10
100
130
26-Aug-10
116.05
0
Adecco 0
75.50
1.72
%
1.06
94.50 ADEN.VX
ADEN VX
CH
CHF 900
Adecco (Sonata) 1.5
75.50
1.72
%
1.34
74.37 ADEN.VX
ADEN VX
CH
CHF 767
Adidas-Salomon 2.5
41.50
1.16
%
3.92
25.50 ADSG.DE
ADS GR
DE
EUR 400
AEM (Milan) 2.25
2.37
2.96
%
47.31
2.11 AEMI.MI
AEM IM
IT
EUR 336
Air Berlin 1.5
11.56
0.00
%
4.45
22.47 AB1.DE
AB1 GY
DE
EUR 220
Air France 2.75
26-Aug-10
110.98
0.89%
8-Oct-09
100
130
8-Oct-09
100
-19.64%
NR
NA
2M
AA2
NA
11-Apr-14
100
150
11-Apr-12
100
4.33%
NR
NA
NA
1-Apr-12
100
-6.01%
27.35
2.19
20.5
5.02
19.90 AIRF.PA
AF FP
FR
EUR 450
1-Apr-10
100
130
2H
NA
NA
Alcatel-Lucent 4.75
7.70
2.34
16.18
6.18
16.18 ALU.PA
ALU FP
FR
EUR 1022
12-Jun-08
100
125
1H
BA2
BB-
Aldar Properties 5.767
6.60
1.71
%
64.52
ALDAR UH
UAE
USD 2530
27-Aug-09
100
140
NR
NA
NA
Altran 3.75
5.98
0.00
12.7
7.87
12.70 ALT.PA
ALT FP
FR
EUR 206
9-Jul-07
100
130
NR
NA
NA
33.97
3.09
%
1.54
65.00 AU.N
AU US
SA
USD 1000
14-Mar-07
100
130
NR
NA
NA
AngloGold Ashanti 2.375
5.69 ALDR.AD
ASM Int. 4.25
18.28
0.00
%
4.80
20.82 ASMI.AS
ASM NA
NL
USD 144
6-Dec-07
100
130
2H
NA
B-
ASML 5.5
19.78
0.35
%
6.99
14.30 ASML.AS
ASML NA
NL
EUR 380
27-May-06
100
150
1H
NR
NA
A-TEC Industries 2.75
133.34
3.00
225
0.44
225.00 ATEC.VI
ATEC AV
AT
EUR 180
14-Jun-11
100
130
10-May-12
100
3.78%
NR
NA
NA
Autogrill 0
13.86
2.89
%
5.20
19.25 AGL.MI
AGL IM
IT
EUR 39
15-Jun-04
100
0
15-Jun-09
90.57
2.95%
1M
NA
NA
Aveng 6.125
45.71
1.53
%
6.64
15.07 AEGJ.J
AEG SJ
SA
ZAR 1000
31-Mar-09
100
130
NR
NA
NA
Axa 3.75
27.78
4.32
165.5
2.51
39.88 AXAF.PA
CS FP
FR
EUR 1099
1-Jan-07
162.63
125
1M
A3
A-
Banca Pop Italiana 4.75
17.55
5.01
%
2.64
37.94 BP.MI
BP IM
IT
EUR 300
15-Jun-05
100
135
2M
NA
NA
Banco Espirito Santo 3.55
NA
29.90
0.50
%
4.22
23.72 ESF.LS
ESF PL
PT
EUR 500
29-Nov-10
100
140
NR
A1
Beni Stabili 2.5
0.89
3.14
%
108.58
0.92 BNSI.MI
BNS IM
IT
EUR 477
10-Nov-09
100
130
NR
NA
NA
Biopetrol 4
6.58
0.00
%
9.86
B2I GR
DE
EUR 75
14-Mar-10
100
130
NR
NA
NA
3M
BAA3
BBB
2H
B2
B
NR
NA
NA
10.14 B2I.DE
BSkyB (News Corp) 0.75
6.47
2.54
%
7.71
8.30 BSY.L
BSY LN
GB
USD 1655
20-Mar-10
100
0
Buhrmann 2
8.47
3.07
%
13.27
7.53 CXP.AS
CXP NA
NL
EUR 115
9-Jul-08
100
150
Business Objects 2.25
28.41
0.00
42.15
2.37
42.15 BOBJ.PA
BOB FP
FR
EUR 450
11-May-12
100
125
Capgemini 2.5
42.84
2.10
51
1.96
51.00 CAPP.PA
CAP FP
FR
EUR 460
2-Jul-07
100
125
1H
BB+
Capgemini 1
42.84
2.10
37
2.70
37.00 CAPP.PA
CAP FP
FR
EUR 437
27-Jun-09
113.24
130
1H
BB+
Capgemini (Wendel) 2
42.84
2.10
39.86
2.51
39.86 CAPP.PA
CAP FP
FR
EUR 279
Casino (Rallye) 3.25
66.69
3.52
80
1.25
80.00 CASP.PA
CO FP
FR
EUR 300
1-Jul-06
119.07
125
Cimpor (CSFB) 2
6.51
3.54
%
22.99
4.35 CPR.LS
CIMP PL
PT
EUR 370
12-Jun-07
100
Citycon Oij 4.5
4.17
3.19
%
23.02
4.34 CTY1S.HE
CTY1S FH
FI
EUR 110
23-Aug-10
48.84
0.00
58
1.72
CU FP
FR
EUR 127
30-Apr-06
Club Mediterranee 3
58.00 CMIP.PA
15-Mar-10
11-May-12
100
100
-2.90%
2.13%
1H
NA
BBB+
2M
NA
NA
0
NR
NA
NA
100
140
NR
NA
NA
116.94
130
NR
NA
NA
1-Jul-08
108.58
-2.23%
Page 8
Convertible Bonds
EUR44.28
17-Aug-07
Equity
Bond
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Citi
Moody
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
89.55
2.23
%
2.00
50.05 CONG.DE
CON GR
DE
EUR 377
19-May-09
100
130
1M
NA
BBB+
CRU NO
NO
NOK 990
NR
NA
NA
CYTN SW
CH
CHF 70
13-Mar-09
100
140
NR
NA
NA
NR
NA
NA
15-May-07
100
130
1L
NA
NA
9.74
0.00
%
9.09
11.00 CRU.OL
101.10
0.00
%
0.57
175.00 CYTN.S
Dana Petroleum 2.9
Delhaize 2.75
9.24
0.00
%
6.08
16.45 DNX.L
DNX LN
GB
GBP 142
63.63
2.07
%
1.75
57.00 DELB.BR
DELB BB
BE
EUR 300
First Call
Call Price
Trigger
Next Put
17-Jul-12
Put Price
Rating
48.84
Cytos 2.875
Amt Outst. (MM)
Put
Club Mediterranee 4.375
Crew Gold 6
Market
Call
100
Yield to Put
4.61%
S&P
Deutsche Post (KfW) 0.5
20.47
3.91
%
5.16
19.38 DPWGn.DE
DPW GR
DE
EUR 1100
2M
NA
AAA
Deutsche Tel (KfW) 0.75
13.07
5.05
%
5.71
15.47 DTEGn.DE
DTE GY
DE
EUR 5000
20-Sep-06
100
129.9333
3M
AAA
AAA
Draka Holding 4
32.15
1.15
%
6.55
15.26 DRAK.AS
DRAK NA
NL
EUR 100
13-Oct-08
100
120
NR
NA
NA
3.96
3.03
%
27.93
3.58 EDP.LS
EDP PL
PT
EUR 573
2M
AA2
AA-
23.50
3.55
%
4.97
20.14 EFGr.AT
2.63
3.04
%
32.41
EDP (Parpublica) 2.69
EFG Eurobank 1
EMI 5.25
1.93 EMI.L
EUROB GA
GR
EUR 350
29-Nov-07
111.4
130
1M
AA3
A-
EMI LN
GB
USD 243
16-Oct-07
100
130
1H
WR
B+
2H
NA
BBB-
1L
NA
NA
NA
AA-
A3
A-
Epcos 2.5
13.40
2.24
%
5.14
19.45 EPCGn.DE
EPC GR
DE
EUR 126
17-Jul-08
100
150
Essilor 1.5
42.31
1.42
51.15
3.91
25.58 ESSI.PA
EF FP
FR
EUR 269
2-Jul-08
104.7
130
Fortis (ABN) 1.875
25.92
5.98
%
3.64
27.50 FOR.AS
FORA NA
NL
EUR 300
27-Oct-08
100
125
France Telecom 1.6
20.62
5.82
2581
3.89
25.73 FTE.PA
FTE FP
FR
EUR 1150
1-Jan-07
100
130
1.74
4.59
%
58.48
FP/ LN
GB
GBP 283
27-Dec-05
100
130
46.25
2.25
%
4.12
FUR NA
NL
EUR 125
11-May-08
100
130
11-May-08
100
130
Friends Prov 5.25
Fugro 2.375
GBL 2.95
1.71 FP.L
24.25 FUGRc.AS
2-Jul-08
103.3
-40.63%
2M
BAA1
A-
NR
NA
NA
NR
NA
NA
NR
NA
NA
NA
NA
79.12
2.53
%
1.17
85.54 GBLB.BR
GBL BB
BE
EUR 435
36,100.00
1.91
%
0.73
33910.00 GDRB.BU
RICHT HB
HU
EUR 639
Gen de Alquiler 2.75
23.60
0.00
%
2.70
37.05 GALQ.MC
GALQ SM
ES
EUR 125
10-Sep-10
100
130
NR
Generali (Capitalia) 1.625
29.00
3.03
%
4.19
23.87 GASI.MI
G IM
IT
EUR 315
23-May-07
100
130
2M
A1
Generali (Unicredito) 2.5
29.00
3.03
%
3.93
25.48 GASI.MI
G IM
IT
EUR 1263
3-Jan-07
100
130
2M
AA2
A+
6.09
1.15
%
7.67
13.04 GTN.AS
GTN NA
NL
EUR 150
11-Nov-08
100
130
3H
NR
CCC
CCC
Gedeon Richter (Hungary) 1
Getronics 2.75
Getronics 3.875
6.09
1.15
%
13.79
7.25 GTN.AS
GTN NA
NL
EUR 95
26-Jan-12
100
130
3H
NA
Grainger 3.625
5.00
1.26
%
11.57
8.64 GRI.L
GRI LN
GB
GBP 112
1-Jun-11
100
130
NR
NA
NA
Hagemeyer 3.5
3.32
1.81
%
35.34
2.83 HAGN.AS
HGM NA
NL
EUR 135
13-Apr-09
100
130
NR
NA
NA
Harmony Gold 4.875
66.61
3.55
%
0.83
HAR SJ
SA
ZAR 1700
5-Jun-07
100
130
NR
NA
NA
Havas AdvertIsing 4
3.87
1.03
10.75
10.67
9.37 EURC.PA
HAV FP
FR
EUR 450
1-Jan-05
100
125
2S
NA
NA
Heidelberger D 0.875
29.87
3.68
%
2.63
37.96 HDDG.DE
HDD GR
DE
EUR 280
9-Feb-09
116.28273
130
NA
NA
IGD 2.5
2.94
0.89
%
20.28
4.93 IGD.MI
IGD IM
IT
EUR 230
12-Jul-10
100
130
IIG 6.75
0.40
0.00
%
57.54
0.50 IIGK.KW
IIG KK
KK
USD 200
10-Jul-10
100
150
Iliad 2.2
66.75
0.60
88.05
1.14
88.05 ILD.PA
ILD FP
FR
EUR 331
29-Jun-09
100
130
8.10
0.00
%
6.59
15.18 IMFI.VI
IIA AV
AT
EUR 750
19-Jan-11
100
130
10.23 IFXGn.DE
Immofinanz 2.75
Infineon 5
121.00 HARJ.J
10.72
0.00
%
9.77
IFX GY
DE
EUR 700
5-Jul-06
100
125
International Power 3.75
3.83
2.77
%
37.01
1.70 IPR.L
IPR LN
GB
USD 253
13-Sep-08
100
130
International Power 3.25
3.83
2.77
%
18.04
3.84 IPR.L
IPR LN
GB
EUR 230
10-Aug-09
100
130
9-Feb-10
111.28191
1.16%
2M
NR
NA
NA
10-Jul-10
100
6.72%
NR
NA
NA
NR
NA
NA
19-Jan-12
100
4.75%
NR
NA
NA
1H
NA
NA
22-Aug-10
100
-29.74%
2M
NA
NA
2M
NA
NA
Page 9
Convertible Bonds
EUR44.28
17-Aug-07
Equity
Bond
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Market
Amt Outst. (MM)
First Call
Put
Next Put
Call Price
Trigger
2.10
%
3.28
30.50 INLr.AT
INLOT GA
GR
EUR 200
10-Jan-10
115.04
130
IVG Immobilien 1.75
26.01
2.00
%
2.16
46.22 IVGG.DE
IVG GR
DE
EUR 400
29-Mar-12
100
140
0.41
0.00
%
55.56
1.80 JAZ.MC
JAZ SM
ES
EUR 275
29-May-08
100
140
NR
NA
NA
18.66
1.07
%
11.42
8.76 AROG.DE
ARO GR
DE
EUR 159
22-Dec-07
100
130
NR
NA
NA
29-Mar-14
Put Price
Rating
24.00
Karstadt 4.5
Div Yield
Call
Intralot 2.25
Jazztel 5
Stock Close
Misc
100
Yield to Put
4.50%
Citi
Moody
3H
NA
S&P
NA
1L
NA
NA
Kloeckner 1.5
40.01
2.82
%
1.24
80.75 KCOGn.DE
KCO GR
DE
EUR 325
15-Aug-10
100
130
NR
NA
B+
Kudelski 1.625
37.05
0.81
%
1.49
66.98 KUD.VX
KUD VX
CH
CHF 350
15-Oct-10
100
110
NR
NA
NA
Liberty Int 3.95
Liechtenstein LB 1.65
Linde 1.25
10.73
1.91
%
12.50
8.00 LII.L
104.10
3.07
%
0.85
117.75 LLB.S
LII LN
GB
GBP 111
14-Oct-08
100
120
NR
NA
NA
LLB SW
CH
CHF 270
27-Apr-09
100
130
30-Sep-07
100
NR
NA
NA
BBB
82.17
1.83
%
1.77
56.48 LING.DE
LIN GR
DE
EUR 360
5-May-07
100
120
3M
BAA1
1.50
3.80
%
21.31
3.24 LOG.L
LOG LN
GB
EUR 303
3-Oct-06
100
140
1H
NA
NA
Lonza (EMS Chem) 2.5
106.20
1.41
%
0.80
125.00 LONN.VX
LONN VX
CH
CHF 350
23-Apr-02
100
130
1M
NA
NA
Lonza Group 1.5
106.20
1.41
%
1.09
91.70 LONN.VX
LONN VX
CH
CHF 430
19.61
3.82
%
4.96
19.86 LHAG.DE
LHA GR
DE
EUR 51
4-Jan-05
100
130
EMG LN
GB
GBP 248
27-Nov-07
100
MAU FP
FR
EUR 375
1-Jan-06
100
LogicaCMG 2.875
Lufthansa 1.25
Man Grp (Forester) 3.75
Maurel & Prom 3.5
Max Petroleum 6.75
Michelin 0
Millicom 4
Mol (Magnolia) 4
Mondadori 2
MTU Aero Engines 2.75
Neochimiki 1.25
Nestle 0
Network Care 6
4.47
2.29
%
46.95
13.01
3.07
22.44
4.70
2.13 EMG.L
21.30 MAUP.PA
0.99
0.00
%
40.08
1.33 MXP.L
84.20
1.90
103.82
0.96
103.82 MICP.PA
66.97
0.00
%
2.87
25,650.00
2.05
%
0.98
6.57
6.24
%
12.17
43.51
2.07
%
2.02
19.68
0.15
%
481.00
2.39
%
34.86 MICC.O
26669.50 MOLB.BU
8.22 MNDI.MI
1M
NA
NA
1H
NA
BBB
130
1M
BAA1
NA
150
NR
NA
NA
4-Jan-08
100
-16.46%
MXP LN
GB
USD 75
22-Sep-09
100
130
NR
NA
NA
ML FP
FR
EUR 700
21-Mar-11
134.4346
130
1M
BAA3
BBB-
21-Jan-08
100
130
NR
B3
B+
3H
NA
BB
MICC US
US
USD 200
MOL HB
HU
EUR 610
MN IM
IT
EUR 110
20-Oct-06
100
130
3M
NA
NA
49.50 MTXGn.DE
MTX GR
DE
EUR 180
15-Feb-10
100
130
NR
NA
BB-
3.55
28.20 NCHr.AT
NEOCHI GA
GR
EUR 100
29-May-09
119.8
130
NR
NA
NA
0.32
546.13 NESN.VX
NESN VX
CH
USD 563
1L
NA
AAA
NA
30-Apr-11
110.68
4.38%
11.78
3.06
%
6.54
15.30 NTCJ.J
NTC SJ
SA
ZAR 1700
13-Nov-09
100
130
1L
NA
107.17
1.21
73.8
1.36
73.80 NEXS.PA
NEX FP
FR
EUR 280
7-Jul-08
116.2
150
NR
NA
BB
Nokian 0
23.47
1.28
%
2.67
37.43 NRE1V.HE
NRE1V FH
FI
EUR 150
27-Jun-11
123
130
NR
NA
NA
Numico 3
53.19
0.56
%
4.69
21.30 NUMCc.AS
NUM NA
NL
EUR 345
25-Jul-08
100
150
NA
Orascom (Weather) 4.75
63.55
1.01
%
1.52
78.11 ORTEq.L
OTLD LI
EG
EUR 825
Orco Property 1
97.55
1.00
138
0.72
138.00 ORCO.PA
ORC FP
FR
EUR 150
OTP Bank 3.95
Nexans 1.5
27-Feb-10
1-Jul-08
138.621
130
100
2.33%
2L
NA
NR
NA
NA
1M
NA
NA
8,662.50
2.19
%
2.82
9346.00 OTPB.BU
OTP HB
HU
EUR 514
31-Oct-16
100
0
1M
A2
NA
Pargesa 1.7
119.00
2.18
%
0.63
159.72 PARG.S
PARG SW
CH
CHF 600
27-Apr-09
100
130
NR
NA
NA
Pargesa 1.75
NA
119.00
2.18
%
0.53
187.50 PARG.S
PARG SW
CH
CHF 920
15-Jun-10
100
130
NR
NA
Peter Hambro 7.125
8.85
0.00
%
7.43
7.56 POG.L
POG LN
GB
USD 140
25-Aug-08
100
150
1H
NA
NA
Pipex 3.875
0.10
0.00
%
526.32
0.19 PXC.L
PXC LN
GB
GBP 92
28-Mar-09
100
130
NR
NA
NA
PTC PL
PT
EUR 750
11-Sep-10
100
130
1M
BAA2
BBB-
PP FP
FR
EUR 1000
31-Aug-09
121.03
125
1M
NA
NA
PRA GR
DE
EUR 150
28-Sep-09
100
130
NR
NA
NA
Potugal Telecom 4.125
PPR (Artemis) 2
Praktiker 2.25
9.66
5.43
%
7.15
13.99 PTC.LS
113.82
2.94
124.1
0.81
124.10 PRTP.PA
28.89
1.90
%
2.96
33.77 PRAG.DE
Page 10
Convertible Bonds
EUR44.28
17-Aug-07
Equity
Bond
Reuters RIC Bloomberg
Citi
Moody
S&P
3.20
15.82 PMO.L
PMO LN
GB
USD 250
11-Jul-12
100
130
NR
NA
NA
Prisa 1.75
15.18
1.12
%
6.74
14.84 PRS.MC
PRS SM
ES
EUR 162
19-Dec-06
100
130
1M
NA
NA
Publicis 0.75
30.52
1.64
29
3.45
29.00 PUBP.PA
PUB FP
FR
EUR 672
15-Dec-05
100
130
2M
NA
BBB+
Publicis 1
30.52
1.64
39.15
2.55
39.15 PUBP.PA
PUB FP
FR
EUR 262
18-Jan-07
134.59
125
2M
NA
BBB+
9.88
1.51
%
8.49
11.78 PUB.L
PUB LN
GB
GBP 275
1H
NA
NA
Q-Cells 1.375
56.35
0.00
%
1.50
66.79 QCEG.DE
QCE GY
DE
EUR 493
30-Mar-09
1M
NA
NA
Q-Cells (CS) 0
56.35
0.00
%
1.92
51.98 QCEG.DE
QCE GY
DE
EUR 225
12-May-07
100
125
1M
AA1
AA-
Qiagen 1.5
16.11
0.00
%
7.91
12.64 QGEN.O
QGEN US
DE
USD 150
18-Aug-11
100
120
18-Aug-11
100
-6.45%
NR
NA
NA
Qiagen 3.25
12.23
0.00
%
5.00
15.75 QGEN.DE
QIA GR
??
USD 300
16-May-13
100
130
16-May-13
100
1.77%
NR
NA
NA
Rallye 3.75
44.36
4.17
44
2.32
43.14 GENC.PA
RAL FP
FR
EUR 264
1-Jan-06
109.67
125
NR
NA
NA
Rank 3.875
1.54
4.41
%
25.08
RNK LN
GB
GBP 168
4-Feb-07
100
130
1M
NA
BB-
Repsol (Pemex) 4.5
26.02
3.18
%
4.37
18.74 REP.MC
REP SM
ES
USD 1374
9-Feb-08
100
130
3M
BAA1
BBB
Rhodia 0.5
27.34
0.00
48.1
2.08
48.10 RHA.PA
RHA FP
FR
EUR 595
27-Apr-09
107.665
170
1H
B1
B
Risanamento 1
4.99
2.06
%
7.89
12.68 RN.MI
RN IM
IT
EUR 220
25-May-10
123.69
130
NR
NA
NA
Rolls Royce (BMW) 1.875
4.72
2.00
%
28.47
2.46 RR.L
RR/ LN
GB
EUR 101
31-Jan-07
100
130
3M
A1
NA
Rosneft (Dresdner) 0
7.84
0.51
%
10.34
9.67 ROSNq.L
ROSN LI
RU
USD 790
22-May-08
100
110
NR
NA
NA
RWE (Dusseldorf) 1.75
80.48
5.03
%
2.00
50.00 RWEG.DE
RWE GR
DE
EUR 182
2-Aug-07
100
130
1M
NA
NA
Scor 4.125
16.70
2.75
2
5.24
19.10 SCOR.PA
SCR FP
FR
EUR 200
1-Jan-08
100
130
NR
NA
A-
Scot & Sth Energy 3.75
13.81
4.03
%
11.11
9.00 SSE.L
SSE LN
GB
GBP 300
1L
NR
A+
Semapa (CSFB) 1.875
11.42
1.13
%
14.93
6.37 SEM.LS
SEMA PL
PT
EUR 158
10-Apr-09
100
0
NR
AA1
NA
SGL Carbon 0.75
31.74
0.00
%
2.74
36.52 SGCG.DE
SGL GR
DE
EUR 200
16-Jul-10
100
130
NR
BA3
Shire 2.75
11.94
0.33
%
2.98
16.87 SHP.L
SHP LN
GB
USD 1100
23-May-12
100
130
0.95 SKP.L
3.99 RNK.L
Market
Amt Outst. (MM)
First Call
Call Price
100
Trigger
Next Put
18-Jan-10
Put Price
Rating
%
Skye Pharma 6
Unit or % Conv Ratio Conv Price
Put
0.00
Punch Taverns 5
Div Yield
Call
9.15
Premier Oil 2.875
Stock Close
Misc
115.42784
Yield to Put
2.50%
130
29-Oct-07
100
9-May-12
100
3.04%
1H
B+
NA
0.16
0.00
%
105.26
SKP LN
GB
GBP 70
14-May-09
100
130
4-May-09
100
10.07%
NR
NA
Soco Int. 4.5
18.85
0.00
%
2.50
21.85 SIA.L
SIA LN
GB
USD 250
31-May-10
100
130
16-May-10
100
-2.77%
NR
NA
NA
NA
Sogecable (Vivendi) 1.75
27.66
0.00
29.32
3.45
28.98 SGC.MC
SGC SM
ES
EUR 221
8-Oct-06
100
125
1M
BAA2
BBB
5-Dec-07
100
130
Sol Melia 4.3
14.00
1.21
%
8.40
11.90 SOL.MC
SOL SM
ES
EUR 150
1M
NA
BB+
Solon [called] 4.5
47.00
0.00
%
2.90
34.50 SOOG.DE
SOO1 GY
DE
EUR 42
1H
NA
NA
153.10
0.00
%
0.44
226.00 SPPN.S
SPPN SW
CH
CHF 56
NR
NA
NA
Steinhoff Int. 5.7
22.51
2.13
%
3.65
27.40 SHFJ.J
SHF SJ
SA
ZAR 1500
21-Jul-09
NR
NA
NA
STM (Finmeccanica) 0.375
12.01
1.83
%
3.99
25.07 STM.PA
STM FP
FR
EUR 501
NA
STMicro 0
12.01
1.83
%
4.34
23.06 STM.PA
STM FP
FR
USD 974
Subsea 2.8
129.50
0.00
%
3.80
161.86 SUB.OL
SUB NO
NO
USD 300
Speedel 3.5
100
130
29-Aug-06
100
125
10-Mar-11
116.118
130
20-Jun-09
100
150
23-Feb-11
107.758
2.13%
3H
A3
3H
A3
A-
NR
NA
NA
Subsea 0
129.50
0.00
%
3.55
170.47 SUB.OL
SUB NO
NO
USD 175
13-Jul-12
109.9
0
29-Jun-10
102.88
0.26%
NR
NA
NA
Subsea (Siem) 0
129.50
0.00
%
3.55
170.47 SUB.OL
SUB NO
NO
USD 275
26-Jul-12
109.9
0
12-Jul-10
102.88
0.13%
NR
NA
NA
Suedzucker 3
13.41
4.55
%
4.94
20.23 SZUG.DE
SZU GR
DE
EUR 250
9-Dec-06
100
130
NR
BAA2
BBB
Swatch 2.625
63.80
1.25
%
2.04
49.00 UHRN.VX
UHRN VX
CH
CHF 412
17-Oct-07
100
150
NR
NA
NA
266.50
2.63
%
0.48
209.15 SLHN.VX
SLHN VX
CH
CHF 317
25-Jun-07
100
130
2M
NA
BBB
Swiss Life 0.625
Page 11
Convertible Bonds
EUR44.28
17-Aug-07
Equity
Bond
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Market
Call
Amt Outst. (MM)
Citi
Moody
S&P
63.85
5.01
%
1.58
63.14 SPSN.S
SPSN SW
CH
CHF 170
3-Feb-08
100
130
NR
NA
NA
Swiss Re 3.25
96.25
3.84
%
0.80
207.19 RUKN.VX
RUKN VX
CH
USD 1150
6-Dec-06
100
120
1M
A1
A
Swiss Re (WVB) 2.25
96.25
3.84
%
0.40
203.77 RUKN.VX
RUKN VX
CH
DEM 256
17-Apr-03
100
130
1M
NA
NA
SCMN VX
CH
CHF 290
3-Jan-07
100
125
2L
AAA
AAA
TIT IM
IT
EUR 485
1-Jan-04
118.37825
140
2M
BAA2
BBB+
6-Apr-09
100
150
412.75
4.36
%
0.20
496.68 SCMN.VX
1.88
6.24
%
47.16
2.12 TLIT.MI
Temenos 1.5
23.95
0.00
%
5.54
18.06 TEMN.S
TEMN SW
CH
CHF 132
TUI 4
17.51
2.00
%
5.04
19.84 TUIGn.DE
TUI1 GY
DE
EUR 385
Telecom Italia 1.5
Call Price
Trigger
Next Put
Put Price
Rating
Swiss Prime Site 2
SwissCom (Swiss Confed) 0.2
First Call
Put
Yield to Put
3H
NA
NA
NR
NR
BB-
NR
(P)B
B
1M
NA
NA
NA
TUI 2.75
17.51
2.00
%
3.61
27.68 TUIGn.DE
TUI1 GY
DE
EUR 694
USG People 3
22.99
3.26
%
5.58
17.91 USG.AS
USG NA
NL
EUR 115
Valeo 2.375
33.96
3.62
46.4
2.18
45.80 VLOF.PA
FR FP
FR
EUR 463
31-Jan-07
100
130
NR
A3
Vedanta 4.6
14.98
0.71
%
3.85
14.54 VED.L
VED LN
GB
USD 725
14-Mar-09
100
130
21-Feb-13
100
-0.52%
1H
NA
BB
Vivartia 1.5
24.58
1.00
%
5.55
18.01 VIVr.AT
VIVART GA
GR
EUR 138
27-Jul-10
127
130
29-Jun-12
112.248
-2.49%
NR
NA
NA
Voestalpine 1.5
52.56
2.85
%
5.33
18.75 VOES.VI
VOE AV
AT
EUR 72
1-Jan-09
100
130
NR
NA
NA
Wavecom 1.75
17.00
0.00
31.3
3.19
31.30 WAVC.PA
AVM FP
FR
EUR 70
1-Jan-12
100
130
1-Jan-12
100
4.50%
NR
NA
NA
Wereldhave 2.5
83.39
5.58
%
1.03
97.00 WEHA.AS
WHA NA
NL
EUR 200
Xstrata (Glencore) 4.125
25.09
0.92
%
8.27
7.44 XTA.L
XTA LN
GB
USD 799
20-Oct-08
113.76
130
ABN (Allegro) 1.5
31.85
4.23
%
4.01
24.92 AAH.AS
AABA NA
NL
EUR 40
Accor (CFI) 0.25
55.50
2.88
%
1.79
56.00 ACCP.PA
AC FP
FR
Allianz (BCEE) 0
18-Oct-10
100
130
NR
NA
NA
1M
BAA3
BBB-
AA1
NA
EUR 10
1M
AA1
NA
152.64
3.50
%
0.61
163.65 ALVG.DE
ALV GR
DE
EUR 25
1M
AAA
AA+
Continental (Allegro) 0.25
89.55
2.23
%
0.88
113.72 CONG.DE
CON GR
DE
EUR 10
1M
AA1
NA
DBK (Allegro) 0.25
91.65
5.07
%
1.11
89.92 DBKGn.DE
DBK GR
DE
EUR 10
2M
AA1
NA
DPB (Allegro) 0.25
51.99
2.50
%
1.40
71.48 DPBGn.DE
DPB GR
DE
EUR 20
2H
AA1
NA
E.On (Allegro) 1
Ericsson (Allegro) 0
117.34
3.39
%
1.18
84.85 EONG.DE
23.98
2.29
%
26.25
3.81 ERICb.ST
EOA GR
DE
EUR 33
1M
AA1
NA
ERICB SS
SE
EUR 10
1H
AA1
NA
Page 12
Convertible Bonds
EUR44.28
17-Aug-07
Equity
Bond
Stock Close
Div Yield
Misc
Unit or % Conv Ratio Conv Price
Reuters RIC Bloomberg
Market
Call
Amt Outst. (MM)
Fortis (Allegro) 0
25.92
5.98
%
4.62
21.65 FOR.AS
FORA NA
NL
EUR 45
LVMH (Allegro) 0.5
77.49
2.08
%
1.08
92.43 LVMH.PA
MC FP
FR
EUR 85
Michelin (Allegro) 0
84.20
1.90
%
1.84
54.49 MICP.PA
481.00
2.39
%
0.36
279.55 NESN.VX
Nokia (Allegro) 0.25
21.03
2.33
%
6.83
OMV (Allegro) 0.25
43.00
2.79
%
1.56
Peugeot (Allegro) 1.5
56.92
2.64
%
Philips (Allegro) 0.5
27.11
2.66
RWE (Citi) 0.25
80.48
5.03
SAP (BCEE) 0
38.02
Siemens (BCEE) 0
Siemens (BCEE) 0
Nestlé (Allegro) 0
Swiss Life (Citi) 0
Technip (Allegro) 0.125
Telecom Italia (Allegro) 1
Call Price
Trigger
Next Put
Put Price
Rating
Yield to Put
Citi
Moody
S&P
AA1
NA
1M
AA1
NA
ML FP
FR
EUR 50
1M
AA1
NA
NESN VX
CH
USD 20
1L
NA
NA
14.63 NOK1V.HE
NOK1V FH
FI
EUR 50
1H
NA
NA
64.23 OMVV.VI
OMV AV
AT
EUR 7
2H
NA
NA
1.96
51.11 PEUP.PA
UG FP
FR
EUR 100
1H
AA1
NA
%
3.63
27.58 PHG.AS
PHIA NA
NL
EUR 40
1M
NA
NA
%
1.18
85.05 RWEG.DE
RWE GR
DE
EUR 20
1M
AA1
NA
1.37
%
2.13
46.93 SAPG.DE
SAP GR
DE
EUR 30
1H
AAA
AA+
86.72
2.08
%
1.19
84.26 SIEGn.DE
SIE GR
DE
EUR 10
1M
AAA
NA
86.72
2.08
%
1.19
84.26 SIEGn.DE
SIE GR
DE
EUR 30
1M
AAA
AA+
SLHN VX
CH
CHF 50
2M
AA1
NA
TEC FP
FR
EUR 20
1H
AA1
NA
NA
266.50
2.63
%
0.27
376.74 SLHN.VX
51.47
2.29
%
1.41
71.00 TECF.PA
1.88
6.24
%
28.07
3.56 TLIT.MI
TNT (Allegro) 1
29.69
2.56
%
3.81
26.25 TNT.AS
Total (Allegro) 0
209.94
1.00
%
0.63
Total (Allegro) 0
209.94
1.00
%
Total. (Allegro) 1
209.94
1.00
%
Total..(Allegro) 0
209.94
3.43
%
Vinci (CFI) 0.25
46.70
3.21
%
1.57
1.50
4.81
%
71.75
Vodafone (Allegro) 0
First Call
Put
16-Jan-07
100
120
TIT IM
IT
EUR 30
2M
NA
TNT NA
NL
EUR 25
1M
AA1
NA
159.30 TOTF.PA
FP FP
FR
EUR 80
2L
AA1
NA
0.60
166.85 TOTF.PA
FP FP
FR
EUR 150
2L
AA1
NA
0.54
185.81 TOTF.PA
FP FP
FR
EUR 30
2L
AA1
NA
0.45
221.87 @TOTFn.PA
FR
EUR 120
NR
AA1
NA
63.50 SGEF.PA
1.39 VOD.L
DG FP
FR
#NUM!
1L
AA1
NA
VOD LN
GB
GBP 30
1M
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