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Credit Suisse Credit Suisse’s Guide to Global Fixed Income Indices (PDF)

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					25 October 2006 Fixed Income Research
http://www.credit-suisse.com/researchandanalytics

Credit Suisse’s Guide to Global Fixed Income Indices
Contributors Baldwin Smith +1 212 325 5524 baldwin.smith@credit-suisse.com Deepak Agnani +1 212 325 1559 deepak.agnani@credit-suisse.com Brian Coco +1 212 538 1906 brian.coco@credit-suisse.com Eric Isenberg +1 212 538 9143 eric.isenberg@credit-suisse.com

Summary report of Credit Suisse’s Fixed Income Indices

• Credit Suisse’s Global Liquid Fixed Income Indices provide a comprehensive family of global fixed income indices to track the global fixed income markets. • Each instrument’s price, yield and spread is trader priced daily, providing a highly accurate picture of market performance. • The Credit Suisse Liquid Fixed Income Workbench, a user-friendly application delivered over the Web, enables access to aggregate, sub-index and constituent-level customized information across the various asset classes, maturities, and agency programs. • Over 40 derived analytics and measures, such as asset swap data, excess returns, and other valuable metrics. • All index data are downloadable to an Excel spreadsheet.

FOR IMPORTANT DISCLOSURE INFORMATION relating to analyst certification, the Firm’s rating system, and potential conflicts of interest regarding issuers that are the subject of this report, please refer to the Disclosure Appendix.

25 October 2006

Table of Contents
Overview 4

US
US Treasury Index (USGI) US Treasury Bill Index (TBI) US Inflation Protected Treasury Index (TIPS) Liquid US Agency Index (LUAI) Liquid US Corporate Index (LUCI) LUCI – Crossover Index (USXOVR) Credit Indexed-Note Default Index (CINDI) Credit Suisse EETC Structured Index (DESI) TBA Mortgage Index Notional Bond Indices 6 7 8 9 10 11 12 13 14 15

Developed Europe
European Government Index (EURGI) European Government Inflation Linked Index (EILI) United Kingdom Treasury Index (UKTI) Covered Bond Index (CBI) Liquid Eurobond Index (LEI) LEI – Crossover Index (EUXOVR) Liquid Swiss Index (LSI) 16 17 18 19 20 21 22

Emerging Markets
Mexico Local Govn’t Bond Index (LOBOS) Credit Suisse Latin America Corporate Bond Index (CS-LACI) Sovereign Bond Index (SBI) 23 24 25

Developed Asia
Japan Government Bond Index (JGI) Liquid Japan Corporate Index (LJCI) List of Measures Available Credit Suisse’s Fixed Income Index Platform: User Guide Credit Suisse Credit Curve Builder: User Guide 26 27 28 29 33

Credit Suisse’s Guide to Global Fixed Income Indices

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Overview
Liquid Methodology that concentrates on accuracy and objectivity to create a global set of Fixed Income Index products
A challenge for fixed income investors is accurate and timely pricing of bonds and the aggregations into usable and unique subsets. The Credit Suisse family of index seeks to overcome this challenge in a user-friendly fashion. We have created over 30 different liquid benchmarks that are accurately priced by Credit Suisse traders on a daily basis. This document briefly summarizes all indices we currently calculate. For a detailed view of each particular index, we have published individual documents that pertain to that index and made them available on our website. This document contains summaries of our current index offerings. Credit Suisse offers a comprehensive family of fixed income indices that accurately track the global fixed income markets. These indices provide aggregate data that are consistent, objective, and accurate. Credit Suisse’s indices differ from other indices on the liquidity of their underlying bonds and the accuracy of the bond pricing. Instead of using the imprecise practice of matrix pricing, Credit Suisse’s family of indices rely on traders to provide the price, yield, and spread of highly liquid bonds on a daily basis. Consequently, investors can use these indices both to conduct accurate relative value and portfolio analysis and to gauge market trends and conditions. Individual bond details and accurate bond pricing serve as the foundation upon which the indices are built. The creation of the indices, therefore, necessitates the aggregation and verification of the underlying bond details. Because the indices are built upon such bond specific data, Credit Suisse is able to offer its clients the Global Fixed Income Workbench, which provides flexibility in both manipulating all index information to specified criteria and drilling down to the performance and characteristics of individual bonds. The Workbench enables access to aggregate, sub-index, and constituent level customized information across the various asset classes, maturities, and regions. Clients can use the resulting data to generate five types of analysis from the Report Builder: Times Series Reports, Cross-Dimensional Reports, Single Date Reports, and Composition Reports as well as build Custom Indices. Each of these reports allows the investor to drill down to the performance and characteristics of all individual bonds. Over 40 analytics and measures – including total returns, duration, and convexity – can be applied to the data. The ability to quickly manipulate large sets of data into a form that sheds insight into a particular market – either through graphical analysis or straightforward tabulated data – makes the Workbench a useful tool. The indices provide investors with an accurate market synopsis and the bond details offer further color with the drilldown capability. The index measures are calculated for all levels of the aggregate index, including the individual bonds that make up the index. All index information is available through LOCuS and Bloomberg.

Credit Suisse Credit Curve Builder Website Credit Suisse Credit Curve Builder is a complete platform to access Credit Suisse’s entire database of corporate and Credit Default Swap trader-priced data. Clients can compare all the CDS data to the related corporate bonds. They can also view historicals on the various CDX and ITraxx1 indices by maturity.

1

iTraxx is a trademark of International Index Company Limited.

Credit Suisse’s Guide to Global Fixed Income Indices

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Exhibit 1: Credit Suisse’s Global Fixed Income Indices Chart as of September 2006

Global

U.S.

Developed Europe

Emerging Markets

Developed Asia

Interest Rate Products

Credit

Interest Rate Products

Credit

Interest Rate Products

Credit

Interest Rate Products

Credit

U.S. Treasury Index (USGI)

Liquid U.S. Corporate Index (LUCI)

EU Government Index (EURGI)

Liquid Eurobond Index (Euro)

Mexico’s Local Gov’t Bond Index (LOBOS)

Latin America Corporate Index (CSLACI)

Japanese Government Index (JGI)

Liquid Japanese Corporate Index (LJCI)

U.S.Treasury Bill Index

Liquid CrossOver Index (XOVR)

European Government Inflation Linked Index

Liquid Eurobond Index (GBP)

Sovereign Bond Index (SBI)

Asian Bond Index (ABI) (coming soon)

U.S. Inflation Protected Treasury Index

US Credit Default Swap Index (US-CINDI)

UK Treasury Index

Liquid Eurobond Index ($)

EM Credit Default Swap Index(EM-CINDI)

Japanese Credit Default Swap Index(JP-CINDI)

Liquid U.S. Agency Index (LUAI)

Enhanced Equipment Trust Index (EETC)

Covered Bond Index (CBI)

Euro CrossOver Index (EUXOVR)

Structured

N

EU Credit Default Swap Index (EU-CINDI)

W

TBA Mortgage Index

E

Liquid Swiss Index

Notional Bond S Indices

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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25 October 2006

US Treasury Index (USGI)
USGI is a composite of liquid, tradable US Treasury bonds. All bonds are fixed rate and include callables. History is available from January 6t 2003. The index is trader priced daily providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 2: US Treasury Index (USGI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing US dollar denominated Fixed rate U.S. Treasury bonds, include callables $500 million All indicative levels are entered at bid side at 3:00pm of each trading day. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month 1-3, 3-5, 5-7, 7-10, 10+ years 1/6/2003 USD 1M LIBOR rate Bonds must be greater than one year to be included Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is one day after trade date. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/usgi/home.asp CSTY <GO>

Maturity Breakdown Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
10PLUS (22)

As of September 29, 2006

No of Issues Par Amt Mkt Value
1-3 (37%)

129 $2.04 trillion $2.13 trillion 6.87 4.81

Maturity Yield

7-10 (15%)

5-7 (7) 3-5 (19%)
Source: Credit Suisse Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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25 October 2006

US Treasury Bill Index (TBI)
TBI is a composite of liquid, tradeable US Treasury bills. History is available from January 6, 2003. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 3: US Treasury Bill Index (TBI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing US dollar denominated US Treasury bills $500 million All indicative levels are entered at bid side at 3:00pm of each trading day. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month. 1-3, 3-5, 5-7, 7-10, 10+ years 1/6/2003 USD 1M LIBOR rate Bills must have one month remaining to maturity Bills are traded on a clean price basis (quoted with accrued interest) and settlement is one day after trade date. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/usgi/home.asp CSTP<GO>

Maturity Breakdown Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
10PLUS (22)

As of September 29, 2006

No of Issues Par Amt Mkt Value
1-3 (37%)

129 $2.04 trillion $2.13 trillion 6.87 4.81

Maturity Yield

7-10 (15%)

5-7 (7) 3-5 (19%)
Source: Credit Suisse Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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US Inflation Protected Treasury Index (TIPS)
TIPS is a composite of all issued Inflation Protected Treasury Bonds. History is available from January 6, 2003. The index is trader-priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 4: US Inflation Protected Index (TIPS) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing US dollar denominated US Inflation Protected Treasury Bonds; all bonds are fixed rate $500 million All indicative levels are entered at bid side at 3:00pm of each trading day. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month 1-3, 3-5, 5-7, 7-10, 10+ years 1/6/2003 USD 1M LIBOR rate Bonds must have one year remaining to maturity Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is one day after trade date. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/usgi/home.asp CSTP <GO>

Maturity Breakdown Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
10PLUS (22)

As of September 29, 2006

No of Issues Par Amt Mkt Value
1-3 (37%)

20 $345 billion $402 trillion 10.25 2.34

Maturity Yield

7-10 (15%)

5-7 (7) 3-5 (19%)
Source: Credit Suisse Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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25 October 2006

Liquid US Agency Index (LUAI)
LUAI is a composite of liquid, tradable issues from US agencies with large programmatic issuance programs. Currently, the index includes Fannie Mae notes and bonds; Freddie Mac reference notes; and Federal Home Loan Bank Global Debt Program. History is available from January 4, 2000. The index is trader priced daily providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 5: Liquid US Agency Index (LUAI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing US dollar denominated Bullet structures; fixed, non-zero coupon bonds only. Non- subordinated issues only. $3 billion for maturities less than 11 years; $1 billion for maturities longer than 11 years. All indicative levels are entered at bid side at 3:00pm of each trading day. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month 1-3, 3-5, 5-7, 7-10, 10+ years 1/4/2000 30-day fixed LIBOR rate Bonds must be greater than one year to be included Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is one day after trade date. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/luci/home.asp CSBG <GO>

Maturity Breakdown Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006

As of September 29, 2006

FHLB 19.3%

No of Issues Par Amt Mkt Value Mod Duration

122 $498 billion $508 billion 3.88 5.07

FNMA 42.32%

Yield

FHLMC 38.37%
Source: Credit Suisse Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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25 October 2006

Liquid US Corporate Index (LUCI)
LUCI is a composite universe of the liquid, tradable, US-dollar denominated High Grade issues. History is available from December 31, 1998. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 6: Liquid US Corporate Index (LUCI) Inclusion Rules
US dollar denominated Securities Bullet Structures, Fixed Rate Coupon Only, 144a issues are allowed in the index. Step-up issues with predetermined cash flows are included in the index. All FRNs, Perpetuals, and callable securities are excluded from the index. $250 million All indicative levels are entered at bid side at the end of each trading day by Credit Suisse traders. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month to be included. 1-4, 4-7, 7-10, 10+ years Bonds must be rated five Bs by Moody’s and S&P combined. Investment grade by one of the rating agencies 12/31/1998 30-day LIBOR fixed rate Bonds must be greater than one year to be included Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is three days after trade date. The index does not take transaction costs (bid-offer spreads) into account. Bonds added and deleted from the index are at bid-side. https://gcs.csfb.com/luci/home.asp LUCI <GO>

Minimum Outstanding Index Pricing Rebalancing

Maturity Breakdown Ratings Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost

Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
UTILITY 6% PUBLIC 8% FINANCIAL 27%

As of September 29, 2006

No of Issues Par Amt Mkt Value Mod Duration Yield

798 $599 billion $617 billion 6.91 5.81

INDUSTRIAL 58%

Source: Credit Suisse

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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LUCI – Crossover Index (USXOVR)
USXOVR is a diversified basket of the liquid crossover corporate issues in the US market. The crossover universe allows the potential for a significant pickup in yield versus investment grade without a significant increase in business risk. Many of the credits in this universe are fallen angels and although they are sub-investment grade, the familiarity with these names makes them attractive candidates for taking risk at the lower end of the investable universe. History is available from December 31, 2003. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers. As there is no true definition for a crossover bond, the following outlines Credit Suisse’s inclusion rules for creating this index.

Exhibit 7: LUCI – Crossover Index (USXOVR) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Ratings US dollar denominated All bonds are bullet structures $200 million Calculated each trading day using 4 p.m. end-of-day marks. Index composition is updated once a month on the last business day of the month. 1-4, 4-7, 7-10, 10+ years Inclusion in the index requires that bonds be rated below investment grade by at least either S&P or Moody’s. Any bonds with a combined six Bs or higher are not included nor are bonds that have dropped below investment grade in the past four years or bonds that are non-investment grade but have been upgraded by two notches by S&P or Moody’s over the past two years. 12/31/2003 USD one-month LIBOR rate All securities must have one year remaining to maturity and maturity must be at least two years at the date of issuance. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/luci/home.asp XOVR <GO>

Index Inception Coupon Reinvestment Minimum Maturity Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006

As of September 29, 2006

No of Issues
1-4 10PLUS

118 $ 79 billion $ 77 billion 11.57 7.58 6.34

Par Amt Mkt Value Maturity Yield Mod Duration

4-7

7-10

Source: Credit Suisse

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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25 October 2006

Credit Indexed-Note Default Index (CINDI)
CINDI covers 100 of the most liquid, tradeable corporate names in their respective markets. Separate indices have been developed for different regions, including US, Europe, Japan and Emerging Markets. History is available from September 20, 2002. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 8: Credit Indexed-Note Default Index (CINDI) Inclusion Rules
Securities Minimum Outstanding Index Pricing Most liquid credit default swaps for each region. None Calculated each trading day using 3 p.m. end-of-day trader spreads. Since the market deems the 5-year tenor the most liquid, the spreads and returns are based on the 5-year CDS. The indices will have a fixed composition of entities that will be rebalanced quarterly on rebalancing dates. None Reference entities will only drop out of the index if they are no longer rated investment grade by S&P or Moody’s. Equally weighted 3/12/2001 To equate the CDS market to the cash market, returns will be derived from the equivalent Credit Linked Note (CLN) which will provide a total return equal to the accrued 90-day LIBOR plus the CDS spread The index does not take transaction costs (bid-offer spreads) into account. The index is calculated using all midpoint end-ofday levels. https://gcs.csfb.com/cdsi/home.asp USCD <GO>, EUCD <GO>

Rebalancing Maturity Breakdown Ratings Index Weighting Index Inception CLN Methodology

Transaction Cost

Website Bloomberg Ticker
Source: Credit Suisse

Exhibit 9: Historical Credit Default Spreads of the US, Europe and the Japanese Market
250 200 150 100 50 0 Mar-03 Mar-04 Mar-05 Sep-02 Sep-03 Sep-04 Sep-05 Mar-06 Sep-06 Jun-03 Jun-04 Jun-05 Dec-02 Dec-03 Dec-04 Dec-05 Jun-06 EU-CINDI JP-CINDI US-CINDI

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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25 October 2006

Credit Suisse EETC Structured Index (DESI)
DESI is a basket of liquid, tradeable US corporate EETC market issues. History is available from October 2, 2000. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 10: Credit Suisse EETC Structured Index (DESI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing US dollar denominated Fixed, non-zero coupon bonds only with either bullet or amortizing structures that pay coupons semi-annually. $100 million Calculated each trading day using 4 p.m. end-of-day marks. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month 7-10, 10+ years All issues must be rated investment grade by either S&P or Moody’s. All non-investment grade bonds are not included in the index. 3/12/2001 USD one-month LIBOR rate Bonds must have one year remaining to maturity and maturity must be at least two years at date of issuance Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is three days after trade date. The index does not take transaction costs (bid-offer spreads) into account. All bonds are priced on a clean price basis. https://gcs.csfb.com/luci/home.asp

Maturity Breakdown Ratings

Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website
Source: Credit Suisse

As of September 29, 2006
1-4

As of September 29, 2006

No of Issues Par Amt in Peso Mkt Value in Peso Maturity Yield

29 10 billion 10 billion 8.75 6.77 4.45

10PLUS

Mod Duration

4-7

7-10

Source: Credit Suisse

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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TBA Mortgage Index
TBA Mortgage Index offers a liquid representation of the Agency mortgage market. Our TBA paydowns provide diversification across MBS pools. Five new indices comprise the TBA mortgage index. The most extensive covers both 30-year and 15-year fixed rate pass-throughs issued by Fannie Mae, Ginnie Mae, or Freddie Mac. The four other indices cover only subsets of the pass-through market, but are designed to offer quick, easy access to a segment of the US agency pass-through market. Together they offer diversification across coupon, maturity, agency, and pools. History is available from January 3, 1994. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 11: TBA Mortgage Index Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing US dollar denominated Agency mortgage bonds None Derived from the TBA one-month forward price as recorded by the Credit Suisse trading desk at the close of each business day. Reweighted monthly by an algorithm chosen to insure that only the most liquid agency pass-throughs are included. 15-year and 30-year None 1/3/1994 1-month BBA LIBOR rate None https://gcs.csfb.com/mtgi/home.asp CSBI <GO>

Rebalancing Maturity Breakdown Ratings Index Inception Coupon Reinvestment Minimum Maturity Website Bloomberg Ticker
Source: Credit Suisse

Exhibit 12: Index Statistics
As of September 29, 2006

No of issues TBA Mortgage Index FH FN GN 15 Yrs 30 Yrs
Source: Credit Suisse

Duration 5.13 5.09 5.1 5.41 4.38 5.35

Convexity -0.83 -0.74 -0.84 -1.07 -0.3 -0.98

% Weight of Index 100 38.13 51.41 10.46 22.69 77.31

36 12 12 12 18 18

Credit Suisse’s Guide to Global Fixed Income Indices

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Notional Bond Indices
Credit Suisse’s Notional Bond Indices track the total return of theoretical bond funds invested in a portfolio of bonds purchased at par with semi-annual coupons equal to the swap rate at issuance. Each of the five indices comprises a portfolio of 2-, 5-, 10- and 30year notional bonds weighted to create diverse average durations of Long, Intermediate, Barbell, Limited, and Short Duration. History is available from December 30, 1994. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 13: Notional Bond Indices Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing US dollar denominated None None Calculated each trading day using 3 p.m. end-of-day marks. Rebalanced semi-annually. The indices have a fixed weighted composition of notional bonds of four different maturities (2, 5, 10 and 30 years) These rebalancings maintain target durations, so the weightings of the different maturities will be constant through time. 2, 5, 10 and 30 years Inclusion in the index requires that bonds be rated below investment grade by at least either S&P or Moody’s. Any bonds with a combined six Bs or higher are not included nor are bonds that have dropped below investment grade in the past four years or bonds that are non-investment grade but have been upgraded by two notches by S&P or Moody’s over the past two years. 12/30/1994 None None The index does not take transaction costs (bid-offer spreads) into account. The multiple indices were set up to represent five distinctly different duration profiles. (See Table 1) CNBI <GO>

Maturity Breakdown Ratings

Index Inception Coupon Reinvestment Minimum Maturity Transaction Cost Duration Bloomberg Ticker
Source: Credit Suisse

Exhibit 14: Credit Suisse Notional Bond Indices <Index> CNBI
Bloomberg Ticker 2Y CSNBI Barbell Duration CSNBI Limited Duration CSNBI Short Duration CSNBI Intermediate Duration CSNBI Long Duration
Source: Credit Suisse

Maturity Composition 5Y 5% 5% 40% 20% 5% 10Y 5% 5% 5% 40% 50% 30Y 50% 20% 30% 25% 40%

NBISBRBL<Index> NBISLIMI <Index > NBISSHDU <Index> NBISINTD <Index> NBISLODU <Index>

40% 70% 25% 15% 5%

Credit Suisse’s Guide to Global Fixed Income Indices

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European Government Index (EURGI)
EURGI includes bonds from any member of the European Monetary Union with a frequent issuance program. Currently this includes Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, and Spain. History is available from January 4, 2000. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 15: European Government Index (EURGI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Index Inception Coupon Reinvestment Minimum Maturity Trading & Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

Euro denominated European government fixed, non-zero coupon bonds. Nonsubordinated debt issues only. All bonds are bullet structures 1 billion euros Calculated each trading day using end-of-day marks The bond list for the index is updated once per month. 1-3, 3-5, 5-7, 7-10, 10-12, 12+ years January 4, 2000 One-month LIBOR rate Must have at least one year remaining to maturity Bonds trade on a clean price basis and are generally settled in three business days after the trade date The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/eurgi/home.asp LEID <GO>, LEIE <GO>, and LEIS<GO>

As of September 29, 2006

As of September 29, 2006

PORTUGAL NETHERLAN DS

SPAIN

AUSTRIA

No of Issues
BELGIUM FINLAND

233 €2.96 trillion €3.18 trillion 8.66 3.74

Par Amt Mkt Value Maturity Yield
FRANCE

Mod Duration

ITALY

IRELAND GREECE GERMANY

Source: Credit Suisse

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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European Government Inflation Linked Index (EILI)
EILI consists of inflation-linked bonds that are used for diversification purposes and for explicit protection against inflation. History is available from December 31, 2002. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 16: European Government Inflation-Linked Index (EILI) Inclusion Rules
Currency Securities Euro denominated Inflation-linked bonds. All bonds are bullet structures and are linked to either a Euro or French index. Zero coupon bonds are excluded from this index. One billion euros Calculated each trading day using end-of-day marks The bond list for the index is updated once per month at the end of each month 1-3, 3-5, 5-7, 7-10, 10-12, 12+ years All bonds must have an investment grade rating by either S&P or Moody’s. 12/31/2002 One-month EURIBOR rate All bonds must have more than a year to maturity and at issuance must have a maturity of at least two years The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/eurgi/home.asp EUIF <GO>

Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Ratings Index Inception Coupon Reinvestment Minimum Maturity Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006

As of September 29, 2006

No of Issues Par Amt Mkt Value
ITALY

17 €166 billion €189 billion 10.28 1.685 8.52

Maturity Yield Mod Duration

FRANCE GREECE GERMANY

Source: Credit Suisse

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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United Kingdom Treasury Index (UKTI)
UKTI includes bonds issued by the UK Government. History is available from January 4, 2000. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 17: Untied Kingdom Treasury Index (UKTI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Index Inception Coupon Reinvestment Minimum Maturity Trading & Settlement Transaction Cost Sterling denominated UK government fixed, non-zero coupon bonds. One billion sterling Calculated each trading day using end-of-day marks The bond list for the index is updated once per month. 1-3, 3-5, 5-7, 7-10, 10-12, 12+ years January 4, 2000 One-month LIBOR rate Must have at least one year remaining to maturity Bonds trade on a clean price basis and settle one business day after the trade date The index does not take transaction costs (bid-offer spreads) into account.

Source: Credit Suisse

As of September 29, 2006
1-3

As of September 29, 2006

No of Issues Par Amt Mkt Value Maturity Yield Mod Duration

24 £ 284 billion £ 309 billion 14.58 4.48 8.92

12PLUS

3-5

5-7

7-10 10-12

Source: Credit Suisse

Source: Credit Suisse

Credit Suisse’s Guide to Global Fixed Income Indices

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Covered Bond Index (CBI)
CBI consists of euro-denominated covered bonds. The definition of a covered bond: the bonds must have been issued on the basis of legal provisions to protect their holders; they must be subject to special supervision by the public authorities; the sums derived from these bonds must be invested in conformity with the law in assets that are capable of covering claims attached to the bonds; in the event of failure of the issuer, the assets would be used on a priority basis for reimbursement of the principal and payment of the accrued interest of the bonds; and member states must notify the European Commission. History is available from January 4, 2000. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 18: Covered Bond Index (CBI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Ratings Euro denominated Fixed, non-zero coupon bonds only One billion euros Calculated each trading day using end-of-day marks The bond list for the index is updated once per month. 1-3, 3-5, 5-7, 7-10, 10-12, 12+ years Minimum grade admitted is BBB- / Baa3, thus only investment grade bonds are included. Issues rated by both S&P and Moody’s. The lower of the two ratings is used as the issue’s credit rating. Non-rated issues are not included. 1/4/2000 for dollar and euro indices; 5/2/2000 for sterling indices One-month EURIBOR rate Bonds within the index must have more than a year to maturity and at issuance they must have a maturity greater than one year from the first business day of the month of inclusion The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/cdsi/home.asp

Index Inception Coupon Reinvestment Minimum Maturity

Transaction Cost Website
Source: Credit Suisse

As of September 29, 2006
UNITED KINGDOM AUSTRIA FINLAND FRANCE

As of September 29, 2006

No of Issues Par Amt in Peso Mkt Value in Peso Maturity

348 €622 billion €637 billion 5.71 3.82 4.67

SPAIN

Yield Mod Duration

NETHERLANDS

GERMANY LUXEMBOURG ITALY IRELAND
Source: Credit Suisse Source: Credit Suisse

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Liquid Eurobond Index (LEI)
LEI is a market capitalization-weighted index that tracks the liquid portion of the dollar, euro, and sterling European corporate bond markets. History is available from January 4, 2000. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 19: Liquid Eurobond Index (LEI) Inclusion Rules
Currency Securities US dollar, euro and sterling denominated All liquid issues in the Eurobond and global markets that are fixed, non-zero coupon bonds. Must have bullet maturity with no callable, putable, or sinking fund structures. $325 million, 325 million euros, or 225 million sterling Calculated each trading day using marks as of 4 p.m. London time The bond list for the index is updated once per month, four business days before the last business day of the month. 1-4, 4-7, 7-10, 10+ years Minimum grade admitted is BBB- / Baa3, thus only investment grade bonds are included. For issues rated by both S&P and Moody’s the lower of the two ratings is used as the issue’s credit rating. Non-rated issues are not included. 1/4/2000 for dollar and euro indices; 5/2/2000 for sterling indices One-month LIBOR rate (or EURIBOR) Bonds must have one year from the last business day of the previous month remaining to maturity All bonds are assumed to settle in three business days. The index does not take transaction costs (bid-offer spreads) into account. (Bid-ask spread typically 25-50 bps) https://gcs.csfb.com/lei/home.asp LEID <GO>, LEIE <GO>, and LEIS<GO>

Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Ratings

Index Inception Coupon Reinvestment Minimum Maturity Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

Exhibit 20:
As of September 29, 2006

LEI Euro No. Of Issues Par Amount Market Value Maturity Mod Duration Yield
Source: Credit Suisse

LEI Sterling 328 176 billion Sterling 189 billion Sterling 12.37 7.59 5.10

LEI Dollar 411 $558 billion $567 billion 5.79 4.19 5.22

653 €732 billion €763 billion 5.99 4.69 4.00

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LEI – Crossover Index (EUXOVR)
EUXOVR is a diversified basket of the liquid crossover corporate issues in the European market. The crossover universe allows the potential for a significant pickup in yield versus investment grade without a significant increase in business risk. Many of the credits in this universe are fallen angels and although they are sub-investment grade, the familiarity with these names makes them attractive candidates for taking risk at the lower end of the investable universe. History is available from December 31, 2003. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers. Since there is no true definition for a crossover bond, the following outlines Credit Suisse’s inclusion rules for creating this index.

Exhibit 21: LEI – Crossover Index (EUXOVR) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Ratings Euro denominated All bonds are bullet structures €200 million Calculated each trading day using 4 p.m. end-of-day marks. Index composition is updated once a month on the last business day of the month. 1-4, 4-7, 7-10, 10+ years Inclusion in the index requires that bonds be rated below investment grade by at least either S&P or Moody’s. Any bonds with a combined six Bs or higher are not included nor are bonds that have dropped below investment grade in the past four years or bonds that are non-investment grade but have been upgraded by two notches by S&P or Moody’s over the past two years. Unrated bonds will only be considered for inclusion if the issuer is or has been a constituent of the ITraxx Crossover CDS index. 12/31/2003 One-month LIBOR rate All securities must have one year remaining to maturity and maturity must be at least two years at the date of issuance. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/lei/home.asp EUXO <GO>

Index Inception Coupon Reinvestment Minimum Maturity Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29t, 2006
10PLUS 7-10

As of September 29, 2006

No of Issues Par Amt Mkt Value Maturity Yield Mod Duration
1-4

45 € 34 billion € 35 billion 5.01 5.70 3.58

4-7

Source: Credit Suisse

Source: Credit Suisse

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Liquid Swiss Index (LSI)
LSI is a composite of liquid, tradeable issues from the Swiss corporate bond market. History is available from September 18, 2002. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 22: Liquid Swiss Index (LSI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing CHF denominated Fixed, non-zero coupon bonds; Bullet structures; coupons paid annually; CHF 300 million Calculated each trading day using end-of-day marks. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month 1-4, 4-7, 7-10, 10+ years Minimum grade admitted is Low BBB. If either Moody’s, S&P or Credit Suisse rates a bond non-investment grade, the bond is not included in the universe. 9/18/2002 CHF one-month LIBOR rate Bonds must have one year remaining to maturity Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is three days after trade date. The index does not take transaction costs (bid-offer spreads) into account. (Bid-ask spread typically 25-50 bps) https://gcs.csfb.com/lsi/home.asp LSID <GO>

Maturity Breakdown Ratings

Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
UTILITY (1%) FINANCIAL (16%)

As of September 29, 2006

No of Issues Par Amt Mkt Value
INDUSTRIAL (6%)

557 328 billion CHF 341 billion CHF 6.44 2.46 5.43

Maturity Yield Mod Duration

5

PUBLIC (61%)

PFANDBRIEFE (17%)

Source: Credit Suisse

Source: Credit Suisse

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Mexico Local Govn’t Bond Index (LOBOS)
LOBOS is a comprehensive index that includes all domestic and international bonds issued by the Mexican federal government. History available from December 31, 2000. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 23: Mexico Local Government Bond Index (LOBOS) Inclusion Rules
Currency Securities Peso, US dollar and euro denominated Cetes – zero coupon Mexican Treasury bills issued weekly at a discount with maturities up to one year Bondes – peso-denominated floating rate bonds that pay a semi-annual coupon, have a 5year maturity, and have an inflation protection feature Bonos – peso-denominated fixed rate bonds Udibonos – fixed rate bonds denominated in UDIs (similar to pesos but do not lose value with inflation) PICs, CBICs – 20- and 30-year real return bonds denominated in UDIs that were issued by Banobras to bail out the country’s highway system after the 1994 devaluation UMS – Mexican intl bonds denominated in USD and EUR Structured Weighting Determination In order to normalize the index and give a common term to returns, all the bond balances are converted to pesos. Weights are then based on market capitalization and index characteristics. These weightings are fixed as of the last business day of the previous month Rebalancing Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month Maturity Breakdown Index Breakdown Index Inception Coupon Reinvestment Minimum Maturity Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

<1 year, 1-3 years, 3-5 years, 5-10 years, and 10+ years LOBOS index is broken down by instrument types, maturity buckets, and currencies 12/31/2000 – the index is normalized to 100 as of 12/31/2004 Peso 28-Day Cetes rate Bonds must have one year remaining to maturity and maturity must be at least two years at date of issuance The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/lobos/home.asp LOBO <GO>

As of September 29, 2006
Bondes(9%)

As of September 29, 2006

No of Issues Par Amt in Peso Mkt Value in Peso Average Life Yield Mod Duration
Bonos(31%)

87 1.57 trillion 1.68 trillion 7.7 6.373 4.97

UMS(29%)

Udibonos(9%) PIC(0.4%) Cetes(14%)
Source: Credit Suisse

CBIC(7%)
Source: Credit Suisse

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Credit Suisse Latin America Corporate Bond Index (CS-LACI)
CS-LACI is a diversified basket of liquid, tradeable Latin American corporate bond issues that are denominated in US dollars. It provides a region-specific benchmark that represents characteristics, pricing, and total return performance of different asset classes within the Latin American corporate bond universe. The index is divided into three different categories, including supranational, quasi-sovereign, and corporate bonds and can be broken down by country of issuance. History is available from November 1, 2001.

Exhibit 24: CS Latin America Corporate Bond Index (CS-LACI) Inclusion Rules
Currency Securities Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown US dollar denominated All bonds must be issued under the jurisdiction of a country in Latin America. Quasi-sovereign and supranational issues are eligible for inclusion. No treasury or sovereign issues are included. $100 million Calculated each trading day using end-of-day marks The bond list for the index is updated once per month at the end of each month. 1-4, 4-7, 7-10, 10+ years Callable and putable bonds are classified by their next option date. Defaulted bonds are placed into a non-performing bucket since they do not trade to their maturity date. The index will be broken down into High Grade, High Yield, and Distressed asset classes. If one or more of S&P, Moody’s and Fitch rate a bond investment grade, the bond will be placed into the High Grade asset class. Otherwise the average rating of the three agencies will be used to determine the appropriate asset class. If the rating is below CCC the bond is considered to be in distress. Above CCC and below BBB- is considered high yield. 11/1/2001 USD one-month LIBOR rate All performing securities must have a minimum of one year to maturity and at least two years to maturity at the date of issuance. Non-performing securities have no maturity date requirements. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/laci/home.asp LABI <GO>

Asset Classes Ratings

Index Inception Coupon Reinvestment Minimum Maturity Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006

As of September 29, 2006

No of Issues
Not Rated D Bucket C Bucket CCC Bucket B Bucket A Bucket Non Performing

175 $ 63 billion $ 66 billion 7.9 6.91 5.06

Par Amt Mkt Value Maturity Yield Mod Duration

BB Bucket BBB Bucket

Source: Credit Suisse

Source: Credit Suisse

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Sovereign Bond Index (SBI)
SBI is a diversified basket of liquid, tradeable US lower-rated sovereign issues. Two asset classes (performing and non-performing) ensure meaningful risk measures for both performing and non-performing assets. History is available from December 1, 2004.

Exhibit 25: Sovereign Bond Index (SBI) Inclusion Rules
Currency Securities US dollar denominated Only bonds issued by a country or its central bank are included. All bonds must be issued under US or UK jurisdiction. Issues included only if it represents more than 25% of remaining total face value of the foreign debt of the issuer. All subordinated debt is excluded. Reg S bonds will be included only after an appropriate seasoning period $ 500 million Calculated each trading day using end-of-day marks. Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month 1-4, 4-7, 7-10, 10+ years All sovereigns with a credit rating A+ and below are included. Issues that are not rated are also included and if an issue is rated by both S&P and Moody’s, the lower of the two ratings is used as its credit rating. 9/18/2002 USD one-month LIBOR rate Bonds must have one year remaining to maturity and maturity must be at least two years at date of issuance Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is three days after trade date. The index does not take transaction costs (bid-offer spreads) into account. (Bid-ask spread typically 15-25 bps) https://gcs.csfb.com/sbi/home.asp CSSI <GO>

Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Ratings

Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
Middle East(6%)
Central America & Caribbean(4%)

As of September 29, 2006

No of Issues Par Amt Mkt Value Maturity Yield I-Rate Duration

182 258 billion 286 billion 13.74 6.53 6.83

Europe(24%)

North America(13%)

Africa(3%)

Asia & Pacific Rim(15%)

South America(35%)

Source: Credit Suisse

Source: Credit Suisse

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Japan Government Bond Index (JGI)
JGI tracks only the liquid, tradeable portion of the Japanese Government bond market. History is available from January 4, 1994. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 26: Japan Government Bond Index (JGI) Inclusion Rules
Currency Securities Yen denominated Japanese government issued and listed on Tokyo Stock Exchange. Fixed, non-zero coupon bonds only, which are included one month after they have been issued. 10 billion yen Calculated each trading day using end-of-day marks. The bond list for the index is updated once per month at the end of each month. 1-3, 3-5, 5-7, 7-10, 10+ years There are four allocations at issuance: competitive bidding, noncompetitive bidding, underwritten with fixed allocation, public sector allocation. Credit Suisse uses the competitive amount to determine initial liquid amount. 11/30/2001 JPY one-month LIBOR rate Bonds within the index must have more than one year to maturity and must have had a maturity greater than two years at issuance. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/jgi/home.asp LAJG <GO>

Minimum Outstanding Index Pricing Rebalancing Maturity Breakdown Issue Amount

Index Inception Coupon Reinvestment Minimum Maturity

Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
UTILITY (18%) FINANCIAL (28%)

As of September 29, 2006

No of Issues Par Amt Mkt Value Maturity Yield Mod Duration

228 ¥ 297 trillion ¥ 303 trillion 6.66 1.18 5.57

PUBLIC (38%)

INDUSTRIAL (16%)

Source: Credit Suisse

Source: Credit Suisse

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Liquid Japan Corporate Index (LJCI)
LJCI is a composite of liquid, tradeable issues from the Japanese corporate bond market. History is available from December 17, 2001. The index is trader priced daily, providing a highly accurate picture of market performance for active portfolio managers.

Exhibit 27: Liquid Japan Corporate Index (LJCI) Inclusion Rules
Currency Securities Yen denominated Bullet structures; coupons paid semi-annually; Issuers whose total par amount exceeds 15% of the total amount of straight bullet bonds outstanding in the Japanese corporate bond market. 1 billion Yen All indicative levels are entered at bid side at 3:00 p.m. of each trading day Index composition is updated once a month on the first business day of the month. All new issues must settle before the last business day of the month 1-4, 4-7, 7-10, 10+ years Investment grade by one of the rating agencies: Moody’s, S&P or R&I. Any issue solely rated by R&I may be omitted and all non-investment grade bonds will not be included. 1/4/2000 JPY 1M LIBOR rate Bonds must be greater than one year to be included Bonds are traded on a clean price basis (quoted with accrued interest) and settlement is three days after trade date. The index does not take transaction costs (bid-offer spreads) into account. https://gcs.csfb.com/ljci/home.asp CSBJ <GO>

Minimum Outstanding Index Pricing Rebalancing

Maturity Breakdown Ratings

Index Inception Coupon Reinvestment Minimum Maturity Trading and Settlement Transaction Cost Website Bloomberg Ticker
Source: Credit Suisse

As of September 29, 2006
UTILITY (18%) FINANCIAL (28%)

As of September 29, 2006

No of Issues Par Amt Mkt Value Maturity Yield Mod Duration

318 $20.8 trillion $21 trillion 5.17 1.33 4.57

PUBLIC (38%)

INDUSTRIAL (16%)

Source: Credit Suisse

Source: Credit Suisse

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List of Measures Available
Statistics
Macauley Duration Modified Duration Convexity DV01 Coupon % Weight of Index Par Amount Mkt Value

Total Returns
1 Day Total Return WTD Total Return MTD Total Return QTD Total Return YTD Total Return Total Return Index Level

Price Returns
1 Day Price Return WTD Price Return MTD Price Return QTD Price Return YTD Price Return Price Return Index Level 1 Day Excess Return WTD Excess Return MTD Excess Return QTD Excess Return YTD Excess Return Excess Return Index Level

Hedged and Unhedged Total Returns
Currency Hedged and Unhedged Return 1D, WTD, MTD, and YTD Available Currencies USD, EUR, GBP, CHF, JPY, AUD

Excess Returns
1 Day Excess Return over Swaps WTD Excess Return over Swaps MTD Excess Return over Swaps QTD Excess Return over Swaps YTD Excess Return over Swaps Excess Swap Return Index Level

Swap Spreads
AssetSwap Spread 1 Day AssetSwap Spread Chg WTD AssetSwap Spread Chg MTD AssetSwap Spread Chg QTD AssetSwap Spread Chg YTD Day AssetSwap Spread Chg I-Spread 1 Day I-Spread Chg WTD I-Spread Chg MTD I-Spread Chg QTD I-Spread Chg YTD Day I-Spread Chg Z-Spread 1 Day Z-Spread Chg WTD Z-Spread Chg MTD Z-Spread Chg QTD Z-Spread Chg YTD Day Z-Spread Chg

Benchmark Spreads
Benchmark Spread 1 Day Benchmark Spread Chg WTD Benchmark Spread Chg MTD Benchmark Spread Chg QTD Benchmark Spread Chg YTD Day Benchmark Spread Chg OAS Spread 1 Day OAS Spread Chg WTD OAS Spread Chg MTD OAS Spread Chg QTD OAS Spread Chg YTD OAS Spread Chg Spread Over YC

Cross Currency Swaps
Swap to USD Swap to EUR Swap to GBP Swap to JPY Swap to CHF Swap to AUD Swap to MXN

Source: Credit Suisse

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Credit Suisse’s Fixed Income Index Platform: User Guide
ACCESSING THE INDICES
The Fixed Income indices are available to both internal and external clients who have access to the Research and Analytics website.

• Access the “Research & Analytics Website”

http://research-and-analytics.csfb.com/

• Click on the “Fixed Income” menu tab and select the “High Grade Products” option • Click on the “FI Liquid Indices” link in Strategy and Analytics section on the left-hand navigational bar • The Fixed Income Liquid Indices home page now displays

You may launch the index of your choice by using the links along the top, or left side of the page. You may select any one of the six categories: • Interest Rate Product Indices (IRPI) • Liquid US Corporate Index (LUCI) • Liquid Eurobond Index (LEI) • Credit Default Swap Index (CINDI) • Liquid Japanese Corporate Index (LJCI) • Liquid Swiss Index (LSI) • TBA Mortgage Index (MTGI) • Latin America Corporate Index (CS-LACI) • Mexico’s Local Bond Index (LOBOS)

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WORKBENCH COMPONENTS
Each Index Workbench will contain these components (except for the MTGI, TSY and CINDI, which does not have a Cross Currency Securities Selector): Analysis
Report Builder Graphic Analysis Cross Currency Securities Selector Saved Reports/Graphs Select and customize one of four value analysis reports. Select and customize graphs to compare specific indices, issuers and issues. Define the selection process by currency, credit rating, industry sector or maturity sector. View a report from your Saved Reports/Graphs folder.

Reports These are static daily or monthly reports that allow users to view data by any specified date. They include: • • • • • Daily Returns Daily Statistics Monthly Add/Drops Monthly Profiles Publications

USING REPORT BUILDER
You may build one of four general types of value analysis reports and customize them by choosing your own criteria. The results are represented in a dynamic table that can be drilled for further detail, and then downloaded to Microsoft Excel. • Click on the index of Interest e.g. LUCI • Next, click on Analysis to go into the Workbench • From the Workbench select Report Builder, click GO • From Select Report choose either Time Series, Standard, Cross Dimensional or Composition • If you have chosen Standard, Cross Dimensional or Composition as the report type, select a date in the Highlight Area Time section, • If you have chosen Time Series as the report type, first chose a Time Interval from the right side of the screen, then select both a From and To start date, in the Highlight Area ROWS section NOTE: To select the date click on the calendar icon, which will open up a calendar window. If you select Current from the Relative Dates list box, and save the report, you will be able to view this report at a later date with the most recent data without having to recreate your query. Saved Reports/Graphs will be discussed at a later point in this report. • If you have selected Standard or Composition as your report type, click in the DIMENSIONS staging area, then from the right side of the screen beneath the title DIMENSION, choose from the Universe list: LUCI Index, Agency Index or EETC (DESI) Index • If you have selected Time Series or Cross Dimensional as your report type, click in the DIMENSIONS staging area, then from the right side of the screen beneath the title DIMENSION, choose from the Universe list: LUCI Index, Agency Index or EETC (DESI) Index. If required, select a Maturity, Rating and Industry Sector as well
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• Click in the COLUMNS staging area, and then from the right side of the screen beneath the title MEASURE, drill down into the selected field you require: measures are broken into eight different categories, e.g., Total Returns, Excess Returns, Statistics. • Clicking on the category will open up the underlying options to select from. • Once all the measures have been selected, click the Create Report link This will create a report that allows you to “drill down” to bond level detail by clicking on any value, or to sector, maturity and rating summary detail by clicking on a row heading. You may drill down on a header or number that turns red when you roll the mouse over it. Drilling down on a header delivers finer detail into that dimension. Drilling down on a number delivers the individual bonds that compose the specified index for the corresponding date.

USING GRAPHIC ANALYSIS
Graphic Analysis enables you to graph one or many Indices, issuers or issues accompanied by the underlying downloadable data. This feature allows for flexible comparison analysis of all possible data that compose the Index. • Determine what date range you need to build your graphic analysis. • Choose the primary universe by selecting an index, issuer, issue or cusip. • Use the radio buttons on the bottom left for advanced queries. • Choose Graph 2 Measures option to plot, for example, Clean Price vs. Yield on a Y1 and Y2 axis. • Choose Create Comparison Series to compare as many Indices/Issuers/Issues as you wish. • Select an available measure or measures depending on the type of graph chosen.

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SAVED REPORTS AND GRAPHS
Any report/graph that is built by any of the indices may be saved by clicking on the disk icon (shown below) after creating the report.

The disk icon is found at the top of every report/graph. After clicking on it, you will open the Stored Reports window, which allows you to save your report after naming it and adding a description. Your saved reports can be accessed from the Analysis page of every index. You can run or delete reports in the Saved Reports folder. Once you have Run a saved report, that URL can be copied and sent via mail/Bloomberg to anyone with an R&A ID & password.

DOWNLOADING DATA TO EXCEL
Data can also be downloaded into a new Excel workbook by clicking on the Excel icon found at the top of any report. Clicking this button will launch the file download window, which will give the user the option of saving the file to disk, or launching it from its current location.

CREATING DYNAMIC LINKS TO EXCEL WORKSHEETS
In order to create a dynamic link from a report built in the indices to an Excel worksheet, you must first save a report. The previous note about creating a report with Current as the date option comes into play now. By saving a report with the relative date as current you will now be able retrieve this report on a daily basis with the updated data in excel. To create the dynamic link: • Open the Saved Reports folder of any index • Right click on run for the report you wish to import into Excel • After right clicking, select from the right-click menu Copy Shortcut • Open a new Excel worksheet. Select the Data menu, then Get External Data, New Web Query • In the New Web Query window, beneath Item 1, click to place your cursor in the text box, then press CTRL + V to paste the URL into that field • Beneath Item 2, select The entire page • Click on the Advanced button, and check the Disable date recognition checkbox • There is no need to make any selection for Item 3 • Click on OK • In the pop-up window that results, first select the Properties button. Select the Refresh data on file open checkbox if you wish to have the data refresh every time you open your spreadsheet. • Click on OK • To complete the process, click OK again • You may have to enter your Research and Analytics Username and Password to create the spreadsheet. • If data do not appear, click the Refresh Data button on the External Data toolbar NOTE: This will not work for saved graphs

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Credit Suisse Credit Curve Builder: User Guide
OVERVIEW
Credit Suisse Credit Curve Builder is a complete platform to access Credit Suisse’s entire database of corporate and CDS trader-priced data.

ACCESSING THE WEBSITE
To access the Credit Suisse Credit Curve Builder website: • • Enter the URL: https://gcs.csfb.com/curves At the login prompt, please enter your Research & Analytics username and password.

This will take you to the home page, where you can view the three additional category tabs for the site: Curve Builder, Time Series and Saved Views.

CURVE BUILDER COMPONENTS
There are four main category tabs located in the top left corner of the screen. They are: • Home – Enables you to view the “CDS 5 Yr Biggest Spread Movers For Investment Grade or High Yield Universe” of data and to view the “Corporate Bond Biggest Movers For Investment Grade Universe”. Curve Builder – Helps you build complete term structure curves for various CDS reference entities. Time Series – Allows you to select various reference entities and CDS time points to create a historical time series. Also enables you to make sector comparisons and cash bond selections from the Corp. Bond Series tab. Saved Views – Allows you to save CDS Curve views and Time Series views and access them for later use.

• •

•

USING THE HOME PAGE
From the Home category tab, you may view the largest CDS 5 year spread movers as well as the biggest corporate bond movers. Initially, the page has a default setting, but users have the ability to change these settings. For the CDS 5-Year: • • • • • Choose the currency in which you would like to view your detail (USD, EUR, GBP and JPY). Select the time increment for change (1 day, week, month or year). Select the number of results to display (top 10, 15 or 100). Choose whether to sort by absolute or percentage change in spread. Choose whether to show investment grade issues, high yield or all.

For the Corporate Bond section: All functions are the same as above, except: • Instead of being able to select whether to show investment grade issues, high yield or all, you may select the type of spread to view: Benchmark Spread, ISpread, Z-Spread and Swap Spread.

Once all the settings have been chosen, click on the Refresh button to update the page. Click on the save settings button to lock in these preferences.
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At any time, you may export all detail in either section to Excel by clicking on the Export button to the far right of the screen. You may create credit curve (spread vs. maturity) or time series spread vs. effective date) charts by using the appropriate buttons in the Chart/TS column of the data table (these charts can be created for CDS 5 year data; only the time series chart can be created for the corporate bond detail).

USING THE CURVE BUILDER
To use the Curve Builder: • Click on the Curve Builder tab and select your reference entity by ticker or by issuer name. You can also select a reference entity by sector or select an individual sector itself. For example, you can choose IBM and compare it to the CINDI Technology sector. Click on the Draw Primary Curve Set to create the curve to create the curve Other items you can add to the curve: Show Cash Bond Spreads – Plots all the cash bonds that are currently available for that reference entity (these bonds could be in any of our indices). Show Basis Spreads – Select the Basis series you want to create (Ref Entity A Ref Entity B), and Select the Show Basis Chart Option to view this graph. Show Tabulated Data – Shows you all the data that is currently displayed in the graph.

• • • • •

Buttons and their meanings: • • Export Data – Use this button to transport this data into Excel. Add/Change – Click on this button to change your curve selection from the previous page.

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•

Redraw Chart – Use this button if you select the Show Cash Bond Spreads or you change any other settings, such as date or the curves structuring, and then click on the Redraw Chart to update the data. Also, each reference entity may have multiple curves (Modified, Regular, No Restructuring, Senior-Sub). We have made some assumptions that use the standard market conventions for defaulting to the best curve. You can select from the available curves dropdown menu to select a different curve if you please.

•

Viewing the development of the curve (steepening / flattening) • • • Select Curve Builder tab, or click on add/change button if curve graph already exists. Search for the issuer whose curve you would like to see. Add that issuer into the primary curve set. Then add the issuer again until you have the desired number of periods you want to see. For example, if you want to see the current curve against the curve of three and six months ago, select the issuer three times. Then click on Draw Chart. You will only see one curve. Click on the title legends to change the date for that particular curve. Click on the calendar graphic and select an appropriate relative date. Now click on Redraw Chart.

• • •

CREATING TIME SERIES GRAPHS
The Time Series selection platform is similar to the Curve Builder platform – you can make your selection by ticker or by issuer name. The CDS default is the 5 yr curve; it can be changed from the dropdown menu. You can also select multiple curves (e.g., GM 3yr, GM 5yr, GM 10yr CDS)

FAIR VALUE CURVES
The underlying data from our Liquid Cash Indices has been used to create a full range of Fair Value Curves. To Create a Fair Value Curve: • • • • • • Click on the Curve Builder tab and the select the Fair Value Curves tab. Select the appropriate curve type (Corporate, Sovereign, Agency, Swap, Issuer or Government) and Currency. Then press the Search button. From the results, select the required result and then select either Spread to Swap or Yield in the dropdown menu. Finally, click on the Add Issuer Curve tab. Click on Draw Chart to display your chosen curve. Once the Fair value curve is displayed, you have the ability to scatter plot the cash bonds, by selecting Show Cash Bonds. You can zoom in on any part of the chart by left clicking and dragging your mouse on the part you wish to expand. To get back to the original view, left click on the chart and select Undo Zoom.

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Here is an example of the USD Industrials BBB fair value curve:

SAVED VIEWS
Any reports you create can be saved for later use. Simply click in the Saved Views tab to access your saved Time Series and CDS Curve views. One additional feature in the saved views area is the ability to modify saved queries and resave. To create a Saved View After building a new chart (curve or time series), click the Save button in the upper left corner of the screen. • • This will take you to the view naming screen, where you can name your view. From the Saved Views tab, you can open, delete, duplicate and rename your views.

SHARING YOUR SAVED VIEWS
Any reports you create can be shared with any other user who has access to the curve tool. To share your report • • • Click on the word Link, located next to the report name that you saved. (This will enable you to view the chart in a table format.) You can then copy and e-mail the web address that is generated to anyone else you would like to share this data with. You also can use this web address to create an automatic link to Excel. With this link, you can download your saved report to Excel every time you refresh.

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CREATING DYNAMIC LINKS TO EXCEL WORKSHEETS FROM SAVED REPORTS
You can link and download all saved charts to Excel by creating a web query link. • • • • • • • Click on the word Link, located next to the report name that you saved. (This will enable you to view the chart in a table format.) Copy the web address (CTRL+C). Go to Excel and create a new worksheet. Place your cursor inside a cell and then select the New Web Query option from the Data> Get External Data menu. In the New Web Query Dialog, place your cursor inside the web address text box and paste (CTRL+V) in the shortcut. Click OK to go back to Excel spreadsheet. The data in the saved chart is then downloaded and displayed in Excel. The information shows with respect to the relative date specified in the saved chart (usually current).

OTHER TOOLS
Help – Provides straightforward instructions on the Curve Builder, Time Series and Saved Views sections. Glossary – Contains definitions for important terms used within the Curve Builder website. Disclaimer – Provides Credit Suisse’s legal disclaimer Contact – Lists names of Credit Suisse business contacts

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FIXED INCOME INDEX PRODUCTS
Bunt Ghosh, Managing Director Global Head of Fixed Income Research +44 20 7888 3042 Baldwin Smith, Director Global Group Head +1 212 325 5524

NORTH AMERICA
Baldwin Smith, Director (Global Group Head) +1 212 325 5524 baldwin.smith@creditsuisse.com Deepak Agnani, Vice President +1 212 325 1559 deepak.agnani@credit-suisse.com Brian Coco, Associate +1 212 538 1906 brian.coco@credit-suisse.com Eric Isenberg, Associate +1 212 538 9143 eric.isenberg@credit-suisse.com

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Disclosure Appendix
Analyst Certification Baldwin Smith, Deepak Agnani, Brian Coco and Eric Isenberg each certify, with respect to the companies or securities that he or she analyzes, that (1) the views expressed in this report accurately reflect his or her personal views about all of the subject companies and securities and (2) no part of his or her compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report. Important Disclosures Credit Suisse's policy is only to publish investment research that is impartial, independent, clear, fair and not misleading. For more detail, please refer to Credit Suisse's Policies for Managing Conflicts of Interest in connection with Investment Research: http://www.csfb.com/research-andanalytics/disclaimer/managing_conflicts_disclaimer.html Credit Suisse’s policy is to publish research reports as it deems appropriate, based on developments with the subject issuer, the sector or the market that may have a material impact on the research views or opinions stated herein. The analyst(s) involved in the preparation of this research report received compensation that is based upon various factors, including Credit Suisse's total revenues, a portion of which are generated by Credit Suisse's Investment Banking and Fixed Income Divisions. Credit Suisse may trade as principal in the securities or derivatives of the issuers that are the subject of this report. At any point in time, Credit Suisse is likely to have significant holdings in the securities mentioned in this report. As at the date of this report, Credit Suisse acts as a market maker or liquidity provider in the debt securities of the subject issuer(s) mentioned in this report. For important disclosure information on securities recommended in this report, please call +1-212-538-7625. For the history of any relative value trade ideas suggested by the Fixed Income research department over the previous 12 months, please view the document at http://research-and-analytics.csfb.com/docpopup.asp?docid=35321113&type=pdf. Credit Suisse clients with access to the Locus website may refer to http://www.credit-suisse.com/locus. For the history of recommendations provided by Technical Analysis, please visit the website at http://www.credit-suisse.com/techanalysis. Credit Suisse does not provide any tax advice. Any statement herein regarding any US federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purposes of avoiding any penalties. Emerging Markets Bond Recommendation Definitions Buy: Indicates a recommended buy on our expectation that the issue will deliver a return higher than the risk-free rate. Sell: Indicates a recommended sell on our expectation that the issue will deliver a return lower than the risk-free rate. Corporate Bond Fundamental Recommendation Definitions Buy: Indicates a recommended buy on our expectation that the issue will be a top performer in its sector. Outperform: Indicates an above-average total return performer within its sector. Bonds in this category have stable or improving credit profiles and are undervalued, or they may be weaker credits that, we believe, are cheap relative to the sector and are expected to outperform on a total-return basis. These bonds may possess price risk in a volatile environment. Market Perform: Indicates a bond that is expected to return average performance in its sector. Underperform: Indicates a below-average total-return performer within its sector. Bonds in this category have weak or worsening credit trends, or they may be stable credits that, we believe, are overvalued or rich relative to the sector. Sell: Indicates a recommended sell on the expectation that the issue will be among the poor performers in its sector. Restricted: In certain circumstances, Credit Suisse policy and/or applicable law and regulations preclude certain types of communications, including an investment recommendation, during the course of Credit Suisse's engagement in an investment banking transaction and in certain other circumstances. Corporate Bond Risk Category Definitions In addition to the recommendation, each issue may have a risk category indicating that it is an appropriate holding for an "average" high yield investor, designated as Market, or that it has a higher or lower risk profile, designated as Speculative and Conservative, respectively. Credit Suisse Credit Rating Definitions Credit Suisse may assign rating opinions to investment-grade and crossover issuers. Ratings are based on our assessment of a company's creditworthiness and are not recommendations to buy or sell a security. The ratings scale (AAA, AA, A, BBB, BB, B) is dependent on our assessment of an issuer's ability to meet its financial commitments in a timely manner. Within each category, creditworthiness is further detailed with a scale of High, Mid, or Low – with High being the strongest sub-category rating: High AAA, Mid AAA, Low AAA – obligor's capacity to meet its financial commitments is extremely strong; High AA, Mid AA, Low AA – obligor's capacity to meet its financial commitments is very strong; High A, Mid A, Low A – obligor's capacity to meet its financial commitments is strong; High BBB, Mid BBB, Low BBB – obligor's capacity to meet its financial commitments is adequate, but adverse economic/operating/financial circumstances are more likely to lead to a weakened capacity to meet its obligations; High BB, Mid BB, Low BB – obligations have speculative characteristics and are subject to substantial credit risk; High B, Mid B, Low B – obligor's capacity to meet financial commitments is very weak and highly vulnerable to adverse economic, operating, and financial circumstances. Credit Suisse's rating opinions do not necessarily correlate with those of the rating agencies.

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