Index Variance Swap Levels APRIL 3, 2006

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Index Variance Swap Levels APRIL 3, 2006

  3 Mth Change 6 Mth Change 1 Yr Change 2 Yr Change
U.S.
SPX 11.30% -0.60% 12.20% -0.60% 13.30% -0.50% 14.70% -0.50%
NDX 16.30% 0.00% 16.90% 0.10% 17.80% 0.20% 19.00% 0.10%
Asia
Nikkei 19.70% 1.30% 19.80% 1.30% 19.90% 1.10% 20.10% 1.00%
Europe
Eurostoxx 14.70% 0.10% 15.70% -0.20% 16.10% -1.30% 17.90% -0.90%
DAX 15.40% -0.20% 16.50% -0.30% 17.10% -0.90% 19.20% -0.70%
Source: Bank of America

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