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Derivatives

Five-Year Credit-Default Swap Levels

  Current Mid Change On Week Change On Two Weeks
U.S.
American Express 11 3 3
AOL Time Warner 21 0 -5
Bear Stearns 32 7 6
Citigroup 12 2 4
Disney 7 0 -3
Federated Dept. Stores 49 3 2
Ford 492 59 63
Ford credit 263 42 43
General Electric Cap Corp. 11 0 0
GMAC 136 35 36
Goldman Sachs 32 7 6
Hertz 143 20 10
Hewlett Packard 9 0 -2
IBM 6 0 -3
Lehman Brothers 33 7 7
Morgan Stanley 33 7 6
Philip Morris 22 1 0
Wal-Mart 6 0 -1
Europe
British American Tobacco 22 -1 -1
DaimlerChrysler 41 3 -2
Deutsche Telekom 28 -1 -4
France Telecom 23 1 1
J Sainsbury 80 -6 2
Marks & Spencer 39 6 6
Telecom Italia 50 2 -6
Vivendi Universal 42 -1 -3
Volkswagen 21 1 -1
Asia
Amcor 49 2 2
Australia 2 0 0
BHP Billiton 15 2 2
China 9 0 -1
Fujitsu 16 0 0
Hutchison Whampoa 25 3 2
Japan 3 0 0
Korea 17 2 1
Malaysia 16 0 0
Mizuho Bank 12 0 0
NEC 22 0 -1
Philippines 116 7 6
Qantas Airways 190 17 11
Sony 14 0 -1
Telstra 25 2 0
Thailand 39 5 4
Toshiba 27 0 0
North America Current Mid Change On Week Change On Two Weeks
CDX.NA 33.5 4.13 3
CDX.NA.HY 136.07 26.6 20.64
CDX.EM 93 0 0
Europe Current Mid Change On Week Change On Two Weeks
iTraxx Main 23 1.13 0.25
iTraxx Crossover 211 37 27
iTraxx High Vol 44.25 2.75 0.5
iTraxx Sub Financial 12.5 -1 -1.25
Asia Current Mid Change On Week Change On Two Weeks
iTraxx Japan 21.38 1.14 1.15
iTraxx Asia 43.44 2.75 2.41
iTraxx Australia 36.88 2.35 1.01


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