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Derivatives

Five-Year Credit-Default Swap Levels February 22, 2006

U.S.
Name Current Mid Change On Week Change On Two Weeks
American Express  20 0 -1
AOL Time Warner  47 -9 -16
Bear Stearns  23 0 -1
Disney  26 -1 -4
Federated Dept. Stores 36 0 -2
General Electric Cap Corp.  17 -1 -1
GMAC 460 20 45
Goldman Sachs  21 0 -1
Hertz 233 -15 -23
Hewlett Packard 17 -3 -5
IBM 15 -3 -3
Lehman Brothers 23 0 -1
Morgan Stanley  21 0 -1
Europe
Name Current Mid Change On Week Change On Two Weeks
DaimlerChrysler 61 -3 -3
Volkswagen 34 0 -3
J Sainsbury 53 -2 4
Marks & Spencer 48 0 -2
France Telecom 50 -1 -2
Deutsche Telekom 48 -1 -3
Telecom Italia 57 0 0
Vivendi Universal 43 1 1
Asia
Name Current Mid Change On Week Change On Two Weeks
Amcor 58 0 11
Fujitsu 29 1 1
NEC 32 0 1
Sony  25 -1 -1
Telstra 37 0 1
Toshiba 30 2 2
Malaysia  24 0 2
Philippines 196 -4 -20
Thailand  35 0 1
North America Current Mid Change On Week Change On Two Weeks
CDX.NA 43.25 -1.25 -1.75
CDX.NA.HY 248.37 -0.47 4.41
CDX.EM 105 -27 -27
Europe Current Mid Change On Week Change On Two Weeks
iTraxx Main 35.75 -1 -0.75
iTraxx Crossover 262 -6.5 -13
iTraxx High Vol 73.25 -2.75 -3.5
iTraxx Sub Financial 20.5 -1.25 -3
Asia Current Mid Change On Week Change On Two Weeks
iTraxx Japan 26.27 0.52 2.39
iTraxx Asia 37.18 -0.02 0.35
iTraxx Australia 30.6 0 0.88
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