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Derivatives

Five-Year Credit-Default Swap Levels January 4, 2006

U.S.      
  Current  Change  Change On 
Name Mid On Week Fortnight
American Express  19 0 -4
Bear Stearns  23 1 1
Ford  965 -31 -21
Ford credit 551 -30 -25
Goldman Sachs  21 0 0
Hertz 294 -20 -23
Morgan Stanley  21 0 0
Wal-Mart 10 0 0
Europe      
  Current  Change Change On 
Name Mid On Week Fortnight
Europe DaimlerChrysler 69 -2 -1
J Sainsbury 54 0 0
Marks & Spencer 48 -2 -3
Deutsche Telekom 45 -3 -3
Telecom Italia 57 -1 -1
Vivendi Universal 44 -1 0
British American Tobacco 34 0 0
Asia      
  Current  Change Change On 
Name Mid On Week Fortnight
Mizuho Bank  16 0 0
Telstra 32 0 0
Toshiba 21 0 0
Australia  2 0 0
Malaysia  26 1 1
Philippines 245 -16 -21
North America Current Mid Change On Week Change On Fortnight
CDX.NA 45 -1 -1.25
CDX.NA.HY 250.76 1.41 1.13
CDX.EM 152 0 0
Europe Current Mid Change On Week Change On Fortnight
iTraxx Main 35.75 -1 -0.5
iTraxx Crossover 269 -10 -8
iTraxx High Vol 73.75 -1.5 0.75
iTraxx Sub Financial 25.75 -0.75 -0.75
Asia Current Mid Change On Week Change On Fortnight
iTraxx Japan 25.39 0 -0.91
iTraxx Asia 39.87 -0.65 -0.53
iTraxx Australia 29.19 0 0


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