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Derivatives

Five-Year Credit-Default Swap Levels March 2, 2005

U.S.      
Name Bid Offer Bid Change (Weekly)
American Express  17 23 -1
AOL Time Warner  28 44 -2
Bear Stearns  19 25 -1
Citigroup  10 16 -1
Disney  19 29 -1
General Electric Cap Corp.  16 22 -1
GMAC 239 255 14
Goldman Sachs  20 26 -1
Hewlett Packard 26 34 -1
Lehman Brothers 19 27 -1
Morgan Stanley  18 24 -1
Philip Morris 74 86 -2
Europe      
Name Bid Offer Bid Change (Weekly)
ABN AMRO 8.41 8.41 -1.05
BAE Systems  31.5 31.5 -3.15
Carrefour  20.04 20.04 -2.11
DaimlerChrysler 56.7 56.7 -2.1
Deutsche Telekom 27.81 27.81 -4.12
Dixons 63.3 63.3 -1.04
Endesa 27.41 27.41 -2.11
France Telecom  28.84 28.84 -4.12
Marks & Spencer  75 85 -15
Siemens 16.8 16.8 1.05
UBS  7.92 7.92 -1.59
Vodafone  21.63 21.63 -1.03
Asia       
Name Bid Offer Bid Change (Weekly)
Amcor 33 33 -1
BHP Billiton  17 17 0
China 18.5 28.5 -1
Hutchison Whampoa 30 38 -5
Korea 25 35 -3
Malaysia  17 32 0.5
NEC 27 35 2
Philippines 335 365 -18
Qantas Airways 34 34 -1
Sony  17 23 0
Toshiba 15.5 21.5 0
North America 3-Mar-09 25-Feb-09 Spd change week
CDX.NA 57 57 0
CDX.NA.HY 303.39 306.9 -3.51
CDX.EM 178.38 180.64 -2.26
Europe 3-Mar-09 25-Feb-09 Spd change week
iTraxx Main 28.75 30 -1.25
iTraxx Non Financial 31.75 33 -1.25
iTraxx High Vol 45.5 48.25 -2.75
Asia 3-Mar-09 25-Feb-09 Spd change week
iTraxx Japan 20.25 19.75 1
iTraxx Asia 42 43 4
iTraxx Australia 27.5 27.5 0


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