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Derivatives

Five-Year Credit-Default Swap Levels (December 8, 2004)

U.S.
Name Bid Offer Bid Change (Weekly)
American Express  15 21 -1
AOL Time Warner  29 45 0
Citigroup  13 19 -1
Disney  17 27 -3
Federated Dept. Stores 20 36 -2
Ford  201 215 3
Ford credit 165 181 -3
GMAC 198 214 7
Hertz 142 162 -1
Hewlett Packard 13 21 -5
Lehman Brothers 22 30 -2
Philip Morris 109 121 -14
Europe
Name Bid Offer Bid Change (Weekly)
ABN AMRO 9.45 9.45 0
Akzo Nobel 18 28 -1
BAE Systems  28.05 58.05 0
Carrefour  18.21 28.21 0
Deutsche Telekom 34.58 39.58 0
Dixons 64.52 74.52 4.15
Endesa 22.4 32.4 -0.01
Iberdrola 18.2 28.2 1.05
Marks & Spencer  127 137 0
Siemens 10.75 20.75 0
UBS  6.95 9.95 0
Vodafone  21.78 31.78 -2.06
Asia 
Name Bid Offer Bid Change (Weekly)
Amcor 39 39 6
China 35 45 -1
Fujitsu 21 21 -2
Japan  27 35 -1
Korea 40 40 -2
Malaysia  16 22 -1
NEC 19 29 1
Philippines 4 7 0.5
Sony  18.5 33.5 -0.5
Thailand  477 507 -18
Toshiba 24.5 39.5 0

 

North America 9-Dec-08 3-Dec-08 Spd change week
CDX.NA.HY 306.85 315.66 -8.81
CDX.EM 198.01 206.44 -8.43
Europe 9-Dec-08 3-Dec-08 Spd change week
iTraxx Main 35.25 35.5 -0.25
iTraxx Non Financial 39.25 39.5 -0.25
iTraxx High Vol 59.25 59.5 -0.25
Asia 9-Dec-08 3-Dec-08 Spd change week
iTraxx Japan 20 21 -1
iTraxx Asia 50 49 1
iTraxx Australia 27 27 0


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