Five-Year Credit-Default Swap Levels September 29, 2004
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Derivatives

Five-Year Credit-Default Swap Levels September 29, 2004

Name Bid Offer Bid Change (Weekly)
U.S.      
American Express  21 27 0
AOL Time Warner  60 76 -1
Bear Stearns  30 36 0
Citigroup  18 24 0
Disney  36 46 -3
Federated Dept. Stores 39 55 -1
Ford  193 207 -3
Morgan Stanley  30 36 -1
Philip Morris 199 211 -10
Wal-Mart 15.3 22.8 0
Name Bid Offer Bid Change (Weekly)
Europe      
BAE Systems  34.35 64.35 9.45
Carrefour  13.99 23.99 1.06
Credit Lyonnais 10.14 13.14 0
DaimlerChrysler 66.4 76.4 3.15
Deutsche Telekom 38.7 43.7 4.12
Dixons 55.19 65.19 8.3
Endesa 23.47 33.47 5.27
France Telecom  49 54 7.21
Marks & Spencer  101.91 111.91 5.09
Vodafone  26.93 36.93 4.12
Name Bid Offer Bid Change (Weekly)
Asia       
Fujitsu 39 49 3
Hutchison Whampoa 77 85 9
Mizuho Bank  30 30 2
NEC 29.5 37.5 1.5
Qantas Airways 55 55 4
Sony  18.5 24.5 1
Telstra 24 24 2
Toshiba 22 28 0.5
Korea 34.5 44.5 3.5
North America 29-Sep-04 23-Sep-04 Spd change week
CDX.NA 57 57 0
CDX.NA.HY 366.02 354.23 11.79
CDX.EM 264.5 247.78 16.72
Europe 29-Sep-04 23-Sep-04 Spd change week
iTraxx Main 37.5 36.75 0.75
iTraxx Non Financial 42.5 40.5 2
iTraxx High Vol 62 61 1
Asia 29-Sep-04 23-Sep-04 Spd change week
iTraxx Japan 22.25 22.25 0
iTraxx Asia 57 60 -3
iTraxx Australia 27.5 26 1.5


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