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Derivatives

Five-Year-Credit-Default Swap Levels

Name Bid Offer Bid Change (Weekly)
U.S.
American Express  21 27 1
AOL Time Warner  61 77 4
Bear Stearns  30 36 1
Citigroup  18 24 3
Ford  196 210 11
General Electric Cap Corp.  21 27 2
GMAC 169 185 13
Goldman Sachs  31 37 3
Hertz 138 158 5
Hewlett Packard 25 33 1
IBM 20 26 0
Lehman Brothers 29 37 1
Morgan Stanley  31 37 3
Philip Morris 209 221 35
Europe
Aventis  15.8 23.8 3.3
BAE Systems  24.9 54.9 -1.05
Carrefour  12.93 22.93 -1.06
Credit Lyonnais 10.14 13.14 -2.11
DaimlerChrysler 63.25 73.25 2.1
Deutsche Telekom 34.58 39.58 2.06
Dixons 46.89 56.89 2.08
Endesa 18.2 28.2 1.05
France Telecom  41.79 46.79 1.03
Halifax 6.6 16.6 0
Iberdrola 17.15 27.15 0
Marks & Spencer  96.82 106.82 7.13
Siemens 8.65 18.65 -4.2
Vodafone  22.81 32.81 1.03
Asia 
Amcor 38 38 0
Fujitsu 36 46 -2
Hutchison Whampoa 68 76 3
Japan  5 8 -1
Korea 31 41 0.5
Malaysia  26.5 41.5 1
Mizuho Bank  28 28 0
NEC 28 36 -1
Philippines 440 470 15
Qantas Airways 51 51 2
Sony  17.5 23.5 -1.5
Telstra 22 22 0
Thailand  28 43 0
Toshiba 21.5 27.5 -1.5
North America 22-Sep-04 16-Sep-04 Spd change week
CDX.NA 57 58 -1
CDX.NA.HY 354.23 352.77 1.46
CDX.EM 241.84 256.63 -14.79
Europe 22-Sep-04 16-Sep-04 Spd change week
iTraxx Main 35 31.5 3.5
iTraxx Non Financial 39 35 4
iTraxx High Vol 58 53.5 4.5
Asia 22-Sep-04 16-Sep-04 Spd change week
iTraxx Japan 22.25 22.5 -0.25
iTraxx Asia 60 58 2
iTraxx Australia 26 25 1
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