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Derivatives

Five-Year Credit-Default Swap Levels-June 30, 2004

Five-Year Credit-Default Swap Levels 
30-Jun-04
Name Bid Offer Bid Change (Weekly)
U.S.
Bear Stearns  39 45 1
Citigroup  24 30 1
Disney  46 56 -1
GMAC 154 170 5
Goldman Sachs  33 39 1
Hertz 142 162 4
IBM 21 27 -2
Morgan Stanley  33 39 1
Philip Morris 177 189 -12
Name Bid Offer Bid Change (Weekly)
Europe
Akzo Nobel 32 42 1
Aventis  23.5 31.5 0
BAE Systems  52.2 82.2 -1.05
Credit Lyonnais 12.25 15.25 -1.06
Dixons 75.23 85.23 -8.44
Halifax 10.81 20.81 -1.05
Marks & Spencer  265.52 275.52 30.52
Siemens 21.25 31.25 -1.05
Vodafone  38.37 48.37 3.18
Name Bid Offer Bid Change (Weekly)
Asia 
ujitsu 55 65 -5
Korea 49 59 -2
Malaysia  38.5 53.5 -2
Mizuho Bank  40 40 -3
Philippines 467 497 -28
Qantas Airways 68 68 -3
Sony  29 35 -1
Thailand  36.5 51.5 0
Toshiba 35 41 4
North America 30-Jun-04 24-Jun-04 Spd change week
CDX.NA 64 65 -1
CDX.NA.HY 352.8 352.8 0
CDX.EM 303 302 1
Europe 30-Jun-04 24-Jun-04 Spd change week
iTraxx Main 44.5 44 0.5
iTraxx Non Financial 50 49.5 0.5
iTraxx High Vol 77.5 76 1.5
Asia 30-Jun-04 24-Jun-04 Spd change week
TRAC-X Japan 25 26.5 -1.5
TRAC-X Asia 68 73 -5
TRAC-X Australia 31.5 32.5 -1
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