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Derivatives

Five-Year Credit-Default Swap Levels - July 7, 2004

Five-Year Credit-Default Swap Levels 
July 7, 2004
Name Bid Offer Bid Change (Weekly)
U.S.
American Express  28 34 0
AOL Time Warner  75 91 2
Bear Stearns  39 45 0
Citigroup  23 29 -1
Ford  198 212 15
GMAC 172 188 18
Hewlett Packard 20 28 0
IBM 21 27 0
Lehman Brothers 38 46 0
Philip Morris 179 191 2
Wal-Mart 15.2 22.7 -0.1
Name Bid Offer Bid Change (Weekly)
Europe
ABN AMRO 15.41 18.41 0
Akzo Nobel 32 42 0
Aventis  23.5 31.5 0
BAE Systems  52.2 82.2 0
Dixons 79.45 89.45 4.22
Halifax 10.81 20.81 0
Iberdrola 26.66 36.66 1.06
Marks & Spencer  259.19 269.19 -6.33
UBS  10.1 13.1 0
Vodafone  38.37 48.37 0
Name Bid Offer Bid Change (Weekly)
Asia 
BHP Billiton  28 28 0
Fujitsu 54 64 -1
Mizuho Bank  41 41 1
Sony  26 32 -3
Toshiba 33 39 -2
China 33 43 -2
Japan  5.5 8.5 0
Korea 46 56 -3
Malaysia  35.5 50.5 -3
Philippines 460 490 -7
Thailand  33.5 48.5 -3
North America 7-Jul-04 1-Jul-04 Spd change week
CDX.NA 65 64 1
CDX.NA.HY 352.8 352.8 0
CDX.EM 303 302 1
Europe 7-Jul-04 1-Jul-04 Spd change week
iTraxx Main 46.25 44.75 1.5
iTraxx Non Financial 52 50.5 1.5
iTraxx High Vol 81.5 77.5 4
Asia 7-Jul-04 1-Jul-04 Spd change week
TRAC-X Japan 24.3 26.5 -2.2
TRAC-X Asia 65 73 -8
TRAC-X Australia 31 32.5 -1.5
Source: JPMorgan


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