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Derivatives

Five-Year Credit-Default Swap Levels November 19 2003

Name Bid Offer Bid Change (Weekly)
U.S. - - -
American Express 20 26 0
AOL Time Warner 42 58 -5
Citigroup 15 21 -2
Disney 30 40 -9
Federated Dept. Stores 29 45 -1
Ford Credit 217 233 3
General Electric Cap Corp. 25 31 0
GMAC 180 196 8
Hertz 202 222 2
Hewlett Packard 27 35 0
IBM 24 30 0
Philip Morris 164 176 -35
Wal-Mart 8.3 15.8 0.1
-
Name Bid Offer Bid Change (Weekly)
Europe - - -
Aventis 11.8 19.8 0
BAE Systems 33.28 63.28 4.11
Carrefour 26.71 36.71 0
Credit Lyonnais 10.74 16.74 0
DaimlerChrysler 111.16 121.16 1.05
Deutsche Telekom 57.58 62.58 -0.01
Endesa 29.8 39.8 0
France Telecom 62.84 67.84 1.05
Iberdrola 19.26 29.26 -1.06
Marks & Spencer 20.3 30.3 0
Siemens 18.27 28.27 -3.17
UBS 8.59 14.59 1.05
Vodafone 22.47 32.47 0
Name Bid Offer Bid Change (Weekly)
Asia - - -
BHP Billiton 21 21 0
China 19 29 2
Fujitsu 70 90 11
Hutchison Whampoa 92.5 107.5 14
Japan 8 11 0
Korea 65 75 8
Malaysia 32.5 47.5 -5
Mizuho Bank 135 135 0
NEC 39 59 5
Philippines 450 480 35
Qantas Airways 62 62 0
Sony 19 29 3
Toshiba 31 51 5
North America 5-Nov-03 29-Oct-03 Spd change week
TRAC-X NA 59.0 57.5 1.5
TRAC-X NA High Yield 395.0 395.0 0.0
TRAC-X Emerging Markets 280.0 275.0 5.0
Europe 5-Nov-03 29-Oct-03 Spd change week
TRAC-X Europe Main 41.5 39.0 2.5
TRAC-X Europe Corp 49.0 46.5 2.5
TRAC-X Europe Sub Fin 33.5 33.5 0.0
Asia 5-Nov-03 29-Oct-03 Spd change week
TRAC-X Japan 32.5 29.8 2.7
TRAC-X Asia 73.0 67.0 6.0
TRAC-X Australia 23.5 24.0 -0.5
This data is updated every Wednesday Source: JPMorgan
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