Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 7 Version 2 (RED Code: 2I666VAR6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 6 Version 2 (RED Code: 2I666VAQ8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 5 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 4 Version 1 (RED Code: 2I666VAD7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 3 Version 1 (RED Code: 2I666VAC9)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

Monthly iTraxx Tranche Fixings for 28Mar13

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

* Only one submission - included for indicative purposes only.

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	26.25%	28.25%	30.25%	11.8	66	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	50%	52%	54%	6	107	1

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	9%	10.5%	12%	22.2	46	2
3-6	-5.5%	-4.25%	-3%	6.1	46	2
6-9	-4%	-3%	-2%	2.3	46	2
9-12	15%	25%	35%	0.75	46	2
12-22	5%	15%	25%	0.35	46	2
22-100	2.5%	5%	7.5%	0.06	46	2

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	31.56%	33.06%	34.56%	10.1	95	3
3-6	1.25%	2.5%	3.75%	6.7	95	2
6-9	-1%	0%	1%	4.2	95	2
9-12	140%	155%	170%	2.35	95	2
12-22	60%	70%	80%	1.2	95	2
22-100	17%	19%	21%	.28	95	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	48.88%	50.13%	51.38%	5.7	136	3
3-6	12.25%	13.25%	14.25%	5.4	136	1
6-9	7.5%	8.5%	9.5%	3.9	136	1
9-12	280%	300%	320%	2.7	136	1
12-22	145%	155%	165%	1.65	136	1
22-100	42%	45%	48%	.43	136	1

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	17.38%	19.13%	20.88%	15.6	67	3
3-6	-4.01%	-2.63%	-1.25%	6.8	67	3
6-9	-3.63%	-2.63%	-1.63%	3.8	67	3
9-12	42.5%	57.5%	72.5%	1.65	67	3
12-22	16%	26%	36%	0.75	67	3

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	48.5%	50.5%	52.5%	5.3	136	3
3-6	12%	13.88%	15.76%	5.3	136	3
6-9	6.75%	8.13%	9.51%	3.9	136	3
9-12	259.75%	282.25%	304.75%	2.7	136	3
12-22	130.25%	147.75%	165.25%	1.65	136	3

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 7 Version 2 (RED Code: 2I666VAR6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	14.25%	16%	17.75%	20	60	3
3-6	-4.75%	-3.25%	-1.75%	6.9	60	3
6-9	-3.75%	-2.5%	-1.25%	3.1	60	3
9-12	10.75%	28.25%	45.75%	1.1	60	3
12-22	3.25%	15.75%	28.25%	0.55	60	3

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	47.5%	49.5%	51.5%	5.7	130	3
3-6	11.06%	13.06%	15.06%	5.7	130	3
6-9	6%	7.5%	9%	4.2	130	3
9-12	247.25%	269.75%	292.25%	2.75	130	3
12-22	113.25%	130.75%	148.25%	1.55	130	3

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 6 Version 2 (RED Code: 2I666VAQ8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	7.38%	8.88%	10.38%	24.2	48	2
3-6	-4.88%	-3.38%	-1.88%	5.3	48	2
6-9	-3.63%	-2.38%	-1.13%	1.9	48	2
9-12	4%	13%	22%	0.95	48	2
12-22	0%	7.5%	15%	0.35	48	2

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	44.25%	46.25%	48.25%	6.6	123	3
3-6	8.88%	10.88%	12.88%	6.3	123	3
6-9	4.44%	5.94%	7.44%	4.4	123	3
9-12	220%	242.5%	265%	2.8	123	3
12-22	98.25%	115.75%	133.25%	1.5	123	3

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 5 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	39.44%	41.44%	43.44%	7.8	113	3
3-6	5.75%	7.75%	9.75%	6.7	113	3
6-9	1.56%	3.31%	5.06%	4.5	113	3
9-12	176.5%	199%	221.5%	2.6	113	3
12-22	73.5%	91%	108.5%	1.35	113	3

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 4 Version 1 (RED Code: 2I666VAD7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	33%	35%	37%	9.1	100	3
3-6	1.88%	3.88%	5.88%	6.8	100	3
6-9	-0.06%	1.44%	2.94%	4.3	100	3
9-12	138.5%	161%	183.5%	2.4	100	3
12-22	49.75%	67.25%	84.75%	1.1	100	3

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 3 Version 1 (RED Code: 2I666VAC9)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	25%	27.75%	29.5%	11.7	82	3
3-6	-2.5%	0%	2.5%	7.1	82	2
6-9	-2.94%	-0.94%	1.06%	4.2	82	2
9-12	76.5%	101.5%	126.5%	2	82	2
12-22	24%	44%	64%	0.9	82	2

Monthly iTraxx Tranche Fixings for 31Jan13

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	2.51%	3.14%	3.77%	31.2	37	4
3-6	-2%	-1.75%	-1.5%	1.5	37	4
6-9	-1.21%	-0.96%	-0.71%	0.8	37	4
9-12	1.75%	5.25%	8.75%	0.1	37	4
12-22	0.75%	3.25%	5.75%	0.1	37	4
22-100	0.25%	1.06%	1.87%	0.02	37	4

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	24.44%	25.15%	25.86%	12.2	79	5
3-6	-1.34%	-0.63%	0.08%	6.9	79	5
6-9	-2.19%	-1.56%	-0.93%	3.9	79	5
9-12	89.5%	96.83%	104.16%	1.9	79	5
12-22	35.67%	41.17%	46.67%	0.85	79	5
22-100	9.75%	11.42%	13.09%	.21	79	5

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	53.31%	54.02%	54.73%	4.5	144	5
3-6	16.06%	16.69%	17.32%	4.6	144	5
6-9	10.08%	10.81%	11.54%	3.4	144	5
9-12	315%	325%	335%	2.45	144	5
12-22	162%	171.33%	180.66%	1.45	144	5
22-100	46.67%	48.92%	51.71%	.48	144	5

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	29.5%	32.5%	35.5%	9.4	0	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	54%	57%	60%	4.8	0	1

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	10.88%	12.38%	13.88%	21.3	48	3
3-6	-6.63%	-5.25%	-3.87%	6.4	48	3
6-9	-4.76%	-3.38%	-2%	3.2	48	3
9-12	13%	31.75%	50.5%	1.1	48	3
12-22	2.5%	15%	27.5%	0.55	48	3
22-100	3.5%	6.5%	9.5%	0.08	48	2

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	36%	37.38%	38.76%	8.3	106	3
3-6	1.44%	2.69%	3.94%	6.3	106	2
6-9	0%	1.25%	2.5%	4.3	106	2
9-12	175.5%	198%	220.5%	2.8	106	2
12-22	75.5%	88%	100.5%	1.5	106	2
22-100	25%	28%	31%	.26	106	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	51.68%	53.31%	54.94%	4.7	143	3
3-6	11.5%	13%	14.5%	5	143	3
6-9	8.25%	9.5%	10.75%	3.9	143	3
9-12	305%	325%	345%	2.9	143	2
12-22	137.5%	152.5%	167.5%	1.7	143	2
22-100	51.25%	54.25%	57.25%	.42	143	2

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	21.19%	23.69%	26.19%	14.4	78	3
3-6	-4.6%	-2.47%	-0.34%	6	78	3
6-9	-3.63%	-2.5%	-1.37%	3.2	78	3
9-12	68%	90.5%	113%	1.65	78	3
12-22	33.25%	50.5%	67.75%	0.85	78	4
22-100	9%	11.5%	14%	.18	78	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	53.69%	56.19%	58.69%	5	152	3
3-6	14.06%	16.31%	18.56%	5.2	152	3
6-9	8.84%	10.84%	12.84%	3.9	152	3
9-12	323.75%	348.75%	373.75%	2.8	152	3
12-22	152.5%	172.5%	192.5%	1.7	152	3
22-100	50%	52.5%	55%	.44	152	1

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 7 Version 2 (RED Code: 2I666VAR6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	19.03%	21.53%	24.03%	18.3	76	3
3-6	-4.26%	-2.63%	-1%	6.5	76	3
6-9	-3.38%	-1.5%	0.38%	3.1	76	3
9-12	39.75%	63.5%	87.25%	1.35	76	3
12-22	13.75%	33.75%	53.75%	0.7	76	3
22-100	5.5%	8%	10.5%	0.12	76	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	53.69%	56.19%	58.69%	5.2	150	3
3-6	14.21%	16.59%	18.97%	5.7	150	3
6-9	14.21%	16.59%	18.97%	5.7	150	3
9-12	312.25%	337.25%	362.25%	2.9	150	3
12-22	143%	163%	183%	1.65	150	3
22-100	44%	46.5%	49%	0.42	150	1

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 6 Version 2 (RED Code: 2I666VAQ8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	10.31%	12.81%	15.31%	24.8	58	3
3-6	-5.06%	-2.81%	-0.56%	1.8	58	3
6-9	-4.5%	-2.5%	-.5%	1.8	58	3
9-12	7.5%	30.75%	54%	0.9	58	3
12-22	0%	9.75%	19.5%	.3	58	3
22-100	0%	3%	6%	0.06	58	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	50.66%	53.16%	55.66%	6.1	142	3
3-6	11.87%	14.25%	16.63%	6.1	142	3
6-9	6.47%	8.47%	10.47%	4.2	142	3
9-12	282.75%	307.75%	332.75%	2.9	142	3
12-22	131%	151%	171%	1.6	142	3
22-100	37%	39.5%	42%	0.38	142	1

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 5 (RED Code: 2I666VAE5)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	4%	6%	8%	28	76	1
6-9	-3%	-2%	-1%	1.3	76	1
12-22	0%	7.5%	15%	0.2	76	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	46.25%	48.25%	50.25%	6.6	132	4
3-6	10.21%	12.09%	13.97%	6.2	132	4
6-9	3.56%	5.56%	7.56%	4.2	132	3
9-12	239.25%	264.25%	289.25%	2.8	132	3
12-22	117.25%	134.75%	152.25	1.55	132	4
22-100	28%	30.5%	33%	0.36	132	1

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 4 (RED Code: 2I666VAD7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	-0.5%	1%	2.5%	33	30	1
12-22	0%	2.5%	5%	0	30	1
22-100	0%	0.5%	1%	0	30	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	39.38%	41.88%	44.38%	8.3	120	4
3-6	5.19%	7.44%	9.69%	6.4	120	5
6-9	1.22%	3.22%	5.22%	4	120	4
9-12	192.25%	217.25%	242.25%	2.5	120	4
12-22	81%	101%	121	1.3	120	2

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 3 (RED Code: 2I666VAC9)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	33.75%	36%	38.25%	10.1	108	3
3-6	1.31%	3.31%	5.31%	6.5	108	3
6-9	-0.78%	0.97%	2.72%	3.9	108	3
9-12	141.5%	166.5%	191.5%	2.2	108	2
12-22	65.5%	85.5%	105.5	1.15	108	2

Monthly iTraxx Tranche Fixings for 30Nov12

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	29.5%	32.5%	35.5%	9.4	0	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	54%	57%	60%	4.8	0	1

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	34%	36.5%	39%	9.4	88	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	57.5%	59.5%	61.5%	4.8	129	1

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	17.5%	18.5%	19.5%	15.2	68	2
3-6	-4.06%	-3.06%	-2.06%	6.6	68	2
6-9	-3.38%	-2.63%	-1.88%	3.7	68	2
9-12	50%	62.5%	75%	1.65	68	2
12-22	20%	29%	38%	1	68	2
22-100	6.25%	8.75%	11.25%	.16	68	2

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	42.75%	43.75%	44.75%	6.3	122	2
3-6	6.81%	7.81%	8.81%	5.3	122	2
6-9	4%	5%	6%	3.9	122	2
9-12	245%	257.5%	270%	2.6	122	2
12-22	105%	115%	125%	1.35	122	2
22-100	25%	27.5%	30%	.44	122	2

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	57.25%	58.25%	59.25%	3.4	157	2
3-6	18.63%	19.63%	20.63%	4.1	157	2
6-9	13.5%	14.5%	15.5%	3.4	157	2
9-12	371.5%	384%	396.5%	2.65	157	2
12-22	170%	180%	190%	1.55	157	2
22-100	52.5%	55%	57.5%	.55	157	2

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	8.58%	9.21%	9.84%	29.7	54	6
3-6	-3.52%	-3.06%	-2.6%	2	54	6
6-9	-2.36%	-1.94%	-1.52%	.6	54	6
9-12	3.83%	11.33%	18.83%	.02	54	6
12-22	1.84%	7.17%	12.5%	.1	54	6
22-100	.63%	2.13%	3.63%	.01	54	4

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	37.77%	38.4%	39.03%	7.2	117	6
3-6	5.42%	6%	6.58%	5.8	117	6
6-9	1.98%	2.65%	3.32%	4	117	6
9-12	193.5%	203.67%	213.84%	2.4	117	6
12-22	91%	100.17%	109.34	1.35	117	6
22-100	15.92%	17.92%	19.92%	.35	117	6

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	62.22%	62.85%	63.48%	2.8	169	6
3-6	23.62%	24.33%	25.04%	3.8	169	6
6-9	17.94%	18.65%	19.36%	3.2	169	6
9-12	413.66%	425.33%	437.%	2.45	169	6
12-22	196%	204.33%	212.66	1.5	169	6
22-100	56.25%	58.33%	60.41%	..6	169	6

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	30.94%	32.94%	34.94%	11.4	101	4
3-6	.5%	2.25%	4%	6.8	101	4
6-9	-1.63%	-.13%	1.37%	4.3	101	4
9-12	120%	140%	160%	2.2	101	4
12-22	55.5%	70.5%	85.5%	1.2	101	4
22-100	9%	11.5%	14%	.16	101	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	58.59%	60.59%	52.59%	4	166	4
3-6	20.75%	22.5%	24.25%	4.8	166	4
6-9	14.88%	16.38%	17.88%	3.8	166	4
9-12	385.5%	405.5%	425.5%	2.85	166	4
12-22	180.5%	196.75%	213%	1.7	166	4
22-100	52%	54.5%	57%	.46	166	1

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 7 Version 2 (RED Code: 2I666VAR6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	29.72%	31.72%	33.72%	13.8	102	3
3-6	0%	1.75%	3.5%	7.5	102	3
6-9	-1.94%	-.44%	1.06%	4	102	3
9-12	85.25%	105.25%	125.25%	2.5	102	3
12-22	39.5%	54.5%	69.5%	1	102	3
22-100	6%	8.5%	11%	1	102	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	59.56%	61.56%	63.56%	4.1	166	3
3-6	21.71%	23.59%	25.47%	5.1	166	3
6-9	14.88%	16.38%	17.88%	4.1	166	3
9-12	386%	406%	426%	2.95	166	3
12-22	174.25%	189.25%	204.25%	1.7	166	3

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 6 Version 2 (RED Code: 2I666VAQ8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	22%	24%	26%	18.8	86	2
3-6	-2.5%	-1%	.5%	7.4	86	2
6-9	-3.75%	-2.75%	-.75%	3.4	86	1
9-12	33%	53%	73%	1.4	86	2
12-22	10%	20%	30%	.6	86	2

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	58.13%	60.13%	62.13%	4.6	163	2
3-6	20.63%	22.63%	24.63%	5.5	163	2
6-9	12.63%	14.13%	15.63%	4.3	163	3
9-12	372.25%	392.25%	412.25%	3	163	3
12-22	167.5%	185%	202.5%	1.7	163	3

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 5 (RED Code: 2I666VAE5)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	11.13%	13.13%	15.13%	26.6	68	1
3-6	-4.63%	-2.63%	-.63%	4.5	68	1
6-9	-3.38%	-1.88%	.38%	1.8	68	1
9-12	2%	17%	32%	.65	68	1
12-22	1%	10.5%	20%	.2	68	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	53.44%	55.69%	57.94%	5.3	156	4
3-6	16.69%	18.69%	20.69%	5.8	156	4
6-9	9.63%	11.38%	13.13%	4.4	156	4
9-12	333.5%	356%	378.5%	2.9	156	4
12-22	145.75%	163.25%	180.75	1.6	156	3

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 4 (RED Code: 2I666VAD7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	46.63%	49.13%	51.63%	6.4	142	3
3-6	11.56%	13.56%	15.56%	6	142	4
6-9	6.03%	7.78%	9.53%	4.3	142	4
9-12	270%	290%	310%	2.75	142	4
12-22	124%	139%	154	1.5	142	2

Monthly iTraxx Tranche Fixings for 28Sep12

iTraxx Europe Series 3 (RED Code: 2I666VAC9)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	43.19%	45.44%	47.69%	7.5	136	3
3-6	8.88%	10.88%	12.88%	6.5	136	3
6-9	3.75%	5.5%	7.25%	4.5	136	3
9-12	224.5%	244.5%	264.5%	2.6	136	2
12-22	115%	130%	145	1.45	136	2

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	45.13%	47.13%	49.13%	6	119	1
3-6	12.5%	15%	17.5%	4.8	119	1
6-9	5.5%	7%	8.5%	3.4	119	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	63.25%	65.25%	67.25%	2.9	156	1
3-6	30.88%	32.88%	34.88%	3.5	156	1
6-9	19%	20.5%	22%	3.2	156	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	71.88%	73.88%	75.88%	1.8	171	1
3-6	42.5%	44.5%	46.5%	2.8	171	1
6-9	28.75%	30.75%	32.75%	2.8	171	1

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	33.13%	34.38%	35.63%	10	117	2
3-6	2%	3%	4%	6.7	117	2
6-9	-0.5%	0.5%	1.5%	3.9	117	1
9-12	125%	145%	165%	2.15	117	1
12-22	55%	67.5%	80%	1.15	117	1
22-100	13.5%	16%	18.5%	.29	117	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	53.94%	55.19%	56.44%	4.4	159	2
3-6	16%	17%	18%	5	159	1
6-9	9%	10%	11%	3.9	159	1
9-12	355%	375%	395%	2.8	159	1
12-22	145%	165%	185%	1.6	159	1
22-100	38.75%	41.25%	43.75%	.48	159	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	63.5%	64.75%	66%	2.7	183	2
3-6	26.75%	28%	29.25%	3.9	183	1
6-9	19.5%	20.75%	22%	3.4	183	1
9-12	490%	510%	530%	2.75	183	1
12-22	220%	240%	260%	1.8	183	1
22-100	60%	63%	66%	.58	183	1

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	17.58%	18.17%	18.76%	20.3	92	7
3-6	-2.69%	-2.17%	-1.65%	4.4	92	7
6-9	-2.31%	-1.86%	-1.41%	1.5	92	7
9-12	24%	32.25%	40.5%	.55	92	7
12-22	13.75%	19.63%	25.51%	.35	92	7
22-100	3.38%	5.19%	7%	.12	92	7

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	51.51%	52.17%	52.83%	6.2	156	7
3-6	12.36%	13.02%	13.68%	5.7	156	7
6-9	5.14%	5.8%	6.46%	3.8	156	7
9-12	303%	313.25%	323.5%	2.6	156	7
12-22	135%	144.25%	153.5	1.4	156	7
22-100	27.31%	29.44%	31.57%	.42	156	7

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	68.84%	69.53%	70.22%	2.5	199	7
3-6	32.93%	33.58%	34.23%	3.7	199	6
6-9	24.59%	25.19%	25.79%	3.2	199	6
9-12	563.83%	572.5%	581.17%	2.6	199	6
12-22	272.17%	281.5%	290.83	1.7	199	6
22-100	66.92%	68.92%	70.92%	.58	199	6

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 3 (RED Code: 2I666VAC9)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	56.94%	58.69%	60.44%	5.1	175	3
3-6	17.19%	18.69%	20.19%	5.8	175	2
6-9	7.13%	8.88%	10.63%	4.1	175	4
9-12	358%	373%	388%	2.8	175	1
12-22	161%	171%	181	1.55	175	1

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 4 (RED Code: 2I666VAD7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	61.63%	63.38%	65.13%	4.1	188	3
3-6	21.92%	23.71%	25.5%	5.2	188	5
6-9	11.63%	13.38%	15.13%	4	188	4
9-12	418.25%	438.25%	458.25%	2.85	188	3
12-22	188.25%	205.75%	223.25	1.6	188	3

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 5 (RED Code: 2I666VAE5)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	25.56%	27.31%	29.06%	16.4	130	3
3-6	-1.62%	.13%	1.88%	6	130	3
6-9	-2.69%	-1.19%	.31%	2.4	130	3
9-12	52%	67%	82%	1.4	130	2
12-22	23%	35.5%	48%	.6	130	3

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	66.03%	67.72%	69.41%	3.3	200	4
3-6	28.25%	30%	31.75%	4.7	200	3
6-9	15.5%	17.25%	195%	3.8	200	3
9-12	493.25%	513.25%	533.25%	2.85	200	3
12-22	225.5%	240.5%	255.5	1.65	200	4
22-100	46.5%	49%	51.5%	.525	200	1

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 6 Version 2 (RED Code: 2I666VAQ8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	35.34%	37.22%	39.1%	11.4	140	4
3-6	2.25%	4%	5.75%	7.2	140	4
6-9	-1.5%	0%	1.5%	3.3	140	4
9-12	120%	140%	160%	1.7	140	4
12-22	46.5%	61.5%	76.5%	.85	140	4

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	68.69%	70.44%	72.19%	2.8	210	3
3-6	32.13%	33.88%	35.63%	4.3	210	3
6-9	20.75%	22.5%	24.25%	3.7	210	3
9-12	560.5%	578%	595.5%	2.9	210	3
12-22	262%	272%	282%	1.8	210	2
22-100	58%	60.5%	63%	.3	210	1

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 7 Version 2 (RED Code: 2I666VAR6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	43.38%	44.88%	46.38%	9	145	2
3-6	5.06%	6.56%	8.06%	6.6	145	2
6-9	.25%	2%	3.75%	3.9	145	3
9-12	176.5%	196.5%	216.5%	2.1	145	3
12-22	79%	89%	99%	1.1	145	2
22-100	17.5%	20%	22.5%	.35	145	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	69.25%	70.75%	72.25%	2.7	205	2
3-6	32%	33.75%	35.5%	4.1	205	3
6-9	21.69%	23.44%	25.19%	3.6	205	3
9-12	557.5%	572.5%	587.5%	2.85	205	2
12-22	260%	270%	280%	1.8	205	2
22-100	61%	63.5%	66%	.575	205	1

Monthly iTraxx Tranche Fixings for 31Jul12

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	45%	46.75%	48.5%	7.8	146	3
3-6	6.94%	8.69%	10.44%	6.3	146	4
6-9	1.2%	2.83%	4.46%	3.9	146	5
9-12	227%	242%	257%	2.45	146	2
12-22	101%	116%	131%	1.3	146	3
22-100	21.5%	24%	26.5%	.35	146	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	66.69%	68.44%	70.19%	2.8	199	4
3-6	30.44%	32.19%	33.94%	3.9	199	3
6-9	21.13%	22.88%	24.63%	3.4	199	3
9-12	531%	551%	571%	2.75	199	3
12-22	256.5%	271.5%	286.5%	1.8	199	3
22-100	62.5%	65%	67.5%	.575	199	1

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	55.5%	57.5%	59.5%	5.5	147	1
3-6	21.5%	23%	24.5%	4.9	147	1
6-9	10.75%	12.25%	13.75%	3.5	147	1
9-12	280%	300%	320%	2.45	147	1
12-22	120%	140%	160%	1.35	147	1
22-100	25.5%	28.5%	31.5%	1.35	147	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	69%	71%	73%	2.7	176	1
3-6	38.88%	40.38%	41.88%	3.6	176	1
6-9	25%	26.5%	28%	3.3	176	1
9-12	420%	445%	470%	2.65	176	1
12-22	200%	220%	240%	1.65	176	1
22-100	54%	57%	60%	0.59	176	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	75.75%	77.75%	79.75%	1.8	185	1
3-6	49%	51%	53%	2.8	185	1
6-9	34.25%	35.75%	37.25%	2.9	185	1
9-12	490%	515%	540%	2.6	185	1
12-22	240%	260%	280%	1.8	185	1
22-100	69%	72%	75%	.64	185	1

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	45.63%	46.63%	47.63%	9	147	3
3-6	7.59%	8.72%	9.85%	6.9	147	3
6-9	.25%	1.75%	3.25%	4.4	147	3
9-12	186.5%	204%	221.5%	2.55	147	3
12-22	88.75%	100%	111.25%	1.6	147	3
22-100	13%	15.5%	18%	.23	147	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	60.38%	61.63%	62.88%	3.5	178	3
3-6	23.38%	24.38%	25.38%	4.4	178	2
6-9	14.5%	15.5%	16.5%	3.7	178	2
9-12	410%	425%	440%	2.6	178	2
12-22	182%	197%	212%	1.45	178	1
22-100	42.5%	45.25%	48%	0.56	178	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	66.25%	67.25%	68.25%	2	198	3
3-6	33.63%	67.25%	68.25%	3.2	198	3
6-9	25.5%	26.5%	27.5%	3.1	198	1
9-12	530%	555%	580%	2.45	198	1
12-22	255%	275%	295%	1.55	198	1
22-100	66%	69%	72%	.65	198	1

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	38.16%	38.8%	39.44%	16.2	155	7
3-6	0.47%	0.94%	1.41%	7.3	155	7
6-9	-2.44%	-2.02%	-1.6%	1.7	155	7
9-12	44.37%	52.5%	60.63%	0.9	155	7
12-22	22.5%	29.38%	36.26%	0.5	155	7
22-100	6.96%	8.71%	10.46%	.24	155	6

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	63.09%	63.75%	64.41%	3.9	188	7
3-6	21.25%	21.91%	22.57%	4.2	188	7
6-9	11.66%	12.25%	12.84%	4.2	188	7
9-12	401%	409.75%	418.5%	2.85	188	7
12-22	176.25%	183.63%	191.01%	1.6	188	7
22-100	31.58%	33.08%	34.58%	0.45	188	6

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	73.71%	73.86%	74.55%	1.6	214	7
3-6	40.61%	41.42%	42.23%	2.9	214	7
6-9	30.1%	30.85%	31.6%	2.9	214	6
9-12	611.5%	620.67%	629.84%	2.4	214	6
12-22	298.67%	308.67%	318.67%	1.65	214	6
22-100	69.17%	71.5%	73.83%	.65	214	5

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	58.38%	60.88%	63.38%	6.9	183	3
3-6	15.18%	17.56%	19.94%	7	183	3
6-9	5.81%	7.81%	9.81%	4.6	183	3
9-12	305%	325%	345%	2.85	183	2
12-22	140.5%	155.5%	170.5%	1.5	183	3

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	71.44%	73.44%	75.44%	2.7	214	4
3-6	37.88%	39.88%	41.88%	4.1	214	3
6-9	26%	28%	30%	3.7	214	3
9-12	579.75%	602.25%	624.75%	2.95	214	4
12-22	283.5%	298.5%	313.5%	1.9	214	4

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 7 Version 2 (RED Code: 2I666VAR6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	58.31%	60.81%	63.31%	8.1	181	3
3-6	11.5%	13.5%	15.5%	8.1	181	2
6-9	2.5%	4.5%	6.5%	4.4	181	2
9-12	229.5%	249.5%	269.5%	2.45	181	2
12-22	100%	110%	120%	1.2	181	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	73.63%	75.63%	77.63%	2.5	221	2
3-6	38.75%	40.75%	42.75%	4.3	221	3
6-9	27.94%	29.94%	31.94%	3.9	221	3
9-12	615%	635%	655%	3.1	221	2
12-22	290%	300%	310%	1.95	221	2

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 6 Version 2 (RED Code: 2I666VAQ8)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	52.38%	54.38%	56.38%	10.9	181	2
3-6	9%	11%	13%	9.4	181	1
6-9	-1.5%	0.5%	2.5%	4	181	2
9-12	143.5%	163.5%	183.5%	2.05	181	2
12-22	63%	73%	83%	1.1	181	2

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	72.53%	74.78%	77.03%	2.7	223	3
3-6	38.25%	40.25%	42.25%	4.7	223	2
6-9	24.91%	26.91%	28.91%	4.1	223	3
9-12	617.5%	632.5%	647.5%	3.2	223	2
12-22	285%	295%	305%	1.95	223	2

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 5 Version 2 (RED Code: 2I666VAE5)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	43.5%	45.5%	47.5%	15.9	175	1
3-6	.88%	2.88%	4.88%	8	175	1
6-9	-2.69%	-0.69%	1.31%	2	175	2
9-12	40%	55%	70%	0.85	175	1
12-22	32%	42%	52%	0.5	175	2

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	70.31%	72.56%	74.81%	3	221	3
3-6	34.55%	36.55%	38.5%	5	221	2
6-9	20.97%	23.22%	25.47%	4.2	221	3
9-12	572.75%	595.25%	617.75%	3.15	221	3
12-22	250.75%	265.75%	280.75%	1.8	221	3

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 4 Version 2 (RED Code: 2I666VAD7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	19.5%	21.5%	23.5%	24.9	144	1
3-6	-2.5%	-1%	0.5%	5.1	144	1
6-9	-3.38%	-1.88%	-0.38%	1.3	144	1
9-12	20%	40%	60%	0.5	144	1
12-22	15%	25%	35%	0.3	144	1

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	67.56%	70.06%	72.56%	3.8	211	3
3-6	28.13%	30.63%	33.13%	5.8	211	3
6-9	16.41%	18.66%	20.91%	4.7	211	3
9-12	503.5%	526%	548.5%	3.3	211	3
12-22	227%	237%	247%	1.88	211	2

Monthly iTraxx Tranche Fixings for 31May12

iTraxx Europe Series 3 Version 2 (RED Code: 2I666VAC9)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	64.13%	66.13%	68.13%	4.7	196	2
3-6	23.25%	25.25%	27.25%	6.3	196	2
6-9	12%	14%	16%	4.8	196	2
9-12	425%	445%	465%	3.2	196	1
12-22	188%	198%	208%	1.7	196	1

Monthly iTraxx Tranche Fixings for 30Mar12

iTraxx Europe Series 17 Version 1 (RED Code: 2I666VAX3)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	45.25%	47.25%	49.25%	8	96	2
3-6	14.38%	15.38%	16.38%	6	96	2
6-9	6.38%	7.38%	8.38%	4	96	2
9-12	148.5%	168.5%	188.5%	2.5	96	2
12-22	61.50%	76.50%	91.50%	1.40	96	2
22-100	9.00%	12.00%	15.00%	0.325	96	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	62.31%	64.31%	66.31%	4.25	124	2
3-6	30.50%	32.00%	33.50%	4.75	124	2
6-9	18.00%	19.00%	20.00%	4	124	2
9-12	298.50%	318.50%	338.5%	2.95	124	2
12-22	130.00%	150.00%	170.00%	1.65	124	1
22-100	25.00%	28.00%	31.00%	0.475	124	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	69.81%	71.81%	73.81%	2.75	132	2
3-6	40.25%	41.75%	43.25%	3.75	132	2
6-9	25.88%	27.38%	28.88%	3.5	132	2
9-12	360.00%	380.00%	400.00%	2.95	132	2
12-22	165.00%	180.00%	295.00%	1.8	132	1
22-100	35.75%	38.75%	41.75%	.55	132	1

Monthly iTraxx Tranche Fixings for 30Mar12

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	33.44%	34.69%	35.94%	12	95	4
3-6	.68%	1.56%	2.44%	8	95	3
6-9	-2.35%	-1.47%	-.59%	4.75	95	4
9-12	111%	124.75%	138.5%	2.7	95	4
12-22	44.75%	54.75%	64.75%	1.75	95	4
22-100	5.25%	7.25%	9.25%	0.03	95	2

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	51.37%	52.75%	54.13%	5.25	123	4
3-6	13.44%	14.44%	15.44%	6.25	123	4
6-9	7.13%	8.13%	9.13%	4.75	123	3
9-12	261.25%	281.25%	301.25%	3.2	123	3
12-22	114%	124%	134%	1.8	123	2
22-100	16.00%	18.5%	21.00%	0.33	123	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	60.68%	62.06%	63.44%	3.25	144	4
3-6	23.88%	24.88%	25.88%	4.5	144	4
6-9	16.38%	17.63%	18.88%	4	144	3
9-12	393.75%	416.25%	438.75%	3.15	144	3
12-22	180.00%	190.00%	200.00%	1.9	144	1
22-100	34.00%	36.50%	39.00%	.5	144	1

Monthly iTraxx Tranche Fixings for 30Mar12

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22, 22-100 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	25.53%	26.09%	26.65%	17.5	96	7
3-6	-2.02%	-1.52%	-1.02%	7	96	7
6-9	-3.03%	-2.53%	-2.03%	2.25	96	7
9-12	35.25%	44.38%	53.51%	1.2	96	7
12-22	15.62%	23.75%	31.88%	0.75	96	7
22-100	1.50%	3.33%	5.16%	0.11	96	6

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	51.90%	52.53%	53.16%	6	129	7
3-6	11.68%	12.31%	12.94%	6.5	129	7
6-9	5.87%	6.50%	7.13%	5	129	6
9-12	251.00%	260.17%	269.34%	3.2	129	6
12-22	98.17%	106.00%	113.83%	1.65	129	6
22-100	11.71%	13.38%	15.05%	0.3	129	6

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	65.57%	66.23%	66.89%	2.5	149	7
3-6	27.82%	28.45%	29.08%	4	149	7
6-9	19.15%	19.69%	20.23%	3.75	149	6
9-12	440.50%	449.67%	458.84%	3	149	6
12-22	193.00%	200.83%	208.66%	1.9	149	6
22-100	32.00%	34.25%	36.50%	0.52	149	6

Monthly iTraxx Tranche Fixings for 31Jan12

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	40.83%	41.83%	42.83%	9.5	115	6
3-6	4.64%	5.56%	6.48%	7.5	115	6
6-9	0.29%	1.21%	2.13%	5	115	6
9-12	171.33	183.83	196.33	2.9	115	5
12-22	65.67	75.67	85.67	1.45	115	5
22-100	6%	8.5%	11%	0.18	115	1

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	55.83%	56.71%	57.59%	4.5	142	6
3-6	17.98%	18.98%	19.98%	5.5	142	6
6-9	10.44%	11.44%	12.44%	4.5	142	5
9-12	330.25	345.25	360.25	3.1	142	3
12-22	150	160	170	1.75	142	2
22-100	24.5%	27%	29.5%	0.42	142	1

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	61.43%	62.31%	63.19%	3	154	6
3-6	26.46%	27.46%	28.46%	4.25	154	6
6-9	18.17%	19.21%	20.25%	3.75	154	5
9-12	429	441.5	454	2.95	154	4
12-22	200	215	230	1.85	154	1
22-100	39.5%	42%	44.5%	0.54	154	1

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	36.03%	36.5%	36.97%	13.5	127	8
3-6	1.84%	2.34%	2.84%	8.25	127	8
6-9	-1.34%	-0.9%	-0.46%	4	127	9
9-12	94.25	104.13	114.01	2.25	127	8
12-22	31.38	36.88	42.38	0.9	127	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	56.9%	57.38%	57.86%	4.5	148	9
3-6	16.61%	17.11%	17.61%	5.75	148	9
6-9	8.72%	9.21%	9.7%	4.5	148	10
9-12	322.2	332.7	343.2	3.2	148	9
12-22	135.31	141.06	146.81	1.75	148	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	66.18%	66.66%	67.14%	2.25	160	8
3-6	31.55%	32.08%	32.61%	3.75	160	8
6-9	21.83%	22.36%	22.89%	3.5	160	8
9-12	464.62	473.5	482.38	2.8	160	8
12-22	217	226	235	1.95	160	7

Monthly iTraxx Tranche Fixings for 30Nov11

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	49.75%	50.75%	51.75%	5.5	184	6
3-6	15.1%	16.04%	16.98%	5.5	184	6
6-9	9.02%	9.94%	10.86%	4.25	184	5
9-12	401.67	414.67	427.67	2.9	184	6
12-22	197.5	208	218.5	1.75	184	6
22-100	27.25%	29.75%	32.25%	0.39	184	2

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	60.71%	61.71%	62.71%	3	204	6
3-6	28.34%	29.34%	30.34%	3.75	204	4
6-9	20.68%	21.56%	22.44%	3.5	204	4
9-12	536	551	566	2.7	204	4
12-22	273.25	284.75	296.25	1.65	204	4
22-100	56.25%	58.75%	61.25%	0.57	204	2

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	64.36%	65.38%	66.4%	2	210	6
3-6	35.28%	36.22%	37.16%	3	210	4
6-9	29.55%	30.63%	31.71%	3	210	5
9-12	611.25	628	644.75	2.5	210	4
12-22	325.5	338.25	351	1.9	210	3
22-100	70.5%	73%	75.5%	0.64	210	2

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	44.6%	45.44%	46.28%	7	194	7
3-6	9.94%	10.42%	10.9%	6.25	194	7
6-9	4.98%	5.56%	6.14%	4.75	194	7
9-12	332.33	340	347.67	2.95	194	6
12-22	150.67	159.17	167.67	1.75	194	6

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	61.32%	62.13%	62.94%	2.75	213	8
3-6	26.97%	27.72%	28.47%	4	213	8
6-9	17.7%	18.36%	19.02%	3.5	213	8
9-12	557.34	567.17	577	2.75	213	6
12-22	262.62	272	281.38	1.7	213	7

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	69.78%	70.58%	71.38%	1.5	222	8
3-6	40.81%	41.53%	42.25%	2.5	222	7
6-9	33.78%	34.56%	35.34%	2.75	222	7
9-12	675	687.25	699.5	2.35	222	7
12-22	364.37	375	385.63	1.85	222	7

Monthly iTraxx Tranche Fixings for 30Sep11

iTraxx Europe Series 15 Version 1 (RED Code: 2I666VAV7)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

3Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	49.39%	50.29%	51.19%	6.0	170	6
3-6	13.71%	14.63%	15.55%	5.75%	170	6
6-9	7.04%	8.04%	9.04%	4.25	170	6
9-12	338.83	350.0	361.17	2.7	170	5
12-22	145.08	153.75	162.42	1.4	170	5
22-100	30.88%	33.38%	35.88%	0.42	170	2

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	60.77%	61.65%	62.53%	3.25	193	6
3-6	26.6%	27.6%	28.6%	4.25	193	6
6-9	18.17%	19.17%	20.17%	3.5	193	6
9-12	480.33	491.5	502.67	2.7	193	5
12-22	225.17	234.17	243.17	1.65	193	5
22-100	58.88%	61.38%	63.88%	0.57	193	2

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	64.93%	65.85%	66.77%	2.25	204	6
3-6	34.96%	35.92%	36.88%	3.25	204	6
6-9	28.56%	29.56%	30.56%	3.00	204	6
9-12	554.58	570.75	586.92	2.55	204	5
12-22	273.0	281.5	290.0	1.75	204	4
22-100	75.5%	78%	80.5%	0.64	204	2

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	46.52%	47.02%	47.52%	7.50	185	8
3-6	10.22%	10.72%	11.22%	6.5	185	8
6-9	4.57%	5.05%	5.53%	4.5	185	8
9-12	298.75	306.5	314.25	2.65	185	8
12-22	111.75	117.63	123.51	1.2	185	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	64.23%	64.73%	65.23%	3.0	209	8
3-6	27.52%	28.02%	28.52%	4.25	209	8
6-9	17.24%	17.77%	18.3%	3.75	209	8
9-12	519.75	528.38	537.01	2.8	209	8
12-22	232.38	237.88	243.38	1.6	209	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	71.42%	71.98%	72.54%	1.75	217	8
3-6	41.48%	41.98%	42.48%	2.75	217	8
6-9	33.47%	33.97%	34.47%	2.75	217	8
9-12	616.75	626.13	635.51	2.4	217	8
12-22	309.13	317.88	326.63	1.75	217	8

Monthly iTraxx Tranche Fixings for 29Jul11

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	29.89%	30.25%	30.61%	12.50	91	9
3-6	-2.37%	-1.98%	-1.59%	6	91	9
6-9	-3.03%	-2.69%	-2.35%	2.75	91	9
9-12	80.5	84.6	88.7	1.7	91	9
12-22	30.4	33.3	36.2	.7	91	9

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	48.97%	49.38%	49.79%	5.75	120	9
3-6	8.4%	8.76%	9.12%	5.5	120	9
6-9	2.72%	3.13%	3.54%	3.75	120	9
9-12	227.2	233	238.8	2.6	120	9
12-22	96.5	100.1	103.7	1.35	120	9

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	59%	59.46%	59.92%	3	141	9
3-6	22.15%	22.53%	22.91%	4.25	141	9
6-9	14.8%	15.19%	15.58%	3.5	141	9
9-12	354	360.9	367.8	2.6	141	9
12-22	157.3	161.5	165.7	1.55	141	9

Monthly iTraxx Tranche Fixings for 31May11

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	22.11%	22.27%	22.43%	14.50	68	8
3-6	-3.72%	-3.56%	-3.40%	6.5	68	8
6-9	-3.86%	-3.69%	-3.52%	2.75	68	7
9-12	55.25	57	58.75	1.5	68	8
12-22	21.25	22.38	23.51	.65	68	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	39.94%	40.14%	40.34%	7	99	7
3-6	4.13%	4.3%	4.47%	5.75	99	8
6-9	-0.61%	0.77%	0.93%	3.75	99	8
9-12	168.38	170.63	172.88	2.3	99	8
12-22	73.12	75	76.88	1.15	99	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	53.3%	53.5%	53.7%	3.75	125	8
3-6	17%	17.17%	17.34%	4.5	125	7
6-9	10.44%	10.64%	10.84%	3.5	125	8
9-12	295.37	297.5	299.63	2.5	125	8
12-22	130.88	132.38	133.88	1.45	125	8

Monthly iTraxx Tranche Fixings for 31Mar11

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	19.79%	20.18%	20.57%	13.75	61	9
3-6	-4.04%	-3.75%	-3.46%	6.5	61	6
6-9	-4.31%	-4.02%	-3.73%	2.75	61	6
9-12	50.5	53.13	55.76	1.5	61	7
12-22	21	22.88	24.76	.7	61	7

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	37.72%	38.19%	38.66%	6.75	96	8
3-6	2.69%	3.13%	3.57%	5.5	96	9
6-9	-0.2%	0.13%	0.46%	3.5	96	7
9-12	161.38	164.38	167.38	2.15	96	7
12-22	71.83	74.33	76.83	1.1	96	6

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	51.24%	51.72%	52.2%	3.75	122	7
3-6	14.62%	15.08%	15.54%	4.25	122	6
6-9	9.37%	9.77%	10.17%	3.5	122	6
9-12	282.5	285.75	289	2.45	122	8
12-22	127	129.67	132.34	1.4	122	6

Monthly iTraxx Tranche Fixings for 31Jan11

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	21.94%	22.17%	22.4%	11.5	70	8
3-6	-4%	-3.77%	-3.54%	5.75	70	8
6-9	-3.93%	--3.66%	-3.39%	3	70	8
9-12	67	69.13	71.26	1.5	70	8
12-22	28.18	30.06	31.94	.7	70	7

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	38.70%	39.03%	39.36%	6.25	102	8
3-6	2.9%	3.19%	3.48%	5	102	9
6-9	.54%	.88%	1.22%	3.5	102	8
9-12	181.1	183.5	185.9	2.25	102	9
12-22	83.75	86	88.25	1.15	102	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	49.23%	49.56%	49.89%	3.75	117	9
3-6	11.91%	12.19%	12.47%	4.25	117	8
6-9	7.86%	8.13%	8.4%	3.25	117	8
9-12	267.30	270.40	273.5	2.35	117	9
12-22	119.37	121.5	123.63	1.35	117	8

Monthly iTraxx Tranche Fixings for 30Nov10

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6 are upfronts with a fixed 500bps spread, Tranche 6-9 has a 300bps fixed spread, and all are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	29.32%	29.80%	30.28%	10	90	7
3-6	-0.32%	0.08%	0.48%	6	90	6
6-9	-2.69%	-2.29%	-1.89%	3.25	90	5
9-12	102.17	106.50	110.83	1.75	90	5
12-22	46.34	49.67	53.00	0.85	90	5

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	43.46%	43.98%	44.50%	5.25	117	6
3-6	7.48%	7.96%	8.44%	5	117	5
6-9	3.31%	3.79%	4.27%	3.5	117	5
9-12	212.37	216.50	220.63	2.2	117	7
12-22	96.5	100.83	105.16	1.15	117	5

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	52.12%	52.58%	53.04%	3.25	128	6
3-6	16.62%	17.10%	17.58%	4	128	6
6-9	10.75%	11.21%	11.67%	3.25	128	6
9-12	293.67	299.00	304.33	2.3	128	5
12-22	130.34	133.67	137.00	1.3	128	5

Monthly iTraxx Tranche Fixings for 30Sep10

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6, 6-9 are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	27.46%	27.71%	27.96%	9.75	85	6
3-6	-2%	-1.56%	-1.12%	5.75	85	5
6-9	-3.34%	-2.90%	-2.46%	3	85	5
9-12	108.33	111.00	113.67	1.9	85	5
12-22	48.33	50.50	52.67	0.85	85	5

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	43.96%	44.31%	44.66%	5.5	113	6
3-6	5.79%	6.25%	6.71%	5	113	5
6-9	2.46%	2.96%	3.46%	3.5	113	5
9-12	203.50	206.83	210.16	2.25	113	5
12-22	92.34	95.17	98.00	1.15	113	5

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	54.08%	54.58%	55.08%	3.25	125	5
3-6	15.21%	15.71%	16.21%	4	125	5
6-9	9.77%	10.27%	10.77%	3.25	125	5
9-12	285.00	289.67	294.34	2.45	125	5
12-22	127.34	130.17	133.00	1.35	125	5

Monthly iTraxx Tranche Fixings for 30Jul10

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6, 6-9 are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	34.74%	35.14%	35.54%	9	100	9
3-6	4.29%	4.70%	5.11%	6.75	100	9
6-9	-0.68%	-0.38%	-0.08%	3.75	100	9
9-12	141.30	143.85	146.40	2.2	100	9
12-22	58.05	59.75	61.45	1	100	9

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	47.86%	48.29%	48.72%	5.5	116	9
3-6	12.43%	12.88%	13.33%	5.5	116	9
6-9	4.76%	5.11%	5.46%	4	116	9
9-12	211.80	215.60	219.40	2.4	116	9
12-22	97.20	100.00	102.80	1.25	116	9

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	56.46%	56.94%	57.42%	3.5	121	9
3-6	19.25%	19.70%	20.15%	4.5	121	9
6-9	11.91%	12.26%	12.61%	3.75	121	9
9-12	284.70	289.10	293.50	2.55	121	9
12-22	114.60	117.70	120.80	1.35	121	9

Monthly iTraxx Tranche Fixings for 27May10

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3, 3-6, 6-9 are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	40.89%	41.39%	41.89%	7.25	120	10
3-6	6.99%	7.43%	7.87%	6	120	10
6-9	3.04%	3.45%	3.86%	4	120	10
9-12	185.1	189.75	194.4	2.25	120	10
12-22	74.2	77.3	80.4	1	120	9

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	51.61%	52.15%	52.69%	4.5	130	10
3-6	15.38%	15.89%	16.4%	5	130	10
6-9	8.77%	9.24%	9.71%	4	130	11
9-12	233	238.1	243.2	2.3	130	10
12-22	111.98	115.69	119.4	1.25	130	10

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	57.55%	58.16%	58.77%	3	132	10
3-6	22.98%	23.51%	24.04%	4	132	10
6-9	16.06%	16.55%	17.04%	3.5	132	10
9-12	293.1	298.9	304.7	2.4	132	10
12-22	122.08	126.28	130.48	1.25	132	10

Monthly iTraxx Tranche Fixings for 31Mar10

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Tranches 0-3 are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Tranches 3-6, 6-9 are upfronts with a fixed 300bps spread and are quoted in bps.

Tranches 9-12, 12-22 are upfronts with a fixed 100bps spread and are quoted in bps.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	26.61%	27.03%	27.45%	10.75	70	8
3-6	-4.51	-4.18	-3.85	6	70	8
6-9	-4.40	-3.99	-3.58	3.5	70	8
9-12	91	94.01	97.02	2.05	70	8
12-22	34.63	37.13	39.63	0.9	70	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	39.64%	40.03%	40.42%	6.75	88	8
3-6	1.95	2.31	2.67	5.75	88	8
6-9	-0.96	-0.55	-0.14	4	88	8
9-12	146.25	150.63	155.01	2.35	88	8
12-22	65.12	68.25	71.38	1.2	88	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	48.04%	48.48%	48.92%	4.5	99	8
3-6	9.42	9.86	10.30	5	99	8
6-9	6.13	6.54	6.95	4	99	8
9-12	221.31	225.69	230.07	2.65	99	8
12-22	87.47	90.85	94.23	1.35	99	8

Monthly iTraxx Tranche Fixings for 29Jan10

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3, 3-6 and 6-9 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	28.23%	28.81%	29.39%	10.5	75	5
3-6	-4.58%	-4.00%	-3.42%	5.75	75	5
6-9	-10.96%	-10.48%	-10.00%	3.5	75	5
9-12	100.00	104.83	109.66	2.05	75	5
12-22	38.16	41.33	44.50	0.9	75	6

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	38.50%	39.04%	39.58%	6.5	91	5
3-6	0.40%	0.88%	1.36%	5.25	91	6
6-9	-10.75%	-10.27%	-9.79%	4	91	5
9-12	149.50	154.33	159.16	2.3	91	5
12-22	66.34	70.67	75.00	1.2	91	5

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	46.75%	47.25%	47.75%	4.5	101	4
3-6	9.25%	9.75%	10.25%	4.75	101	6
6-9	-7.04%	-6.58%	-6.12%	4	101	5
9-12	211.5	215.33	219.16	2.65	101	6
12-22	86.33	89.50	92.67	1.35	101	5

Monthly iTraxx Tranche Fixings for 30Nov09

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3, 3-6 and 6-9 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	35.74%	36.27%	36.80%	8.5	90	7
3-6	-1.25%	-0.73%	-0.21%	5.75	90	7
6-9	-8.28%	-7.80%	-7.32%	4	90	7
9-12	128.87	134.81	140.75	2.15	90	7
12-22	50.81	54.31	57.81	0.95	90	7

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	46.50%	47.03%	47.56%	5.5	103	7
3-6	5.10%	5.63%	6.16%	5	103	7
6-9	-7.36%	-6.83%	-6.30%	4	103	7
9-12	184	190.67	197.34	2.4	103	6
12-22	77.87	81.81	85.75	1.2	103	7

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	54.27%	54.77%	55.27%	3.5	110	7
3-6	15.05%	15.55%	16.05%	4.5	110	7
6-9	-2.69%	-2.19%	-1.69%	4	110	7
9-12	245.75	251.63	257.51	2.75	110	7
12-22	101.06	104.81	108.56	1.4	110	7

Monthly iTraxx Tranche Fixings for 30Sep09

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3, 3-6 and 6-9 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	36.28%	36.81%	37.34%	7.25	95	8
3-6	2.30%	2.83%	3.36%	5.75	95	8
6-9	-7.39%	-6.95%	-6.51%	3.75	95	8
9-12	141.75	147.75	153.75	2.2	95	8
12-22	55.12	58.75	62.38	1	95	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	45.28%	45.81%	46.34%	4.75	104	8
3-6	7.50%	8.06%	8.62%	5.75	104	8
6-9	-6.03%	-5.59%	-5.15%	3.75	104	8
9-12	190.13	196.13	202.13	2.4	104	8
12-22	77.88	81.88	85.88	1.2	104	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	51.97%	52.50%	53.03%	3.5	107	8
3-6	14.32%	14.88%	15.44%	4.5	107	8
6-9	-2.38%	-1.94%	-1.50%	4	107	8
9-12	241.25	247	252.75	2.65	107	8
12-22	94.88	98.88	102.88	1.3	107	8

Monthly iTraxx Tranche Fixings for 31Jul09

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3, 3-6 and 6-9 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	37.80%	38.63%	39.46%	6.5	100	6
3-6	2.08%	2.75%	3.42%	5.25	100	6
6-9	-8.27%	-7.52%	-6.77%	3.5	100	6
9-12	136.5	143.33	150.16	1.9	100	6
12-22	60.34	65.17	70	0.9	100	6

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	44.50%	45.38%	46.26%	4.75	103	6
3-6	6.84%	7.63%	8.42%	5	103	6
6-9	-7.25%	-6.50%	-5.75%	3.75	103	6
9-12	164.33	174.33	184.33	2.1	103	6
12-22	80.83	85.83	90.83	1.15	103	6

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	50.45%	51.33%	52.21%	3.5	105	6
3-6	12.42%	13.25%	14.08%	4.25	105	6
6-9	-3.54%	-2.71%	-1.88%	4	105	6
9-12	216.17	224.5	232.83	2.5	105	6
12-22	92.83	97.83	102.83	1.3	105	6

Monthly iTraxx Tranche Fixings for 28May09

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3, 3-6 and 6-9 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	52.38%	53.13%	53.88%	4.75	140	9
3-6	13%	13.75%	14.5%	5	140	8
6-9	-0.77%	-0.11%	0.55%	3.75	140	8
9-12	234	242.13	250.26	2.2	140	8
12-22	95.38	99.38	103.38	1	140	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	57.13%	57.98%	58.83%	3.5	136	9
3-6	19.03%	19.83%	20.63%	4.5	136	9
6-9	1.87%	2.5%	3.13%	3.75	136	8
9-12	277.87	285.5	293.13	2.45	136	8
12-22	119.56	123.94	128.32	1.25	136	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	61.53%	62.41%	63.29%	2.5	132	8
3-6	24.12%	25%	25.88%	3.75	132	8
6-9	5.79%	6.48%	7.17%	3.75	132	8
9-12	332.37	341.5	350.63	2.75	132	8
12-22	129.31	134.19	139.07	1.4	132	8

Monthly iTraxx Tranche Fixings for 31Mar09

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3, 3-6 and 6-9 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	65.95%	66.83%	67.71%	2.75	200	8
3-6	30.33%	31.23%	32.13%	4.25	200	8
6-9	10.79%	11.53%	12.27%	3.75	200	8
9-12	411.60	418.8	426	2.55	200	8
12-22	150.87	155	159.13	1.1	200	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	69.49%	70.38%	71.27%	2	186	8
3-6	37.06%	37.99%	38.92%	3.25	186	8
6-9	16.05%	16.86%	17.67%	3.5	186	8
9-12	441.7	448.4	455.1	2.7	186	8
12-22	168.13	172.63	177.13	1.3	186	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	72.45%	73.42%	74.39%	1.25	181	8
3-6	41.53%	42.50%	43.47%	2.5	181	8
6-9	21.41%	22.16%	22.91%	2.75	181	8
9-12	508.5	515.75	523	2.65	181	8
12-22	180.5	185	189.5	1.3	181	8

Monthly iTraxx Tranche Fixings for 30Jan09

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	63.59%	64.28%	64.97%	3.25	165	8
3-6	1171.25	1185.63	1200.01	5	165	8
6-9	593.56	606.69	619.82	3.5	165	8
9-12	305.63	315.63	325.63	2.3	165	8
12-22	92.75	97.13	101.51	0.75	165	8

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	66.63%	67.38%	68.13%	2	152	8
3-6	1134.38	1151.88	1169.38	4.25	152	8
6-9	637.43	650.56	663.69	3.5	152	8
9-12	339.87	350.5	361.13	2.5	152	8
12-22	99.87	104.5	109.13	0.85	152	8

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	69.57%	70.41%	71.25%	1.5	146	8
3-6	1095	1109.06	1123.12	3.5	146	8
6-9	679.75	694.75	709.75	3.25	146	8
9-12	401.25	410.63	420.01	2.7	146	8
12-22	107.75	112.75	117.75	0.9	146	8

Monthly iTraxx Tranche Fixings for 25Nov08

iTraxx Europe Series 10 Version 1 (RED Code: 2I666VAJ4)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	62%	63.13%	64.26%	2.25	176	2
3-6	1099.5	1129.5	1159.5	3.5	176	2
6-9	570.55	588.05	605.55	2.5	176	2
9-12	308	320	332	1.45	176	2
12-22	113.8	126.3	138.8	0.9	176	2

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	64.20%	65.45%	66.70%	1.5	169	2
3-6	1099.5	1124.5	1149.5	3	169	2
6-9	588.05	608.05	628.05	2.25	169	2
9-12	327.85	345.35	362.85	1.5	169	2
12-22	125.4	135.4	145.4	0.95	169	2

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	65.50%	66.75%	68%	1.25	162	2
3-6	1100.5	1125.5	1150.5	2.75	162	2
6-9	633.75	653.75	673.75	2.25	162	2
9-12	373.65	386.15	398.65	1.65	162	2
12-22	140.2	152.7	165.2	0.95	162	2

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	63.15%	64.03%	64.91%	2.75	180	7
3-6	1163.33	1175.83	1188.33	4.5	180	6
6-9	589.93	600.56	611.19	3.25	180	7
9-12	316.87	325	333.13	1.95	180	7
12-22	123	127.33	131.66	0.75	180	6

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	65.96%	66.84%	67.72%	2	172	7
3-6	1159.33	1171.83	1184.33	3.75	172	6
6-9	609.06	620.94	632.82	3	172	8
9-12	339.63	349.63	359.63	1.95	172	7
12-22	134.3	139.63	144.96	0.9	172	6

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	67.93%	69.06%	70.19%	1.25	165	7
3-6	1153.67	1171.17	1188.67	3.25	165	6
6-9	663.12	675	686.88	2.75	165	8
9-12	373.31	383.94	394.57	2	165	7
12-22	142.34	148.67	155	0.9	165	6

Monthly iTraxx Tranche Fixings for 30Sep08

iTraxx Europe Series 10 Version 1 (RED Code: 2I666VAJ4)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	45.89%	46.92%	47.95%	4.75	130	7
3-6	661.06	672.06	683.06	4.25	130	7
6-9	378.55	387.93	397.31	3.00	130	7
9-12	200.27	208.02	215.77	1.80	130	7
12-22	91.39	96.83	102.27	0.75	130	7

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	50.89%	51.89%	52.89%	3.50	131	7
3-6	749.16	760.04	770.92	4.25	131	7
6-9	416.51	424.89	433.27	3.00	131	7
9-12	224.77	233.40	242.03	1.95	131	7
12-22	107.05	112.68	118.31	0.90	131	7

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	55.18%	56.18%	57.18%	2.75	133	6
3-6	846.33	859.00	871.67	4.00	133	6
6-9	475.50	485.00	494.50	3.00	133	6
9-12	255.80	264.13	272.46	2.10	133	6
12-22	126.06	131.73	137.40	1.10	133	6

Monthly iTraxx Tranche Fixings for 31Jul08

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	31.01%	31.48%	31.95%	6.50	90	8
3-6	351.10	355.70	360.30	3.75	90	10
6-9	215.00	220.00	225.00	2.50	90	9
9-12	136.10	140.70	145.30	1.70	90	10
12-22	66.40	69.80	73.20	0.75	90	10

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	36.85%	37.43%	38.01%	5.00	95	9
3-6	449.45	455.05	460.65	4.00	95	9
6-9	254.90	259.80	264.70	2.75	95	9
9-12	154.65	159.65	164.65	1.80	95	10
12-22	76.90	81.00	85.10	0.90	95	10

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	42.66%	43.25%	43.84%	4.00	99	8
3-6	549.40	556.80	564.20	4.25	99	10
6-9	311.16	316.96	322.76	3.00	99	9
9-12	185.75	190.35	194.95	2.15	99	9
12-22	92.23	96.23	100.23	1.10	99	9

Monthly iTraxx Tranche Fixings for 30May08

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	33.53%	34.03%	34.53%	8.00	80	12
3-6	293.92	300.92	307.92	4.25	80	12
6-9	184.09	188.92	193.75	2.75	80	12
9-12	122.21	126.96	131.71	1.95	80	12
12-22	57.13	61.63	66.13	0.95	80	12

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	41.17%	41.73%	42.29%	6.00	86	11
3-6	393.84	400.67	407.50	4.75	86	11
6-9	231.67	237.00	242.33	3.00	86	11
9-12	145.09	150.42	155.75	2.10	86	11
12-22	68.33	72.75	77.17	1.10	86	11

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	46.43%	47.18%	47.93%	4.50	91	11
3-6	513.75	520.33	526.91	5.00	91	12
6-9	292.25	298.00	303.75	3.50	91	11
9-12	184.75	190.17	195.59	2.15	91	12
12-22	84.79	88.75	92.71	1.30	91	11

Monthly iTraxx Tranche Fixings for 31Mar08

iTraxx Europe Series 9 Version 1 (RED Code: 2I666VAI6)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	38.90%	40.28%	41.66%	5.25	123	10
3-6	467.90	483.50	499.10	3.75	123	10
6-9	296.20	310.00	323.80	2.50	123	10
9-12	206.10	216.40	226.70	1.95	123	10
12-22	100.10	109.50	118.90	1.10	123	10

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	44.23%	45.63%	47.03%	4.00	127	10
3-6	553.40	569.00	584.60	3.75	127	10
6-9	340.90	354.30	367.70	2.75	127	10
9-12	226.90	239.20	251.50	2.05	127	10
12-22	112.60	121.80	131.00	1.15	127	10

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	48.50%	50.05%	51.60%	3.25	128	10
3-6	662.00	681.70	701.40	3.75	128	10
6-9	382.70	397.20	411.70	3.00	128	10
9-12	248.50	261.30	274.10	2.15	128	10
12-22	125.10	134.40	143.70	1.35	128	10

Monthly iTraxx Tranche Fixings for 31Jan08

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	30.25%	30.98%	31.71%	9.00	77	10
3-6	309.80	316.90	324.00	4.75	77	10
6-9	205.60	212.40	219.20	3.25	77	10
9-12	133.00	140.00	147.00	2.25	77	10
12-22	69.20	73.60	78.00	1.25	77	9

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	35.95%	36.85%	37.75%	7.00	82	10
3-6	407.20	415.70	424.20	5.25	82	9
6-9	260.40	269.10	277.80	3.75	82	9
9-12	177.60	184.70	191.80	2.70	82	9
12-22	82.13	86.73	91.33	1.45	82	9

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	41.32%	42.50%	43.68%	5.25	87	9
3-6	500.90	512.90	524.90	5.25	87	9
6-9	314.90	323.60	332.30	4.00	87	9
9-12	206.80	215.00	223.20	2.90	87	9
12-22	92.40	96.90	101.40	1.55	87	10

Monthly iTraxx Tranche Fixings for 30Nov07

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	25.33%	25.75%	26.17%	12.00	54	12
3-6	158.92	161.42	163.92	4.50	54	12
6-9	82.83	85.50	88.17	2.50	54	12
9-12	59.75	62.00	64.25	1.80	54	12
12-22	34.00	36.00	38.00	1.05	54	12

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	31.91%	32.27%	32.63%	9.50	60	12
3-6	225.92	228.92	231.92	5.00	60	12
6-9	120.66	123.54	126.42	2.75	60	12
9-12	80.92	83.67	86.42	2.00	60	12
12-22	46.09	48.17	50.25	1.25	60	12

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	38.86%	39.36%	39.86%	7.00	68	12
3-6	394.59	400.17	405.75	6.00	68	12
6-9	168.50	171.54	174.58	3.25	68	12
9-12	103.16	106.33	109.50	2.30	68	12
12-22	58.45	61.03	63.61	1.45	68	12

Monthly iTraxx Tranche Fixings for 28Sep07

iTraxx Europe Series 8 Version 1 (RED Code: 2I666VAH8)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	18.79%	19.13%	19.47%	18.50	36	12
3-6	89.50	91.96	94.42	4.00	36	12
6-9	34.42	37.17	39.92	2.00	36	12
9-12	21.91	24.04	26.17	1.15	36	12
12-22	13.25	15.04	16.83	0.70	36	12

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	29.41%	29.71%	30.01%	14.00	45	12
3-6	157.67	160.88	164.09	5.50	45	12
6-9	73.58	76.50	79.42	2.50	45	12
9-12	43.02	45.35	47.68	1.60	45	12
12-22	25.16	27.33	29.50	0.90	45	12

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	38.97%	39.36%	39.75%	9.50	57	12
3-6	378.83	383.33	387.83	7.00	57	12
6-9	148.84	152.51	156.18	3.75	57	12
9-12	76.98	79.90	82.82	2.25	57	12
12-22	41.62	44.41	47.20	1.25	57	12

Monthly iTraxx Tranche Fixings for 31July07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

 

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	29.75%	30.23%	30.71%	14.5	54	11
3-6	217.66	227.08	236.5	6.5	54	12
6-9	84.5	90.5	96.5	3	54	10
9-12	43.4	49.6	55.8	1.7	54	10
12-22	22.2	26.7	31.2	0.85	54	10

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	39.76%	40.32%	40.88%	10	66	11
3-6	317.42	326.67	335.92	7	66	12
6-9	148.7	157	165.3	3.5	66	10
9-12	80.8	87.4	94	2.15	66	10
12-22	45.67	51.17	56.67	1.2	66	11

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	49.23%	49.96%	50.69%	6	79	11
3-6	530.66	540.83	551	7.5	79	11
6-9	281.17	286.75	292.33	4.75	79	11
9-12	147.1	151.7	156.3	3.05	79	10
12-22	64.4	70.9	77.4	1.55	79	10

Monthly iTraxx Tranche Fixings for 29Jun07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	11.63%	11.75%	11.87%	25.5	25	10
3-6	61.42	62.05	62.68	5	25	10
6-9	15.71	16.29	16.87	1.5	25	10
9-12	6.99	7.48	7.97	0.75	25	10
12-22	2.61	3.1	3.59	0.25	25	10

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	26.26%	26.38%	26.50%	19.5	34	10
3-6	136.45	137.13	137.81	7.5	34	10
6-9	36.81	37.39	37.97	2.5	34	10
9-12	16.42	17	17.58	1.2	34	10
12-22	7	7.5	8	0.5	34	10

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	40.38%	40.53%	40.68%	11.75	46	10
3-6	367	368.6	370.2	10.5	46	10
6-9	107.85	108.55	109.25	4.75	46	10
9-12	49.58	50.33	51.08	2.5	46	10
12-22	15.52	15.95	16.38	0.75	46	10

Monthly iTraxx Tranche Fixings for 31May07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	6.24%	6.33%	6.42%	27	20	11
3-6	39.34	39.9	40.46	4.5	20	12
6-9	9.83	10.33	10.83	1.25	20	11
9-12	3.98	4.39	4.8	0.6	20	11
12-22	1.54	1.93	2.32	0.25	20	11

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	20.48%	20.61%	20.74%	21	29	11
3-6	104.37	105.08	105.79	7	29	12
6-9	26.33	27.04	27.75	2.25	29	12
9-12	12.5	13.05	13.6	1	29	11
12-22	4.73	5.2	5.67	0.45	29	11

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	34.87%	35.00%	35.13%	13	40	11
3-6	293	294.21	295.42	10	40	11
6-9	84.38	85.17	85.96	4.25	40	12
9-12	38.4	38.98	39.56	2.2	40	11
12-22	11.82	12.2	12.58	0.75	40	11

Monthly iTraxx Tranche Fixings for 30Apr07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	9.76%	9.94%	10.12%	26	23	13
3-6	49.03	49.82	50.61	4.5	23	13
6-9	11.95	12.45	12.95	1.25	23	13
9-12	5.02	5.53	6.04	0.65	23	13
12-22	2.07	2.54	3.01	0.3	23	13

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	24.66%	24.84%	25.02%	20	32	13
3-6	119.9	121.2	122.5	7.5	32	13
6-9	31.15	31.99	32.83	2.25	32	13
9-12	15.07	15.75	16.43	1.2	32	13
12-22	5.13	5.67	6.21	0.45	32	13

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	38.75%	38.95%	39.15%	12.5	43	13
3-6	320.02	322.2	324.38	10	43	13
6-9	92.42	93.48	94.54	4.25	43	13
9-12	42.66	43.59	44.52	2.2	43	13
12-22	14	14.5	15	0.75	43	13

Monthly iTraxx Tranche Fixings for 30Mar07

iTraxx Europe Series 7 Version 1 (RED Code: 2I666VAG0)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	11.04%	11.23%	11.42%	25	24	13
3-6	57.18	57.75	58.32	5	24	13
6-9	13.64	14.28	14.92	1.5	24	13
9-12	5.46	6.24	7.02	0.75	24	13
12-22	2.16	2.58	3	0.25	24	12

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	25.56%	25.77%	25.98%	19	33	13
3-6	132.58	133.79	135	7.5	33	14
6-9	36.14	37.25	38.36	2.5	33	13
9-12	16.54	17.33	18.12	1.25	33	13
12-22	5.27	5.85	6.43	0.5	33	12

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	40.27%	40.51%	40.75%	12	44	13
3-6	336.46	338.96	341.46	10.5	44	13
6-9	97.3	98.59	99.88	4.5	44	13
9-12	45.96	46.91	47.86	2.25	44	13
12-22	13.63	14.38	15.13	0.75	44	12

Monthly iTraxx Tranche Fixings for 01Mar07

iTraxx Europe Series 6 Version 1 (RED Code: 2I666VAF2)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	9.80%	9.98%	10.16%	27.5	23	15
3-6	45.26	46.17	47.08	4	23	16
6-9	12.07	12.88	13.69	1.25	23	15
9-12	5.09	5.77	6.45	0.6	23	15
12-22	1.74	2.16	2.58	0.2	23	15

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	24.76%	24.96%	25.16%	21.5	32	16
3-6	117.22	118.36	119.5	7	32	16
6-9	34.85	35.9	36.95	2.5	32	15
9-12	15.97	16.91	17.85	1.2	32	15
12-22	4.72	5.27	5.82	0.4	32	15

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	40.58%	40.83%	41.08%	13	43	15
3-6	330.5	333.59	336.68	11	43	15
6-9	87.22	88.36	89.5	4.25	43	15
9-12	37.25	38.67	40.09	2.1	43	15
12-22	12.22	12.97	13.72	0.8	43	15

Monthly iTraxx Tranche Fixings for 31Jan07

iTraxx Europe Series 6 Version 1 (RED Code: 2I666VAF2)

Levels for 0-3 tranches are upfronts with a fixed 500bps spread and are quoted in terms of percentage of notional.

Levels for all other tranches are in bps with no fixed running spread.

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	10.22%	10.34%	10.46%	27	23	16
3-6	41.18	41.59	42	4	23	16
6-9	11.5	11.95	12.4	1.25	23	16
9-12	5.18	5.6	6.02	0.6	23	15
12-22	1.61	2	2.39	0.25	23	14

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	25.59%	25.76%	25.93%	20.5	32	16
3-6	110.41	111.75	113.09	7	32	15
6-9	32.43	33.09	33.75	2.25	32	14
9-12	14.75	15.43	16.11	1.15	32	14
12-22	4.72	5.27	5.82	0.4	32	14

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	40.51%	40.66%	40.81%	12.5	43	15
3-6	327.65	328.86	330.07	10.5	43	14
6-9	85.17	85.89	86.61	4.25	43	15
9-12	38.82	39.73	40.64	2.1	43	14
12-22	13.63	14.06	14.49	0.75	43	14

5Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	31.01%	31.48%	31.95%	6.50	90	8
3-6	351.10	355.70	360.30	3.75	90	10
6-9	215.00	220.00	225.00	2.50	90	9
9-12	136.10	140.70	145.30	1.70	90	10
12-22	66.40	69.80	73.20	0.75	90	10

7Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	36.85%	37.43%	38.01%	5.00	95	9
3-6	449.45	455.05	460.65	4.00	95	9
6-9	254.90	259.80	264.70	2.75	95	9
9-12	154.65	159.65	164.65	1.80	95	10
12-22	76.90	81.00	85.10	0.90	95	10

10Y	Bid	Mid	Ask	Delta	Index Ref Level	Dealers
0-3	42.66%	43.25%	43.84%	4.00	99	8
3-6	549.40	556.80	564.20	4.25	99	10
6-9	311.16	316.96	322.76	3.00	99	9
9-12	185.75	190.35	194.95	2.15	99	9
12-22	92.23	96.23	100.23	1.10	99	9

Data source: Creditex Group Inc.™ and Markit Group Limited™ . © Creditex Group Inc.™ and Markit Group Limited™ ALL DATA PROVIDED AS IS, WITH NO WARRANTIES. All rights reserved. Data may not be reproduced or redistributed in any form, except as expressly authorized by Creditex Group Inc. or Markit Group Limited.