Credit Fixings
iTraxx Monthly Tranche Fixings

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