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Monday 28 February 2005

Credit Spread Movement


EUR & GBP spread change on a weekly basis
Chart 1 : iTraxx Series II notes

Chart 2 : iTraxx unfunded sector baskets

60

70

Credit Research

55

60

ABN AMRO Bank NV

50

50

45

40

40

30

35

20

30
25
04-Jan-05

10
4-Jan-05

04-Feb-05

5Yr Europe

4-Feb-05

Autos
Energy
Financials - Sub
Industrials
TMT

Corporate

Source : ABN AMRO

Consumers
Financials - Senior
HiVol
Non-Financials

Source : ABN AMRO

Table 1 : Spread movements of the iTraxx Series 2 notes and unfunded sector baskets.

5 Year
Current
Spread (bp)
iTraxx notes *
Corporate
Europe

Day
Chg

10 Year
Wides/Tights
(bp)
56/ 42

N/A

40/ 29

46/ 47

43/ 45
29/ 30

Unfunded sector baskets *


38/ 40
Autos
40/
41
Consumers
171/ 175
Crossover
22/ 23
Energy
15/ 16
Financials - Senior
23/ 24
Financials - Sub
47/ 47
HiVol
27/ 28
Industrials
33/ 36
Non-Financials
29/ 30
TMT

Day Week
Chg Chg

Current
Spread (bp)

Week
Chg

Wides/Tights
(bp)
N/A

56/ 45

-1

50/ 37

60/ 61

-2

60/ 39

60/ 63

-1

75/ 59

-2

-9

292/ 171

219/ 229

-1

-3

319/ 219

29/ 22

37/ 39

43/ 33

21/ 14

23/ 25

28/ 19

36/ 23

39/ 40

54/ 37
90/ 72

-1

68/ 56

-2

68/ 47

72/ 74

-1

-1

-2

40/ 27

44/ 45

-1

-1

44/ 33

51/ 54

41/ 29

50/ 52

-1

56/ 44
61/ 49

63/ 50

Source : ABN AMRO. * Traded from 20 September 2004

Table 2 : Sector weighted average spreads (EURIBOR bid levels used)

Sprd
LIBOR

Day
Chg

Corporate
Automobiles
Oil And Gas
Telecommunications
Media
Personal & Household Go
Retail
Travel & Leisure
Utilities
Finance

Week
Chg

Quarter
Chg

YTD
Chg

Sprd Day Chg Week


LIBOR
Chg

-2

162

15

19

-16

-10

31

-3

-14

-12

-1

EUR
112

44
42

GBP

-12

-13

54

-3

-18

-18

-9

-8

57

-4

-15

-12

36

-19

-16

49

-2

-20

-21

-34

-34

46

-3

-9

-13

33

-16

-12

68

-3

-17

-17

25

-10

-7

43

-1

-13

-13

-1

EUR

GBP

Senior
Lower Tier 2
Upper Tier 2
Tier 1
Insurance
Overall

13

Corporate
Non-Financial
Finance

36

-10

-9

44

44

-11

-10

51

27

-8

-7

40

Source : IBOXX, ABN AMRO

YTD
Chg

31
35

-1

Quarter
Chg

-1

24
38
57

-1

37

-4

-4

15

-1

-1

-4

-7

-10

-8

31

-1

-3

-15

-15

-16

-15

41

-1

-2

-17

-18

-11

-14

56

-2

-23

-23

-15

-11

47

-3

-18

-20

-3

-16

-16

-2

-14

-14

-2

-17

-16

-1

EUR

GBP
-1

EUR Corporate: Automobiles


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

GM

4.000

09/02/06

1000

Baa1/BBB-

301

360

94

92

-8

-22

-31

GM

5.750

14/02/06

4000

Baa1/BBB-

301

360

97

93

-5

-24

-36

DCX

4.625

10/03/06

600

A3/BBB

57

86

22

17

-2

-21

-17

DCX

6.125

21/03/06

2500

A3/BBB

57

86

25

18

-1

-18

-15

5.500

02/05/06

1500

A3/BBB-

245

290

81

73

-2

-21

-31

5.500

02/05/06

1500

A3/BBB-

245

290

81

73

-2

-21

-31

5.625

06/06/06

1500

A3/BBB-

245

290

83

72

-25

-32

VLOF

5.625

13/07/06

500

A3/

50

71

35

21

-15

-8

RBOSCH

5.250

19/07/06

1500

/AA-

15

24

20

-12

-8

RENAUL

5.125

21/07/06

500

Baa1/

33

53

31

16

-10

-7

BMW

5.250

01/09/06

750

A1/

19

35

17

GM

4.375

26/09/06

1500

Baa1/BBB-

301

360

131

118

DCX

3.750

02/10/06

1000

A3/BBB

57

86

33

GM

6.000

16/10/06

1750

Baa1/BBB-

301

360

135

TOYOTA

4.125

16/01/07

750

Aaa/AAA

15

23

22

-1

-2

DCX

5.625

16/01/07

1500

A3/BBB

57

86

40

19

-20

-19

PEUGOT

4.875

30/01/07

600

A2/A-

24

44

32

11

VW

4.750

07/02/07

650

A3/A-

48

74

33

11

-1

GM

6.125

15/03/07

2000

Baa1/BBB-

301

360

176

153

DCX

6.125

27/03/07

500

A3/BBB

57

86

50

24

4.875

17/05/07

1000

A3/BBB-

245

290

128

99

-3

-16

6.250

18/06/07

750

A3/BBB-

245

290

104

105

-3

-15

-23

RENAUL

6.375

19/10/07

500

Baa1/BBB

33

53

25

17

-8

-7

6.750

14/01/08

1500

A3/BBB-

245

290

150

141

-2

TOYOTA

4.125

15/01/08

1000

Aaa/AAA

15

23

14

-2

-2

RENAUL

4.250

11/02/08

500

A3/BBB+

33

53

33

19

-7

-7

PEUGOT

4.625

20/02/08

500

A2/A-

24

44

30

16

VW

4.875

10/03/08

1500

A3/A-

48

74

38

22

5.250

16/06/08

1022

A3/BBB-

245

290

145

123

GM

6.000

03/07/08

1500

Baa1/BBB-

301

360

215

193

CONTI

6.875

05/12/08

500

Baa2/BBB+

32

50

22

18

5.750

12/01/09

1500

A3/BBB-

245

290

168

162

DCX

4.125

23/01/09

1000

A3/BBB

57

86

36

28

-16

BMW

5.125

28/01/09

750

A1/

19

35

17

-10

MICH

6.125

16/04/09

1000

Baa1/BBB+

33

51

34

24

-10

-8

VW

4.125

22/05/09

2000

A3/A-

48

74

36

23

-3

-23

-24

RENAUL

6.125

26/06/09

1000

Baa1/BBB

33

53

38

25

-10

-8

GM

4.750

14/09/09

1250

Baa1/BBB-

301

360

211

195

4.875

15/01/10

750

A3/BBB-

245

290

197

177

VW

4.500

27/01/10

1500

A3/A-

48

74

49

35

-26

-26

TOYOTA

4.000

12/02/10

1000

Aaa/AAA

15

23

18

-3

-2

RENAUL

4.625

28/05/10

750

Baa1/BBB

33

53

46

27

-11

-12

GM

5.750

27/09/10

1000

Baa1/BBB-

301

360

237

232

DCX

7.000

21/03/11

1000

A3/BBB

57

86

48

47

BMW

3.875

06/04/11

750

A1/

19

35

24

17

GM

5.375

06/06/11

1500

Baa1/BBB-

301

360

250

232

38

VW

4.750

19/07/11

1000

A3/A-

48

74

52

42

-2

-28

PEUGOT

5.875

27/09/11

1500

A3/A-

24

44

37

27

DCX

4.250

04/10/11

1250

A3/BBB

57

86

60

47

VW

5.375

25/01/12

1000

A3/A-

48

74

47

46

MICH

6.500

16/04/12

500

Baa1/BBB+

33

51

44

BMW

4.625

20/02/13

750

A1/

19

35

25

VW

4.875

22/05/13

2000

A3/A-

48

74

57

51

GM

7.250

03/07/13

1000

Baa2/BBB-

301

360

323

VW

5.375

22/05/18

500

A3/A-

48

74

BMW

5.000

06/08/18

750

A1/

19

35

GM

8.375

05/07/33

1500

Baa2/BBB-

301

PEUGOT

6.000

19/09/33

600

A3/A-

24

Ticker
1-3y

-1
-1

-9

-7

-1

-25

21

-1

-21

-18

122

-12

-31

-8

-7

-27

-26

-14

-15

-13

3-5y
1

-4

-5

-21

-23

-10

-15

29

10

-17

-8

13

-2

-10

5-7y

46

25

-12

-12

-9

-13

-12

-31

-28

42

-13

-9

22

-8

-8

-1

-29

-27

314

102

70

59

58

-2

-24

-25

33

30

-1

-8

-11

360

419

400

75

49

44

78

76

-12

-13

-3

7-10y

10-15y

15y+

Unweighted Average for Automobiles :

82

71

-7

-9

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Basic Resources


Ticker

Outstand'g Rating

5Yr CDS

Coupon

Maturity

AL

5.500

02/05/06

600

Baa1/A-

RIOLN

5.125

10/05/07

850

Aa3/A+

BHP

4.375

10/10/07

750

A1/A+

17

LORFP

6.125

10/04/08

600

Baa2/BBB

LORFP

6.125

10/04/08

600

Baa2/BBB

AALLN

3.625

05/06/08

1000

LORFP

5.125

24/09/10

GLENCR

5.375

30/09/11

UPMKYM

6.125

STORA
LORFP

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
23

39

30

21

-1

-14

-6

37

-1

-7

-8

27

15

-1

-7

-7

37

59

38

21

-8

-8

37

59

38

21

-8

-8

A3/A-

24

40

35

14

-10

-13

600

Baa2/BBB

37

59

-14

-8

600

Baa3/BBB-

23/01/12

600

Baa1/BBB

31

-18

-15

5.125

23/06/14

517

Baa1/BBB+

4.625

07/11/14

500

3-5y

5-7y
32

34

160

146

50

39

39

31

49

52

47

37

59

51

46

48

37

-5

7-10y

Unweighted Average for Basic Resources :

-13

-9

-7

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Chemicals


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

SOLVAY

5.250

04/07/06

700

A2/A

18

31

19

-13

-9

SYNNVX

5.500

10/07/06

800

A3/A-

18

29

22

-10

-7

DOW

5.000

18/10/06

600

A3/A-

24

44

28

14

-14

-6

BYIF

5.375

10/04/07

3000

A3/A

23

41

39

13

-8

-5

LINDE

6.375

14/06/07

636

A3/BBB+

23

38

12

12

DOW

5.625

17/10/07

500

A3/A-

24

44

16

5.625

07/05/09

1000

A3/A-

23

40

30

18

AIFP

4.125

25/06/10

500

BASF

3.500

08/07/10

1000

DOW

4.625

27/05/11

AKZO

4.250

BYIF
DEGUSS

Ticker
1-3y

-3

-1

-1

-17

-14

-12

-9

3-5y
AKZO
5-7y
/A+

19

30

35

14

Aa3/AA-

16

26

27

-11
1

500

A3/A-

24

44

37

29

-15

14/06/11

750

A3/A-

23

40

36

27

-12

-12

6.000

10/04/12

2000

A3/A

23

41

37

34

-12

-10

5.125

10/12/13

1250

Baa1/BBB+

30

49

49

40

-19

SOLVAY

4.875

10/01/14

500

A2/A

18

31

25

23

-14

AIFP

4.750

25/06/14

500

/A+

19

30

26

21

-9

4.875

20/06/18

500

/A

39

36

-14

-18

30

19

-11

-6

-2

7-10y

10-15y
CIBASC

Unweighted Average for Chemicals :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Construction


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

BOUY

4.875

03/07/06

500

/A-

21

36

26

13

ASSAAB

5.125

04/12/06

600

/A-

28

40

30

12

LAFCP

6.375

26/07/07

587

Baa2/BBB

36

54

16

13

BOUY

5.875

15/05/09

1000

/A-

21

36

28

STGOBN

4.750

09/07/09

1000

A2/A-

26

44

35

STGOBN

4.750

09/07/09

1000

A2/A-

26

44

VINCI

5.875

22/07/09

1000

Baa1/BBB+

28

STGOBN

5.000

16/04/10

1000

A2/A-

STGOBN

5.000

16/04/10

1000

A2/A-

HOLZSW

4.375

23/06/10

750

HOLZSW

4.375

23/06/10

BOUY

4.625

CIMPPL

Ticker
1-3y

-7

-4

-1

-2

-6

-3

17

-11

-10

20

-10

-10

35

20

-10

-10

41

32

27

-9

-8

26

44

40

23

-15

-14

26

44

40

23

-15

-14

/BBB+

36

56

53

32

-8

-6

750

/BBB+

36

56

53

32

-8

-6

25/02/11

750

/A-

21

36

29

24

-13

-9

4.500

27/05/11

600

/BBB+

56

48

-2

-17

LAFCP

5.448

04/12/13

500

Baa2/BBB

36

54

54

46

STGOBN

5.000

25/04/14

500

A2/A-

26

44

37

34

-14

STGOBN

5.000

25/04/14

500

A2/A-

26

44

37

34

-14

LAFCP

5.000

16/07/14

611

Baa2/BBB

36

54

54

48

BOUY

4.375

29/10/14

1000

/A-

21

36

37

31

HOLZSW

4.375

09/12/14

600

/BBB+

36

56

56

48

39

29

-1

3-5y

5-7y

7-10y

Unweighted Average for Construction :

-14

-11
1

-10

-5

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Food & Beverage


Ticker

Coupon

Maturity

Outstand'g Rating

ALYON

5.500

18/04/06

800

ULVR

5.125

07/06/06

1000

FCGNZ

5.250

21/05/07

SLE

6.125

ULVR

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
Baa1/BBB+

38

59

22

14

-10

-7

A1/A+

19

30

14

-2

-12

-9

500

/AA-

12

12

17

19

-2

-2

27/07/07

600

A3/A

20

30

19

16

-6

-2

4.250

26/09/07

1000

A1/A+

19

30

11

-7

-5

NESTLE

3.500

11/02/08

500

Aaa/AAA

10

18

-9

BSNSA

3.375

05/03/08

750

A1/A+

16

26

24

DIAG

3.875

06/01/09

500

A2/A

23

35

21

15

ALYON

5.875

12/06/09

600

Baa1/BBB+

38

59

47

35

-6

CBRY

4.250

30/06/09

600

Baa2/BBB

31

49

43

28

-15

4.375

15/07/11

500

A3/A

25

41

42

32

-1

-15

SUEDZU

5.750

27/02/12

500

A3/

31

46

35

34

-25

-12

CARGIL

4.500

29/09/14

500

A2/A+

16

31

43

34

27

18

-7

-3

-1

3-5y

-6
-5

5-7y
EEEKGA
7-10y

Unweighted Average for Food & Beverage :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Healthcare


Coupon

Maturity

BAX

5.750

06/03/06

650

AVEFP

5.000

18/04/06

1250

NOVART

4.000

06/11/06

NOVART

3.750

GSK
GSK

Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
Baa1/A-

24

36

32

26

-14

-5

A2/A+

21

36

14

-1

-2

900

Aaa/AAA

10

20

18

-2

-1

06/12/07

1000

Aaa/AAA

10

20

-3

3.375

15/04/08

1000

Aa2/AA

14

21

18

3.250

03/06/09

500

Aa2/AA

14

21

11

-3

4.250

15/09/10

1500

A2/A+

21

36

19

19

17

3-5y
-1

5-7y
AVEFP

Unweighted Average for Healthcare :

-7

-5

-2

-2

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Industrial Goods & Services


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

HUWHY

5.500

16/03/06

500

A3/A-

37

71

37

31

-1

-44

-31

TKAGR

5.750

05/04/06

500

46

73

24

18

-1

-30

-18

SIEM

5.000

04/07/06

1595

Aa3/

19

32

16

-9

-6

BRISA

4.875

20/12/06

600

A3/A+

25

35

31

13

-13

-5

VLVY

6.000

09/02/07

600

A3/

23

39

34

11

-8

-7

SIEM

5.500

12/03/07

991

Aa3/AA-

19

32

30

-4

-5

SCANIA

6.000

27/03/07

500

/A-

19

31

38

13

-1

-9

-4

REXAM

6.625

27/03/07

550

Baa3/BBB

61

36

-1

-9

-5

TYC

6.125

04/04/07

573

37

54

55

29

RENTKL

5.750

21/05/07

500

/BBB+

54

81

26

27

-2

-29

-21

ROLLS

6.375

14/06/07

500

Baa1/BBB

27

47

15

14

-2

-1

DPW

4.250

04/10/07

636

A1/A

25

35

-6

DPW

4.250

04/10/07

636

A1/A

25

35

-6

SECURI

6.125

14/03/08

500

Baa2/BBB+

30

46

45

30

-10

-11

SCHN

3.875

31/10/08

750

/A

22

35

20

16

-4

-3

TYC

5.500

19/11/08

685

Baa3/BBB

37

54

37

34

-13

TPG

5.125

05/12/08

1000

A1/A

19

31

21

16

-4

-5

SCANIA

6.000

17/12/08

550

/A-

19

31

22

17

-11

-6

FKI

6.625

22/02/10

600

Baa3/BBB-

115

153

131

121

35

AERO

4.625

03/03/10

1000

A3/A

23

41

34

19

-14

-8

ISSDC

4.750

18/09/10

850

/BBB+

45

62

39

40

-18

-13

ROLLS

4.500

16/03/11

750

Baa1/BBB

27

47

38

33

-11

SIEM

5.750

04/07/11

2000

Aa3/

19

32

26

18

-1

-4

HOFP

4.375

22/07/11

500

22

38

37

26

-9

DPW

5.125

04/10/12

679

A1/A

25

35

25

14

-6

HUWHY

5.875

08/07/13

1000

37

71

70

67

-41

-25

BRISA

4.797

26/09/13

500

A3/A+

25

35

36

28

-1

-10

-8

DPW

4.875

30/01/14

925

A1/A

25

35

23

21

-6

-1

AUTSTR

5.000

09/06/14

2750

A3/A

39

34

-11

BAA

4.500

30/09/14

750

A3/A+

16

27

37

28

ISSDC

4.500

08/12/14

500

/BBB+

45

62

62

55

COFIRT

5.250

30/04/18

600

/A+

20

35

30

29

-5

-6

AERO

5.500

25/09/18

500

A3/A

23

41

36

34

-17

-16

FINMEC

5.750

12/12/18

500

Baa2/

35

60

68

66

-34

5.875

09/06/24

1000

A3/A

34

38

-16

Unweighted Average for Industrial Goods & Services :

37

28

-11

Ticker
1-3y

-1

-16

3-5y

5-7y
-3

-5

7-10y

10-15y
-1

15y+
AUTSTR

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

-6

EUR Corporate: Media


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

PSON

6.125

01/02/07

650

Baa1/BBB+

25

42

37

14

-9

-7

VNU

6.625

30/05/07

500

Baa1/BBB

42

66

16

17

-11

-10

WPPLN

6.000

18/06/08

605

Baa2/BBB+

34

54

45

24

-17

-15

REEDLN

5.750

31/07/08

500

A3/A-

25

42

39

16

-2

-2

SESGLX

4.500

19/11/08

500

Baa2/BBB+

37

32

-8

-6

BERTEL

4.625

03/06/10

750

Baa1/BBB+

33

54

57

38

-5

-5

TELEF

4.375

12/11/10

500

/A

27

36

25

24

-1

-9

-8

RTRGRP

4.625

19/11/10

500

A3/A

25

42

26

25

-14

-14

5.125

27/01/14

700

Baa1/BBB+

27

47

48

46

-12

-11

37

26

-10

-9

Ticker
1-3y

3-5y

5-7y

7-10y
WOLKLU

Unweighted Average for Media :

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Oil And Gas


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

REP

5.750

04/12/06

750

Baa2/BBB+

30

48

30

12

-14

RDNA

3.500

15/01/07

750

Aa1/AA

14

21

23

-1

-1

PEMEX

7.750

02/08/07

500

Baa1/BBB

94

150

38

36

-32

-22

TOTAL

3.500

28/01/08

750

Aa2/AA

10

18

18

-1

-3

-3

FPFP

4.500

23/03/09

1000

Aa2/NR

18

31

20

10

-2

-3

PETROL

6.375

22/05/09

750

25

40

43

32

TOTAL

3.750

11/02/10

500

Aa2/AA

10

18

22

-3

PEMEX

6.625

04/04/10

750

94

150

99

86

10

-23

-15

REP

6.000

05/05/10

1175

Baa2/BBB+

30

48

48

31

-9

-9

ENI

6.125

09/06/10

500

Aa3/AA

12

20

30

11

-5

-4

TECFP

4.625

26/05/11

650

/BBB+

32

50

40

32

-16

STOIL

5.125

30/06/11

500

A1/A

40

50

25

17

-8

ENI

4.625

30/04/13

1500

Aa3/AA

12

20

20

15

-7

-5

REP

5.000

22/07/13

1000

Baa2/BBB+

30

48

49

43

-13

-12

PEMEX

6.250

05/08/13

500

94

150

107

105

-47

-37

REPSM

4.625

08/10/14

1000

52

48

6.375

05/08/16

850

137

127

-1

47

36

-11

-7

Ticker
1-3y

-10

3-5y
5

5-7y

-6

7-10y

Baa2/BBB+

10-15y
PEMEX

94

150

Unweighted Average for Oil And Gas :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Personal & Household Goods


Coupon

Maturity

MO

4.500

06/04/06

1000

MOET

5.000

27/07/06

800

IMPTOB

6.375

27/09/06

GLHLN

5.750

BATSLN

5.125

IMPTOB
SCACAP

Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
Baa2/BBB

80

109

49

44

-1

-41

/BBB+

37

54

27

12

-1

-10

-38
-7

1000

Baa3/BBB

36

61

29

16

-18

-17

02/10/06

750

Baa3/BBB

32

52

28

15

-12

-7

14/11/06

500

Baa1/NR

41

66

33

17

-31

-25

6.250

06/06/07

1500

Baa3/BBB

36

61

19

20

-15

-15

5.375

25/06/07

700

A3/A-

34

39

17

16

-1

-4

-3

PHG

5.750

16/05/08

1500

Baa1/BBB+

34

55

40

22

-1

-11

-9

MO

5.625

24/06/08

1022

Baa2/BBB

80

109

77

56

-1

-65

-58

MOET

6.125

25/06/08

500

/BBB+

37

54

37

16

-4

-1

ALTSM

4.250

02/10/08

600

Baa1/BBB+

29

46

22

20

-9

-11

BATSLN

4.875

25/02/09

1700

Baa1/BBB+

41

66

49

40

-25

-18

MOET

5.000

29/04/10

750

/BBB+

37

54

48

30

-1

-10

-10

PHG

6.125

16/05/11

750

Baa1/BBB+

34

55

39

34

-1

-15

-13

GLHLN

4.625

10/06/11

800

Baa3/BBB

32

52

44

35

-19

BATSLN

4.375

15/06/11

1000

Baa1/BBB+

41

66

63

53

-28

MOET

4.625

01/07/11

600

/BBB+

37

54

43

33

-14

HENKEL

4.250

10/06/13

1000

A2/A-

19

32

37

30

-1

-2

BATSLN

5.125

09/07/13

1000

Baa1/BBB+

41

66

67

61

-1

-29

-27

ALTSM

5.125

02/10/13

500

Baa1/BBB+

29

46

51

43

-12

-13

41

31

-19

-14

3-5y

5-7y

7-10y

Unweighted Average for Personal & Household Goods :

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Retail


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

GROUPE

4.750

06/07/06

500

/BBB

63

94

34

21

CARR

5.125

02/08/06

500

A1/A+

22

39

24

MKS

5.125

07/11/06

550

Baa2/BBB

88

123

52

37

GUSLN

4.125

12/07/07

600

Baa1/BBB+

36

59

22

GROUPE

5.875

23/11/07

500

/BBB

63

94

38

METFNL

5.125

13/02/08

1000

Baa1/BBB

45

65

41

27

-9

-5

GROUPE

6.000

06/03/08

1100

/BBB

63

94

51

37

-16

-17

TSCO

5.250

07/05/08

500

A1/

17

28

27

-6

-4

SBRY

5.625

11/07/08

800

Baa3/BBB-

104

152

99

78

-3

-41

-48

AUCHAN

3.500

22/07/08

750

/A

20

34

34

10

-11

-8

CARR

3.625

17/12/08

500

A1/A+

22

39

16

10

-9

PRTP

5.000

23/01/09

750

/BBB-

65

94

63

56

-1

-22

-18

CARR

4.500

18/03/09

1000

A1/A+

22

39

22

13

-6

-4

TSCO

4.750

13/04/10

750

A1/A+

17

28

32

15

-7

-3

GROUPE

5.250

28/04/10

500

/BBB

63

94

74

57

-2

-20

-25

CARR

6.125

26/05/10

1000

A1/A+

22

39

34

16

-1

-9

-9

KINGFI

4.500

21/10/10

500

/BBB+

30

50

30

29

-8

-13

PRTP

5.250

29/03/11

800

/BBB-

65

94

69

64

-2

-35

METFNL

4.625

26/05/11

750

Baa1/BBB

45

65

53

45

CARR

4.375

15/06/11

1100

A1/A+

22

39

30

21

-1

-8

-8

6.000

27/02/12

700

/BBB

63

94

70

70

-1

-16

-22

44

32

-14

-12

Ticker
1-3y

-8

-7

-10

-8

-24

-24

20

-1

-17

29

-16

-15

-1

3-5y

5-7y

-14

7-10y
GROUPE

Unweighted Average for Retail :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Technology


Ticker

Coupon

Maturity

5.250

05/07/06

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
HPQ

750

/A-

30

50

Unweighted Average for Technology :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

24

11

24

11

-14

-8

-14

-8

EUR Corporate: Telecommunications


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

BRITEL

6.375

15/02/06

3000

Baa1/A-

41

71

14

-1

-12

-10

PORTEL

5.750

21/02/06

1000

A3/A-

20

34

11

-1

-8

-6

PORTEL

5.750

21/02/06

1000

A3/A-

20

34

11

-1

-8

-6

TPSA

6.625

01/03/06

500

Baa2/BBB

35

48

26

20

-1

-5

-5

KPN

7.250

12/04/06

563

Baa1/A-

33

55

23

14

-5

-3

TITIM

6.125

20/04/06

3000

Baa2/BBB+

42

68

23

14

-1

-17

-9

TDC

5.875

24/04/06

684

Baa1/BBB+

33

57

16

-1

-2

-4

NTT

3.750

15/05/06

750

Aa2/AA-

13

-1

-7

-4

DT

6.375

11/07/06

4500

Baa1/BBB+

32

54

31

17

-14

-9

VOD

5.750

27/10/06

1500

A2/A

23

42

21

-8

-8

TELEFO

5.125

30/10/06

1000

A3/A

29

52

24

-5

-3

DT

5.250

22/01/07

500

Baa1/BBB+

32

54

40

19

-9

-7

OOMLN

6.375

25/01/07

1000

Baa2/BBB

36

61

38

16

-5

-6

TITIM

5.625

01/02/07

1250

Baa2/BBB+

42

68

38

16

-12

-13

OTE

6.125

07/02/07

1100

Baa1/BBB+

43

68

42

18

-16

-17

TELEFO

5.625

06/04/07

500

A3/A

29

52

40

13

-4

-4

TITIM

6.500

24/04/07

1750

Baa2/BBB+

42

68

47

20

-11

-14

DT

7.500

29/05/07

2500

Baa1/BBB+

32

54

16

17

-1

-12

-9

FRTEL

6.000

28/09/07

1000

Baa1/A-

32

56

18

12

-1

-7

-5

DT

6.125

04/12/07

500

32

54

29

20

-9

-6

TITIM

5.875

24/01/08

1750

Baa2/BBB+

42

68

39

26

-7

-12

VOD

4.625

31/01/08

750

A2/A

23

42

22

-7

-7

DT

5.750

12/02/08

1000

Baa1/BBB+

32

54

35

22

-8

-9

FRTEL

7.500

14/03/08

3450

Baa1/A-

32

56

41

50

-15

-11

DT

5.250

20/05/08

2000

Baa1/BBB+

32

54

39

20

-9

-10

KPN

4.750

05/11/08

1500

Baa1/A-

33

55

26

22

-1

-7

-8

TITIM

5.150

09/02/09

1500

/BBB+

42

68

38

30

-12

-14

TITIM

5.150

09/02/09

1500

/BBB+

42

68

38

30

-12

-14

PORTEL

4.625

07/04/09

879

A3/A-

20

34

28

17

-5

-5

PORTEL

4.625

07/04/09

879

A3/A-

20

34

28

17

-5

-5

TELEFO

4.500

14/04/09

500

A3/A

29

52

29

18

-3

-3

VOD

4.750

27/05/09

868

A2/A

23

42

26

13

-5

-7

VOD

4.250

27/05/09

1900

A2/A

23

42

25

12

-5

-7

TITIM

6.575

30/07/09

2350

Baa2/BBB+

42

68

53

49

-26

-11

TITIM

6.575

30/07/09

2350

Baa2/BBB+

42

68

53

49

-26

-11

DT

6.500

07/10/09

500

32

54

35

26

-1

-12

-12

FRTEL

7.000

23/12/09

2500

Baa1/A-

32

56

37

26

-9

-11

DT

3.250

19/01/10

1250

Baa1/BBB+

32

54

40

24

TKA

3.375

27/01/10

500

35

49

43

27

TDC

5.200

28/01/10

1000

Baa1/BBB+

33

57

44

30

-3

-16

-17

DT

7.125

06/07/10

750

Baa1/BBB+

32

54

64

47

FRTEL

6.625

10/11/10

1400

Baa1/A-

32

56

26

28

TITIM

4.500

28/01/11

750

Baa2/BBB+

42

68

49

44

-7

BRITEL

7.125

15/02/11

1125

Baa1/A-

41

71

29

29

-18

-17

TITIM

7.000

20/04/11

2000

Baa2/BBB+

42

68

61

61

-14

-10

NTT

4.125

09/06/11

500

25

16

-1

-2

TELECO

6.375

29/06/11

1500

A1/A+

20

34

31

25

-6

-5

DT

7.125

11/07/11

3500

Baa1/BBB+

32

54

61

57

-7

-1

KPN

4.500

21/07/11

1425

Baa1/A-

33

55

45

34

-2

-12

STSP

6.000

21/11/11

500

A1/A+

20

28

47

35

-5

TELDAN

3.875

09/12/11

700

Baa1/BBB+

54

37

FRTEL

4.625

23/01/12

750

Baa1/A-

32

56

32

29

-1

-11

TITIM

6.250

01/02/12

1250

Baa2/BBB+

42

68

49

50

-9

-15

TDC

6.500

19/04/12

750

Baa1/BBB+

33

57

44

42

-3

-18

-17

TITIM

7.250

24/04/12

1000

Baa2/BBB+

42

68

49

50

-1

-9

-17

DT

8.125

29/05/12

2000

Baa1/BBB+

32

54

40

41

-9

-9

TELNOR

5.875

05/12/12

500

A2/A-

19

32

34

23

-6

-5

TITIM

6.875

24/01/13

850

Baa2/BBB+

42

68

50

54

-9

-17

FRTEL

7.250

28/01/13

3500

Baa1/A-

32

56

36

40

-17

-16

TELEFO

5.125

14/02/13

1500

A3/A

29

52

31

29

-5

-3

TKA

5.000

22/07/13

750

Baa2/BBB

35

49

46

39

-18

-11

Ticker
1-3y

1
-1

-1

3-5y

5-7y

Aa2/AA-

-7

-4

-13

-11

-6

7-10y

-1

OTE

5.000

05/08/13

1250

TELECO

4.750

15/07/14

500

Baa1/BBB+

43

68

67

60

-4

-16

A1/A+

20

34

32

26

-7

DT

4.000

19/01/15

1750

VOD

5.125

10/04/15

TKA

4.250

27/01/17

DT

6.625

VOD

5.000

TITIM

-23

Baa1/BBB+

32

54

50

41

500

A2/A

23

42

28

21

-1

-5

-7

500

35

49

74

52

29/03/18

500

Baa1/BBB+

32

54

46

51

-3

-13

-18

04/06/18

750

A2/A

23

42

32

29

-1

-3

-5

5.375

29/01/19

1250

Baa2/BBB+

42

68

68

64

-2

-15

DT

7.500

24/01/33

500

Baa1/BBB+

32

54

70

81

-2

-17

-21

TITIM

7.750

24/01/33

800

Baa2/BBB+

42

68

87

102

-1

-14

-25

FRTEL

8.125

28/01/33

1500

Baa1/A-

32

56

71

87

-5

-32

-33

TELEFO

5.875

14/02/33

500

A3/A

29

52

60

58

-9

-9

39

31

-10

-9

10-15y

15y+

Unweighted Average for Telecommunications :

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Corporate: Travel & Leisure


Coupon

Maturity

5.750

05/07/06

800

EXHO

5.875

25/03/09

1000

CPGLN

6.000

29/05/09

750

HGLN

6.500

17/07/09

500

Baa2/BBB

Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
ACCOR

/BBB

46

75

33

19

/BBB+

43

69

47

38

Baa2/BBB+

36

57

43

31

36

57

39

35

40

31

-14

-12

-32

-22

-20

-19

-6

-3

-18

-14

3-5y

Unweighted Average for Travel & Leisure :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

-1

EUR Corporate: Utilities


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

ELESM

5.250

22/02/06

750

A3/A

30

50

14

-1

-8

NGGLN

5.250

23/05/06

530

A2/A

20

30

19

-1

-9

-7

KEL

5.250

26/07/06

625

A3/A-

23

36

26

11

-2

-14

-11

NGGLN

5.250

23/08/06

1055

Baa1/A-

20

30

19

-14

-11

FRTUM

6.475

03/11/06

500

Baa1/BBB+

27

45

31

14

-7

-10

EDF

3.250

06/11/06

750

Aa3/AA-

21

39

18

ELESM

5.750

08/11/06

500

A3/A

30

50

27

10

-7

-7

ENBW

5.125

28/02/07

750

A3/A-

21

35

31

-8

-7

NRUC

6.500

14/03/07

500

A2/A

47

70

48

23

-6

-2

TOKELP

5.125

27/03/07

1000

Aa3/AA-

16

24

30

-6

-4

UNFSM

5.875

26/06/07

700

Baa2/BBB+

29

48

19

18

-7

-7

EDNIM

7.625

20/07/07

600

Baa3/BBB+

29

46

46

70

-12

-10

EDNIM

7.625

20/07/07

600

Baa3/BBB+

29

46

46

70

-12

-10

EDNIM

7.625

20/07/07

600

Baa3/BBB+

29

46

46

70

-12

-10

VATFAL

6.125

21/09/07

500

A3/A-

26

42

14

-9

-5

ITAENE

0.000

11/10/07

1272

24

17

-10

-12

RWE

5.500

26/10/07

1357

A1/A+

20

35

12

-7

-7

LYOE

6.250

02/11/07

500

NR/A-

24

40

21

12

-7

-6

UU

6.625

08/11/07

1000

A2/A-

21

36

21

12

-10

-6

FRTUM

6.100

19/02/08

500

Baa1/BBB+

27

45

35

21

-5

-6

ELEPOR

5.000

20/03/08

500

A3/A

22

37

29

13

-6

-7

RWE

5.375

18/04/08

1282

A1/A+

20

35

25

-4

-4

VIEFP

5.875

27/06/08

1850

Baa1/BBB

26

44

39

17

-7

-6

NGGLN

3.750

22/07/08

500

Baa1/A-

20

30

38

15

-10

-8

NGGLN

4.125

18/09/08

600

A2/A

20

30

11

-9

-9

EDF

6.250

20/10/08

1010

21

39

19

17

EDF

5.000

28/01/09

2000

Aa3/AA-

21

39

17

LYOE

5.500

20/02/09

1250

A2/A-

24

40

26

18

-9

-7

ELESM

4.200

25/02/09

500

A3/

30

50

32

23

-7

-5

UU

4.875

18/03/09

600

A2/A-

21

36

24

14

-9

-6

UU

4.875

18/03/09

600

A2/A-

21

36

24

14

-9

-6

VATFAL

6.000

03/04/09

650

A3/A-

26

42

30

21

-4

-3

TOKELP

4.375

14/05/09

1000

Aa3/AA-

16

24

13

-8

-6

IBERDU

4.500

25/05/09

600

A2/A+

20

35

26

13

-7

-6

EOAGR

5.750

29/05/09

4250

Aa3/AA-

17

31

23

11

-2

-3

ELESM

4.375

18/06/09

700

A3/A

30

50

31

17

-6

-4

LYOE

5.875

13/10/09

1400

A2/A-

24

40

27

17

-11

-10

ELEPOR

6.400

29/10/09

1000

A3/A

22

37

26

17

-11

-11

AGBAR

6.000

12/11/09

500

A1/A+

22

33

29

18

-1

-8

-9

GASNAT

6.125

10/02/10

525

A2/A+

37

23

-8

-6

GASNAT

6.125

10/02/10

525

A2/A+

37

23

-8

-6

VATFAL

6.000

31/03/10

500

A3/A-

26

42

36

20

-12

-10

ENECO

4.125

10/06/10

700

/A+

33

50

42

22

LYOE

4.250

24/06/10

1250

A2/A-

24

40

41

20

EDF

5.750

25/10/10

1000

Aa3/AA-

21

39

IBERDU

4.375

29/10/10

750

A2/A+

20

35

18

17

FRTUM

4.625

19/11/10

500

Baa1/BBB+

27

45

24

UNFSM

5.000

09/12/10

500

Baa2/BBB+

29

48

EDNIM

5.125

10/12/10

700

Baa3/BBB+

29

EDF

4.375

15/12/10

500

A3/A-

21

ELEPOR

5.875

28/03/11

1000

A3/A

EDF

3.750

08/04/11

500

ENEL

4.125

20/05/11

ELSAM

4.625

21/06/11

NGGLN

6.125

VIEFP
ENBW

Ticker
1-3y

-1

-6

3-5y

5-7y

-16

-17

-10

-8

-8

-6

23

-12

-8

36

34

-4

46

34

32

39

29

26

-10

-10

22

37

29

25

-7

-6

Aa3/AA-

21

39

17

10

750

A1/A+

20

33

23

15

500

/A-

39

30

-6

23/08/11

750

Baa1/A-

20

30

40

31

-11

-8

5.875

01/02/12

1000

Baa1/BBB

26

44

29

28

-17

-9

5.875

28/02/12

1000

A3/A-

21

35

25

23

-12

-8

RWE

6.125

26/10/12

2200

A1/A+

20

35

27

18

-1

-10

-10

IBERDU

4.875

18/02/13

750

A2/A+

20

35

27

24

-7

-4

GAZDF

4.750

19/02/13

1250

Aa3/AA

17

14

ELESM

5.375

21/02/13

700

32

30

-6

-5

-6

-8

7-10y

A3/A

30

50

VIEFP

4.875

28/05/13

1000

ENEL

4.250

12/06/13

750

Baa1/BBB

26

44

34

29

A1/A+

20

33

21

14

ESSENA

4.500

25/06/13

1000

REDELE

4.750

18/09/13

800

A2/AA-

AWLN

4.625

07/10/13

650

A3/A-

AEMSPA

4.875

30/10/13

500

/A

EDF

4.625

06/11/13

500

Aa3/AA-

21

FRTUM

5.000

19/11/13

500

Baa1/BBB+

27

TOKELP

4.500

24/03/14

1000

Aa3/AA-

ELIASO

4.750

13/05/14

500

/A-

ASM

4.875

28/05/14

500

/A+

RWE

4.625

23/07/14

650

A1/A+

EWE

4.375

14/10/14

1000

TRNIM

4.250

28/10/14

NUONNV

4.125

17/12/14

LYOE

5.125

24/06/15

750

A2/A-

24

RWE

6.250

20/04/16

850

A1/A+

20

EDF

5.500

25/10/16

1100

Aa3/AA-

EOAGR

6.375

29/05/17

900

Aa3/AA-

GAZDF

5.125

19/02/18

750

Aa3/AA

VIEFP

5.375

28/05/18

750

Baa1/BBB

26

ENEL

4.750

12/06/18

750

A1/A+

20

VATFAL

5.000

18/06/18

500

A3/A-

NGGLN

5.000

02/07/18

600

RWE

5.125

23/07/18

1200

ELIASO

5.250

13/05/19

500

EWE

4.875

14/10/19

500

A2/A

UU

4.250

24/01/20

500

LYOE

5.750

24/06/23

VATFAL

5.375

29/04/24

ENEL

5.250

TRNIM

4.900

ENBW
RWE

-1

A2/A

35

56

37

30

-12

-14

26

18

-7

-3

29

41

37

28

-10

-4

49

39

39

23

13

45

38

16

24

21

30

40

-17

-12

29

-14

17

-1

-10

25

20

-18

42

37

-10

28

21

-10

A2/A

32

27

600

22

17

500

42

34

40

39

31

35

31

20

21

39

34

18

17

31

15

11

11

44

39

38

33

28

25

26

42

33

30

Baa1/A-

20

30

43

40

A1/A+

20

35

26

24

/A-

30

40

32

26

46

38

A2/A-

21

36

47

35

1000

A2/A-

24

40

58

42

500

A3/A-

26

42

42

43

-12

20/05/24

750

A1/A+

20

33

31

32

-7

28/10/24

800

26

24

4.875

16/01/25

500

A3/A-

21

35

40

38

5.750

14/02/33

750

A1/A+

20

35

49

46

EDF

5.625

21/02/33

850

Aa3/AA-

21

39

47

43

VIEFP

6.125

25/11/33

700

Baa1/BBB

26

44

69

68

30

23

20

35

-10

-11

10-15y
1

-11

-7

-13

-20

-1

-3

-1

-23

-19

-8

-12

-15

-17

-3

-18

-18

-9

-11

-24
2

15y+

Unweighted Average for Utilities :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

-1

-16

-18

-11

-13

-1

-19

-19

-8

-6

EUR Finance: Financial Services


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

GE

3.000

27/02/06

1500

Aaa/AAA

21

35

MWD

5.250

16/03/06

1250

Aa3/A+

23

41

13

CFC

2.750

12/06/06

500

A3/A

43

65

24

14

GE

3.750

25/07/06

625

Aaa/AAA

21

35

11

-4

GE

4.125

18/12/06

1000

Aaa/AAA

21

35

19

KRB

6.500

27/03/07

500

Baa1/BBB+

35

53

48

23

KA

5.250

29/05/07

500

Aa3/

10

GE

5.125

20/06/07

2250

LEH

5.470

31/07/07

AIG

6.000

GE

Ticker
1-3y

-1

-2

-2

-6

-2

-11

-7

-1

-3
-4

-2

-7

-3

11

-11

-7

-7

-4

Aaa/AAA

21

35

518

A1/A

26

44

49

47

24/10/07

500

A1/AA-

27

43

22

3.250

31/12/07

500

Aaa/AAA

21

35

12

GS

4.125

06/02/08

700

Aa3/A+

23

41

21

-1

-8

-6

UNBP

4.750

28/02/08

500

/A-

36

22

-11

-9

GE

3.750

09/04/08

1000

Aaa/AAA

20

CCCI

5.250

25/04/08

1000

A1/A+

35

17

ACHMEA

5.375

21/05/08

500

/A+

36

17

-11

-4

DBFIN

3.375

23/05/08

500

Aa1/AA+

26

-1

HAMRSN

6.250

20/06/08

500

35

53

48

28

-1

-18

HAMRSN

6.250

20/06/08

500

35

53

48

28

-1

-18

LIFP

6.125

10/07/08

600

/BBB+

45

56

47

26

-2

-10

-8

SLMA

3.250

25/07/08

500

A2/A

38

14

-1

-13

-12

AIG

4.125

09/10/08

500

A1/AA-

27

43

24

21

-13

-12

GE

5.750

20/11/08

500

Aaa/AAA

21

35

-5

-5

KRB

4.500

23/01/09

500

Baa1/BBB+

35

53

36

29

-12

-7

GE

5.125

04/03/09

1500

Aaa/AAA

21

35

15

-8

-4

MWD

5.750

01/04/09

1500

Aa3/A+

23

41

25

15

-7

-5

SPNTAB

4.375

20/04/09

500

Aa3/

30

19

-1

-2

SHAMPO

4.625

21/04/09

600

Baa2/

58

47

GE

3.750

22/07/09

1500

Aaa/AAA

21

35

12

VW

3.875

03/12/09

750

A3/BBB+

48

74

61

47

GE

4.375

20/01/10

1750

Aaa/AAA

21

35

20

GFCFP

4.875

19/02/10

600

/A-

51

66

46

31

MWD

4.375

01/03/10

1150

Aa3/A+

23

41

33

17

CCCI

6.250

26/04/10

500

A1/A+

41

24

-2

-2

RCEANA

3.750

01/07/10

500

/A

42

21

-15

-10

GS

4.250

04/08/10

1250

Aa3/A+

23

41

40

17

-11

-8

INVSA

4.750

10/09/10

600

A2/AA-

24

40

19

21

-1

-17

-16

MWD

4.375

14/01/11

700

Aa3/A+

23

41

22

18

-2

-12

-7

MWDP

5.000

16/02/11

600

/BBB+

57

53

-2

-22

ZNTL

3.750

25/03/11

600

A2/

21

14

-4

ZNTL

3.750

25/03/11

600

A2/

21

14

-4

CCCI

4.500

25/04/11

500

A1/A+

29

21

AIG

4.625

22/06/11

500

A1/A+

27

43

36

27

-4

-17

LIFP

4.625

15/07/11

600

/BBB+

45

56

43

33

-2

-19

CIT

4.250

22/09/11

750

A2/A

27

39

46

33

-1

UNBP

4.000

29/10/11

500

A3/A-

47

32

GFCFP

4.875

25/01/12

500

/A-

51

66

37

34

INVSA

6.125

05/03/12

535

A2/AA-

24

40

30

29

-16

-15

FIDINT

6.250

21/03/12

500

A2/A

49

47

-17

-10

CCCI

5.875

25/04/12

1000

A1/A+

24

20

-4

-1

GS

5.125

24/04/13

750

Aa3/A+

32

29

-2

-18

-12

EURHYP

6.445

23/05/13

600

Baa1/BBB+

MER

4.625

02/10/13

1600

GE

4.625

29/10/13

750

LEH

4.750

16/01/14

GS

4.750

SLMA

4.750

CIT

-21

-3

14

-16

-14

-1

3-5y

21

35

2
-2
-4

-1
-2

-28
-10
-10

-5

-4

-27

-22

-1

-10

-7

5-7y

-4

-2

-4

-19

7-10y

23

41

81

82

-1

-27

-23

Aa3/A+

23

41

36

27

-21

-14

Aaa/AAA

21

35

18

-9

-5

1000

A1/A

26

44

34

32

-1

-19

28/01/14

1500

Aa3/A+

23

41

34

32

-2

-18

17/03/14

1250

A2/A

38

34

-1

-15

5.000

13/05/14

500

A2/A

27

39

45

41

-1

-20

GE

4.625

04/07/14

750

Aaa/AAA

21

35

17

11

NYKRE

4.901

22/09/14

500

49

42

RCEANA

4.375

01/10/14

500

/A

43

34

-9
-1

Unweighted Average for Financial Services :

32

22

-11

-5

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Finance: Insurance


Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

AIG

5.000

21/02/06

600

Aaa/AAA

27

43

10

INTNED

5.000

03/05/06

1000

Aa3/A+

11

18

16

-5

-5

INTNED

6.500

28/09/06

600

11

18

86

72

-53

-36

AIG

5.125

10/05/07

500

Aaa/AAA

27

43

37

-3

-1

ALZ

5.750

30/07/07

1100

Aa3/AA-

21

31

-1

-7

-4

INTNED

6.000

01/08/07

750

Aa3/A+

11

18

-7

-5

ALZ

4.625

29/11/07

1100

Aa3/AA-

21

31

17

ALZ

5.000

25/03/08

1632

Aa3/

21

31

24

-2

-3

AEGON

4.625

16/04/08

1000

A2/A+

24

36

28

11

-11

-8

ACHMEA

5.750

30/07/08

500

/BBB+

89

66

-1

-6

-5

INTNED

3.750

11/02/09

500

Aa3/A+

11

18

19

11

-1

-14

AIG

3.500

11/03/09

800

Aaa/AAA

27

43

19

ASSGEN

4.500

28/05/09

750

/AA-

16

26

30

17

-4

-3

ASSGEN

5.063

28/05/09

500

A2/A+

16

26

36

24

-12

-12

ASSGEN

5.063

28/05/09

500

A2/A+

16

26

36

24

-12

-12

INTNED

5.500

14/09/09

1000

/A+

11

18

21

13

-11

-8

ASSGEN

6.150

20/07/10

1750

A1/AA-

16

26

35

15

-7

-4

AXASA

6.750

15/12/10

1100

A3/BBB+

24

39

35

36

-3

-13

-13

INTNED

6.125

04/01/11

1000

Aa3/A+

11

18

16

15

-9

-6

IPBS

6.250

15/02/11

500

A2/A

27

31

28

26

-1

-12

-11

AIG

5.500

07/03/11

800

Aaa/AAA

27

43

16

12

-8

-6

INTNED

6.250

21/06/11

1250

A1/A-

11

18

36

29

-3

-28

-19

AVLN

5.750

14/11/11

800

A2/A-

18

27

43

31

-5

-24

-21

AVLN

5.750

14/11/11

800

A2/A-

18

27

43

31

-5

-24

-21

PRUFIN

5.750

19/12/11

500

A3/A

18

26

50

38

-3

-15

-13

ALZ

6.125

31/05/12

2000

A2/A

21

31

47

44

-2

-17

-14

5.650

21/06/12

500

15

30

52

46

-2

-2

STALIF

6.375

12/07/12

750

A3/A-

27

38

69

65

-16

-10

STALIF

6.375

12/07/12

750

A3/A-

27

38

69

65

-16

-10

ASSGEN

6.900

20/07/12

750

A2/A+

16

26

33

28

-13

-14

ALZ

5.625

29/11/12

900

Aa3/AA-

21

31

24

13

-6

-3

AXASA

6.000

18/06/13

1000

A2/A

24

39

22

19

-11

-6

MUNRE

6.750

21/06/13

3000

A2/A-

22

32

73

73

-25

-17

AIG

4.750

11/09/13

1000

Aaa/AAA

27

43

24

16

ZURNVX

5.750

02/10/13

500

Baa2/A-

32

44

80

74

AVLN

5.250

02/10/13

650

A2/A-

18

27

45

38

ALZ

5.500

15/01/14

1500

A2/A-

21

31

68

68

HANRUE

5.750

26/02/14

750

/A

23

34

72

ASSGEN

4.750

12/05/14

1500

/AA-

16

26

10

ZURNVX

4.500

17/09/14

1000

Baa1/A

32

44

50

41

AVLN

4.729

28/11/14

700

A3/A-

18

27

66

60

AVLN

4.729

28/11/14

700

A3/A-

18

27

66

60

AEGON

4.125

08/12/14

500

A2/A+

24

36

30

24

ALZ

6.500

13/01/15

1000

A2/A

21

31

49

AVLN

5.700

29/09/15

500

A2/A-

18

27

INTNED

6.375

07/05/17

1000

A1/A-

11

18

1-3y
-1

-11

-6

-2

3-5y

-7
1

5-7y

7-10y

-1

-7

-3

-23

-15

-4

-23

-19

-1

-11

72

-17

-12

-9

49

-3

-17

-15

56

48

-2

-23

-16

37

45

-2

-25

-19

40

32

-1

-12

-9

10-15y

Unweighted Average for Insurance :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Finance: Lower Tier 2


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

SVSKHB

5.500

07/03/06

750

Aa2/A+

15

10

-9

-5

BBVSM

5.500

04/07/06

500

Aa3/A+

16

27

23

10

-13

-7

CAJAMM

5.250

31/07/06

500

Aa3/A

23

34

25

-13

-7

SANTAN

5.250

21/09/06

500

A1/A

20

31

26

14

-9

-5

DB

5.375

27/03/07

750

A1/A+

22

34

39

14

-4

-2

SANTAN

5.750

10/04/07

650

A1/A

20

31

40

14

-5

-3

SEB

5.625

06/06/07

500

A1/A-

12

12

-1

-8

-5

CRLYON

5.000

15/11/07

700

Aa3/A+

16

23

18

-7

-7

HBOS

5.125

05/12/08

1000

Aa3/AA-

18

27

17

13

-8

-7

DB

3.875

16/01/09

1000

A1/A+

22

34

26

19

-8

BNP

5.250

23/01/09

750

Aa3/AA-

18

11

-8

-8

INTNED

4.625

23/02/09

500

Aa3/A+

16

26

26

18

-4

-3

HVB

4.625

25/02/09

750

Baa1/BBB+

42

62

48

39

-3

-3

HBOS

4.750

24/03/09

650

Aa3/AA-

18

27

23

13

-8

-8

NBHSS

5.750

26/03/09

600

A1/A

28

19

-5

-5

MIZUHO

4.750

15/04/09

750

A2/BBB+

53

43

-10

CMZB

4.750

21/04/09

550

A3/BBB+

30

44

35

24

STAN

5.375

06/05/09

600

A3/A-

19

31

34

22

BAVB

5.850

08/05/09

500

A2/A-

22

33

31

AAB

4.625

12/05/09

1150

A1/A+

18

27

ACAFP

5.400

28/06/09

599

16

24

SANTAN

5.125

06/07/09

500

A1/A

20

HBOS

5.500

27/07/09

500

Aa3/AA-

HBOS

5.500

27/07/09

500

Aa3/AA-

CAIXAB

4.890

04/10/09

600

SUMIBK

4.375

27/10/09

1250

SOCGEN

4.875

18/12/09

650

RBS

6.000

21/01/10

600

Aa2/AA-

17

RBS

6.000

21/01/10

600

Aa2/AA-

17

ANZ

4.450

05/02/10

500

BKIR

6.450

10/02/10

750

BBVSM

6.375

25/02/10

500

Aa3/A+

IBSANP

6.375

06/04/10

500

SEB

4.125

28/05/10

500

SEB

4.125

28/05/10

NAB

3.875

04/06/10

INTNED

6.500

AAB

Ticker
1-3y

3-5y

-14
1

-14

-6

-5

20

-10

-10

25

12

-8

-8

57

42

-5

-7

31

34

19

-6

-3

18

27

22

16

-7

-7

18

27

22

16

-7

-7

203

127

-3

-56

A2/BBB+

56

44

Aa3/A+

25

13

-11

-10

28

31

18

-10

-9

28

31

18

-10

-9

A1/A+

37

22

-10

-9

A1/A

33

19

-12

-7

31

18

-9

-6

A1/A

35

20

-1

-8

-8

A1/A-

38

18

-1

-13

-11

500

A1/A-

38

18

-1

-13

-11

600

A1/A+

43

23

-15

-13

15/06/10

750

Aa3/A+

16

26

34

16

-10

-6

6.250

28/06/10

800

A1/A+

18

27

36

17

-11

-6

SANTAN

6.375

05/07/10

500

A1/A

20

31

39

21

-12

-10

CMZB

6.500

12/07/10

600

A3/BBB+

30

44

50

31

-1

-16

-11

MONTE

4.500

24/09/10

600

A2/A-

24

36

27

28

-1

-12

CRDSUI

6.625

05/10/10

500

A1/A-

23

37

19

21

HVB

6.625

12/10/10

500

Baa1/BBB+

42

62

42

46

BBVSM

4.500

12/11/10

750

Aa3/A+

16

27

20

RBS

4.500

28/01/11

500

Aa2/AA-

17

28

ABBEY

4.625

11/02/11

500

A1/A

18

29

INTNED

5.875

23/02/11

1250

Aa3/A+

16

BACR

5.750

08/03/11

1000

Aa2/AA-

SANTAN

6.000

14/03/11

500

CRDIT

6.000

16/03/11

LLOYDS

4.750

HSBC

-8

5-7y

16

27

-11

-10

-11

-7

19

-12

-11

24

20

-11

18

14

26

22

19

16

26

18

A1/A

20

31

500

Aa3/A+

21

18/03/11

850

Aa1/AA-

4.250

18/03/11

600

Aa3/A+

BANEST

4.000

23/03/11

500

A1/A

BCPN

6.250

29/03/11

600

CMZB

6.125

02/05/11

500

NAB

4.500

23/06/11

500

A1/A+

RBS

5.125

30/06/11

500

RBS

5.125

30/06/11

RBS

5.125

NBHSS
INTNED
7-10y

-2

-11

-12

-11

-7

15

-9

-8

25

22

-9

-8

31

26

22

-8

-7

18

29

13

17

29

20

14

30

24

A2/BBB+

24

38

31

28

-7

-5

A3/BBB+

30

44

33

28

-22

-19

34

24

-15

Aa2/AA-

17

28

26

18

-8

-8

500

Aa2/AA-

17

28

26

18

-8

-8

30/06/11

500

Aa2/AA-

17

28

26

18

-8

-8

4.000

30/09/11

500

A1/A

34

21

5.500

04/01/12

1750

22

21

-12

-9

Aa3/A+

16

26

-4

-4

-16

-11

-13

SOCGEN

5.625

13/02/12

600

Aa3/A+

18

16

CAJAMM

6.250

10/04/12

550

Aa3/A

23

34

19

16

-8

-9

HBOS

5.500

29/10/12

750

Aa3/AA-

18

27

27

17

-1

-16

-14

BNP

5.250

17/12/12

1500

Aa3/AA-

26

14

-5

-2

BNP

5.250

17/12/12

1500

Aa3/AA-

26

14

-5

-2

HSBC

5.375

20/12/12

1000

Aa3/A

17

29

31

19

-11

-9

INTNED

5.250

04/01/13

750

Aa3/A+

16

26

22

22

-12

-9

DB

5.125

31/01/13

1100

A1/A+

22

34

26

25

-9

-3

BACA

5.750

22/02/13

650

Aa3/AA+

24

24

-4

-6

-7

BACR

4.875

31/03/13

750

Aa2/AA-

16

26

18

14

-11

-6

RBS

6.000

10/05/13

1500

Aa2/AA-

17

28

19

17

-1

-11

-13

RBS

6.000

10/05/13

1500

Aa2/AA-

17

28

19

17

-1

-11

-13

CRDSUI

6.375

07/06/13

750

A1/

23

37

25

23

-14

-11

BFCM

6.500

19/07/13

700

A1/A

32

30

-7

-9

ACAFP

5.100

10/12/13

605

16

24

49

39

HVB

6.000

05/02/14

750

Baa1/BBB+

42

62

54

55

-4

-12

4.750

10/02/14

1350

28

26

BKIR

4.625

26/02/14

650

32

28

BACR

4.500

04/03/14

1000

Aa2/AA-

16

26

24

20

INTNED

4.625

15/03/14

1000

Aa3/A+

16

26

31

27

BAC

4.750

06/05/14

1000

Aa3/A+

32

28

LLOYDS

5.875

08/07/14

750

Aa2/AA-

15

11

CDEE

5.200

19/07/14

850

84

78

UBS

4.500

16/09/14

1000

29

20

CRDIT

4.500

22/09/14

500

Aa3/A+

21

31

36

27

SANTAN

4.500

30/09/14

500

A1/A

20

31

39

30

BBVSM

4.375

20/10/14

1000

16

27

34

29

HBOS

4.375

30/10/14

750

Aa3/A+

18

27

28

23

JPM

4.375

12/11/14

750

37

31

HBOS

4.875

20/03/15

1000

Aa3/A+

18

27

28

RBS

4.875

22/04/15

750

Aa2/AA-

17

28

18

RBS

4.875

22/04/15

750

Aa2/AA-

17

28

SOCGEN

6.625

27/04/15

625

BFCM

5.000

30/09/15

800

RBS

4.625

22/09/16

1000

Aa2/A+
A1/A

18

29

-9

-1

-6

-10

-13
1

-11
-14

-11
-15
-7

-7

12

10

21

-15

-11

10

-14

-12

18

10

-14

-12

Aa3/A+

29

26

-6

-10

A1/A

41

31

-7

-7

41

24

-2

32

23

-9

-6

10-15y

Aa2/AA-

17

28

Unweighted Average for Lower Tier 2 :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

-2

EUR Finance: Senior


Coupon

Maturity

ANZ

5.125

07/03/06

750

HVB

5.125

23/05/06

1500

RABOBK

4.875

05/06/06

500

BACR

4.875

26/06/06

BAC

5.250

IKB

Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
Aa3/AA-

11

19

11

-3

-2

A3/A-

24

37

20

-5

-4

Aaa/AAA

12

-4

-10

-8

1000

Aa1/AA

10

16

15

-8

-2

27/06/06

750

Aa2/AA-

16

29

19

-9

-6

2.750

15/08/06

500

33

17

HSBC

5.000

16/11/06

600

A1/A

11

18

23

-10

-6

HSBC

5.000

16/11/06

600

A1/A

11

18

23

-10

-6

IKB

2.750

15/12/06

500

18

RABOBK

2.625

29/12/06

1300

12

-12

-3

-1

DRSDNR

4.000

19/01/07

2000

A1/A

15

24

24

RABOBK

4.500

22/01/07

900

Aaa/AAA

12

20

-1

-1

-2

AUSTVB

5.000

31/01/07

500

50

28

-4

-1

BAWAG

4.750

01/02/07

500

A2/

16

19

33

12

-7

-6

HBOS

4.750

06/02/07

1000

Aa2/AA

11

17

25

-3

-3

ANZ

4.875

07/02/07

500

Aa3/AA-

11

19

27

-7

-5

DEXGRP

4.750

20/02/07

500

Aa2/AA

16

19

32

JPM

5.250

19/06/07

1000

Aa3/A+

22

39

-9

-6

RABOBK

3.250

09/10/07

650

12

-4

-11

-1

-1

SNSBNK

6.000

16/10/07

1000

A2/A

16

23

16

-6

-4

4.625

14/11/07

1750

Aa1/AA-

15

30

16

-4

-4

RABOBK

3.625

22/01/08

2250

Aaa/AAA

12

11

-2

-2

-3

HBOS

3.750

23/01/08

750

Aa2/AA

11

17

17

-3

-4

CDEE

5.250

31/01/08

750

Aa2/AA

18

22

26

13

-2

-2

FORTIS

5.375

28/02/08

1000

A1/A+

25

33

19

BAC

3.625

03/03/08

1000

Aa2/AA-

16

29

21

-2

NRBS

3.875

28/03/08

750

A1/A

24

-4

HSBC

5.875

31/03/08

1000

A1/A

11

18

31

15

-4

-3

HSBC

5.875

31/03/08

1000

A1/A

11

18

31

15

-4

-3

EXPT

3.500

16/04/08

1000

Aaa/AA+

10

13

17

-1

-1

DEXGRP

5.250

25/04/08

1514

Aa2/AA

16

19

21

-5

-6

WSTP

2.875

25/06/08

500

Aa3/AA-

24

-1

-1

ANGLIA

3.125

27/06/08

500

Aa3/A+

32

10

HSBC

3.375

09/07/08

650

A1/A

31

-3

-3

BRADBI

3.250

09/07/08

500

A1/

34

11

-8

-7

RY

3.000

15/07/08

500

Aa2/AA-

17

-6

DRSDNR

3.500

21/07/08

500

A1/A

15

24

28

JPM

3.875

03/12/08

500

Aa3/A+

22

39

14

HBOS

3.750

15/12/08

500

Aa2/AA

11

17

12

DB

5.000

04/01/09

1224

Aa3/

15

24

10

RABOBK

3.625

21/01/09

1000

12

INTNED

4.250

29/01/09

1400

Aa2/AA-

11

18

DAA

3.625

25/02/09

750

A2/A-

ANZ

3.625

25/02/09

800

Aa3/AA-

11

19

17

JPM

4.375

12/03/09

500

Aa2/

22

39

25

16

-4

-3

FORTIS

4.625

07/04/09

1250

A1/A+

25

33

19

-5

-6

HSBC

6.500

05/05/09

1250

A1/A

11

18

27

17

-5

-4

HSBC

6.500

05/05/09

1250

A1/A

11

18

27

17

-5

-4

MUNHYP

3.750

27/05/09

500

76

61

BAWAG

5.375

05/06/09

500

A2/

16

19

30

18

HSBC

5.125

24/06/09

750

A1/A

11

18

32

18

AAB

4.750

24/06/09

500

Aa3/AA-

11

18

20

HSBC

5.125

24/06/09

750

A1/A

11

18

32

18

DB

4.250

28/07/09

2250

Aa3/AA-

15

24

AAB

5.375

08/09/09

1250

Aa3/AA-

11

18

CMZB

4.250

25/10/09

1500

A2/A-

18

29

CBA

3.375

12/11/09

500

HVB

5.625

15/01/10

1250

A3/A-

NWIDE

3.125

26/01/10

1250

INTNED

6.000

01/03/10

1000

Aa2/AA-

11

18

20

BAVB

6.250

01/03/10

750

A1/A

15

23

32

17

CDEE

5.700

06/03/10

1114

/AA

18

22

34

SNSBNK

6.125

07/04/10

1000

A2/A

16

23

31

1
1

-1

3-5y

11

18

Aa3e/AA24

37

-2

25

16

-1
-1

-5
-3

-5

-4

-3

-1
-3
1

-4

-2
-2

-11
-4

-3

-7

-4

-4

-4

-7

-4

-4

-8

-6

12

-4

-2

15

-9

-7

18

27

14

-4

-2

30

14

-10

-6

-4

-5

19

-1

-1

15

-5

-4

1
1

5-7y
-1

3.875

21/05/10

1500

Aa1/AA-

15

30

29

-7

-4

HBOS

3.375

23/06/10

500

Aa2/AA

11

17

19

-2

-6

-5

RABOBK

3.250

25/06/10

1000

12

13

-8

RABOBK

3.125

19/07/10

1250

12

20

-2

BACA

5.875

02/08/10

500

Aa2/AA+

28

-2

-1

6.125

01/10/10

1000

Aa1/AA-

15

30

-5

-3

BAC

4.250

21/10/10

1500

Aa2/AA-

16

29

12

11

-10

-7

CMZB

6.125

25/10/10

1000

A2/A-

18

29

14

15

-5

-5

ACAFP

5.500

04/11/10

539

10

15

10

-91

HSBC

4.500

12/11/10

1400

A1/A

11

18

20

19

-11

-6

DB

5.500

18/05/11

1500

Aa3/AA-

15

24

20

13

-2

-2

JPM

4.250

09/06/11

500

Aa3/A+

22

39

26

17

CMZB

5.500

25/10/11

1000

A2/A-

18

29

29

16

-4

-4

CDEE

5.500

30/10/11

576

Aa2/AA

18

22

31

19

-3

-4

CDEE

4.750

21/11/11

850

Aa2/AA

18

22

32

18

-4

-4

ERSTBK

5.250

14/12/11

1000

A1/

24

29

29

15

-4

-3

ACAFP

5.600

20/12/11

550

10

15

70

57

FORTIS

5.375

25/01/12

1000

A1/A+

25

33

19

17

-6

-5

SNSBNK

5.625

14/06/12

500

RABOBK

4.250

25/04/13

1000

BAWAG

4.350

28/05/13

MONTE

4.375

ERSTBK

-1

-11

-4

7-10y
A2/A

16

23

27

22

-5

-4

Aaa/AAA

12

10

-1

-2

750

A2/

16

19

24

18

-6

-5

30/07/13

500

A1/A

17

25

31

23

-3

-2

4.750

18/09/13

1000

A1/

24

29

25

17

-1

-1

HAA

4.625

29/10/13

1000

Aa2/AA

25

16

-1

-1

4.750

12/11/13

1000

Aa1/AA-

15

30

24

14

-11

-5

AAB

4.750

04/01/14

1000

Aa3/AA-

11

18

13

11

-7

-3

CRDIT

4.375

10/02/14

1250

Aa2/AA-

13

21

19

16

BAC

4.625

18/02/14

1250

Aa2/AA-

16

29

20

17

SNSBNK

4.625

18/02/14

900

A2/A

16

23

29

26

-4

RABOBK

4.250

22/04/14

1000

12

12

-1

FORTIS

4.625

09/07/14

1000

25

33

22

16

-4

5.000

02/08/19

2500

Aa1/AA-

15

30

27

20

CRDIT

4.375

29/01/20

500

Aa2/AA-

13

21

33

22

DB

0.000

15/10/26

2582

15

24

64

23

-8

UBS

0.000

29/01/27

1291

11

18

69

25

-1

DB

0.000

20/01/32

1549

15

24

87

28

24

10

-4

-3

-1
1

-4
-1

-8

10-15y
-1

15y+

Unweighted Average for Senior :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

EUR Finance: Tier 1


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

HSHN

7.500

30/06/09

500

190

183

-88

ACAFP

6.000

30/07/09

550

10

15

126

118

-3

-15

RBS

5.500

31/12/09

1250

11

18

134

121

DB

6.000

28/01/10

900

15

24

234

218

SOCGEN

7.875

22/02/10

500

A1/A

65

70

49

38

-1

-11

-12

STAN

8.160

23/03/10

500

Baa2/BBB

12

18

56

45

-2

-24

-24

CRDIT

8.048

05/10/10

540

A1/A

13

21

35

41

-1

-16

-15

IBSANP

8.126

10/11/10

1000

A2/A-

14

18

37

42

-2

-15

-14

BACR

7.500

15/12/10

850

Aa3/

10

16

29

31

-2

-15

-18

AIB

7.500

28/02/11

500

A2/BBB+

45

45

-16

-15

BKIR

7.400

07/03/11

600

A2/A-

17

20

43

43

-1

-10

-6

BAVB

6.988

12/07/11

500

/BBB+

15

23

55

50

-1

-16

-12

FORTIS

6.500

26/09/11

1000

A2/A

25

33

48

39

-23

-20

BNP

6.625

24/10/11

500

A1/A+

10

17

41

31

-18

-17

BNP

6.342

24/01/12

660

A1/A+

10

17

36

37

-1

-12

-13

HVB

7.055

28/03/12

600

Baa3/

24

37

98

101

-10

-7

-5

CRLYON

7.047

26/04/12

750

A1/A

10

15

40

40

-1

-19

-16

CRLYON

7.047

26/04/12

750

A1/A

10

15

40

40

-1

-19

-16

RBS

6.467

30/06/12

1250

A1/A

11

18

44

40

-3

-16

-14

RBS

6.467

30/06/12

1250

A1/A

11

18

44

40

-3

-16

-14

HSBC

8.030

30/06/12

600

A1/A-

11

18

39

38

-2

-16

-19

BNP

5.868

16/01/13

700

A1/A+

10

17

38

39

-1

-16

-15

LLOYDS

6.350

25/02/13

500

Aa2/A+

11

16

37

38

-2

-17

-16

DB

5.330

19/09/13

1000

A2/A

15

24

58

51

-19

-15

SOCGEN

5.419

10/11/13

650

A1/A

65

70

52

44

-1

-15

-13

HSBC

5.369

24/03/14

1400

A1/A-

11

18

45

43

-1

-17

-16

BCPN

5.543

09/06/14

500

A3/BBB

15

23

60

57

HSHN

7.407

30/06/14

500

A3/

80

84

-2

-25

HSHN

7.407

30/06/14

500

A3/

80

84

-2

-25

ESPSAN

5.580

02/07/14

600

A3/BBB

64

61

-1

-16

CDEE

5.250

30/07/14

800

A1/A+

18

22

47

41

-4

-15

FORTIS

4.625

27/10/14

1000

25

33

52

47

BACR

4.875

15/12/14

1000

Aa3/A+

10

16

61

56

AIB

4.781

17/12/14

1000

A2e/BBB+

78

71

SOCGEN

4.196

26/01/15

1000

65

70

52

44

CDEE

4.625

30/07/15

700

A1/A+

18

22

55

44

HSBC

5.130

29/03/16

750

A1/A-

11

18

57

44

64

60

Ticker
3-5y

-74

5-7y

7-10y

-15

-11

10-15y

Unweighted Average for Tier 1 :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

-2
-15
-1

-15

-11

EUR Finance: Upper Tier 2


Coupon

Maturity

AAB

6.500

15/03/06

2000

FORTIS

6.625

08/06/06

710

DANBNK

5.750

26/03/08

700

LLOYDS

5.625

15/07/09

1250

DANBNK

5.125

12/11/09

6.050

CRDIT
ESPSAN

Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
18

27

71

65

-67

-45

101

90

-50

-28

3-5y
Aa2/A

18

23

31

15

-9

-9

Aa1/A+

18

29

27

21

-19

-19

500

Aa2/A

18

23

28

17

-15

-15

23/11/11

500

Aa3/A

18

27

41

29

-20

-16

6.100

28/02/12

500

Aa3/A

21

31

29

28

-11

-10

6.625

08/05/12

500

A2/BBB

56

54

-20

-18

DANBNK

4.250

20/06/13

500

Aa2/A

18

23

36

29

-11

-12

HBOS

4.875

13/03/14

750

Aa3/A

18

27

40

37

-18

RBS

5.125

03/07/14

500

Aa2/A+

17

28

42

38

-18

CAVALE

4.625

17/11/14

500

A2/

49

44

SANTAN

4.375

10/12/14

750

47

40

ESPSAN

4.500

16/03/15

500

A2e/BBB

HBOS

5.125

14/10/15

750

HBOS

5.125

14/10/15

750

5-7y
HBOS
7-10y
-1

20

31

66

56

Aa3/A

18

27

49

38

-1

-20

-19

Aa3/A

18

27

49

38

-1

-20

-19

48

40

-19

-13

10-15y

Unweighted Average for Upper Tier 2 :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Automobiles


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

VW

5.125

30/05/06

100

A3/A-

48

74

52

16

VW

5.500

20/09/06

100

48

74

52

14

-4

DCX

7.500

07/12/06

350

A3/BBB

57

86

50

13

-4

-6

-1

PEUGOT

5.250

14/12/06

150

A2/A-

24

44

46

11

-2

-5

-3

TOYOTA

4.500

15/12/06

325

Aaa/AAA

15

23

22

-13

-2

5.750

15/12/06

200

A3/BBB-

245

290

142

108

-9

17

BMW

4.625

29/12/06

350

A1/

19

35

34

-5

-1

7.250

07/12/07

350

A3/BBB-

245

290

171

140

-11

16

TOYOTA

6.250

07/12/07

250

Aaa/AAA

15

23

25

-11

-2

GM

6.375

07/12/07

200

Baa1/BBB-

301

360

209

177

-3

45

16

TOYOTA

5.250

21/12/07

125

15

23

26

-8

-1

-4

TOYOTA

4.000

11/12/08

300

Aaa/AAA

15

23

24

-9

-2

GM

6.250

15/12/08

200

Baa1/BBB-

301

360

232

198

BMW

6.375

22/05/09

100

A1/

19

35

50

18

-4

-1

TOYOTA

5.250

07/12/09

200

Aaa/AAA

15

23

31

-2

GM

6.625

17/12/10

200

Baa1/BBB-

301

360

276

241

51

TOMKIN

8.000

20/12/11

150

Baa2/BBB

82

55

-4

-4

-1

7.000

14/05/12

325

Baa3/BBB

123

95

-7

-6

TOMKIN

6.125

16/09/15

250

Baa2/BBB

GM

8.375

07/12/15

350

Baa2/

GKNLN

6.750

28/10/19

350

Baa3/BBB

8.875

10/07/23

250

Baa2/

Ticker
1-3y

3-5y

5-7y

7-10y
GKNLN
10-15y
301

360

98

70

-5

-3

-4

407

375

101

67

153

129

-1

-3

-6

430

407

88

61

124

92

-1

13

15y+
GM

301

360

Unweighted Average for Automobiles :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Basic Resources


Ticker

Outstand'g Rating

5Yr CDS

Coupon

Maturity

5.500

08/12/06

150

Aa3/A+

5.125

15/12/10

300

A3/A-

24

6.625

23/01/17

250

Baa1/BBB

31

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
RIOLN

37

-2

-1

40

60

28

-1

50

84

60

-2

-22

-21

60

30

-8

-6

5-7y
AALLN
10-15y
UPMKYM

Unweighted Average for Basic Resources :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Chemicals


Ticker

Coupon

Maturity

Outstand'g Rating

7.625

21/08/07

300

Baa3/BBB

5.875

29/04/09

200

6.500

24/04/13

6.500

29/01/16

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
ICI

44

69

70

36

-4

-9

-8

A2/A

52

20

-1

-9

-4

300

A2/A

65

35

-2

-13

-9

200

A2/A

63

36

-2

-17

-15

63

32

-2

-12

-9

3-5y
BOC
7-10y
CIBASC
10-15y
BOC

Unweighted Average for Chemicals :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Construction


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

STGOBN

6.250

13/06/08

150

A2/A-

26

44

58

24

STGOBN

6.250

13/06/08

150

A2/A-

26

44

58

24

AGGIND

6.250

08/07/09

200

60

27

-1

-19

-13

LAFCP

6.875

06/11/12

350

Baa2/BBB

36

54

78

49

-1

-14

-12

LAFCP

10.750

29/11/13

150

Baa2/

36

54

81

60

-6

-25

-19

AGGIND

7.250

31/05/16

200

73

48

-1

-26

-24

LAFCP

6.625

29/11/17

200

Baa2/BBB

36

54

84

61

-1

-17

-16

70

42

-1

-16

-12

Ticker
3-5y

-5
-5

7-10y

10-15y

Unweighted Average for Construction :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Food & Beverage


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

CCE

4.125

22/05/06

175

A2/A

32

-3

-4

CBRY

5.750

30/11/06

250

Baa2/BBB

31

49

45

10

-3

-4

SCOTNB

5.625

04/12/06

150

/BBB

40

57

54

19

-2

SCOTNB

5.625

27/08/07

100

/BBB

40

57

65

31

-2

6.750

12/03/08

150

A2/A

45

10

-2

-6

-2

CBRY

4.875

20/12/10

400

Baa2/BBB

31

49

65

33

-1

-14

-13

ALYON

6.625

18/04/11

450

Baa1/BBB+

38

59

81

50

-2

-1

TATELY

6.500

28/06/12

200

Baa2/BBB

30

49

76

46

-2

-21

-15

ALYON

6.625

12/06/14

250

Baa1/BBB+

38

59

93

66

-1

6.500

07/12/16

175

A2/

68

42

-2

-13

-11

CCE

6.500

07/06/21

175

A2/

76

53

-3

-12

-14

HNZ

6.250

18/02/30

125

A3/A

63

41

-2

-13

-13

64

33

-2

-6

-5

Ticker
1-3y

3-5y
CCE
5-7y

7-10y

10-15y
CCE
15y+

Unweighted Average for Food & Beverage :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Healthcare


Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

4.875

02/10/08

500

Aa2/AA

14

21

21

-13

5.250

19/12/33

1000

Aa2/AA

14

21

52

29

-1

-15

-18

37

-9

-9

3-5y
GSK

-3

15y+
GSK

Unweighted Average for Healthcare :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Industrial Goods & Services


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

VLVY

5.250

29/12/06

150

23

39

46

12

BAA

7.875

10/02/07

200

A3/A

16

27

39

-4

-2

-4

-2

RENTKL

6.125

19/11/08

250

/BBB+

54

81

85

52

-1

-10

-13

BAPLC

11.875

29/12/08

150

Baa2/BBB

34

55

83

53

-2

-18

-17

REXAM

7.125

27/03/09

370

Baa3/BBB

69

37

-11

-6

SMINLN

7.875

12/07/10

150

A3/A-

61

31

-7

-6

HSC

7.250

27/10/10

200

A3/A-

58

27

-9

-3

TYC

6.500

21/11/11

200

Baa3/BBB

77

47

-1

-6

FTT

5.625

30/05/13

200

/BBB+

BAA

5.750

27/11/13

400

BAPLC

10.750

24/11/14

HUTPOR

6.750

BAA

11.750

ROLLS
SMINLN
SMINLN

Ticker
1-3y

3-5y

5-7y

37

54

95

64

-4

-14

-13

A3/A+

16

27

46

15

-2

-14

-11

100

Baa2/

34

55

94

79

-2

-22

-19

07/12/15

325

Baa1/A-

102

76

-6

-6

31/03/16

300

A3/A+

16

27

55

33

-3

-17

-13

7.375

14/06/16

200

Baa1/BBB

27

47

83

60

-4

-17

-17

7.250

30/06/16

150

/A-

70

46

-2

-9

-11

7.250

30/06/16

150

/A-

70

46

-2

-9

-11

TXT

6.625

07/04/20

150

A3/A-

87

63

-10

-12

BIRMIN

6.250

22/02/21

105

/A-

95

71

-2

-11

-12

BAA

8.500

29/03/21

250

A3/A+

60

40

-3

-14

-14

AUTSTR

6.250

09/06/22

500

A3/A

65

43

-1

-12

BAA

6.375

04/08/28

200

A3/A+

66

42

-1

-10

-14

UPS

5.500

12/02/31

500

Aaa/AAA

45

18

-5

-15

-18

TYC

6.500

21/11/31

285

Baa3/BBB

37

54

99

79

-4

-22

BAA

5.750

10/12/31

900

A3/A+

16

27

72

48

-2

-13

-16

72

45

-2

-12

-10

7-10y

10-15y

15y+

16
16

27
27

Unweighted Average for Industrial Goods & Services :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Media


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

ITVLN

7.625

06/06/07

200

Baa2/BBB

71

34

-7

-6

-3

ITVLN

7.625

06/06/07

200

Baa2/BBB

71

34

-7

-6

-3

PSON

10.500

13/06/08

100

/BBB+

63

29

-3

-8

-2

ITVLN

5.625

02/03/09

250

Baa2/BBB

77

45

-4

-4

-1

ITVLN

5.625

02/03/09

250

Baa2/BBB

77

45

-4

-4

-1

BSY

7.750

09/07/09

100

42

59

66

34

-1

-16

5.625

20/05/10

250

Baa1/BBB

42

66

78

47

DMGOLN

7.500

29/03/13

300

/BBB

74

46

EMAP

6.250

09/12/13

250

Baa1/BBB

86

57

PSON

7.000

27/10/14

250

Baa1/BBB+

74

5.750

07/12/18

175

/BBB

10.000

09/04/21

165

/BBB

Ticker
1-3y

3-5y
25

42

5-7y
VNU

-2

-4

-6

-23

-19

-4

-14

-14

47

-3

-15

-10

92

67

-4

-16

-12

100

94

-7

-25

-23

77

48

-4

-12

-8

7-10y

25

42

10-15y
DMGOLN
15y+
DMGOLN

Unweighted Average for Media :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Oil And Gas


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

BPLN

4.250

12/09/06

450

Aa1/AA+

11

20

21

-15

-3

BPLN

4.875

18/12/06

200

Aa1/AA+

11

20

22

-13

-1

-3

TOTAL

5.000

10/09/07

350

Aa2/AA

10

18

23

-11

-2

BPLN

5.000

27/12/07

350

11

20

26

-8

-2

ENI

5.250

27/12/07

200

Aa3/AA

12

20

39

BGGRP

6.375

20/06/08

200

A3/A-

41

-1

BPLN

5.125

07/12/08

250

Aa1/AA+

11

20

27

-7

-2

ENI

4.875

09/12/10

200

Aa3/AA

12

20

41

TOTAL

4.875

23/12/10

500

Aa2/AA

10

18

29

-3

BGGRP

5.875

13/11/12

250

A3/A-

46

15

PEMEX

7.500

18/12/13

400

94

150

146

TLM

6.625

05/12/17

250

Baa1/BBB+

ENI

5.000

27/01/19

200

Aa3/AA

12

20

6.125

27/11/28

225

A1/A

40

50

Ticker
1-3y

2
1

-4

3-5y
1

5-7y
-8

-6

-7

-9

-5

122

-18

-60

-51

74

51

-2

-18

-12

51

21

-3

-12

-11

62

38

-1

-11

-12

46

15

-2

-10

-7

7-10y

10-15y

15y+
STOIL

Unweighted Average for Oil And Gas :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Personal & Household Goods


Coupon

Maturity

6.470

30/03/06

100

BATSLN

6.500

13/11/08

GLHLN

6.625

21/05/09

TWOD

6.625

07/02/12

250

IMPTOB

6.875

13/06/12

350

GLHLN

5.750

06/02/13

BATSLN

5.750

IMPTOB
TWOD
BATSLN

Ticker

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
GLHLN

Baa3/BBB

32

52

51

18

-4

-1

217

Baa1/NR

41

66

62

29

-1

-31

-26

300

Baa3/BBB

32

52

57

25

-4

-18

-13

84

55

-3

-20

-16

Baa3/BBB

36

61

67

38

-1

-27

-22

250

Baa3/BBB

32

52

68

37

-6

-24

-22

09/12/13

350

Baa1/BBB+

41

66

77

47

-4

-35

-28

6.250

04/12/18

200

Baa3/BBB

36

61

6.375

24/05/19

200

6.375

12/12/19

500

Baa1/BBB+

41

PG

6.250

31/01/30

500

Aa3/AA-

PG

5.250

19/01/33

200

Aa3/AA-

3-5y

7-10y

10-15y
86

64

-1

-29

108

82

-4

-22

66

104

79

-1

-36

11

13

55

32

-2

-12

-13

11

13

55

31

-1

-12

-15

73

45

-3

-22

-13

15y+

Unweighted Average for Personal & Household Goods :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Retail


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

TSCO

4.000

31/07/06

125

17

28

35

-5

-5

TSCO

6.000

30/11/06

150

A1/

17

28

30

-5

-3

MKS

6.250

23/01/07

150

Baa2/BBB

88

123

72

35

-8

-25

-27

SBRY

5.250

17/05/07

314

Baa3/BBB-

104

152

82

47

-5

-32

TSCO

7.500

30/07/07

325

A1/A+

17

28

39

-6

-6

-7

AYL

5.875

07/08/07

250

A3/NR

22

36

42

-2

-7

-7

AYL

5.875

07/08/07

250

A3/NR

22

36

42

-2

-7

-7

TSCO

6.000

13/06/08

250

A1/A+

17

28

40

-1

-5

-2

BOOT

5.500

26/05/09

300

A3/A-

51

80

66

34

-2

-10

-7

GUSLN

6.375

16/07/09

350

Baa1/BBB+

36

59

68

36

-1

-15

TSCO

5.125

18/12/09

350

A1/A+

17

28

31

-1

KINGFI

6.875

23/03/10

150

Baa1/BBB+

30

50

62

31

-4

TSCO

6.625

12/10/10

150

A1/

17

28

37

-4

-2

MKS

6.375

07/11/11

375

Baa2/BBB

88

123

135

105

-11

-36

-47

SBRY

6.500

11/07/12

300

Baa3/BBB-

104

152

137

108

-8

-26

-43

DIX

6.125

15/11/12

300

Baa1/

61

92

104

75

-1

-1

-10

CARR

5.375

19/12/12

500

A1/A+

22

39

53

22

-1

-9

-7

WMT

4.750

29/01/13

498

Aa2/AA

35

-1

-10

-7

NXT

5.250

30/09/13

300

Baa2/BBB

79

48

-2

-10

-10

GUSLN

5.625

12/12/13

350

Baa1/BBB+

36

59

82

51

-1

-20

MKS

5.625

24/03/14

400

Baa2/BBB

88

123

145

113

-10

-34

AYL

6.500

05/08/14

150

A3/NR

22

36

49

20

-1

-24

-20

AYL

6.500

05/08/14

150

A3/NR

22

36

49

20

-1

-24

-20

KINGFI

5.625

15/12/14

250

Baa1/BBB+

30

50

74

45

-8

-8

AYL

6.000

10/01/17

200

A3/NR

22

36

57

31

-2

-22

-21

AYL

6.000

10/01/17

200

A3/NR

22

36

57

31

-2

-22

-21

SBRY

6.125

05/04/17

250

Baa3/BBB-

104

152

146

119

-7

-17

-36

AYL

6.125

17/12/18

200

A3/NR

22

36

58

34

-3

-21

-20

AYL

6.125

17/12/18

200

A3/NR

22

36

58

34

-3

-21

-20

TSCO

5.500

13/12/19

350

A1/A+

17

28

52

24

-1

-14

-12

TSCO

6.000

14/12/29

200

A1/

17

28

56

32

-4

-20

-20

WMT

5.750

19/12/30

500

Aa2/AA

52

29

-1

-10

-12

SBRY

6.000

05/04/32

350

Baa3/BBB-

104

152

149

123

-7

-18

-36

TSCO

5.500

13/01/33

200

A1/A+

17

28

60

36

-2

-18

-17

WMT

5.250

28/09/35

1000

Aa2/AA

53

30

-1

68

38

-3

-13

-14

Ticker
1-3y

-5

3-5y

5-7y

7-10y

10-15y

15y+

Unweighted Average for Retail :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Technology


Ticker

Coupon

Maturity

6.125

28/06/06

Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
IBM

200

A1/A+
Unweighted Average for Technology :

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

34

-2

-4

34

-2

-4

GBP Corporate: Telecommunications


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

TELENZ

6.000

14/03/06

100

A2/A

39

-4

BRITEL

12.250

31/03/06

229

/A-

41

71

53

-6

-1

BRITEL

7.375

07/12/06

400

Baa1/A-

41

71

39

-2

-2

KPN

8.250

11/04/08

175

Baa1/A-

33

55

53

19

-1

VOD

6.250

10/07/08

400

A2/A

23

42

37

-4

-2

TELENZ

6.125

12/12/08

200

A2/A

45

12

-1

DT

6.250

09/12/10

250

Baa1/BBB+

32

54

57

26

-17

-14

FRTEL

8.250

14/03/11

600

Baa1/A-

32

56

69

38

-23

-46

-38

FRTEL

8.250

14/03/11

600

Baa1/A-

32

56

69

38

-23

-46

-38

OOMLN

7.625

25/01/12

375

Baa2/BBB

36

61

70

42

-3

-16

-10

DT

7.125

26/09/12

500

Baa1/BBB+

32

54

60

30

-1

-20

-14

TELECO

6.125

06/08/14

200

A1/A+

20

34

54

25

-1

-13

-10

BRITEL

7.750

07/12/16

700

Baa1/A-

41

71

79

57

-5

-24

-24

FRTEL

8.000

20/12/17

500

Baa1/A-

32

56

71

50

-1

-20

-15

TELENZ

5.625

14/05/18

125

A2/A

63

38

-3

-10

-6

TITIM

6.375

24/06/19

850

Baa2/BBB+

42

68

85

59

-2

-13

DT

7.375

04/12/19

250

Baa1/BBB+

32

54

72

49

-4

-19

-18

BRITEL

8.625

26/03/20

300

Baa1/A-

41

71

91

74

-6

-23

-28

FRTEL

7.250

10/11/20

450

Baa1/A-

32

56

72

50

-2

-22

-20

VOD

5.625

04/12/25

250

A2/A

23

42

65

40

-1

-6

BRITEL

5.750

07/12/28

600

Baa1/A-

41

71

104

78

-4

-16

-19

DT

7.625

15/06/30

300

Baa1/BBB+

32

54

97

85

-4

-26

-27

VOD

5.900

26/11/32

450

A2/A

23

42

74

52

-1

-11

-14

FRTEL

5.625

23/01/34

500

Baa1/A-

32

56

84

62

-1

-21

67

39

-4

-16

Ticker
1-3y

3-5y

5-7y

7-10y

10-15y

15y+

Unweighted Average for Telecommunications :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

-12

GBP Corporate: Travel & Leisure


Outstand'g Rating

5Yr CDS

Coupon

Maturity

8.250

31/01/07

100

HGLN

7.250

29/07/08

175

Baa2/BBB

TUBELN

8.680

02/09/09

150

CPGLN

7.125

19/01/10

200

Baa2/BBB+

11.625

31/01/11

200

CPGLN

6.375

29/05/12

325

Baa2/BBB+

CCLLN

7.125

25/06/12

200

/A-

HGLN

7.125

11/07/12

250

Baa2/BBB

36

FGPLN

6.875

15/04/13

300

/BBB

CPGLN

7.000

08/12/14

250

Baa2/BBB+

ENTINN

6.500

06/12/18

600

/BBB

FGPLN

6.125

18/01/19

250

MCD

6.375

03/02/20

ENTINN

6.875

15/02/21

WTBLN

8.125

WTBLN

Ticker

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

1-3y
WTBLN

79

39

-2

-31

-22

-7

3-5y
36

67

33

-2

-10

176

150

-8

-152

76

44

-1

-5

-5

103

82

-2

-22

-11

80

50

-1

-7

-6

73

44

-1

-13

-8

57

83

55

-8

-2

55

65

83

55

-2

-15

-15

36

57

84

58

-1

-7

-7

99

76

-24

-17

/BBB

55

65

98

70

-2

-10

200

A2/A

17

34

60

34

-8

-16

-18

125

/BBB

109

87

-2

-28

-27

09/12/21

100

126

114

-8

-8

8.125

09/12/21

100

126

114

-8

-8

ENTINN

6.875

09/05/25

125

/BBB

113

93

-4

-27

-26

ENTINN

6.375

26/09/31

275

Baa3/BBB

113

91

-6

-35

-27

MCD

5.875

23/04/32

250

A2/A

71

48

-4

-19

-21

96

70

-2

-24

-12

36

57
57

5-7y
WTBLN
7-10y
36

57

10-15y

15y+

17

34

Unweighted Average for Travel & Leisure :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Corporate: Utilities


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

NGGLN

8.000

29/03/06

240

A2/A

20

30

41

-5

-2

RWE

5.750

20/04/06

350

A1/A+

20

35

38

-3

NUW

8.625

28/06/06

200

/BBB-

59

20

RWE

8.375

02/08/06

131

WR/A-

53

12

-6

-5

CSWINV

8.875

27/09/06

100

A3/A-

56

16

-6

-11

-7

NGGLN

6.125

07/12/06

250

A2/A

40

-4

-4

-2

SCOHYD

7.875

26/03/07

150

Aa3/AA-

42

-6

-4

-3

EDF

5.250

07/12/07

100

Aa3/AA-

21

39

42

NGGLN

5.625

07/12/07

275

A2/A

20

30

41

-3

-2

-4

20

30

43

-2

-5

-3

-1

-12

-6

Ticker
1-3y

20
20

35
30

3-5y
NGGLN

8.875

08/07/08

250

A2/A

WESWAT 5.875

30/03/09

100

WESWAT 5.875

30/03/09

200

A3/BBB+

55

22

NGGLN

5.375

07/12/09

300

A2/A

20

30

41

SCOTPO

6.625

14/01/10

200

A2/A-

26

43

47

14

-1

-7

-4

UU

5.250

22/01/10

150

A2/A-

21

36

43

11

-1

-12

-10

KEL

6.875

23/04/10

200

A2/A

23

36

45

13

-1

-9

-7

RWE

4.625

17/08/10

500

A1/A+

20

35

43

11

-8

-4

NGGLN

4.750

10/12/10

250

A2/A

20

30

41

-1

EDF

8.750

30/03/12

200

A2/A

21

39

47

17

-2

-15

-10

EOAGR

6.375

29/05/12

500

Aa3/AA-

17

31

37

-1

-8

-2

ELESM

6.125

05/07/12

400

A3/A

30

50

57

26

-8

-5

CENTRI

5.875

02/11/12

400

A2/A

28

46

56

25

-9

-5

RWE

6.375

03/06/13

750

A1/A+

20

35

45

15

-2

-12

-9

SEVTRE

5.250

08/12/14

200

A2/A

56

26

-1

-7

-4

SCOTPO

8.375

20/02/17

200

A2/A-

26

43

58

34

-1

-11

-9

NGGLN

6.000

07/06/17

300

A2/A

20

30

57

31

-9

-6

ELEPOR

6.625

09/08/17

200

A3/A

22

37

68

43

-13

-9

NUW

6.000

11/10/17

300

/BBB+

70

45

-14

-9

UU

5.375

14/05/18

150

A2/A-

56

30

-16

-14

ACQUED

6.920

29/06/18

165

Baa3/BBB

150

128

YKE

9.250

17/01/20

200

Baa1/BBB+

87

72

-3

-34

-29

NTE

8.875

16/10/20

100

Baa1/BBB+

95

82

-1

-26

-22

HYRLN

9.250

09/11/20

150

Baa1/BBB+

109

99

-1

-11

-9

RWE

6.500

20/04/21

650

A1/A+

63

40

-1

-6

-8

SCOHYD

5.875

22/09/22

300

Aa3/AA-

56

33

-1

-9

-6

NUW

6.875

06/02/23

350

/BBB+

72

53

-2

-17

-15

KEL

5.375

21/02/23

200

A2/A

23

36

59

36

-1

SCOTPO

6.750

29/05/23

250

A2/A-

26

43

67

47

RWE

5.625

06/12/23

600

A1/A+

20

35

65

43

-1

-6

-6

NGGLN

5.875

02/02/24

450

A2/A

20

30

64

37

-3

-10

-11

SEVTRE

6.125

26/02/24

300

/A

65

38

-2

-12

-14

EDF

5.750

08/03/24

300

A2/A

21

39

66

39

-6

-17

NGGLN

7.000

16/12/24

503

A3/A-

20

30

71

48

-3

-12

-14

EDF

8.500

31/03/25

200

A2/A

21

39

69

51

-2

-20

-21

EDF

8.500

31/03/25

200

A2/A

21

39

69

51

-2

-20

-21

NGGLN

8.750

27/06/25

275

A2/A

20

30

68

51

-3

-14

-16

UU

8.875

25/03/26

450

A2/A-

21

36

65

49

-1

-23

-20

EDF

5.500

05/06/26

300

A3/A

21

39

70

45

-1

-16

-16

VIEFP

5.875

13/07/26

200

A3/A-

26

44

80

57

WESTP

5.875

25/03/27

250

Baa1/BBB+

87

60

-2

-23

-25

EDF

6.125

07/06/27

300

A2/A

21

39

68

42

-2

-17

-19

EDF

6.125

07/06/27

300

A2/A

21

39

68

42

-2

-17

-19

UU

5.625

20/12/27

300

A2/A-

21

36

67

40

-1

-15

-14

NGGLN

6.500

27/07/28

360

A2/A

20

30

68

44

-1

-17

-17

BRK

7.250

04/08/28

200

Baa3/BBB-

149

134

-8

-73

-51

BRK

7.250

04/08/28

200

Baa3/BBB-

149

134

-8

-73

-51

RWE

6.750

16/11/28

330

A1/A+

63

40

-2

-13

-14

SEVTRE

6.250

07/06/29

425

A2/A

70

47

-3

-14

-17

RWE

6.250

03/06/30

950

A1/A+

71

50

-2

-12

-14

-4

5-7y

7-10y

10-15y

21

36

-1

-21

15y+

20

20
20

35

35
35

-6

-7

-10

-10

-2

KEL

6.625

17/04/31

240

A2/A

23

36

68

46

EDF

5.875

18/07/31

650

Aa3/AA-

21

39

69

45

-1

-6

-9

RWE

6.500

09/02/32

200

A1/A+

20

35

64

EOAGR

6.375

07/06/32

975

Aa3/AA-

17

31

58

42

-1

-13

-14

35

-1

-10

SOUELE

5.500

07/06/32

350

Aa3/AA-

-12

61

37

-2

-12

NUW

5.625

29/04/33

180

-13

NR/BBB+

81

58

-3

-14

WESWAT 5.750

14/10/33

195

-14

A3/BBB+

80

59

-1

-14

-15

65

39

-2

-13

-11

Unweighted Average for Utilities :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Finance: Financial Services


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

GE

5.000

07/12/06

250

Aaa/AAA

21

35

27

-8

-5

GE

4.125

15/12/06

400

Aaa/AAA

21

35

20

-14

-2

GE

7.250

06/08/07

200

Aaa/AAA

21

35

32

-6

-4

AXP

5.500

24/09/07

600

Aa3/A+

22

39

43

-3

GE

5.500

07/12/07

200

Aaa/AAA

21

35

32

-2

-2

-3

CATTLE

8.625

07/12/07

125

77

43

-7

-41

-34

III

6.875

10/12/07

200

Aa3/A+

44

-3

-4

-3

MER

7.375

17/12/07

200

Aa3/A+

23

41

46

10

-7

-5

-5

MWD

5.000

21/12/07

175

23

41

43

GE

4.875

16/06/08

250

21

35

31

-4

GE

4.500

15/12/08

500

Aaa/AAA

21

35

26

-7

-1

-4

-3

CFC

5.875

15/12/08

275

A3/A

43

65

65

32

-1

-2

CIT

5.500

15/12/08

200

A2/A

27

39

62

28

-5

ANGELT

5.250

18/12/08

250

46

13

-3

AMPAU

7.125

06/08/09

103

Baa1/BBB

100

69

-5

CSTLLN

8.250

12/08/09

150

185

161

AXP

5.625

18/08/09

650

Aa3/A+

22

39

45

13

-2

GE

6.250

01/09/09

150

Aaa/AAA

21

35

34

-1

GE

5.500

07/12/09

400

Aaa/AAA

21

35

34

AIG

6.625

07/12/09

300

A1/AA-

27

43

56

24

BSC

5.125

20/01/10

400

A1/A

26

44

57

25

LEH

5.000

26/01/10

250

A1/A

26

44

57

25

SLOU

7.125

17/02/10

125

85

53

AIG

5.625

29/03/10

350

A1/

27

43

56

24

MER

5.125

24/09/10

350

Aa3/A+

23

41

50

KRB

6.000

12/11/10

250

Baa1/BBB+

35

53

73

GE

4.750

15/12/10

525

Aaa/AAA

21

35

33

SLMA

5.375

15/12/10

225

A2/A

62

30

BXTN

6.000

30/12/10

275

73

41

-16

-14

MEL

6.375

08/11/11

225

A1/A+

46

14

-3

-7

-2

GE

6.125

17/05/12

500

Aaa/AAA

21

35

35

-1

-13

-8

GE

6.440

17/05/12

293

21

35

52

27

-2

-18

-19

BXTN

10.625

01/10/12

107

89

66

-2

-13

-8

SLOU

11.625

30/12/12

100

98

81

-7

-25

-16

MWD

5.375

14/11/13

650

Aa3/A+

23

41

58

26

-5

-12

-10

HAMRSN

10.750

07/12/13

200

Baa2/

35

53

78

56

-3

-26

-22

GE

5.250

10/12/13

600

Aaa/AAA

21

35

37

-1

-13

-8

GE

5.250

10/12/13

600

Aaa/AAA

21

35

37

-1

-13

-8

CATTLE

6.875

17/01/14

350

109

82

-2

-35

EDINLN

11.500

30/06/14

100

129

120

-2

-13

CIT

5.500

01/12/14

500

A2e/A

27

39

72

43

GE

5.625

12/12/14

250

Aaa/AAA

21

35

37

MER

5.750

12/12/14

350

Aa3/A+

23

41

58

29

-4

-17

SLOU

6.250

30/09/15

150

94

67

-2

-14

HOUSFN

11.500

27/11/16

231

84

72

-1

-37

GS

6.125

14/02/17

300

Aa3/A+

SLOU

10.000

03/05/17

100

GE

6.250

15/12/17

500

Aaa/AAA

LMSO

10.000

03/04/18

100

BXTN

6.000

30/09/19

150

HAMRSN

6.875

31/03/20

250

Baa2/

MQB

6.177

15/04/20

350

Baa1/BBB

GE

6.250

29/09/20

200

Aaa/AAA

21

GE

5.500

07/06/21

360

Aaa/AAA

21

SLOU

7.000

14/03/22

150

EDINLN

7.750

30/09/22

III

6.875

HOUSFN
SLOU

Ticker
1-3y

-5

-3

3-5y

-1

-21

-12

-9

-6

-17

-12

-8

-7

18

-9

-4

42

-7

-4

-10

-6

5-7y
-1

-8

7-10y

-11

-14

10-15y

23

65

39

-3

-19

-16

100

89

-4

-20

-17

41

15

-1

-12

-8

111

101

98

70

97
95

35
35

21

41

-14

35

-6

-9

-1

-10

-13

74

-2

-11

-15

69

-4

42

15

-1

-16

-17

41

15

-1

-15

-16

107

88

-3

-13

-14

100

116

103

-1

-6

-7

09/03/23

200

Aa3/A+

61

42

-2

-13

-12

8.625

13/11/23

218

130

126

6.750

23/02/24

225

115

92

-2

-10

15y+
35

53

2
-13

WTAN

6.125

15/12/25

100

HAMRSN

6.000

23/02/26

300

LMSO

6.500

16/03/26

175

BRITLD

9.375

31/03/28

200

HAMRSN

7.250

21/04/28

200

Baa2/

35

53

GE

5.250

07/12/28

425

Aaa/AAA

21

35

FMNLN

6.125

25/02/30

175

GE

5.625

16/09/31

178

Aaa/AAA

III

5.750

03/12/32

400

Aa3/A+

BRITLD

8.875

24/09/35

250

GE

5.375

18/12/40

450

Aaa/AAA

35

21

21

53

35

35

Unweighted Average for Financial Services :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

94

70

-1

-36

104

81

-3

-15

-36

92

71

-2

-32

-32

129

129

-1

-19

-27

121

105

-4

-21

-24

43

17

-16

-17

107

85

-3

-8

-7

44

18

-1

-18

-19

70

47

-2

-15

-16

147

160

-6

-18

-14

43

25

-1

-19

70

44

-2

-12

-8

GBP Finance: Insurance


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

PACLIF

6.125

29/06/06

150

Aa3/AA

37

-3

-1

FRIPRO

9.125

25/11/06

215

Baa1/A-

81

42

-6

-10

-4

SLAC

9.000

28/11/06

125

159

127

-10

-51

-49

MGFUND

5.750

20/03/07

150

Aa3/AA

39

-4

-8

-4

ABBEY

8.750

13/05/07

125

11

17

105

70

-5

-117

-109

PRUFIN

9.375

04/06/07

150

/AA-

18

26

42

-5

ALL

6.300

18/07/08

150

Aa2/AA

41

-1

-6

NYL

5.000

20/10/08

300

Aa1/AA+

36

-1

-11

MET

5.250

19/12/08

350

Aa2/AA

39

-2

-7

AIG

4.375

30/12/08

750

Aaa/AAA

27

43

35

PRUFIN

5.500

11/05/09

250

18

26

47

15

-1

-6

PRIFIN

5.875

08/06/09

125

/AA

44

11

-4

-15

-9

PRIFIN

5.875

08/06/09

125

/AA

44

11

-4

-15

-9

AIG

5.625

15/06/09

300

Aaa/AAA

36

MET

5.875

17/06/09

350

Aa2/AA

40

NYL

5.750

30/06/09

250

Aa1/AA+

37

QBE

5.625

28/09/09

175

/A-

75

42

AIG

5.375

07/12/09

680

Aaa/AAA

36

-2

-15

-10

JHF

6.625

07/12/09

175

Aa3/AA+

46

14

-3

-10

-6

JHF

6.625

07/12/09

175

Aa3/AA+

46

14

-3

-10

-6

JHF

6.625

07/12/09

175

Aa3/AA+

46

14

-3

-10

-6

ALL

6.375

17/01/11

300

Aa2/AA

41

-3

-20

-8

PACLIF

6.250

08/02/11

200

Aa3/AA

46

13

-4

-18

-9

6.125

23/02/11

150

Aa2/AA

44

11

-2

-14

-7

NATLGF

6.250

28/06/11

150

Aa3/AA-

51

19

-3

-14

-6

JHF

6.000

12/07/11

150

Aa3/AA+

47

16

-4

-18

-9

SLC

5.750

12/07/11

200

Aa2/AA+

43

11

-3

-15

-6

JHF

6.000

12/07/11

150

Aa3/AA+

47

16

-4

-18

-9

5.750

06/12/11

150

Aa2/AA

15

30

43

12

-2

-12

-5

AIG

5.625

01/02/12

500

Aaa/AAA

27

43

39

-14

-6

AIG

5.125

28/01/13

250

Aaa/AAA

27

43

39

-1

-16

-10

MASSMU

6.125

14/05/13

200

/AAA

35

-6

-20

-12

PACLIF

6.000

16/08/13

200

Aa3/AA

44

13

-4

-19

-13

PFG

5.625

24/09/13

250

Aa2/AA

42

12

-9

PFG

5.625

24/09/13

100

PRIFIN

6.000

23/01/14

150

Aa2/AA

47

16

-7

-16

-13

PRIFIN

6.000

23/01/14

150

Aa2/AA

47

16

-7

-16

-13

MGFUND

6.000

30/01/14

150

/AA

49

19

-3

-15

-11

PACLIF

5.125

20/01/15

200

47

16

LLYDIN

6.875

17/11/15

300

/BBB+

143

118

AVLN

9.500

20/06/16

200

Aa3/

18

27

52

27

-3

-9

-6

AVLN

9.500

20/06/16

200

Aa3/

18

27

52

27

-3

-9

-6

AIG

5.375

14/10/16

350

Aaa/AAA

27

43

41

13

-2

-16

MUNRE

7.625

21/06/18

300

A2/A-

22

32

95

77

-2

-36

-27

PRUFIN

8.500

30/06/18

100

Aa3/

18

26

77

59

-7

-21

-18

AIG

5.000

18/12/18

250

Aaa/AAA

27

43

42

16

-2

-13

-9

LGEN

5.875

01/04/19

400

A2/A

18

23

74

46

-2

-29

CLMD

7.375

05/11/19

200

A1/A+

76

53

-4

-32

-31

FRIPRO

6.875

21/11/19

300

Baa2/A-

108

84

-5

-39

-36

STALIF

6.546

06/01/20

300

Baa1/A-

27

38

119

95

AVLN

5.902

27/07/20

500

A3/A-

18

27

BUPA

6.125

16/09/20

330

AIG

6.375

05/10/20

200

Aaa/AAA

27

AXASA

7.125

15/12/20

325

A3/BBB+

ABBEY

7.250

25/03/21

200

AVLN

6.125

29/09/22

ZURNVX

6.625

PRUFIN

6.875

AXASA

6.625

Ticker
1-3y

3-5y

27

27

43

43

-10

-1
-8

-15
-1

-11
-11

5-7y

15

30

7-10y

10-15y

15y+
91

65

118

93

43

42

15

-3

-16

-14

24

39

78

56

-6

-29

-27

Baa1/BBB-

11

17

160

143

800

A2/A-

18

27

82

60

02/10/22

450

Baa2/A-

32

44

98

20/01/23

300

A2/

18

26

56

21/08/23

150

A2/

24

39

68

-14

-9

-2

-24

-23

79

-4

-39

-35

35

-5

-25

-26

49

-6

-23

-21

MET

5.375

09/12/24

350

A2/A

76

49

AVLN

6.125

14/11/26

700

A2/A-

18

27

75

54

-4

-24

-24

AVLN

6.125

14/11/26

700

A2/A-

18

27

75

54

-4

-24

-24

STALIF

6.750

12/07/27

500

A3/A-

27

38

110

88

-6

-33

-32

STALIF

6.750

12/07/27

500

A3/A-

27

38

110

88

-6

-33

-32

PRUFIN

5.875

11/05/29

250

18

26

60

36

-3

-23

-24

LGEN

5.875

11/12/31

350

A1/AA-

18

23

56

31

-3

-25

-26

AEGON

6.125

15/12/31

250

A2/A+

24

36

73

50

-2

-15

-15

PRUFIN

6.125

19/12/31

435

A3/A

18

26

85

63

-4

-22

-24

LGEN

5.875

05/04/33

200

A1/AA-

18

23

58

36

-3

-23

-24

63

35

-3

-17

-13

Unweighted Average for Insurance :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Finance: Insurance Wrapped


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

RMC

9.180

20/02/15

165

44

24

-1

-24

-13

GESB

8.350

15/11/18

104

46

23

-11

-6

BRK

7.250

15/12/22

200

63

44

-7

-14

-11

METRON

5.309

26/03/23

350

41

18

-5

-5

METRON

5.305

25/06/25

350

39

13

-2

-9

-8

CONGSO

5.404

10/07/26

152

46

22

-4

-5

EXCHEQ

5.396

21/01/27

165

40

18

-2

-11

-3

RMPA

5.337

30/09/38

679

42

19

-1

-6

45

23

-1

-11

Ticker
10-15y

15y+

Unweighted Average for Insurance Wrapped :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

-6

GBP Finance: Lower Tier 2


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

LLOYDS

8.500

29/03/06

250

Aa2/

18

29

36

-1

-7

-1

HBOS

8.750

10/07/06

400

Aa3/AA-

18

27

43

-6

-2

BRITNA

8.875

02/10/06

100

A3/A-

51

10

-6

-6

COOPWH 7.375

16/11/06

100

84

47

-13

-16

-6

ABBEY

10.750

01/12/06

100

WR/A

48

-5

-2

ALLNCE

8.750

07/12/06

200

A1/

47

-5

BRADBI

8.375

27/12/06

125

A2/

53

15

-4

-4

-3

RBS

8.125

29/12/06

300

42

-3

-2

UBS

8.000

08/01/07

450

Aa3/

37

-4

-3

-3

-2

RBS

8.375

29/01/07

150

Aa2/AA-

17

28

39

-2

-3

-3

-1

RBS

8.375

29/01/07

150

Aa2/AA-

17

28

39

-2

-3

-3

-1

RBS

8.375

29/01/07

150

Aa2/AA-

17

28

39

-2

-3

-3

-1

LLOYDS

7.750

18/06/07

300

Aa1/AA-

18

29

31

-7

-5

-8

-7

DRSDNR

7.750

07/12/07

150

A2/A-

23

34

61

26

-4

-12

-6

CMZB

7.875

07/12/07

200

A3/

30

44

58

23

-3

-1

STAN

6.750

27/04/09

300

A3/A-

19

31

46

13

-1

-10

LLOYDS

9.500

01/06/09

100

Aa1/AA-

18

29

48

15

-2

-8

-5

NRBS

5.625

13/01/10

300

A2/A-

56

24

-12

-10

BRADBI

7.625

16/02/10

125

A2/

58

26

-19

-14

DNBNOR

5.125

03/06/10

200

A1/A-

53

21

-14

-10

DNBNOR

5.125

03/06/10

200

A1/A-

53

21

-14

-10

INTNED

7.000

05/10/10

350

Aa3/A+

48

16

-7

-3

NAB

5.375

28/10/10

200

A1/A+

53

21

-15

-12

NAB

5.375

28/10/10

200

A1/A+

53

21

-15

-12

ANZ

5.625

26/11/10

200

A1/A+

53

22

-11

-9

SANTAN

6.800

29/11/10

200

A1/A

20

31

48

16

-9

-5

DB

5.250

15/12/10

225

A1/A+

22

34

49

17

-14

DERBS

5.875

17/12/10

100

98

66

-9

LLOYDS

12.000

02/01/11

100

18

29

54

23

-2

-9

INVES

7.750

01/03/11

200

Baa3/

142

117

-8

-81

LLOYDS

9.125

17/10/11

150

Aa2/

51

21

-4

-10

-6

BACA

8.375

04/11/11

100

Aa3/

56

25

-2

-6

-6

NRBS

5.750

28/02/12

250

A2/A-

59

28

-1

-14

-10

HSBC

5.750

27/06/12

350

Aa3/A+

50

19

-1

-10

-5

CHELS

6.250

18/12/12

100

Baa1/

85

55

-2

-16

-13

BACR

10.125

21/12/12

100

Aa2/

53

25

-2

-11

-6

ANGLIA

5.250

12/02/13

200

A1/A

57

25

-2

-17

-14

RBS

10.500

01/03/13

150

Aa2/

17

28

55

27

-3

-12

-8

RBS

10.500

01/03/13

150

Aa2/

17

28

55

27

-3

-12

-8

RBS

10.500

01/03/13

150

Aa2/

17

28

55

27

-3

-12

-8

HSBC

9.875

08/04/13

250

Aa3/A

17

29

52

24

-4

-16

-13

WSTP

5.875

29/04/13

200

A1/AA-

54

23

-3

-12

-8

ANZ

4.750

07/12/13

400

A1/A+

55

24

-2

-14

-13

HBOS

11.000

51

24

-3

-16

-13

90

61

-2

-7

Ticker
1-3y

18

17

29

28

3-5y
-4

5-7y

16

18

26

29

-3

-3

7-10y
17
16

18

29
26

17/01/14

250

Aa3/AA-

COOPWH 5.875

02/04/14

150

Baa1/

27

LLOYDS

5.875

20/06/14

150

Aa1/AA-

18

29

48

18

-2

-12

-9

LLOYDS

6.625

30/03/15

350

Aa1/AA-

18

29

48

19

-4

-15

-13

RBS

9.625

22/06/15

250

Aa2/AA-

17

28

49

22

-5

-17

-16

RBS

9.625

22/06/15

250

Aa2/AA-

17

28

49

22

-5

-17

-16

RBS

9.625

22/06/15

250

Aa2/AA-

17

28

49

22

-5

-17

-16

RBS

7.875

09/09/15

300

Aa2/

17

28

49

21

-3

-15

-14

RBS

7.875

09/09/15

300

Aa2/

17

28

49

21

-3

-15

-14

RBS

7.875

09/09/15

300

Aa2/

17

28

49

21

-3

-15

-14

PRUFIN

6.875

29/12/16

200

Baa1/

27

40

119

96

-22

-14

ABBEY

11.500

04/01/17

150

A1/A

18

29

58

39

-3

-18

-16

BRADBI

5.750

12/12/17

200

A2/

70

45

-4

-22

-20

ABBEY

10.125

04/01/18

150

A1/

58

39

-3

-17

-15

SOCGEN

5.400

30/01/18

600

Aa3/A+

50

23

-3

-14

-12

HBOS

10.500

16/02/18

150

Aa3/AA-

56

37

-4

-16

-12

ALLNCE

5.250

06/03/18

150

A1/

58

31

-1

-15

-13

10-15y

18
18

29
27

HSBC

5.000

20/03/18

350

Aa3/A+

53

26

-1

-14

-11

ANGLIA

8.625

29/03/18

125

A1/

17

29

64

44

-2

-18

-15

5.125

12/12/18

800

Aa1/A+

53

27

-14

-12

5.125

12/12/18

800

Aa1/A+

53

27

-14

-12

CBA

4.875

19/12/18

150

A1/A+

58

32

-1

-12

-9

IBSANP

5.625

18/03/19

165

A1/A

62

34

-2

-15

HBOS

6.375

16/08/19

250

Aa3/AA-

18

27

50

22

-5

-16

-18

CMZB

6.625

30/08/19

150

A3/BBB+

30

44

78

52

-5

-24

-25

BRITNA

5.750

02/12/19

200

A3/A-

67

39

-1

-13

LLOYDS

5.750

09/07/20

350

Aa1/AA-

18

29

51

24

-2

-16

CRDSUI

7.000

05/10/20

250

A1/A-

23

37

64

41

-3

-23

-23

HBOS

9.375

15/05/21

500

Aa3/AA-

18

27

51

30

-3

-18

-20

BACR

9.500

07/08/21

200

Aa2/

16

26

51

30

-3

-17

-18

RBS

6.500

07/09/21

300

Aa2/AA-

17

28

49

24

-5

-14

-14

RBS

6.500

07/09/21

300

Aa2/AA-

17

28

49

24

-5

-14

-14

RBS

6.500

07/09/21

300

Aa2/AA-

17

28

49

24

-5

-14

-14

NRBS

9.375

17/10/21

150

A2/A-

65

49

-2

-20

-21

BNP

5.750

24/01/22

350

Aa3/AA-

49

24

-1

-13

-14

LLOYDS

9.625

06/04/23

300

Aa1/AA-

52

35

-2

-17

-20

BRADBI

6.625

16/06/23

125

A2/

74

55

-3

-22

-23

HSBC

6.500

07/07/23

300

Aa3/A+

53

32

-2

-13

-14

5.875

01/07/24

400

Aa2/A+

57

30

-2

-16

HSBC

5.375

04/11/25

350

Aa3/A+

57

32

AIB

5.625

26/11/25

350

A1/A-

63

39

-2

-17

-17

AIB

5.625

26/11/25

350

A1/A-

63

39

-2

-17

-17

UBS

8.750

18/12/25

150

Aa3/

52

32

-2

-3

-6

BACR

5.750

14/09/26

600

Aa2/AA-

16

26

49

26

-1

-15

-17

HSBC

5.750

20/12/27

650

Aa3/A

17

29

60

33

-3

-18

-20

ABBEY

6.500

21/10/30

150

A1/A

18

29

63

43

-3

-22

-22

ALLNCE

5.875

14/08/31

150

A1/A

64

40

-4

-17

-18

BRITNA

5.875

28/03/33

150

A3/A-

71

49

-1

-19

-19

HSBC

5.375

22/08/33

500

Aa3/A+

17

29

61

38

-2

-18

-19

HSBC

6.250

30/01/41

225

Aa3/A+

17

29

56

39

-1

-7

-7

57

28

-3

-13

-10

15y+

18
17
17

29
29
29

Unweighted Average for Lower Tier 2 :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Finance: Senior


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

RBS

7.875

07/12/06

200

Aa1/AA

11

18

34

-5

-3

BACR

4.875

07/12/06

250

Aa1/AA

10

16

20

-15

-2

RBS

7.875

07/12/06

200

Aa1/AA

11

18

34

-5

-3

RBS

7.875

07/12/06

200

Aa1/AA

11

18

34

-5

-3

HBOS

5.125

07/12/06

300

Aa2/AA

11

17

36

-2

NAB

5.500

07/12/06

150

Aa3/AA-

33

-2

-2

-3

RABOBK

4.500

07/12/06

500

Aaa/AAA

12

18

-17

-2

-4

HSBC

4.625

28/12/06

200

A1/A

11

18

35

-1

-2

ALLNCE

4.625

28/12/06

250

39

-2

-3

-2

WSTP

4.875

28/12/06

200

Aa3/AA-

30

-5

-1

-3

-2

BRADBI

5.000

03/12/07

250

48

14

ANGLIA

5.625

07/12/07

300

Aa3/A+

43

-2

-3

ANGIRI

5.000

12/12/07

200

A2/

45

11

ALLNCE

5.500

17/12/07

250

Aa3/A+

43

RBS

5.000

20/12/07

100

11

18

RBS

5.000

20/12/07

350

Aa1/AA

11

18

34

PRUFIN

5.125

21/12/07

275

18

26

65

32

HBOS

4.875

21/12/07

300

Aa2/AA

11

17

37

UBS

4.875

21/12/07

100

11

18

44

11

HBOS

6.375

03/04/08

450

Aa2/AA

11

17

35

FORTIS

5.500

17/11/08

200

A1/A+

25

33

49

15

AAB

4.875

07/12/08

200

Aa3/AA-

11

18

36

BRADBI

5.125

10/12/08

250

A1/

49

15

-1

-6

IRNWID

5.875

15/12/08

350

A3/

51

18

-2

-10

HBOS

4.500

17/12/08

300

Aa2/AA

11

17

34

-1

ANZ

4.875

22/12/08

200

Aa3/AA-

11

19

36

-4

NAB

4.250

30/12/08

400

Aa3/AA-

38

-2

ALLNCE

4.250

30/12/08

250

Aa3/A+

42

-2

-4

-3

HBOS

4.625

30/12/08

150

Aa2/AA

11

17

34

HBOS

5.076

03/03/09

250

11

17

41

RABOBK

6.375

20/03/09

150

Aaa/AAA

12

30

-4

RABOBK

4.750

30/09/09

550

Aaa/AAA

12

30

-3

EXPT

6.000

23/11/09

100

Aaa/AA+

10

13

32

-1

JPM

6.000

07/12/09

200

Aa3/A+

22

39

45

13

ABBEY

5.375

30/12/09

385

Aa3/A+

11

17

37

AAB

4.875

20/01/10

200

Aa3e/AA-

11

18

39

HSBC

6.125

22/01/10

500

A1/A

11

18

48

16

-1

-9

-4

HSBC

6.125

22/01/10

500

A1/A

11

18

48

16

-1

-9

-4

BAC

6.875

07/06/10

200

Aa2/AA-

16

29

38

-11

-4

DB

6.625

04/10/10

250

Aa3/AA-

15

24

39

-5

BAC

6.125

16/12/10

250

Aa2/AA-

16

29

39

HBOS

4.375

22/12/10

250

Aa2/AA

11

17

38

HBOS

4.375

22/12/10

100

11

17

BACA

5.625

12/07/11

150

Aa2/AA+

42

10

HSBC

7.000

27/03/12

500

A1/A

11

18

51

HSBC

7.000

27/03/12

500

A1/A

11

18

51

HSBC

7.000

05/10/15

125

A1/A

11

18

HSBC

7.000

05/10/15

125

A1/A

11

18

5.500

18/11/15

250

Aa1/AA-

15

HSBC

6.250

19/08/19

125

A1/A

HSBC

6.250

19/08/19

125

6.250

02/09/19

NRBS

6.375

BAC

Ticker
1-3y

4
2

-2

-2

-1

-1

-4

-1

3-5y
-3
-7
-3
2

-9
-1
1

-2

-10

3
2
-3

-5

5-7y

-9

-4

-1

-1

-8

-2

21

-2

-13

-5

21

-2

-13

-5

54

26

-2

-15

-12

54

26

-2

-15

-12

30

46

17

-2

-12

-10

11

18

57

29

-1

-15

-14

A1/A

11

18

57

29

-1

-15

-14

225

Aa1/AA-

15

30

48

20

-2

-11

-12

02/12/19

200

A1/A

56

29

-3

-16

-17

5.500

04/12/19

500

Aa2/AA-

16

29

47

19

-3

-12

5.150

21/05/26

600

Aa1/AA-

15

30

47

22

-2

-15

-16

AAB

6.375

07/12/28

125

Aa3/AA-

11

18

52

28

-1

-11

-11

BACR

0.000

15/03/30

135

10

16

94

30

-1

ABBEY

0.000

15/06/30

166

11

17

88

28

-2

-5

6.500

16/08/30

400

Aa1/AA-

15

30

49

27

-3

-19

-19

7-10y

10-15y

15y+

Unweighted Average for Senior :

43

10

-1

-5

-3

Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Finance: Tier 1


Ticker

Coupon

Maturity

Outstand'g Rating

8.250

15/07/08

120

HBOS

8.117

31/05/10

RBS

7.387

31/12/10

RBS

7.387

RBS

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

3-5y
BAVB

A3/BBB+

15

23

73

40

250

A1/A

11

17

60

200

A1/A+

11

18

59

31/12/10

200

A1/A+

11

18

7.387

31/12/10

200

A1/A+

11

18

ANGIRI

8.533

28/06/11

200

ANGIRI

8.533

28/06/11

200

LLOYDS

7.834

07/02/15

250

Aa2/A

11

CRDSUI

8.514

15/06/15

150

A2/BBB+

15

HSBC

8.208

30/06/15

500

A2/A-

11

NRBS

8.399

21/09/15

300

FSPAA

5.750

17/03/16

FSPAA

5.750

ALLNCE

5.827

STAN

-2

-43

-38

29

-9

-7

27

-10

-8

59

27

-10

-8

59

27

-10

-8

Baa1/

70

40

-2

-14

-9

Baa1/

70

40

-2

-14

-9

16

71

45

-4

-20

-18

23

82

59

-4

-34

-31

18

71

46

-5

-21

-19

A3/BBB+

74

50

-4

-33

-31

200

A2/BBB+

75

46

-2

-22

17/03/16

200

A2/BBB+

75

46

-2

-22

22/03/16

300

A2/A-

73

45

-1

-24

8.103

11/05/16

300

Baa1/BBB+

12

18

77

54

-3

-30

-25

HBOS

7.286

31/05/16

150

Aa3/A+

11

17

75

49

-2

-18

-17

ABBEY

6.984

09/02/18

175

A2/A-

11

17

71

48

-2

-29

-27

HBOS

6.461

30/11/18

600

/A

11

17

74

51

-2

-21

-19

NAB

5.620

17/12/18

400

A2/A-

77

52

-1

-22

-21

KBC

6.202

19/12/19

375

A2/A-

77

51

-2

-22

RABOBK

5.556

31/12/19

350

12

53

25

-1

HSBC

5.862

07/04/20

300

A1/A

11

18

74

47

-4

-20

HBOS

7.754

31/05/21

150

A1/A

11

17

79

60

-2

-21

-22

BKIR

6.250

07/03/23

350

A2/A-

17

20

75

54

-2

-27

-26

ABBEY

7.037

14/02/26

300

A2/A-

11

17

74

55

-2

-35

-34

HBOS

7.281

31/05/26

150

Aa3/A+

11

17

80

61

-2

-25

-25

ANGIRI

7.625

23/07/27

250

Baa1/

90

71

-3

-30

-33

NRBS

7.053

21/09/27

200

A2/BBB+

88

67

-5

-35

-34

HSBC

5.844

05/11/31

700

/A

11

18

81

58

-1

-21

-23

HBOS

7.881

09/12/31

245

A1/A

11

17

82

68

-2

-24

-27

BRADBI

6.462

02/06/32

150

A3/

115

96

-2

-29

-25

BACR

6.000

15/06/32

400

Aa3/A+

10

16

77

54

-1

-20

-21

HVB

7.760

13/10/34

100

24

37

172

171

-3

-4

-10

77

53

-2

-22

-17

5-7y

10-15y

15y+

Unweighted Average for Tier 1 :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

GBP Finance: Upper Tier 2


Outstand'g Rating

5Yr CDS

10Yr CDS

Sprd
Bmk

EURIBOR
Sprd
EURIBOR Week Chg Qtr Chg YTD Chg

Coupon

Maturity

RBS

9.250

03/04/06

125

Aa2/AA-

17

28

51

11

-6

RBS

9.250

03/04/06

125

Aa2/AA-

17

28

51

11

-6

HBOS

8.375

30/10/06

150

Aa3/A+

18

27

48

-6

-2

HSBC

9.250

07/12/06

150

Aa3/A

17

29

49

10

-6

-3

SOCGEN

9.125

07/12/06

100

73

36

-4

-12

-2

SEB

9.040

11/12/06

100

92

56

-4

-3

-1

HSBC

8.625

07/12/07

150

Aa3/A

17

29

49

13

-3

BACR

9.875

12/05/08

300

Aa2/A+

16

26

47

12

-1

-6

SVSKHB

6.125

04/03/09

275

Aa2/A

48

15

-1

-13

-6

CRDSUI

8.250

10/07/09

150

A1/A-

23

37

66

35

-2

-18

-11

RBS

7.625

21/01/10

325

Aa2/A+

17

28

50

17

-3

-11

-9

RBS

7.625

21/01/10

325

Aa2/A+

17

28

50

17

-3

-11

-9

RBS

7.625

21/01/10

325

Aa2/A+

17

28

50

17

-3

-11

-9

LLOYDS

6.625

15/07/10

410

Aa1/A+

18

29

49

17

-11

-9

RBS

7.375

31/08/10

175

Aa2/A+

17

28

50

18

-3

-11

-9

RBS

7.375

31/08/10

175

Aa2/A+

17

28

50

18

-3

-11

-9

RBS

7.375

31/08/10

175

Aa2/A+

17

28

50

18

-3

-11

-9

ABBEY

7.500

28/09/10

325

A1/A-

18

29

55

23

-14

-10

SANTAN

7.250

07/12/11

200

A1/

20

31

56

26

-3

-17

-8

RBS

6.250

17/12/12

350

Aa2/A+

17

28

53

22

-1

-17

-13

RBS

6.250

17/12/12

350

Aa2/A+

17

28

53

22

-1

-17

-13

RBS

6.250

17/12/12

350

Aa2/A+

17

28

53

22

-1

-17

-13

HBOS

8.625

04/11/13

200

Aa3/

18

27

61

34

-3

-17

-12

PRUFIN

7.500

09/12/13

250

Baa1/

27

40

128

104

-6

-32

-29

BRADBI

5.625

20/12/13

250

A2/

75

44

-2

-23

-21

NBHSS

6.250

18/07/14

300

A1/A-

62

33

-2

-17

-15

RBS

6.000

08/09/14

500

Aa2/A+

17

28

58

29

-2

-16

HBOS

10.250

10/08/15

100

Aa3/

18

27

65

43

-4

-23

-20

CRDSUI

10.250

17/08/15

100

A1/A-

23

37

74

55

-5

-39

-34

ABBEY

7.500

28/09/15

425

A1/A-

18

29

64

37

-4

-24

-23

BACR

6.875

27/11/15

650

Aa2/A+

16

26

57

29

-3

-17

-15

RBS

5.125

14/03/16

500

Aa2/A+

17

28

62

33

-3

-15

-14

RBS

5.125

14/03/16

500

Aa2/A+

17

28

62

33

-3

-15

-14

HBOS

7.500

26/05/16

300

Aa3/A

18

27

63

38

-4

-20

-18

LLOYDS

5.125

09/12/16

500

Aa1/A+

18

29

63

35

-2

-13

-11

BACR

6.375

19/04/17

465

Aa2/A+

16

26

58

32

-2

-15

-14

CRDSUI

6.875

07/06/17

500

A1/BBB+

23

37

72

48

-2

-27

-24

ACAFP

5.000

20/06/18

1050

Aa3/A+

16

24

61

34

-1

-12

-10

RBS

9.500

12/08/18

200

Aa2/

17

28

65

48

-4

-19

-17

RBS

9.500

12/08/18

200

Aa2/

17

28

65

48

-4

-19

-17

RBS

9.500

12/08/18

200

Aa2/

17

28

65

48

-4

-19

-17

DANBNK

5.375

29/09/18

350

Aa2/A

18

23

59

34

-2

-6

-5

LLOYDS

6.500

15/07/19

270

Aa1/A+

18

29

65

39

-2

-17

-19

HBOS

5.625

15/11/19

500

Aa3/A

18

27

66

38

RBS

5.500

03/12/19

600

Aa2/A+

17

28

64

36

BRADBI

6.000

10/12/19

200

A2/

85

59

-3

-24

ABBEY

7.375

28/09/20

175

A1/A-

18

29

68

46

-3

-24

-25

BACR

7.125

24/10/20

525

Aa2/A+

16

26

61

37

-3

-16

-17

BACR

9.250

27/11/21

150

Aa2/

16

26

64

47

-3

-22

-23

STAN

7.750

31/01/22

200

A3/BBB+

19

31

77

58

-4

-23

-24

RBS

6.200

22/03/22

500

Aa2/A+

17

28

67

44

-1

-16

-17

RBS

6.200

22/03/22

500

Aa2/A+

17

28

67

44

-1

-16

-17

RBS

6.200

22/03/22

500

Aa2/A+

17

28

67

44

-1

-16

-17

HBOS

5.750

14/04/22

600

Aa3/A

18

27

68

44

-2

-19

-20

RBS

7.125

05/10/22

200

Aa2/A+

17

28

68

49

-1

-16

-16

RBS

7.125

05/10/22

200

Aa2/A+

17

28

68

49

-1

-16

-16

RBS

7.125

05/10/22

200

Aa2/A+

17

28

68

49

-1

-16

-16

HBOS

7.375

10/02/23

150

Aa3/AA-

18

27

67

49

-3

-20

-20

LLOYDS

8.000

29/09/23

200

Aa1/A+

18

29

67

52

-2

-19

-19

Ticker
1-3y

3-5y

5-7y

7-10y

10-15y

15y+

NRBS

6.750

17/06/24

200

A2/BBB+

78

55

-3

-22

-24

HBOS

5.750

28/11/25

500

Aa3/A

18

27

69

45

-2

-17

-20

RBS

5.625

16/09/26

900

Aa2/A+

17

28

69

46

-1

-17

-19

RBS

5.625

16/09/26

900

Aa2/A+

17

28

69

46

-1

-17

-19

RBS

5.625

16/09/26

900

Aa2/A+

17

28

69

46

-1

-17

-19

BACR

6.125

19/04/27

550

Aa2/A+

16

26

65

38

-3

-17

-19

LLOYDS

6.500

15/07/29

450

Aa1/A+

18

29

70

48

-1

-18

-20

ABBEY

7.125

30/09/30

275

A1/A-

18

29

74

57

-2

-28

-28

LLOYDS

6.000

07/06/32

500

Aa1/A+

18

29

72

50

-1

-18

-20

RBS

5.625

07/06/32

500

Aa2/A+

17

28

72

48

-1

-18

-20

RBS

5.625

07/06/32

500

Aa2/A+

17

28

72

48

-1

-18

-20

RBS

5.625

07/06/32

500

Aa2/A+

17

28

72

48

-1

-18

-20

64

37

-2

-16

-14

Unweighted Average for Upper Tier 2 :


Source: ABN AMRO, iBoxx, Moody's, S&P. Spreads based on iBoxx pricing.

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