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Derivatives

Five Year Credit Default Swap Levels (October 31, 2001)

Name Bid Offer
U.S.
Bank of America 31 41
Caterpillar 3 47
Citigroup 27 37
Delta Airlines 600 700
Disney 75 95
Enron 800 1000
Ford 197 217
GMAC 188 208
Goldman Sachs 58 72
Goodyear Tire 280 330
Hilton 375 425
Household Finance 84 104
IBM 35 45
Lehman Brothers 70 90
Merrill Lynch 51 65
Wall-Mart 17 27
WorldCom 205 225
Europe
ABN AMRO 22 29
Akzo Nobel 35 45
Aventis 36 44
BAE Systems 66 74
Carrefour 30 38
Credit Lyonnais 22 28
DaimlerChrysler 208 218
Deutsche Telekom 135 145
Dixons 51 59
Fiat 175 185
France Telecom 180 190
Halifax 17 23
Iberdrola 32 38
Marks & Spencer 70 80
Siemens 49 59
UBS 15 21
Vodafone 83 93
Asia Ex-Japan
Amcor 61 77
AMP bank 30 40
Australia 2 6
BHP Billiton 49 57
China 50 65
CSR 54 66
Fosters 46 56
Hutchison Whampoa Finance 155 170
Korea 100 115
Malaysia 155 170
Philippines 525 575
Quantas Airways 145 175
Singapore 10 20
Southcorp 55 71
Telstar 56 66
Thailand 140 155
WMC 29 39
Source: J.P. Morgan


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