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Derivatives

Five Year Credit Default Swap Levels (October 11, 2001)

Name Bid Offer
U.S.
Bear Stearns 75 95
Caterpillar 30 50
Citigroup 23 43
Delta Airlines 525 575
Disney 62 78
Enron 245 275
Ford 150 170
GMAC 150 170
Goldman Sachs 55 71
Goodyear Tire 270 320
Hilton 305 345
Household Finance 65 85
IBM 35 55
KMart 665 715
Sears Roebuck Acceptance 120 140
Wall-Mart 17 27
WorldCom 165 185
Europe
ABN AMRO 20 26
Akzo Nobel 41 51
Allied Domecq 80 90
BAE Systems 61 69
Carrefour 30 38
Credit Lyonnais 22 28
DaimlerChrysler 165 175
Deutsche Telekom 170 180
Dixons 30 38
Fiat 140 150
France Telecom 215 225
Halifax 17 23
Iberdrola 27 33
Marks & Spencer 60 70
Siemens 60 68
UBS 14 20
Vodafone 100 110
Japan
BOTM 42 68
Japan 14 22
NTT 34 46
Sony 48 58
Toyota 22 38
Asia Ex-Japan
Amcor 52 68
Australia 1 7
China 55 70
Hutchison Whampoa Finance 185 200
Korea 125 140
Malaysia 165 180
Philippines 575 625
Singapore 10 20
Singapore Telecoms 55 66
Thailand 155 170
Source: J.P. Morgan


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