Five Year Credit Default Swap Levels (November 7, 2001)
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Derivatives

Five Year Credit Default Swap Levels (November 7, 2001)

Name Bid Offer
U.S.
Bear Stearns 34 44
Caterpillar 63 77
Citigroup 30 40
Delta Autos 190 210
Disney 75 95
Enron 1400 1600
Ford 180 200
GMAC 170 190
Goldman Sachs 56 70
Goodyear Tire 420 460
Hilton 415 515
Household Finance 87 107
IBM 35 45
Lehman Brothers 85 105
Merril Lynch 51 65
Wal-Mart 17 27
WorldCom 200 220
Europe
ABN AMRO 24 30
Akzo Nobel 25 35
Aventis 26 34
BAE Systems 56 64
Carrefour 26 34
Credit Lyonnais 22 28
DaimlerChrysler 180 190
Deutsche Telekom 135 145
Dixons 51 59
Eni 14 20
Fiat 160 170
France Telecom 160 175
Iberdrola 30 36
Marks & Spencer 62 72
Siemens 45 55
UBS 15 21
Vodafone 75 85
Asia Ex-Japan
Amcor 61 77
AMP Bank 30 40
Australia 2 6
BHP Billiton 49 57
China 50 65
CSR 60 72
Fosters 51 61
Hutchinson Whampoa Finanace 155 170
Korea 105 170
Malaysia 175 190
Philippines 575 625
Singapore 15 25
Sony 42 58
Swire Pac 60 75
Thailand 155 170
Wharf Holdings 135 155
Source: J.P. Morgan


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