Five Year Credit Default Swap Levels (July 18, 2001)
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Derivatives

Five Year Credit Default Swap Levels (July 18, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 45 55 A1/A+
Citigroup 22 32 Aa2/AA-
Enron 125 140 Baa1/BBB+
Ford 65 70 A2/A
Georgia Pacific 180 240 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 38 44 A1/A+
Sears Roebuck Acceptance 55 65 A3/A-
AOL (sr) 55 65 Baa1/BBB+
TXU Corp. 85 95 Baa3/BBB
Europe
Ahold 40 50 Baa1/BBB+
BSkyB 260 310 Ba1/BB+
Credit Lyonnais Sub 37 45 A2/BBB+
DaimlerChrysler 66 71 A3/A-
Deutsche Telekom 79 88 A2/A-
Poland 44 50 Baa1/BBB+
Olivetti 115 125 Baa2/BBB
Turkey 925 975 B1/B-
Unicredito Italiano Sub 32 37 A1/A
Vivendi 95 105 Baa2/BBB
Japan
BOTM 41 45 A2/A-
Japan 16 18 Aa2/AAA
NTT 20 25 Aa1/AA
Toyota 15.5 19 Aa1/AAA
Asia Ex-Japan
China 41 51 A3/BBB
Hutchison Whampoa Finance 92 102 A3/A
Korea 80 90 Baa2/BBB
Malaysia 125 135 Baa2/BBB
Philippines 460 500 Ba1/BB+
Latin America
Argentina 2200 3200 B2/B
Brazil 825 880 B1/BB-
Colombia 525 625 Ba2/BB
Mexico 225 260 Baa3/BB+
Venezuela 850 950 B2/B
Source: Lehman Brothers


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