FIVE YEAR CREDIT DEFAULT SWAP LEVELS (JANUARY 3, 2000)
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Derivatives

FIVE YEAR CREDIT DEFAULT SWAP LEVELS (JANUARY 3, 2000)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 125 135 A1/A+
Citigroup 53 63 Aa2/AA-
Enron 125 135 Baa1/BBB+
Ford 100 105 A2/A+
Georgia Pacific 300 375 Baa2/BBB-
Hilton 175 185 Baa3/BBB-
IBM 63 70 A1/A+
Sears Roebuck Acceptance 125 135 A3/A-
Time Warner 90 100 Baa1/BBB
TXU Corp. 100 110 Baa3/BBB
Asia Ex-Japan
China 65 75 A3/BBB
Hutchinson Whampoa Finance 120 140 A3/A
Korea 145 155 Baa2/BBB
Malaysia 133 143 Baa3/BBB(Fitch)
Latin America
Argentina 625 725 B1/BB
Brazil 550 580 B2/B+
Colombia 700 800 Ba2/BB
Mexico 195 230 Baa3/BB+
Venezuela 775 875 B2/B
Source: Lehman Brothers

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