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Derivatives

Five Year Credit Default Swap Level (August 2, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 45 55 A1/A+
Citigroup 22 32 Aa2/AA-
Enron 120 135 Baa1/BBB+
Ford 70 75 A2/A
Georgia Pacific 180 220 Baa3/BBB-
Hilton 165 185 Baa3/BBB-
IBM 40 45 A1/A+
Sears Roebuck Acceptance 60 70 A3/A-
AOL (sr) 50 60 Baa1/BBB+
TXU Corp. 85 95 Baa3/BBB
Europe
Ahold 42 48 Baa1/BBB+
BSkyB 260 310 Ba1/BB+
Credit Lyonnais Sub 37 44 A2/BBB+
DaimlerChrysler 63 73 A3/A-
Deutsche Telekom 82 88 A2/A-
Poland 42 50 Baa1/BBB+
Olivetti 120 130 Baa2/BBB
Turkey 850 1050 B1/B-
Unicredito Italiano Sub 33 37 A1/A
Vivendi 100 115 Baa2/BBB
Japan
BOTM 40 46 A2/A-
Japan 17 19 Aa2/AAA
NTT 20 25 Aa1/AA
Toyota 16 20 Aa1/AAA
Asia Ex-Japan
China 47 57 A3/BBB
Hutchison Whampoa Finance 105 115 A3/A
Korea 93 103 Baa2/BBB
Malaysia 142 152 Baa2/BBB
Philippines 460 520 Ba1/BB+
Latin America
Argentina 2100 2800 B2/B
Brazil 860 960 B1/BB-
Colombia 540 620 Ba2/BB
Mexico 240 280 Baa3/BB+
Venezuela 900 950 B2/B
Source: Lehman Brothers


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