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Derivatives

Five Year Credit Default Swap Levels (August 16, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 45 55 A1/A+
Citigroup 22 32 Aa2/AA-
Enron 140 155 Baa1/BBB+
Ford 74 79 A2/A
Georgia Pacific 185 230 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 38 44 A1/A+
Sears Roebuck Acceptance 60 70 A3/A-
AOL (sr) 57 67 Baa1/BBB+
TXU Corp. 85 95 Baa3/BBB
Europe
Ahold 40 50 Baa1/BBB+
BSkyB 225 275 Ba1/BB+
Credit Lyonnais Sub 38 45 A2/BBB+
DaimlerChrysler 70 77 A3/A-
Deutsche Telekom 90 98 A2/A-
Poland 46 53 Baa1/BBB+
Olivetti 115 125 Baa2/BBB
Turkey 1075 1175 B1/B-
Unicredito Italiano Sub 32 37 A1/A
Vivendi 95 105 Baa2/BBB
Japan
BOTM 46 51 A2/A-
Japan 16 19 Aa2/AAA
NTT 20 25 Aa1/AA
Toyota 16 19 Aa1/AAA
Asia Ex-Japan
China 45 55 A3/BBB
Hutchison Whampoa Finance 112 122 A3/A
Korea 84 94 Baa2/BBB
Malaysia 135 145 Baa2/BBB
Philippines 450 500 Ba1/BB+
Latin America
Brazil 850 900 B1/BB-
Colombia 475 525 Ba2/BB
Mexico 225 260 Baa3/BB+
Venezuela 875 925 B2/B
Source: Lehman Brothers


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