Five Year Credit Default Swap Levels (August 22, 2001)

GLOBALCAPITAL INTERNATIONAL LIMITED, a company

incorporated in England and Wales (company number 15236213),

having its registered office at 4 Bouverie Street, London, UK, EC4Y 8AX

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Five Year Credit Default Swap Levels (August 22, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 45 55 A1/A+
Citigroup 20 30 Aa2/AA-
Enron 160 185 Baa1/BBB+
Ford 95 100 A2/A
Georgia Pacific 200 230 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 38 44 A1/A+
Sears Roebuck Acceptance 65 75 A3/A-
AOL (sr) 57 67 Baa1/BBB+
TXU Corp. 85 95 Baa3/BBB
Europe
Ahold 43 47 Baa1/BBB+
BSkyB 225 275 Ba1/BB+
Credit Lyonnais Sub 37 44 A2/BBB+
DaimlerChrysler 75 85 A3/A-
Deutsche Telekom 91 99 A2/A-
Poland 47 53 Baa1/BBB+
Olivetti 128 137 Baa2/BBB
Turkey 975 1050 B1/B-
Unicredito Italiano Sub 31 36 A1/A
Vivendi 98 108 Baa2/BBB
Japan
BOTM 43 48 A2/A-
Japan 16.5 18.5 Aa2/AAA
NTT 20 27 Aa1/AA
Toyota 17 21 Aa1/AAA
Asia Ex-Japan
China 44 54 A3/BBB
Hutchison Whampoa Finance 105 115 A3/A
Korea 84 94 Baa2/BBB
Malaysia 127 135 Baa2/BBB
Philippines 450 500 Ba1/BB+
Thai 125 135 Baa3/BBB-
Latin America
Brazil 900 950 B1/BB-
Colombia 500 550 Ba2/BB
Mexico 225 250 Baa3/BB+
Venezuela 875 925 B2/B
Source: Lehman Brothers


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