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

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

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 95 105 A1/A+
Citigroup 36 46 Aa2/AA-
Enron 145 160 Baa1/BBB+
Ford 93 98 A2/A
Georgia Pacific 240 270 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 43 50 A1/A+
Sears Roebuck Acceptance 85 95 A3/A-
Time Warner 67 77 Baa1/BBB+
TXU Corp. 100 120 Baa3/BBB
Europe
Ahold 46 52 Baa1/BBB+
BSkyB 275 375 Ba1/BB+
Credit Lyonnais 45 51 A1/A-
DaimlerChrysler 115 125 A3/A-
Deutsche Telekom 150 160 A2/A-
Poland 30 40 Baa1/BBB+
Tecnost 190 210 Baa2/BBB
Turkey 1050 1250 B1/B
Unicredito Italiano 43 49 Aa3/A+
Vivendi 110 125 Baa2/BBB
Japan
BOTM 42 57 A2/A-
Japan 15 18 Aa2/AAA
NTT 28 38 Aa1/AA
Toyota 16 26 Aa1/AAA
Asia Ex-Japan
China 60 70 A3/BBB
Hutchison Whampoa Finance 125 135 A3/A
Korea 135 145 Baa2/BBB
Malaysia 145 155 Baa2/BBB
Latin America
Argentina 1000 1200 B1/BB-
Brazil 610 670 B1/B-
Colombia 630 730 Ba2/BB
Mexico 235 275 Baa3/BB+
Venezuela 715 770 B2/B
Source: Lehman Brothers

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