Five Year Credit Default Swap Levels (February 22, 2001)
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Derivatives

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

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 85 105 A1/A+
Citigroup 40 50 Aa2/AA-
Enron 140 155 Baa1/BBB+
Ford 99 109 A2/A
Georgia Pacific 230 260 Baa2/BBB-
Hilton 180 200 Baa3/BBB-
IBM 45 55 A1/A+
Sears Roebuck Acceptance 92 102 A3/A-
AOL 66 76 Baa1/BBB+
TXU Corp. 100 120 Baa3/BBB
Europe
Ahold 52 58 Baa/BBB+
BSkyB 275 325 Ba1/BB+
Credit Lyonnais sub 47 53 A2/A-
DaimlerChrysler 150 160 A1/A+
Deutsche Telekom 155 165 A2/A-
Poland 34 44 Baa1/BBB+
Tecnost 230 250 Baa2/BBB
Turkey 900 1000 B1/B+
Unicredito Italiano 37 47 Aa3/A+
Vivendi 130 140 Baa2/BBB
Japan
BOTM 56 66 A2/A-
Japan 16 19 Aa2/AAA
NTT 35 45 Aa1/AA
Toyota 23 33 Aa1/AAA
Asia Ex-Japan
China 54 64 A3/BBB
Hutchison Whampoa Finance 115 125 A3/A
Korea 135 145 Baa2/BBB
Malaysia 130 140 Baa2/BBB
Latin America
Argentina 650 750 B1/BB
Brazil 520 580 B2/B+
Colombia 650 700 Ba2/BB
Mexico 240 275 Baa3/BB+
Venezuela 700 800 B2/B
Source: Lehman Brothers

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