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

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

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 50 60 A1/A+
Citigroup 28 38 Aa2/AA-
Enron 140 160 Baa1/BBB+
Ford 76 81 A2/A
Georgia Pacific 205 240 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 37 45 A1/A+
Sears Roebuck Acceptance 71 81 A3/A-
AOL (sr) 52 65 Baa1/BBB+
TXU Corp. 85 95 Baa3/BBB
Europe
Ahold 44 50 Baa1/BBB+
BSkyB 265 315 Ba1/BB+
BSkyB 275 325 Ba1/BB+
Credit Lyonnais Sub 38 45 A2/BBB+
DaimlerChrysler 84 88 A3/A-
Deutsche Telekom 90 98 A2/A-
Poland 40 46 Baa1/BBB+
Olivetti 155 165 Baa2/BBB
Turkey 1000 1200 B1/B-
Unicredito Italiano Sub 35 42 A1/A
Vivendi 105 115 Baa2/BBB
Japan
BOTM 35 41 A2/A-
Japan 16 19 Aa2/AAA
NTT 23 30 Aa1/AA
Toyota 16 19 Aa1/AAA
Asia Ex-Japan
China 50 58 A3/BBB
Hutchison Whampoa Finance 105 115 A3/A
Korea 98 108 Baa2/BBB
Malaysia 155 165 Baa2/BBB
Philippines 480 550 Ba1/BB+
Latin America
Argentina 1700 2200 B2/B
Brazil 880 970 B1/BB-
Colombia 525 625 Ba2/BB
Mexico 225 270 Baa3/BB+
Venezuela 750 825 B2/B
Source: Lehman Brothers


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