Five Year Credit Default Swap Levels (May 30, 2001)

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Five Year Credit Default Swap Levels (May 30, 2001)

U.S.
Name Bid Offer Ratings (Moody's/S&P)
CIT 77 87 A1/A+
Citigroup 23 33 Aa2/AA-
Enron 110 125 Baa1/BBB+
Ford 76 81 A2/A
Georgia Pacific 180 205 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 37 43 A1/A+
Sears Roebuck Acceptance 73 83 A3/A-
AOL (sr) 58 68 Baa1/BBB+
TXU Corp. 80 100 Baa3/BBB
Europe
Ahold 40 48 Baa1/BBB+
BSkyB 260 310 Ba1/BB+
Credit Lyonnais Sub 36 44 A1/A-
DaimlerChrysler 87 93 A3/A-
Deutsche Telekom 100 110 A2/A-
Poland 35 40 Baa1/BBB+
Olivetti 130 160 Baa2/BBB
Turkey 675 800 B1/B-
Unicredito Italiano 37 45 Aa3/A+
Vivendi 77 87 Baa2/BBB
Unicredito Italiano 40 48 Aa3/A+
Vivendi 85 95 Baa2/BBB
Japan
BOTM 30 40 A2/A-
Japan 12 14 Aa2/AAA
NTT 20 30 Aa1/AA
Toyota 13 23 Aa1/AAA
Asia Ex-Japan
China 45 55 A3/BBB
Hutchinson Whampoa Finance 100 110 A3/A
Korea 85 95 Baa2/BBB
Malaysia 110 120 Baa3/BBB(Fitch)
Philippines 420 470 Ba1/BB+
Latin America
Argentina 1000 1200 B2/B
Brazil 750 810 B1/BB-
Colombia 550 625 Ba2/BB
Mexico 230 250 Baa3/BB+
Venezuela 750 825 B2/B
Source: Lehman Brothers

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