Five Year Credit Default Swap Levels (June 13, 2001)

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Five Year Credit Default Swap Levels (June 13, 2001)

U.S.
Name Bid Offer Ratings (Moody's/S&P)
CIT 50 60 A1/A+
Citigroup 20 30 Aa2/AA-
Enron 115 125 Baa1/BBB+
Ford 65 70 A2/A
Georgia Pacific 170 190 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 29 39 A1/A+
Sears Roebuck Acceptance 68 78 A3/A-
AOL (sr) 52 60 Baa1/BBB+
TXU Corp. 80 100 Baa3/BBB
Europe
Ahold 39 47 Baa1/BBB+
BSkyB 265 315 Ba1/BB+
Credit Lyonnais Sub 35 42 A1/A-
DaimlerChrysler 86 90 A3/A-
Deutsche Telekom 97 104 A2/A-
Poland 36 40 Baa1/BBB+
Olivetti 138 148 Baa2/BBB
Turkey 675 775 B1/B-
Unicredito Italiano 32 39 Aa3/A+
Vivendi 85 93 Baa2/BBB
Japan
BOTM 33 40 A2/A-
Japan 14 17 Aa2/AAA
NTT 23 29 Aa1/AA
Toyota 16 26 Aa1/AAA
Asia Ex-Japan
China 50 55 A3/BBB
Hutchison Whampoa Finance 95 105 A3/A
Korea 93 103 Baa2/BBB
Malaysia 120 130 Baa2/BBB)
Philippines 400 460 Ba1/BB+
Latin America
Argentina 950 1150 B2/B
Brazil 720 750 B1/BB-
Colombia 475 550 Ba2/BB
Mexico 195 230 Baa3/BB+
Venezuela 700 775 B2/B
Source: Lehman Brothers


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