Five Year Credit Default Swap Levels (May 4, 2001)

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Five Year Credit Default Swap Levels (May 4, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 85 95 A1/A+
Citigroup 23 33 Aa2/AA-
Enron 110 125 Baa1/BBB+
Ford 70 77 A2/A
Georgia Pacific 195 235 Baa3/BBB-
Hilton 145 155 Baa3/BBB-
IBM 40 46 A1/A+
Sears Roebuck Acceptance 75 85 A3/A-
AOL (sr) 50 65 Baa1/BBB+
TXU Corp. 80 100 Baa3/BBB
Europe
Ahold 46 53 Baa1/BBB+
BSkyB 225 325 Ba1/BB+
Credit Lyonnais Sub 40 50 A1/A-
DaimlerChrysler 88 95 A3/A-
Deutsche Telekom 112 120 A2/A-
Poland 29 39 Baa1/BBB+
Tecnost 140 160 Baa2/BBB
Turkey 850 950 B1/B
Unicredito Italiano 42 50 Aa3/A+
Vivendi 85 95 Baa2/BBB
Japan
BOTM 40 50 A2/A-
Japan 20 33 Aa2/AAA
NTT 14 16 Aa1/AA
Toyota 15 25 Aa1/AAA
Asia Ex-Japan
China 60 75 A3/BBB
Hutchinson Whampoa Finance 78 95 A3/A
Korea 130 140 Baa2/BBB
Malaysia 120 140 Baa3/BBB(Fitch)
Philippines 425 475 Ba1/BB+
Latin America
Argentina 1200 1600 B1/BB-
Brazil 710 770 B1/B-
Colombia 650 725 Ba2/BB
Mexico 240 280 Baa3/BB+
Venezuela 790 890 B2/B
Source: Lehman Brothersa

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