Five Year Credit Default Swap Levels (May 16, 2001)

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Five Year Credit Default Swap Levels (May 16, 2001)

U.S.
Name Bid Offer Ratings (Moody's/S&P)
CIT 80 90 A1/A+
Citigroup 23 33 Aa2/AA-
Enron 105 120 Baa1/BBB+
Ford 74 79 A2/A
Georgia Pacific 175 205 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 35 42 A1/A+
Sears Roebuck Acceptance 73 83 A3/A-
AOL (sr) 53 63 Baa1/BBB+
TXU Corp. 80 100 Baa3/BBB
Europe
Ahold 43 49 Baa1/BBB+
BSkyB 270 330 Ba1/BB+
Credit Lyonnais Sub 35 43 A1/A-
DaimlerChrysler 87 97 A3/A-
Deutsche Telekom 102 110 A2/A-
Poland 30 40 Baa1/BBB+
Tecnost 125 140 Baa2/BBB
Turkey 765 925 B1/B
Unicredito Italiano 37 45 Aa3/A+
Vivendi 68 78 Baa2/BBB
Japan
BOTM 28 38 A2/A-
Japan 12 16 Aa2/AAA
NTT 20 28 Aa1/AA
Toyota 13 20 Aa1/AAA
Asia Ex-Japan
China 50 58 A3/BBB
Hutchison Whampoa Finance 105 115 A3/A
Korea 105 115 Baa2/BBB
Malaysia 127 137 Baa2/BBB
Philippines 650 700 Ba1/BB+
Latin America
Argentina 1300 1800 B2/B
Brazil 720 800 B1/BB-
Colombia 600 680 Ba2/BB
Mexico 250 280 Baa3/BB+
Venezuela 750 825 B2/B
Source: Lehman Brothers

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