Five Year Credit Default Swap Levels (March 28, 2001)

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Five Year Credit Default Swap Levels (March 28, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 95 115 A1/A+
Citigroup 36 46 Aa2/AA-
Enron 150 165 Baa1/BBB+
Ford 94 99 A2/A
Georgia Pacific 220 250 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 45 55 A1/A+
Sears Roebuck Acceptance 75 85 A3/A-
Time Warner 65 75 Baa1/BBB+
TXU Corp. 100 120 Baa3/BBB
Europe
Ahold 47 53 Baa1/BBB+
BSkyB 270 320 Ba1/BB+
Credit Lyonnais (sub) 46 52 A1/A-
DaimlerChrysler 120 130 A3/A-
Deutsche Telekom 152 162 A2/A-
Poland 33 40 Baa1/BBB+
Tecnost 210 235 Baa2/BBB
Turkey 900 1200 B1/B
Unicredito Italiano 43 48 Aa3/A+
Vivendi 120 130 Baa2/BBB
Japan
BOTM 67 77 A2/A-
Japan 17 21 Aa2/AAA
NTT 33 43 Aa1/AA
Toyota 22 32 Aa1/AAA
Asia Ex-Japan
China 55 65 A3/BBB
Hutchison Whampoa Finance 125 135 A3/A
Korea 130 140 Baa2/BBB
Malaysia 127 137 Baa2/BBB
Latin America
Argentina 900 1150 B1/B+
Brazil 610 670 B1/B-
Colombia 610 710 Ba2/BB
Mexico 245 290 Baa3/BB+
Venezuela 775 875 B2/B
Source: Lehman Brothers

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