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

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

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 95 105 A1/A+
Citigroup 36 46 Aa2/AA-
Enron 150 165 Baa1/BBB+
Ford 87 92 A2/A
Georgia Pacific 220 250 Baa3/BBB-
Hilton 160 180 Baa3/BBB-
IBM 45 55 A1/A+
Sears Roebuck Acceptance 70 80 A3/A-
AOL 65 75 Baa1/BBB+
TXU Corp. 100 120 Baa3/BBB
Europe
Ahold 45 55 Baa1/BBB+
BSkyB 275 325 Ba1/BB+
Credit Lyonnais Sub 47 53 A1/A-
DaimlerChrysler 115 125 A3/A-
Deutsche Telekom 154 164 A2/A-
Poland 32 40 Baa1/BBB+
Tecnost 210 235 Baa2/BBB
Turkey 1100 1200 B1/B
Unicredito Italiano 44 49 Aa3/A+
Vivendi 120 130 Baa2/BBB
Japan
BOTM 60 70 A2/A-
Japan 17 21 Aa2/AAA
NTT 30 40 Aa1/AA
Toyota 23 30 Aa1/AAA
Asia Ex-Japan
China 60 70 A3/BBB
Hutchinson Whampoa Finance 135 145 A3/A
Korea 140 150 Baa2/BBB
Malaysia 145 155 Baa2/BBB
Latin America
Argentina 950 1200 B1/BB-
Brazil 620 660 B1/B-
Colombia 630 730 Ba2/BB
Mexico 255 290 Baa3/BB+
Venezuela 775 875 B2/B
Source: Lehman Brothers

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