Five Year Credit Default Swap Levels (March 7, 2001)

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Five Year Credit Default Swap Levels (March 7, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 105 115 A1/A+
Citigroup 40 50 Aa2/AA-
Enron 140 155 Baa1/BBB+.
Ford 93 103 A2/A
Georgia Pacific 240 265 Baa2/BBB-
Hilton 180 200 Baa3/BBB-
IBM 50 60 A1/A+
Sears Roebuck Acceptance 90 100 A3/A-
AOL 60 70 Baa1/BBB+
TXU Corp. 100 120 Baa3/BBB
Europe
Ahold 53 57 Baa1/BBB+
BSkyB 275 325 Ba1/BB+
Credit Lyonnais Sub 46 54 A2/A-
DaimlerChrysler 145 150 A1/A+
Deutsche Telekom 155 165 A2/A-
Poland 36 43 Baa1/BBB+
Tecnost 210 230 Baa2/BBB
Turkey 725 825 B1/B
Unicredito Italiano 41 47 Aa3/A+
Vivendi 135 145 Baa2/BBB
Japan
BOTM 50 56 A2/A-
Japan 16 19 Aa2/AAA
NTT 33 43 Aa1/AA
Toyota 21 26 Aa1/AAA
Latin America
Argentina 635 725 B1/BB-
Brazil 510 570 B1/B-
Colombia 600 700 Ba2/BB
Mexico 235 265 Baa3/BB+
Venezuela 700 780 B2/B
Asia Ex-Japan
China 48 58 A3/BBB
Hutchison Whampoa Finance 112 122 A3/A
Korea 117 127 Baa2/BBB
Malaysia 116 126 Baa2/BBB
Source: Lehman Brothers

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