Five Year Credit Default Swap Levels (March 14, 2001)

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Five Year Credit Default Swap Levels (March 14, 2001)

Name Bid Offer Ratings (Moody's/S&P)
U.S.
CIT 110 120 A1/A+
Citigroup 35 45 Aa2/AA-
Enron 145 160 Baa1/BBB+
Ford 96 106 A2/A
Georgia Pacific 260 280 Baa1/BBB+
Hilton 160 180 Baa3/BBB-
IBM 52 62 A1/A+
Sears Roebuck Acceptance 80 90 A3/A-
AOL 65 75 Baa1/BBB+
TXU Corp. 100 120 Baa3/BBB
Europe
Ahold 50 55 Baa1/BBB+
BSkyB 270 320 Ba1/BB+
Credit Lyonnais 46 54 A2/A-
DaimlerChrysler 142 148 A1/A+
Deutsche Telekom 157 167 A2/A-
Poland 35 43 Baa1/BBB+
Tecnost 210 230 Baa2/BBB
Turkey 750 950 B1/B
Unicredito Italiano 41 47 Aa3/A+
Vivendi 125 135 Baa2/BBB
Japan
BOTM 52 58 A2/A-
Japan 15.5 18 Aa2/AAA
NTT 33 43 Aa1/AA
Toyota 21 27 Aa1/AAA
Asia Ex-Japan
China 50 60 A3/BBB
Hutchison Whampoa Finance 130 140 A3/A
Korea 120 130 Baa2/BBB
Malaysia 120 130 Baa2/BBB
Latin America
Argentina 750 850 B1/BB-
Brazil 540 600 B1/B-
Colombia 580 660 Ba2/BB
Mexico 245 285 Baa3/BB+
Venezuela 715 815 B2/B
Source: Lehman Brothers

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