Five Year Credit Default Swap Level (August 2, 2001)
| Name |
Bid |
Offer |
Ratings (Moody's/S&P) |
| U.S. |
| CIT |
45 |
55 |
A1/A+ |
| Citigroup |
22 |
32 |
Aa2/AA- |
| Enron |
120 |
135 |
Baa1/BBB+ |
| Ford |
70 |
75 |
A2/A |
| Georgia Pacific |
180 |
220 |
Baa3/BBB- |
| Hilton |
165 |
185 |
Baa3/BBB- |
| IBM |
40 |
45 |
A1/A+ |
| Sears Roebuck Acceptance |
60 |
70 |
A3/A- |
| AOL (sr) |
50 |
60 |
Baa1/BBB+ |
| TXU Corp. |
85 |
95 |
Baa3/BBB |
| Europe |
| Ahold |
42 |
48 |
Baa1/BBB+ |
| BSkyB |
260 |
310 |
Ba1/BB+ |
| Credit Lyonnais Sub |
37 |
44 |
A2/BBB+ |
| DaimlerChrysler |
63 |
73 |
A3/A- |
| Deutsche Telekom |
82 |
88 |
A2/A- |
| Poland |
42 |
50 |
Baa1/BBB+ |
| Olivetti |
120 |
130 |
Baa2/BBB |
| Turkey |
850 |
1050 |
B1/B- |
| Unicredito Italiano Sub |
33 |
37 |
A1/A |
| Vivendi |
100 |
115 |
Baa2/BBB |
| Japan |
| BOTM |
40 |
46 |
A2/A- |
| Japan |
17 |
19 |
Aa2/AAA |
| NTT |
20 |
25 |
Aa1/AA |
| Toyota |
16 |
20 |
Aa1/AAA |
| Asia Ex-Japan |
| China |
47 |
57 |
A3/BBB |
| Hutchison Whampoa Finance |
105 |
115 |
A3/A |
| Korea |
93 |
103 |
Baa2/BBB |
| Malaysia |
142 |
152 |
Baa2/BBB |
| Philippines |
460 |
520 |
Ba1/BB+ |
| Latin America |
| Argentina |
2100 |
2800 |
B2/B |
| Brazil |
860 |
960 |
B1/BB- |
| Colombia |
540 |
620 |
Ba2/BB |
| Mexico |
240 |
280 |
Baa3/BB+ |
| Venezuela |
900 |
950 |
B2/B |
| Source: Lehman Brothers |
