Five Year Credit Default Swap Levels (August 16, 2001)
Name |
Bid |
Offer |
Ratings (Moody's/S&P) |
U.S. |
CIT |
45 |
55 |
A1/A+ |
Citigroup |
22 |
32 |
Aa2/AA- |
Enron |
140 |
155 |
Baa1/BBB+ |
Ford |
74 |
79 |
A2/A |
Georgia Pacific |
185 |
230 |
Baa3/BBB- |
Hilton |
160 |
180 |
Baa3/BBB- |
IBM |
38 |
44 |
A1/A+ |
Sears Roebuck Acceptance |
60 |
70 |
A3/A- |
AOL (sr) |
57 |
67 |
Baa1/BBB+ |
TXU Corp. |
85 |
95 |
Baa3/BBB |
Europe |
Ahold |
40 |
50 |
Baa1/BBB+ |
BSkyB |
225 |
275 |
Ba1/BB+ |
Credit Lyonnais Sub |
38 |
45 |
A2/BBB+ |
DaimlerChrysler |
70 |
77 |
A3/A- |
Deutsche Telekom |
90 |
98 |
A2/A- |
Poland |
46 |
53 |
Baa1/BBB+ |
Olivetti |
115 |
125 |
Baa2/BBB |
Turkey |
1075 |
1175 |
B1/B- |
Unicredito Italiano Sub |
32 |
37 |
A1/A |
Vivendi |
95 |
105 |
Baa2/BBB |
Japan |
BOTM |
46 |
51 |
A2/A- |
Japan |
16 |
19 |
Aa2/AAA |
NTT |
20 |
25 |
Aa1/AA |
Toyota |
16 |
19 |
Aa1/AAA |
Asia Ex-Japan |
China |
45 |
55 |
A3/BBB |
Hutchison Whampoa Finance |
112 |
122 |
A3/A |
Korea |
84 |
94 |
Baa2/BBB |
Malaysia |
135 |
145 |
Baa2/BBB |
Philippines |
450 |
500 |
Ba1/BB+ |
Latin America |
Brazil |
850 |
900 |
B1/BB- |
Colombia |
475 |
525 |
Ba2/BB |
Mexico |
225 |
260 |
Baa3/BB+ |
Venezuela |
875 |
925 |
B2/B |
Source: Lehman Brothers |