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 |
