FIVE YEAR CREDIT DEFAULT SWAP LEVELS (MARCH 21, 2001) | |||
Name | Bid | Offer | Ratings (Moody's/S&P) |
U.S. | |||
CIT | 105 | 115 | A1/A+ |
Citigroup | 36 | 46 | Aa2/AA- |
Enron | 145 | 160 | Baa1/BBB+ |
Ford | 92 | 102 | A2/A |
Georgia Pacific | 260 | 280 | Baa2/BBB- |
Hilton | 160 | 180 | Baa3/BBB- |
IBM | 52 | 62 | A1/A+ |
Sears Roebuck Acceptance | 75 | 85 | A3/A- |
AOL | 70 | 80 | Baa1/BBB+ |
TXU Corp. | 100 | 120 | Baa3/BBB |
Europe | |||
Ahold | 47 | 53 | Baa1/BBB+ |
BSkyB | 275 | 325 | Ba1/BB+ |
Credit Lyonnais | 49 | 55 | A2/A- |
DaimlerChrysler | 130 | 140 | A1/A+ |
Deutsche Telekom | 155 | 165 | A2/A- |
Poland | 35 | 45 | Baa1/BBB+ |
Tecnost | 215 | 235 | Baa2/BBB |
Turkey | 800 | 1000 | B1/B |
Unicredito Italiano | 45 | 49 | Aa3/A+ |
Vivendi | 120 | 130 | Baa2/BBB |
Japan | |||
BOTM | 65 | 75 | A2/A- |
Japan | 18 | 22 | Aa2/AAA |
NTT | 35 | 45 | Aa1/AA |
Toyota | 25 | 35 | Aa1/AAA |
Asia Ex-Japan | |||
China | 50 | 60 | A3/BBB |
Hutchison Whampoa Finance | 130 | 140 | A3/A |
Korea | 132 | 142 | Baa2/BBB |
Malaysia | 130 | 140 | Baa2/BBB |
Latin America | |||
Argentina | 850 | 1000 | B1/BB- |
Brazil | 585 | 640 | B1/B- |
Colombia | 625 | 700 | Ba2/BB |
Mexico | 250 | 280 | Baa3/BB+ |
Venezuela | 740 | 840 | B2/B |
Source: Lehman Brothers |