Monetary Policy Report submitted to the Congress on February 27, 2008, pursuant to section 2B of the Federal Reserve Act
Figure of LCDX indexes, 2007-08. Data are plotted as two curves. The series 8 curve begins at about 100 basis points near the end of May 2007. It generally increases to a peak of more than 350 basis points at the end of July and then generally decreases to approximately 175 basis points in mid-October. The series 9 curve begins in early October at a little less than 250 basis points. From that time through February 2008, the series 8 and series 9 curves exhibit similar patterns, but the series 9 curve generally remains about 50 basis points higher than the series 8 curve. Both curves generally increase through February 2008, when the series 8 curve reaches about 450 basis points and the series 9 curve about 500 basis points.
Note: The data are daily and extend through February 21, 2008. Each LCDX index consists of 100 single-name credit default swaps referencing entities with first-lien syndicated loans that trade in the secondary market for leveraged loans. Series 8 began trading on May 22, 2007, and series 9 on October 3, 2007.
Source: Markit.