Federal Reserve Bulletin, Volume 93, 2007 Current Bulletin

Profits and Balance Sheet Developments at U.S. Commercial Banks in 2007

Figure 18. Premium on credit default swaps on subordinated debt at selected banking institutions, 2002-08. Data plotted as a curve. The premium starts in 2002 at about 45 basis points, falls to slightly above 30 basis points by mid-2002, and rises in late 2002 to around 45 basis points. Over the next five years, it drifts down on balance, reaching about 15 basis points by mid-2007. The premium then rises steeply, peaking at close to 120 basis points in early 2008; in March, it falls back to about 105 basis points.

Note: The data are weekly and extend through March 2008. Median spread of all available quotes.

Source: Markit.

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