Profits and Balance Sheet Developments at U.S. Commercial Banks in 2006
Figure 17. Premium on credit default swaps on subordinated debt at selected bank holding companies, 2002-07. Data plotted as a curve. The premium starts in 2002 at about 50 basis points, rises to a peak of around 90 basis points near the end of 2002, drifts down on balance to about 15 basis points at the end of 2006, and then rises to a level of about 20 basis points in March 2007.
NOTE: The data are monthly and extend through March 2007.
SOURCE: Markit.