Profits and Balance Sheet Developments at U.S. Commercial Banks in 2007
Figure B. LCDX indexes, 2007-08. Data plotted as curves. The series 8 values begin on May 22, 2007, at about 120 basis points, from which they steadily increase to about 370 basis points by the end of July 2007, then drop, on balance, to about 173 basis points by mid-October 2007. They rise again, to a peak of about 470 basis points, by mid-February 2008, drop to about 400 basis points by late February 2008, drop again to about 340 basis points through March, and touch up by the end of March 2008 to about 360 basis points. The series 9 values begin on October 3, 2007, at about 233 basis points, rise to about 370 basis points by late November, and drop to 310 basis points by the end of 2007. The values rise to about 536 basis points by February 2008. They then drop steadily, falling to about 400 basis points in mid- to late March before touching up slightly, to about 420 basis points, by the end of that month.
Note: The data are daily and extend through March 31, 2008. Each LCDX index consists of 100 single-name credit default swaps referencing entities with first-lien syndicated secured 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.