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.