Figure 23. Premium on credit default swaps on subordinated debt at selected banking institutions, 2002-09.
Data are plotted as a curve. The premium starts in 2001 at about 60 basis points and stays within the range of 30 to 60 basis points through 2002. Over the next five years, it drifts down, on balance, reaching about 15 basis points by mid-2007. The premium then rises steeply, reaching 120 basis points in early 2008. In March 2008, it falls to about 105 basis points, but climbs up to about 240 by year-end 2009.
NOTE: The data are weekly and extend through April 15, 2009. Median spread of all available quotes.
SOURCE: Markit.
