Lehman Default Risk

It's no surprise that the cost to insure against a Lehman (LEH) debt default rose significantly yesterday, but below we provide a historical chart of this default risk over the last year.  As shown, default risk as measured by 5-year credit default swap prices is now just above the March highs made during the Bear Stearns crisis. 

Back in March, Lehman's stock price was still in the $30s, while it is in the single digits now.  The fact that the discount window is open to Lehman this time around is making a big difference, keeping CDS prices lower than they would have been if Lehman were in the same situation pre-Bear collapse.

click to enlarge

Comments

[blondino:]

shortselling LEH put on halt today by SEC, its a F***** JOKE!!!

2008 Sep 10 09:09 AM

[The Market ...:]

Start posting charts for CDS's on MER and MS. I wouldn't be surprised if their are among the next to be taken out and shot!

God help us all.

2008 Sep 11 10:10 AM

[kurt walter:]

If LEH fails, I bet it won't turnout to be any big deal. If it dies, it dies. So what.

2008 Sep 11 02:37 PM