Stress testing / Past events
The 2008 financial crisis
Lehman Brothers Holdings filed for Chapter 11 bankruptcy protection on 15 September 2008. Over the following months the Federal Reserve cut its policy rate to a range of 0 to 0.25% and, with other central banks including the Swiss National Bank, cut rates and expanded dollar swap lines. From the last close before the filing (12 September 2008) to the US equity closing low (9 March 2009), the S&P 500 fell 45.95%, the US 2-year Treasury yield fell 127 basis points, and sterling lost 19.90% against the franc.
Written by Antevo · 15 September 2026 · public data and official sources
What markets did01 / What happened
The record,
in order.
Lehman Brothers Holdings Inc. announces a petition under Chapter 11 of the U.S. Bankruptcy Code with the United States Bankruptcy Court for the Southern District of New York. Its broker-dealer subsidiaries were not included in the filing.Source
The Federal Reserve Board authorizes the Federal Reserve Bank of New York to lend up to $85 billion to American International Group (AIG).Source
Federal Reserve expands dollar swap lines with other central banks; the line with the Swiss National Bank rises to up to $27 billion, an increase of $15 billion.Source
SNB quarterly assessment: the three-month Libor target range is left unchanged at 2.25-3.25%.Source
Coordinated reductions in policy interest rates by the Bank of Canada, Bank of England, ECB, Federal Reserve, Sveriges Riksbank and Swiss National Bank. The FOMC lowers its federal funds rate target by 50 basis points to 1-1/2 percent.Source
SNB relaxes monetary policy in coordination with other central banks, setting the three-month Libor target range at 2.0-3.0% (from 2.25-3.25%) to bring the Libor down by 50 basis points, from about 3% to 2.5%.Source
Swap lines between the Federal Reserve and the Bank of England, ECB and SNB are increased "to accommodate whatever quantity of U.S. dollar funding is demanded".Source
Federal funds rate target lowered by 50 basis points to 1.00% (Federal Reserve table of target changes).Source
SNB lowers the three-month Libor target range by 50 basis points to 1.5%-2.5%, with immediate effect.Source
SNB lowers the three-month Libor target range by 100 basis points to 0.5-1.5%, with immediate effect.Source
SNB lowers the three-month Libor target range by 50 basis points to 0.0-1.0%, with immediate effect.Source
The FOMC establishes a target range for the federal funds rate of 0 to 1/4 percent.Source
The S&P 500 closes at 676.53, its lowest close of the period (end of the observation window).Source
After the window: SNB lowers the three-month Libor target range by 25 basis points to 0-0.75% and says it will act to prevent any further appreciation of the franc against the euro, including by purchasing foreign currency.Source
02 / What markets did
Observed moves,
with the window stated.
Close-to-close where marked. These are historical observations from public data, not a model and not a forecast.
| Measure | Window | Level | Change | Source |
|---|---|---|---|---|
| USD/CHF (H.10), CHF per USD | 12 September 2008 → 9 March 2009 | 1.1335 → 1.1634 | +2.64% | Board of Governors of the Federal Reserve System, H.10 Foreign Exchange Rates (noon buying rates in New York), via FRED · The dollar ended slightly stronger against the franc, but the path was not smooth: in this window the rate peaked at 1.2238 on 2008-12-05 and fell to 1.0414 on 2008-12-29. |
| EUR/CHF (ECB reference rate), CHF per EUR | 12 September 2008 → 9 March 2009 | 1.5998 → 1.4669 | −8.31% | ECB euro foreign exchange reference rate (2.15 pm CET), Source: ECB statistics · H.10 cross (DEXUSEU x DEXSZUS) for the same dates: 1.6064 -> 1.4701 (-8.49%). |
| GBP/CHF (ECB cross), CHF per GBP | 12 September 2008 → 9 March 2009 | 2.0093 → 1.6095 | −19.90% | Computed from ECB euro reference rates CHF/EUR divided by GBP/EUR (2.15 pm CET), Source: ECB statistics · H.10 cross (DEXUSUK x DEXSZUS) for the same dates: 2.0285 -> 1.6005 (-21.10%). The gap reflects the different fixing times (2.15 pm CET vs noon New York). Lowest ECB cross in the window: 1.5258 on 2008-12-29. |
| US 10-year Treasury yield (constant maturity) | 12 September 2008 → 9 March 2009 | 3.74 → 2.89 | −85 bp | Board of Governors of the Federal Reserve System, H.15 Selected Interest Rates (constant-maturity Treasury yields), via FRED · Series DGS10. Lowest yield in the window: 2.08% on 2008-12-18. |
| US 2-year Treasury yield (constant maturity) | 12 September 2008 → 9 March 2009 | 2.23 → 0.96 | −127 bp | Board of Governors of the Federal Reserve System, H.15 Selected Interest Rates (constant-maturity Treasury yields), via FRED · Series DGS2. Lowest yield in the window: 0.65% on 2008-12-16. |
S&P 500 (price index): -45.95% (1,251.70 to 676.53) (12 Sep 2008 close to 9 Mar 2009 close). Source
S&P 500 (price index), first trading day after the filing: -4.71% (1,251.70 to 1,192.70) (12 Sep 2008 close to 15 Sep 2008 close). Source
03 / The data
Daily series,
from public sources.
USD/CHF, Federal Reserve H.10 (CHF per USD)
GBP/CHF, computed from Federal Reserve H.10 rates (CHF per GBP)
US 10-year Treasury yield, constant maturity (%)
For a franc-based investor
The same event,
read in francs.
Between 12 September 2008 and 9 March 2009 the S&P 500 price index fell 45.95% in dollars, while the dollar rose 2.64% against the franc on H.10 rates, so the same fall measured in francs was roughly 44.5% (price index only, before dividends, using noon New York exchange rates). Sterling assets carried an extra currency loss for a franc holder: GBP/CHF fell 19.90% over the window on ECB cross rates. Currency translation reduced losses on dollar assets slightly and added to losses on sterling and euro assets.
01Historical observations, not Antevo’s scenario definitions or calibrations.
02No forecast and no probability. The next event will differ.
03Intelligence, not advice. Decisions belong to you and your advisers.
Explore a sample stress testSources
Where every number
comes from.
1.Lehman Brothers Holdings Inc., Form 8-K on the Chapter 11 filing (FRASER, Federal Reserve Bank of St. Louis)fraser.stlouisfed.org2.ECB Data Portal, EXR.D.GBP.EUR.SP00.A (Pound sterling/Euro ECB reference exchange rate)data.ecb.europa.eu3.FRED, DEXUSEU: U.S. Dollars to Euro Spot Exchange Rate (Federal Reserve H.10)fred.stlouisfed.org4.ECB statistics usage policywww.ecb.europa.eu5.SNB Annual Report 2008, accountability report: extraordinary decision of 8 October 2008www.snb.ch6.Lehman Brothers Holdings Inc., Form 8-K Exhibit 99.1, 15 September 2008 (SEC EDGAR)www.sec.gov7.Federal Reserve press release, 16 September 2008: loan of up to $85 billion to AIGwww.federalreserve.gov8.Federal Reserve press release, 18 September 2008: further measures to address elevated pressures in funding marketswww.federalreserve.gov9.SNB press release, 18 September 2008: Monetary policy assessment of 18 September 2008www.snb.ch10.Federal Reserve press release, 8 October 2008: Federal Reserve and other central banks announce reductions in policy interest rateswww.federalreserve.gov11.Federal Reserve press release, 13 October 2008: further measures to provide broad access to liquiditywww.federalreserve.gov12.Federal Reserve, Open Market Operations: table of federal funds target rate changeswww.federalreserve.gov13.SNB press release, 6 November 2008: Relaxation of monetary policywww.snb.ch14.SNB press release, 20 November 2008: Further relaxation of monetary policywww.snb.ch15.SNB press release, 11 December 2008: Monetary policy assessment of 11 December 2008www.snb.ch16.FOMC statement, 16 December 2008www.federalreserve.gov17.Yahoo Finance, S&P 500 (^GSPC) historical prices, 9-10 March 2009finance.yahoo.com18.SNB press release, 12 March 2009: Monetary policy assessment of 12 March 2009www.snb.ch19.FRED, DEXSZUS: Swiss Francs to U.S. Dollar Spot Exchange Rate (Federal Reserve H.10)fred.stlouisfed.org20.ECB Data Portal, EXR.D.CHF.EUR.SP00.A (Swiss franc/Euro ECB reference exchange rate)data.ecb.europa.eu21.FRED, DGS10: Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity (Federal Reserve H.15)fred.stlouisfed.org22.FRED, DGS2: Market Yield on U.S. Treasury Securities at 2-Year Constant Maturity (Federal Reserve H.15)fred.stlouisfed.org23.Yahoo Finance, S&P 500 (^GSPC) historical prices, 11-15 September 2008finance.yahoo.com24.FRED, DEXUSUK: U.S. Dollars to U.K. Pound Sterling Spot Exchange Rate (Federal Reserve H.10)fred.stlouisfed.org