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Crisis/LiquidationPROSeptember 15-19, 2008

2008 Lehman Week

September 15-19, 2008

The week Lehman Brothers collapsed and the global financial system nearly imploded. A classic bank-contagion crisis.

What Happened

“Lehman Brothers filed for bankruptcy”

Fed Action

The Federal Reserve broadened liquidity support for primary dealers

S&P 500 ETF proxy (SPY)

120.09

-4.76%
VIX

31.70

+23.54%
HY Spreads

905 bp

Above generated high-spread boundary

Session

Monday

Sep 15, 2008

What VantMacro Would Have Shown

Regime

Crisis/Liquidation

Classifier accuracy has not been calibrated

Most Likely Next

PostShockRecovery

Observed next-regime frequency: 37.1%

Historical Duration

Median: 3 days

Based on 116 observed periods

Compare to 397 Historical Transitions

Compare this case study with the generated regime history from 2003-12-25 to 2026-07-16.

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Full regime history (2003-12-25 to 2026-07-16)
Asset performance by regime
Observed transition frequencies

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This case study uses historical data for educational purposes. Past performance does not guarantee future results. The regime classifications shown are based on VantMacro's empirical framework applied retrospectively.