Supposed to be using 3 month Euro-Dollar futures vs T-Bill futures of the exact same maturity, but I am just using generic LIBOR and T-Bill rates from Bloomberg. (Remind me... how safe are Treasuries again??)
Top part of the chart shows LIBOR popping up and T-bill (yields) going through the floor. The bottom shows the spiking up of FEAR.
FYI, this is the 20 year chart of the same.
Monthly data, so last night's spike not there...
... we're at about 300bps now - way high, way way high.
============
Bloomberg Financial Definition:
Ted Spread. The price difference between three-month futures contracts for U.S. Treasuries and three-month contracts for Eurodollars having identical expiration months.
The Ted spread can be used as an indicator of credit risk. This is because U.S. T-bills are considered risk free while the rate associated with the Eurodollar futures is thought to reflect the credit ratings of corporate borrowers. As the Ted spread increases, default risk is considered to be increasing, and investors will have a preference for safe investments. As the spread decreases, the default risk is considered to be decreasing.
.
::
::
No comments:
Post a Comment