Ted spread continues to fall
Following last week's rate cuts, the Ted spread, which tracks the difference between three-month Libor and Treasury bills, had fallen today to 2.01 when trading opened, the same level as September 15, when Lehman Brothers filed for bankruptcy.
At 12.30 GMT today the Ted spread had dropped to 1.93%.
In the three-month interbank lending markets, sterling Libor dropped from 4.5% to 4.42%, while three-month euro borrowing rates fell from 4.47% to 4.4% and three-month dollar Libor dropped to 2.24% from 2.29%.
In the overnight markets, borrowing costs were up slightly for euro and dollar Libor, which rose from 3.43% to 3.44% and 0.33% to 0.35%, respectively. Overnight sterling Libor remained stable at 3.21%.
The Chicago Board Options
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