Ted spread and Libor continue to fall

US dollar overnight Libor dropped from 0.41% on Friday to 0.39% today. In the same period the cost of borrowing sterling fell from 4.63% to 4.53% and Euro Libor fell from 3.55% to 3.54%.

In the overnight three-month markets, dollar Libor fell from 3.03% to 2.86%, Euro Libor dropped from 4.77% to 4.74%, and sterling borrowing rates moved from 5.84% to 5.78%.

The Ted spread, which tracks the difference between three-month Libor and US Treasury bills, also fell today from 2.65% at the close of