This paper examines the dynamic linkages in credit risk between the money market and the derivatives market during 2004-9. We use the T-bill-Eurodollar (TED) spread to measure credit risk in the money...
Ted spread on the rise as eurozone sovereigns remain stable
More Ted spread articles
The New Year has seen the Ted spread, a perceived level of counterparty risk, reach its lowest level since Lehman Brothers filed for Chapter 11 bankruptcy on September 15 last year. Elsewhere, interbank lending rates continued to fall.
Despite continued market unrest, healthier interbank lending rates over the past week indicate financial institutions are increasingly confident in lending to one another, while the perceived level of counterparty risk, as measured by the Ted spread,...
The cost of dollar lending in the interbank market rose 17bp overnight, but the cost of euro and sterling borrowing was down marginally today.
Overnight euro Libor remained unchanged from yesterday at 2.9%, despite the announcement a €200 billion stimulus package to shore up the struggling economies of European Union (EU) member states.
Volatility in the US equity market is at near-record levels, but the interbank market remained stable today.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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