Ted spread returns to pre-Lehman levels

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.

The Ted spread, which tracks the difference between three-month dollar Libor and three-month US Treasury bill yields, stood at 1.26% as of 1540 GMT today, falling from 1.34% at close of trading yesterday. It reached a high of 4.64% on October 10, compared with 1.35% on September 12, the last trading day before the collapse of Lehman.

Three-month dollar Libor stood at 1.41%, a fall of five basis points from its December 29 rate of 1.46%. Over the same time period, euro and sterling Libor witnessed

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