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.

Interbank lending rates continue 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, has…

Dollar Libor and Ted climb again

Dollar Libor and the Ted spread, which tracks the difference between three-month dollar Libor and Treasury bills, were up today as confidence in the US interbank lending market dipped again.

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.

Ted spread continues to climb

The Ted spread, which is used to measure perceived counterparty risk by tracking the disparity between three-month Libor rates and US Treasury bills, broke yesterday’s record high by 0.10%.

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