Tuesday, July 14, 2009

Decent "Spread" News

Not bad at all.

...three-month dollar Libor rates were fixed at 0.509%. This is up slightly from Friday's record low of 0.505%. The LIBOR peaked at 4.81875% on Oct 10, 2008

...There has been improvement in the A2P2 spread. This has declined to 0.31. This is far below the record (for this cycle) of 5.86 after Thanksgiving, and still above the normal spread of around 20 bps. (High v. low quality nonfinancial commercial paper)

...Meanwhile the TED spread has decreased further and is now at 33.9. This is the difference between the interbank rate for three month loans and the three month Treasury. The peak was 463 on Oct 10th and a normal spread is around 50 bps.

HT: Calculated Risk

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