TED Spread update

The TED Spread measures the difference between the 3 month LIBOR and 3 month T-bill.  The TED Spread is considered ‘normal’ when it is below 50 basis points. Here is a multi-year chart of the TED Spread going back to 2006 (source: Bloomberg)


The TED spread increased from the mid-teens to 50 basis points in the second quarter of 2010, and has since lowered to the mid-30s – within our ‘normal’ range.  Can you guess when Lehman Brothers filed bankruptcy?  The TED Spread spiked to over 400 basis points that week.

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