睇緊利率差上升趨勢

2008/01/06 02:18:59 網誌分類: 經濟

06 Jan

Initially, the TED spread was the difference between the interest rate for the three month U.S. Treasuries contract and three month Eurodollars contract as represented by the London Inter Bank Offered Rate (LIBOR). However, since the Chicago Mercantile exchange drоpped the T-bill futures, the TED spread is now calculated as the difference between the T-bill interest rate and LIBOR. The TED spread is a measure of liquidity and shows the flow of dollars into and out of the United States.

The TED spread can be used as an indicator of credit risk. This is because U.S. T-bills are considered risk free while the rate associated with the Eurodollar is thought to reflect the credit risk of corporate borrowers. As the TED spread increases, default risk is considered to be increasing, and investors will have a preference for safe investments. As the spread decreases, the risk of default is considered to be decreasing.

The name originates from the initialism of "T-Bill" and "ED"— the ticker symbol for the Eurodollar futures contract. The size of the spread is usually denominated in basis points (bps), e.g. when T-Bills trade at 5.10% and ED trades at 5.50%, the TED spread is said to trade at 40bps. The value of the TED spread fluctuates over time but is often between 10 and 50 basis points (0.1% and 0.5%). A rising TED spread often foretells a downturn in the U.S. stock market as liquidity is withdrawn. During 2007, the credit crunch, which many believe was caused by the U.S. subprime mortgage securities meltdown, ballooned the TED spread to a region of 150-200bps.

三個月既美國國庫債券，被認為是零風險之參考利率，企業借貸既風險就用倫敦銀行同業拆息，即3-mo LIBOR，同其yield作比較。因為次按中既借款人無法繼續供款，而用作抵押既物業價格不斷下滑，加上投資大行以高槓桿投資在含有此類資產的債券，因而蒙受巨大損失，TED 一度上升至 150~200 點子 bps (Basic Points) 現水平為 142 bps 略低於 150 bps

Checking up on the TED spread

December 20, 2007 by E. Cartman

3-Month Libor: 4.88

3-Month Treasury bill: 2.75

Current TED spread: 213 bps

TED spread 1987 crash peak: 250 bps

TED spread before ECB $500 billion repo injection: ~221 bps

Why is this so scary? The crisis of August resembled the 1998 LTCM crisis, which was terrifying but over quickly. This time, however, the crisis took a vacation but came back.

Bloomberg 資料

	CURRENT	1 MONTH	3 MONTH	6 MONTH	1 YEAR
		PRIOR	PRIOR	PRIOR	PRIOR
Federal Reserve Target Rate	4.25	4.5	4.75	5.25	5.25
1-Month Libor	4.52	5.25	5.12	5.32	5.32
3-Month Libor	4.62	5.15	5.24	5.36	5.36

Website: http://www.bloomberg.com/markets/rates/index.html

這是2個月來 13-week T-Bill之孳息率 yield curve rate

1/4/2008	3.2
1/3/2008	3.24
1/2/2008	3.26
12/31/2007	2.76
12/28/2007	2.57
12/27/2007	2.85
12/26/2007	3.04
12/24/2007	2.75
12/21/2007	2.44
12/20/2007	2.42
12/19/2007	2.66
12/18/2007	2.76
12/17/2007	2.78
12/14/2007	2.61
12/13/2007	2.7
12/12/2007	2.89
12/11/2007	2.89
12/10/2007	3.05
12/7/2007	3.04
12/6/2007	3.09
12/5/2007	3.15
12/4/2007	3.16
12/3/2007	3.55
11/30/2007	3.63
11/29/2007	3.38
11/28/2007	3.52
11/27/2007	3.68
11/26/2007	3.53
11/23/2007	3.64
11/21/2007	3.54
11/20/2007	3.65
11/19/2007	3.74
11/16/2007	3.78
11/15/2007	3.74
11/14/2007	3.86
11/13/2007	3.73
11/9/2007	3.42
11/8/2007	3.56
11/7/2007	3.77
11/6/2007	3.99
11/5/2007	3.86
11/2/2007	3.73
11/1/2007	3.9

http://www.treas.gov/offices/domestic-finance/debt-management/interest-rate/yield_historical_main.shtml

這是2個月來 13-week T-Bill之折讓率 discount rate

PRICES
Date	Open	High	Low	Close	Adj Close*
4-Jan-08	3.17	3.17	3.08	3.12	3.12
3-Jan-08	3.13	3.2	3.12	3.15	3.15
2-Jan-08	3.27	3.3	3.12	3.17	3.17
31-Dec-07	3.07	3.18	3.07	3.14	3.14
28-Dec-07	3.01	3.09	2.99	3.08	3.08
27-Dec-07	3.2	3.2	3.02	3.08	3.08
26-Dec-07	3.26	3.28	3.19	3.22	3.22
24-Dec-07	2.95	3.22	2.95	3.2	3.2
21-Dec-07	2.81	2.92	2.81	2.9	2.9
20-Dec-07	2.75	2.81	2.65	2.81	2.81
19-Dec-07	2.9	2.95	2.8	2.84	2.84
18-Dec-07	3.02	3.05	2.94	2.97	2.97
17-Dec-07	2.81	2.93	2.8	2.93	2.93
14-Dec-07	2.8	2.85	2.75	2.8	2.8
13-Dec-07	2.79	2.84	2.65	2.78	2.78
12-Dec-07	2.9	3.05	2.65	2.81	2.81
11-Dec-07	2.94	2.94	2.8	2.87	2.87
10-Dec-07	2.9	3.01	2.9	2.97	2.97
7-Dec-07	2.86	3.02	2.86	3.02	3.02
6-Dec-07	2.97	2.98	2.83	2.96	2.96
5-Dec-07	3.01	3.03	2.95	2.98	2.98
4-Dec-07	2.95	3.01	2.94	2.98	2.98
3-Dec-07	3.09	3.09	2.9	2.96	2.96
30-Nov-07	2.96	3.09	2.96	3.07	3.07
29-Nov-07	2.85	2.91	2.8	2.88	2.88
28-Nov-07	3.01	3.03	2.94	2.96	2.96
27-Nov-07	3.1	3.12	3.06	3.08	3.08
26-Nov-07	3.28	3.3	3	3.06	3.06
23-Nov-07	3.11	3.14	3.07	3.14	3.14
21-Nov-07	3.03	3.06	2.9	3.04	3.04
20-Nov-07	3.27	3.28	3.08	3.16	3.16
19-Nov-07	3.33	3.44	3.21	3.28	3.28
16-Nov-07	3.2	3.3	3.2	3.29	3.29
15-Nov-07	3.22	3.27	3.1	3.19	3.19
14-Nov-07	3.38	3.45	3.3	3.32	3.32
13-Nov-07	3.2	3.4	3.2	3.36	3.36
12-Nov-07	3.18	3.18	3.18	3.18	3.18
9-Nov-07	2.9	3.2	2.9	3.17	3.17
8-Nov-07	3.35	3.38	3.14	3.28	3.28
7-Nov-07	3.5	3.57	3.3	3.36	3.36
6-Nov-07	3.62	3.71	3.59	3.63	3.63
5-Nov-07	3.48	3.59	3.41	3.58	3.58
2-Nov-07	3.6	3.7	3.25	3.5	3.5
1-Nov-07	3.8	3.8	3.62	3.7	3.7