TED spread is now calculated as the difference between the three-month LIBOR and the three-month T-bill interest rate.
If you want to change selection, open document below and click on "Move attachment"
TED spread - Wikipedia, the free encyclopedia for three-month U.S. Treasuries contracts and the three-month Eurodollars contract as represented by the London Interbank Offered Rate (LIBOR). However, since the Chicago Mercantile Exchange dropped T-bill futures after the 1987 crash,[1] the <span>TED spread is now calculated as the difference between the three-month LIBOR and the three-month T-bill interest rate.
The size of the spread is usually denominated in basis points (bps). For example, if the T-bill rate is 5.10% and ED trades at 5.50%, the TED spread is 40 bps. The TED spread fluctuates
Summary
status
not read
reprioritisations
last reprioritisation on
suggested re-reading day
started reading on
finished reading on
Details
Discussion
Do you want to join discussion? Click here to log in or create user.