SPREAD ‘EM: Credit Spreads Continue to Moderate

The TED spread and the Libor-OIS spread continue to tighten, if moderately, indicating that a degree of stability has come to the US credit markets.

The TED spread, which measures the difference between three-month Treasurys and the three-month Libor rate, remains in the low 30s at 32.34 today. It was at 33.76 on July 10, when we last published our Spread ‘Em column. The steep decline in the TED began on July 1, when the spread closed at 42.52. The spread has tightened by 23.9% since July 1.

TED SPREAD

The Libor-OIS spread measures the difference between the three-month Libor rate and the anticipated average of the federal funds rate. The spread is residing at 30 basis points today. On July 10, it sat at 32 basis points and at 36.34 basis points on July 1.

LIBOR-OIS SPREAD