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TED Spread

As a refresher, the TED spread compares the 3 month yield on US treasury Bills( The "T") to the three month Eurodollar Deposit Rate( The"?D"). Thus it is an indication of credit risk, comparing the risk free T bill return to the Corporate Credit Yield. In "normal"times, this spread has been in the 15 to 20 range where it has stayed for years. When the crunch began in August 2007, it shot up from 18 to 225, subsided to under 100 early in 2008 before exploding up to the high 400s. After this week, it has fallen steadily to 363.Importantly, the US T bill yield has begun to rise, indicating investors are more willing to assume some credit risk.Page FP 10 in the Financial Post shows the yields on US T bills and 3 month Euro Deposit rates.

I will work on adding it to my chart group as this is a very important indicator to follow. In addition, you can find these yields on the Daily Snapshot.  

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