Indicators Say The Crisis is Over (or Soon)
Posted by LeGianT on August 3, 2009
The British Bankers’ Association reported that the three-month dollar Libor rates were fixed at a new record low of 0.472%. The LIBOR peaked at 4.81875% on Oct 10, 2008.
The A2P2 spread has declined to 0.26. The record (for this cycle) was 5.86 after Thanksgiving, and this is only slightly above the normal spread of around 20 bps.
This is the spread between high and low quality 30 day nonfinancial commercial paper.
Meanwhile the TED spread has decreased further and is now at 29.4. This is the difference between the interbank rate for three month loans and the three month Treasury.
The peak was 463 on Oct 10th and the spread is now in the normal range.
The final graph shows the spread between 30 year Moody’s Aaa and Baa rated bonds and the 30 year treasury.
The spread has decreased sharply over the last few months. The spreads are still high, especially for lower rated paper.