TED spread data from Bloomberg

Bloomberg has some very interesting data about the spread between 3-month LIBOR and 3-month Treasury bills (known to the initiated as the TED spread).  Basically, this is a measure of banks’ confidence in each other, with higher spread corresponding to lower confidence.  Here’s how the TED spread evolved over the last 12 months:


2 thoughts on “TED spread data from Bloomberg

  1. NC Post author

    I don’t know any free source. TED spread is not that difficult to compute (take 3-month U.S. dollar LIBOR, subtract the 3-month U.S. T-bill rate, and you’re done), but British Bankers Association makes available for free only a limited rolling window of LIBOR data (six months ending two months before the beginning of the current month). For example, right now, the only data available for free are for September 2010 through February 2011…

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