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User Info TED Spread in forum [General]
1crzydmnd
Posts: 2377
Incept: 2008-03-26
Gold
Bizarro World
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Anyone been watching this? Sure has popped the boner the last few weeks. Wonder why? [sarcasm]

http://www.bloomberg.com/apps/quote?tick....
Inline

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I'm not a racist. The black and white halves of Obama equally disgust me.
Rutben
Posts: 1414
Incept: 2007-07-27
A True American Patriot!
Phoenix, AZ
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Note spikes in July 2007 and Sept 2008

http://en.wikipedia.org/wiki/File:Ted-Sp....

Argos
Posts: 6305
Incept: 2008-03-23
Gold
The Green Mountain State
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Around 2:15 PM, the Ted Spread hit 40.1593--a new 10-month high.
Patmcgroin
Posts: 8215
Incept: 2007-09-12

Chicago
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It's all FRA/OIS now.

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"I know a few arcane, obscure financial acronyms that the general public doesn't know and that's about it."
Wontbackdown
Posts: 2585
Incept: 2007-09-20
Green
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http://www.bloomberg.com/apps/cbuilder?t....


http://www.bloomberg.com/apps/cbuilder?t....

Thanks Pat..

Gold Silver ratio is another good one for monitoring Credit stress
Patmcgroin
Posts: 8215
Incept: 2007-09-12

Chicago
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This is the sauce you're looking for-
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"I know a few arcane, obscure financial acronyms that the general public doesn't know and that's about it."
Pika-steph
Posts: 54694
Incept: 2007-09-11
Gold A True American Patriot!
Live Free Or Die; US Army Est. 1775
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Doesn't look all that exciting from that perspective.

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Stop the Looting; Start Prosecuting - http://www.FedUpUSA.org/
inline
"The only regulation that really works is failure."--Rick Santelli
Franjime
Posts: 1821
Incept: 2008-03-30
Silver
DFW
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On the Contrary, Pika. I think it's a leading indicator, like a bad EKG sometimes before a heart attack.

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"The avalanche has started - it is too late for the pebbles to vote."
Patmcgroin
Posts: 8215
Incept: 2007-09-12

Chicago
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You have to understand that thing (and the now deprecated TED and "Libor/FF" et. al.) had traded in historically tight tight tight bands. A move in FRA/OIS from 16 to 21 was earth-moving. So when it collapsed to 9 while F-I was starting to smell in 2005/2006 it got my attention. When it remained unmoved at 10bps while F-I was pulled the temple down on it's head it was, well, the biggest lay-up in history...

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"I know a few arcane, obscure financial acronyms that the general public doesn't know and that's about it."
Pika-steph
Posts: 54694
Incept: 2007-09-11
Gold A True American Patriot!
Live Free Or Die; US Army Est. 1775
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Thanks, Pat. As you indicate, TED, Libor/FF etc. seem to have been....compromised in their indicitive status. That being said, movement in FRA/OIS seems to have retained some integrity and value. In light of that, how are you interpreting this recent move?

I have no doubt there are serious stressors back on the rise in the credit markets, but this indicator to me, still looks rather....blase about the whole thing. At least from a long-term perspective.

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Stop the Looting; Start Prosecuting - http://www.FedUpUSA.org/
inline
"The only regulation that really works is failure."--Rick Santelli
Patmcgroin
Posts: 8215
Incept: 2007-09-12

Chicago
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It's not a function of integrity, it's a function of tradeability. TED doesn't really reference any specific thing, it encompassed different terms, different issues, blah blah blah. It was difficult to trade and mostly indicative. FRA/OIS (the modern lingo for L/FF) is a very liquid, deep spread that refers to a specific, standardized "thing" that everybody understands. Simple explanation in IRL.

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"I know a few arcane, obscure financial acronyms that the general public doesn't know and that's about it."
Particenens
Posts: 9669
Incept: 2008-01-16
Gold
Peak Bund
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Old friend Ted is moving today

back above 8/20/2010 level

jumping a 25% from 14.35 to 17.95 HOD 18.05

http://www.bloomberg.com/apps/quote?tick....

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A banker is a fellow who lends you his umbrella when the sun is shining, but wants it back the minute it begins to rain
Wontbackdown
Posts: 2585
Incept: 2007-09-20
Green
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Padrino, good catch..Pat do you have a link for your sauce to monitor.?
Particenens
Posts: 9669
Incept: 2008-01-16
Gold
Peak Bund
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morning move is for the IRX

first indication shows a 17% move down, from yesturday .145 to early morning .12 print


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A banker is a fellow who lends you his umbrella when the sun is shining, but wants it back the minute it begins to rain
Particenens
Posts: 9669
Incept: 2008-01-16
Gold
Peak Bund
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ted at 18.96 or +31% HOD 19.37

IRX print a 0.11% last 0.115%

eurodollar futures /gez0 /geh1 /gem1 flirting with the top

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A banker is a fellow who lends you his umbrella when the sun is shining, but wants it back the minute it begins to rain
Throxxofvron
Posts: 10299
Incept: 2009-02-17
Green
Hyper-Speculative Psycho-Facsistic Parabolic Blow-Off
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OK, that's a ****ing huge move; -so how does One best play into or against the TED spread?

& how should such a play be hedged?

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DIONYSUS: " Thou hast no knowledge of the life thou art leading; thy very existence is now a mystery to thee. " -from 'The Bacchantes' By Euripides “During times of universal deceit, telling the truth becomes a revolutionary act.” -George Orwell

Patmcgroin
Posts: 8215
Incept: 2007-09-12

Chicago
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"I know a few arcane, obscure financial acronyms that the general public doesn't know and that's about it."
Throxxofvron
Posts: 10299
Incept: 2009-02-17
Green
Hyper-Speculative Psycho-Facsistic Parabolic Blow-Off
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Is it just Me or does this look like a little Flash Crash happened this morning therein:
Inline

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DIONYSUS: " Thou hast no knowledge of the life thou art leading; thy very existence is now a mystery to thee. " -from 'The Bacchantes' By Euripides “During times of universal deceit, telling the truth becomes a revolutionary act.” -George Orwell
Wontbackdown
Posts: 2585
Incept: 2007-09-20
Green
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Pat thank you.
Particenens
Posts: 9669
Incept: 2008-01-16
Gold
Peak Bund
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thanks Pat, so yesturday TEd move was only due the IRX

and the important swaps are coming down

so no alert yet?

I'm right?

thanks again

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A banker is a fellow who lends you his umbrella when the sun is shining, but wants it back the minute it begins to rain

The_venerable
Posts: 4864
Incept: 2009-01-31

USD = toxic asset
Banned
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3M$ FRA / OIS spread new post flash crash high of 36 today.
http://www.bloomberg.com/apps/quote?tick....

Re-test of 50 in order before backing off the rest of the year?

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The kingdom is falling.
Patmcgroin
Posts: 8215
Incept: 2007-09-12

Chicago
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The current stress is International, you need to look at the forward cost of USD in FX space and imply the rate... It's a lot higher than 50.

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"I know a few arcane, obscure financial acronyms that the general public doesn't know and that's about it."

Argos
Posts: 6305
Incept: 2008-03-23
Gold
The Green Mountain State
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I was checking out this thread earlier today. Too funny.

Must be something in the air . . . :)
Steelpiston71
Posts: 4848
Incept: 2007-09-05
Green
Michigan
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For the clueless like me on the implications of a widening TED Spread:

The TED spread is an indicator of perceived credit risk in the general economy.

This is because T-bills are considered risk-free while LIBOR reflects the credit risk of lending to commercial banks. When the TED spread increases, that is a sign that lenders believe the risk of default on inter-bank loans (also known as counterparty risk) is increasing.

Inter-bank lenders therefore demand a higher rate of interest, or accept lower returns on safe investments such as T-bills.

When the risk of banks defaults is considered to be decreasing, the TED spread decreases. [Ed. A widening TED spread could also mean that banks want to keep whatever cash they have immediately available and on their balance sheet as cash and not a cash equivalent.]

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"We have resolution authority under Frank/Dodd... How about we USE IT?" Karl Denninger, 10/07/10 on the Dylan Ratigan Show, MSNBC.
Pominoz
Posts: 99
Incept: 2008-02-05

australia
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Thankyou Steelpiston
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