Wednesday, February 25, 2009

Credit Crisis Indicators

by Bill McBride on 2/25/2009 12:23:00 PM

As Bernanke said today, some progress has been made ...

  • The yield on 3 month treasuries has risen to 0.30%. Better than zero!

  • The three month LIBOR has increased to 1.25%. The three-month LIBOR rate peaked (for this cycle) at 4.81875% on Oct. 10. Although this has increased recently, this is still very positive for all those adjusted rate mortgage loans tied to the LIBOR (or treasuries).

    TED Spread
  • The TED spread is at 0.96.

    Although a normal spread is around 0.5, this is still a significant improvement.


  • A2P2 Spread
  • The A2P2 spread as at 1.02.

    This is a significant improvement from the high of 5.86 after Thanksgiving. The A2P2 spread is at the lowest level since the latest wave of the crisis started in Sept 2008. However this is still fairly high - look at those previous small peaks - those were considered serious at the time.

    Note: This is the spread between high and low quality 30 day nonfinancial commercial paper.

  • Federal Reserve Assets

    Federal Reserve Assets The Federal Reserve released the Factors Affecting Reserve Balances last Thursday. Total assets increased $72.2 billion to $1.92 trillion. The increase was mostly due to the Federal Reserve buying $57.9 billion in mortgage-backed securities (MBS) guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae.

    After spiking last year to $2.31 trillion the week of Dec 18th, the Federal Reserve assets have declined somewhat. Now it looks like the Federal Reserve is starting to expand their balance sheet again.

    Note: the graph shows Total Factors Supplying Federal Reserve Funds and is an available series that is close to assets.

    These indicators do indicate some progress ...