by Calculated Risk on 5/22/2010 12:44:00 PM

During the crisis these indicators showed the stress in the credit markets and it is probably worth revisiting them now.

Click on graph for larger image in new window.

This graph from Bloomberg, based on data from the British Bankers' Association, shows the three-month U.S. dollar London interbank offered rate, or Libor rose to 0.50% on Friday.

This is an important rates since trillions of financial products worldwide are tied to the Libor - including many adjustable mortgages in the U.S.

The rate has increased recently, but it is still very low.

The TED spread has also risen recently and is now at 34.47. This is a 5 year graph to show the recent increase is very small compared to the huge increases during the worst of the crisis.

Note: 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 a normal spread is below 50 bps.

Here is the A2P2 spread from the Federal Reserve. This is the spread between high and low quality 30 day nonfinancial commercial paper.

This has increased recently to 0.19, but the spread is still very low.

The last graph shows the Merrill Lynch Corporate Master Index OAS (Option adjusted spread) for the last few years.

This is a broad index of investment grade corporate debt:

The Merrill Lynch US Corporate Index tracks the performance of US dollar denominated investment grade corporate debt publicly issued in the US domestic market.

This index has increased lately - but it still very low compared to the worst of the crisis.

So far we've only seen slightly wider credit spreads and just a hint of stress.

Weekly Schedule

by Calculated Risk 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).

The TED spread is at 0.96. Although a normal spread is around 0.5, this is still a significant improvement.

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

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 ...