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Monday, November 24, 2008

Credit Crisis Indicators

by Calculated Risk on 11/24/2008 01:22:00 PM

The 3-month treasury is still at zero ... and that is not good. Here is more more data:

  • The three month LIBOR increased slightly to 2.17% from 2.16%. The three-month LIBOR rate peaked (for this cycle) at 4.81875% on Oct. 10. (unchanged)

  • The TED spread: 2.16. (slightly worse)

    The TED spread is stuck above 2.0, and still too high. The peak was 4.63 on Oct 10th. I'd like to see the spread move back down to 1.0 or lower. A normal spread is around 0.5.

  • The yield on 3 month treasuries is essentially zero (bad).

    The 10-Year Treasury Note yield is up to 3.34% from 3.17%.

    A2P2 Spread
  • The A2P2 spread decreased to 3.61 from a record (for this cycle) 4.83 (Better). For the first time since this wave of the crisis started it looks like the A2P2 spread is declining.

    This is the spread between high and low quality 30 day nonfinancial commercial paper. If the credit crisis eases, I'd expect a significant decline in this spread - and the graph makes it clear this indicator is still in crisis.

  • The two year swap spread from Bloomberg: 110.75, up slightly from 107.5. (slightly worse). This spread peaked at near 165 in early October, so there has been significant progress, but I'd like to see this below 100.

  • Contacts: Late Friday a friend (in management at a public company) told me his company just obtained a new loan (about $100 million) for expansion and a revolving line of credit. This is a good sign.

    Most of these indicators are slightly worse or unchanged, but there was some progress with the A2/P2 spread.