*Ted spread : Treasury-Eurodollar Spread, 用以衡量市場信用風險程度指標. 自2009/9/15 Lehman Brothers 倒閉後, 同年10/10最高達到463個bp , 在2007年7月信貸危機發生前約介於10-40bp. 目前(5/21)該指數(49.39)已連續下滑至接近長期平均值, 顯示市場對於風險的接受度已重回正常狀態.
下圖:Ted spread (source:Bloomberg)
*3 M LIBOR-OIS Spread : 3個月期Libor至5/21已連續37個交易日下跌. 其與OIS(隔夜指數交換合約利率)之息差並已縮小到46bp, 而去年10月的高峰為364bp, 在2007年7月前的平均8bp, 該指數在去年10月中以後雖已持續收窄,但仍偏高.
what the Libor-OIS spread says:
...former Fed Chairman Alan Greenspan stated recently that the “Libor-OIS remains a arometer of fears of bank insolvency.” He then noted that “that fear has been substantially reduced since mid-October,but the decline has stalled well short of any semblance of normal markets,” suggesting that thes till-high Libor-OIS spreads were an indication of problems in the banking industry. There is no doubt that changes in the Libor-OIS spread reflect changes in risk premiums rather than changes in liquidity premiums....
...the 1-month Libor-OIS spread onApril 6, 2009, was about 28 basispoints, only about 15 basis points higher than it was before early August 2007. However, the 3- and 6-month Libor-OIS spreads remain much higher than they were before the Lehman announcement...
下圖:1.3.6月Libor-OIS
*公司債之息差: 比較Moody's AAA 與Baa 投資等級公司債與10年期國債之息差. 可觀察出該息差雖仍處於高值, 但該近期已略為縮減, 顯示投資者對於風險的接受度正緩步提高. 但欲回到正常水平尚需一段時間.
Data source:St. Louis Fed
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