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TED spread : ウィキペディア英語版
TED spread

The TED spread is the difference between the interest rates on interbank loans and on short-term U.S. government debt ("T-bills"). TED is an acronym formed from ''T-Bill'' and ''ED'', the ticker symbol for the Eurodollar futures contract.
Initially, the TED spread was the difference between the interest rates for three-month U.S. Treasuries contracts and the three-month Eurodollars contract as represented by the London Interbank Offered Rate (LIBOR). However, since the Chicago Mercantile Exchange dropped T-bill futures after the 1987 crash,〔http://www.atimes.com/atimes/Global_Economy/LK25Dj01.html〕 the TED spread is now calculated as the difference between the three-month LIBOR and the three-month T-bill interest rate.
==Formula and reading==


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The size of the spread is usually denominated in basis points (bps). For example, if the T-bill rate is 5.10% and ED trades at 5.50%, the TED spread is 40 . The TED spread fluctuates over time but generally has remained within the range of 10 and 50 (0.1% and 0.5%) except in times of financial crisis. A rising TED spread often presages a downturn in the U.S. stock market, as it indicates that liquidity is being withdrawn.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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