关于TED Spread的疑问

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作为衡量国际市场信贷风险的指标，TED Spread是美国国库券（3月期）利率与3月期欧洲美元（EURODOLLAR）利率之差，但是我的计算为什么和Bloomberg的报价不一样呢？例如2008年12月8日 美国3个月期Treasury bills (secondary market)的利率是0.03%，同日3个月期Eurodollar deposits (London)的利率是3.00%，那么TED Spread不应该是2.97%？但Bloomberg的报价是2.17%，这是什么原因？

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关键词：spread READ EAD TED Eurodollar 疑问 spread TED

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http://en.wikipedia.org/wiki/File:TED_Spread_Chart_-_Data_to_9_26_08.png

Your calculation logic is right, but it seems that your quote for EuroDollar yield is wrong. I checked Bloomberg today, the yiled for Dec 08, 2009 is 1.89% ( EDA Comdty HP) and the yiled for 3M T-Bill is -0.035%. So the TED is about 1.92%.

Also keep in mind, sometime the Bloomberg prices could be updated since it gets latest quotes from market source.

Hope it will help you!

Your calculation logic is right, but it seems that your quote for EuroDollar yield is wrong. I checked Bloomberg today, the yiled for Dec 08, 2009 is 1.89% ( EDA Comdty HP) and the yiled for 3M T-Bill is -0.035%. So the TED is about 1.92%.

Also keep in mind, sometime the Bloomberg prices could be updated since it gets latest quotes from market source.

Hope it will help you!