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The TED Spread reached record levels in late September 2008. The diagram indicates that the Treasury yield movement was a more significant driver than the changes in LIBOR. A three month t-bill yield so close to zero means that people are willing to forego interest just to keep their money (principal) safe for three months--a very high level of risk aversion and indicative of tight lending conditions. Driving this change were investors shifting funds from money market funds (generally considered nearly risk free but paying a slightly higher rate of return than t-bills) and other investment types. [1] These issues are consistent with the September 2008 aspects of the subprime mortgage crisis which prompted the Emergency Economic Stabilization Act of 2008 signed into law by the U.S. President on October 3, 2008.
Three month treasury bill rates: St. Louis Federal Reserve Bank
Three month Libor rates: Bulgarian National Bank Tables
Another libor source: BBA
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