Chapter 11 reproduces the research note:
• Measuring and Trading Term TED Spreads (1995)
Since this note was written, we have tracked the values of 1-year, 2-year, and 5-year TED spreads. We report time series of these spreads in Carr Futures “Daily Zero to Ten” report, shown earlier on page four of Exhibit 10.1.
We also developed a special report, “TED Spreads,” that provides two key insights into the structure of TED spreads:
• Term structure of TED spreads
• Comparison of forward and spot values of the TED spread
We have reproduced a copy of the “TED Spreads” report in Exhibits 12.1 and 12.2 as of the close on September 10, 2002. Exhibit 12.1 shows the values of TED spreads for original issue 2-year Treasury ...