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Derivatives

  Derivatives   |   Terms
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  • November 6, 2021
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Implied Yield TED Spread

A TED spread that is derived by using stub LIBOR and Eurodollar futures rates to figure out the par coupon on a note or a swap whose cash flow fixings correspond to those of the Treasury note. The spread is the difference between the Treasury note’s yield and the par coupon (yield minus coupon). This spread is not tradable.


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