WThe three bars show the last 3 weeks for this indicator, oldest left to newest right. Bar height reflects each reading relative to the other two — the tallest is the highest of the three, the shortest the lowest.
Historical context: Currently in the 1th percentile — near historically low/favorable levels.
What this means right now: CP–Tbill spread is inverted — commercial paper rates are actually below T-bill yields, an unusual technical condition. Not a stress signal; may reflect short-term supply-demand imbalances in T-bill markets.
CP–Tbill Spread (3-Month) · Daily · 1997–2026
Grey areas = NBER recessions · Scroll to read · zoom and pan in Expand
Monthly values
CP–Tbill Spread (3-Month) — the last 12 months
Every month's reading, with the band the heatmap gives it. The chart above shows the same series in full.
Month
Value
Band
Sep 2026
-0.02%
Very strong reading
Aug 2026
0.09%
Healthy reading
Jul 2026
0.18%
Within normal range
Jun 2026
0.19%
Within normal range
May 2026
0.15%
Within normal range
Apr 2026
0.21%
Within normal range
Month-end readings of the same series the chart shows, from cp_tbill_spread. Values are the current record, not point-in-time: a month that has since been revised shows its revised value.
What is the CP–Tbill Spread?
The CP–Tbill spread (DCPF3M minus DTB3) is the difference between the 90-day AA Financial Commercial Paper rate and the 3-month Treasury Bill yield. It measures the premium that large, highly-rated financial firms pay to borrow for 90 days above the risk-free government rate. Under normal conditions this spread is tiny — often below 0.15 percentage points. When funding markets seize up, it blows out dramatically.
This spread is the actionable funding-stress signal that the raw DCPF3M rate level alone cannot provide. A CP rate of 5% is completely normal in a 5.25% Fed Funds environment — it tells you nothing about stress. But a CP rate 0.75% above T-bills in any rate environment signals that money market investors are demanding a significant risk premium to lend to financial firms. That excess is the stress signal.
The CP–Tbill spread is a close cousin of the TED spread (SOFR minus T-bill), but captures a different funding market segment: 3-month unsecured commercial paper versus overnight secured repo. CP markets are more sensitive to credit concerns (unsecured, longer term) while SOFR captures overnight systemic liquidity. Together they provide complementary reads on short-term funding stress. In 2008, both spiked simultaneously; the CP spread actually exceeded 3.5 percentage points as the Reserve Primary Fund's breaking of the buck triggered a run on money market funds that funded the CP market.
How We Color-Code the CP–Tbill Spread
Our heatmap colors each indicator based on historically significant thresholds:
Severe — CP market stress comparable to 2008 or 2020 conditions; consider Fed intervention likely
Historical Extremes — What Happened Next?
When this indicator reaches extreme levels, history shows consistent patterns:
2008-10-15Post-Lehman CP Market Freeze
3.73%
The Reserve Primary Fund broke the buck due to Lehman CP exposure, triggering a run on money market funds. CP market funding virtually stopped as investors refused to roll over paper. The Fed created the Commercial Paper Funding Facility (CPFF) to backstop the market; the spread peaked around 3.73 percentage points — the worst short-term funding stress in modern US history.
2020-03-25COVID Dash-for-Cash
2.57%
The March 2020 dash-for-cash caused money market funds to stop buying CP as investors rushed to redeem. The spread spiked to ~2.57%. The Fed reactivated the CPFF, and the spread retraced within weeks as facility backstop restored confidence.
2022-01-03Post-COVID Calm Trough
0.05%
Near-zero spread — ZIRP era with abundant liquidity. Financial firms could fund at essentially the same rate as the government. This near-zero reading is typical of the 2010–2022 era of abundant central bank reserves.
Investor Checklist — Current Reading
Based on the current CP–Tbill Spread reading of -0.02% (Very Positive):
ℹInverted spread is technical, not a stress signal — maintain normal positioning
Frequently Asked Questions
What is the difference between the CP–Tbill spread and the TED spread?
Both measure the premium of short-term credit over risk-free rates, but they capture different markets. The TED spread (SOFR minus T-bill) measures overnight secured borrowing (repo market) — very short-term, backed by collateral. The CP–Tbill spread measures 90-day unsecured borrowing by financial firms — longer maturity, no collateral. CP spreads tend to spike more violently than the TED spread because unsecured lending is riskier and the CP market is more sensitive to credit concerns. In 2008, both spiked simultaneously and severely.
What caused the 2008 CP market freeze?
On September 16, 2008 (the day after Lehman filed for bankruptcy), the Reserve Primary Fund announced it had broken the buck — its NAV fell below $1 due to holdings of Lehman commercial paper. This triggered a mass redemption run on money market funds broadly. Since money market funds were the primary buyers of financial commercial paper, their inability to buy new CP meant financial firms could not roll over maturing paper. The Federal Reserve created the Commercial Paper Funding Facility (CPFF) on October 7, 2008 to directly purchase 3-month unsecured CP — effectively becoming the buyer of last resort.
Why is this spread the actionable signal rather than the raw DCPF3M rate?
The raw CP rate moves primarily with the Fed Funds target — in a 5.25% rate environment, a 5.4% CP rate is completely normal. But a CP rate 0.75% above T-bills in any rate environment means money market investors are charging a significant credit premium, which is the stress signal. The spread isolates the credit-risk component from the rate-level component. This is why DCPF3M on this dashboard is deliberately colored as "informational" (largely neutral) — the spread is the measure that should drive concern.
How quickly does the CP–Tbill spread respond to stress?
Very quickly — commercial paper is priced daily and the spread can blow out within a single trading session if market sentiment deteriorates sharply. During the March 2020 dash-for-cash, the spread moved from near-zero to over 2 percentage points in roughly a week. This real-time responsiveness makes it an effective early warning indicator, though it can also produce false signals from short-term technical supply-demand imbalances.