Data through: Nov 5, 2026 · updated Nov 7 · Updates: Daily
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 0th percentile — near historically low/favorable levels.
What this means right now: The spread is inverted — commercial paper yields less than T-bills, a rare technical condition on about 1 day in 113 since 1997 (60 days). It is not a stress reading.
CP–Tbill Spread (3-Month) · Daily · 1997–2026
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
Nov 2026
−0.03%
Very strong reading
Oct 2026
0.39%
Within normal range
Sep 2026
0.00%
Healthy reading
Aug 2026
0.09%
Healthy reading
Jul 2026
0.18%
Within normal range
Jun 2026
0.19%
Within normal range
Month-end readings of the same series as the chart. 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 gap between the 90-day AA financial commercial paper rate and the 3-month Treasury bill yield. It measures what large, highly rated financial firms pay to borrow for 90 days above the government rate. Usually the gap is small: its median since 1997 is 0.18 points.
The spread separates stress from the level of rates. A CP rate of 5% is normal when the Fed funds rate is 5.25%, but a CP rate 0.75 points above bills means investors want a premium to lend to financial firms.
The spread is one of the inputs to the site's Forward Stress gauge, carrying 3.6% of its weight.
It is a cousin of the SOFR–T-bill spread but covers a different market: three-month unsecured paper rather than overnight secured repo. In October 2008, after the Reserve Primary Fund broke the buck and money funds stopped buying, the spread reached 3.73 points, its record since 1997.
How We Color-Code the CP–Tbill Spread
Our heatmap colors this indicator against historically significant thresholds:
Below 0.00%
Inverted — CP below T-bills; rare, about 1 day in 113 since 1997 (60 days), a technical condition rather than stress
0.00% – 0.10%
Very tight — financial firms borrowing near the risk-free rate, about 1 day in 5 since 1997 (21%)
0.10% – 0.50%
Modest spread — the most common state, about 2 days in 3 since 1997 (64%)
0.50% – 1.00%
Elevated — money-market investors want a clear premium, about 1 day in 10 since 1997 (10%)
Above 1.00%
Severe — reached in 1998, 1999, 2000 (twice), from August 2007 to January 2009, in March 2020 and for one day in July 2022
Historical Extremes — What Happened Next?
When this indicator reaches extreme levels, history shows consistent patterns:
Oct 15, 2008Post-Lehman CP Market Freeze
3.73%
The record, a month after the Reserve Primary Fund broke the buck and money funds stopped buying commercial paper. The Fed had created its Commercial Paper Funding Facility on October 7, 2008, a week before this peak.
Mar 25, 2020COVID dash for cash
2.57%
The March 2020 dash for cash, as money funds stopped buying CP while investors redeemed. The site's data has no readings from March 27 to May 6, 2020; the first after, on May 7, was 0.10.
Jan 3, 2022Before the hikes
0.05%
Near zero, as on many days from 2010 to 2021, when the spread's median was 0.12 points. The low of 2022 came later, −0.37 on September 14.
Frequently Asked Questions
What is the difference between the CP–Tbill spread and the SOFR–T-bill spread?
Both measure the premium of short-term borrowing over T-bills, in different markets: the SOFR–T-bill spread covers overnight secured repo, this spread 90-day unsecured paper from financial firms. They do not always spike together. In March 2020 this spread moved far more, 2.57 points against 0.87. In the September 2019 repo squeeze it was the other way: the SOFR–T-bill spread spiked to 3.30 and this one reached only 0.22. The site's SOFR–T-bill series begins in 2018, so 2008 cannot be compared here.
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 does this spread, not the raw DCPF3M rate, carry the stress reading?
The raw CP rate moves mainly with the Fed funds rate, so a 5.4% CP rate is normal when the policy rate is 5.25%. A CP rate 0.75 points above bills, in any rate setting, means investors want a credit premium. That is why the raw rate's page is coloured mostly neutral and this spread carries the stress reading.
How quickly does the CP–Tbill spread respond to stress?
It is priced daily, so it can move within a session, but its record as an early warning is mixed. In 2007 it passed 1 point on August 15, about four months before the recession began. In 2020 it passed 0.5 only on March 11, after stocks had already fallen 10% and in the recession's first month.