Trends and Developments

• The TD Financial Stress Index (TDFSI) was flat for Canada, but ticked up for the U.S., reversing the improvement made in the prior week.

• The dominant influence on the U.S. index appears to have been a 20bps widening in ABCP spreads.

• In contrast, the LIBOR-OIS spread continued to narrow and sits at the lowest level since Sept-08.

• The high cost in medium-term funding appears to be finally easing. In Canada, a 10 bps improvement in spreads in the past week brings the 4-week tally to 32bps in narrowing. Canadian spreads have eased back to late Nov-08 levels, but there is no question that they ultimately remain elevated. In the U.S., spreads have been narrowing at a much slower pace, with a 4-week tally of 10bps.