The difference between a hypothetical note‘s yield and the Treasury note’s actual yield. The hypothetical note’s yield is the full price of the note minus the T-note’s accrued interest. The full price is the present value of the T-note’s cash flows calculated using the zero coupon prices based on stub LIBOR rates and Eurodollar futures rates.
The implied price TED is usually expressed in semiannual bond equivalent basis points.
