This is a chart of 1-month Libor (interest the banks are charging each other) and 2-year Treasury bill:
The blue curve is an interest for risk-free investment into Treasuries, i.e. price of money minus risk. The orange curve is a price of money including risk. The difference between the curves is, more or less, price of the risk.
Does the current shape of the curve remind you some of the previous periods? Which one?