April 22, 2024

– The difference between the FRA (Forward Rate Agreement) and OIS (Overnight Index Swap)
– For the US, the FRA is the 3-month Libor (London interbank offered rate)
– For the US, the OIS is the Fed Reserve overnight index rate
– An indicator of funding stress in the banking sector and liquidity shortage
– Peaked to 170 in November 2008
– Has spiked to 2009 levels

Links
Something Is Breaking: Fed Fails To Ease Epic Dollar Shortage As FRA/OIS Goes Parabolic
Why It Matters That the FRA-OIS Spread Is Widening
Deeper look at the spike in the 3-month FRA-OIS spread and repo rates.