“Liquidity Concerns Build as Key Market Stress Indicator Surges”
March 6, 2020
“The FRA/OIS spread, a U.S. money-market benchmark that measures the difference in rates between forward-rate agreements and overnight index swaps, soared to the highest level since the funding upheaval seen back in September. That may be an indication of growing interbank risk or dollar hoarding behavior. At one point on Friday it widened to as much as 51 basis points, double its level from last week. It pared its move to around 43 after 3-month dollar Libor dropped more than 10 basis points, but is still up dramatically on the week…
The move came as the rally in global bonds gathered steam, with Treasury yields plummeting to record lows… “We are staring at the abyss of a credit crunch,” said Kaspar Hense, a portfolio manager at BlueBay Asset Management, noting in particular the widening of dollar FRA/OIS…”
https://finance.yahoo.com/news/credit-risk-concerns-build-key-124036016.html