LONDON (Reuters) – A closely-watching gauge of funding stress in global financial markets rose on Friday to its highest levels since around mid-2020, as the conflict in Ukraine continue to ripple out.
The gap between the U.S three-month forward rate agreement and the three-month overnight index swap rate, a funding stress indicator, rose to around 25.5 basis points in London trade from 23.7 bps on Thursday.
That was its highest level since May 2020, surpassing a peak hit the previous session. A higher spread reflects rising interbank lending risk or banks hoarding up U.S. dollars.
The FRA-OIS spread measures the difference between the three-month Libor or the inter-bank lending rate and the overnight index rate, or the effective fed funds rate — the risk-free rate set by the U.S. Federal Reserve.
(Reporting by Dhara Ranasinghe; Editing by Saikat Chatterjee)
