Money MarketsCalculatedDaily
FRA-OIS Spread
What is FRA-OIS Spread?
The FRA-OIS spread is the difference between the 3-month forward rate agreement (FRA) and the overnight indexed swap (OIS) of the same tenor. It measures expected bank funding stress relative to the risk-free rate.
Why it matters
FRA-OIS is the post-LIBOR functional replacement for the TED spread. Sharp widening warns of bank funding stress and counterparty risk before it shows up in equity prices.
How to read prints
When it rises
Bank funding stress rising; counterparty risk elevated.
When it falls
Bank funding markets calm; counterparty risk low.
Frequently asked
What is the FRA-OIS spread?⌄
3-month Forward Rate Agreement minus 3-month Overnight Indexed Swap. It captures the markets expected term funding premium over the risk-free overnight rate.
Why is FRA-OIS the new TED spread?⌄
The TED spread used LIBOR, which was retired in June 2023. FRA-OIS uses transaction-based rates and is now the standard short-end bank-funding stress indicator.
What level signals stress?⌄
Normal: 5-15 bp. Elevated: 25-40 bp. Stressed: 50+ bp. The Mar 2020 peak was ~80 bp.
How does FRA-OIS differ from SOFR-OIS basis?⌄
FRA-OIS is forward-looking term funding; SOFR-OIS is the realized spread between secured overnight repo and OIS. Both spike in stress but for different reasons.
Track it on Market Ontology
Monitor FRA-OIS Spread in real time on Liquidity Regime, alongside regime classification, transmission mapping, and cross-asset context.
| Source | Calculated |
| Frequency | Daily |
| Category | Money Markets |
| Unit | bp |
| Related Module | Liquidity Regime |
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