- FRA/OIS at circa 38bps is holding close to the day’s highs in a net climb from 35bps late yesterday.
- That said it remains at the lower end of the range since spiking to almost 70bps on Mar 13. Whilst up from the historically tight 3-5bps shortly before regional banking woes came to the forefront, it still compares favourably to sustained levels >40bps in Oct-Nov’22 approaching and after the last 75bp Fed hike.
[correcting previous post with the clearly wrong CANADA label]
US FRA/OIS 1st roll (white) and 2nd roll (yellow)Source: Bloomberg
