Vanilla (Swap) Sky! FRA-OIS Spread Highest Since Q1 2009 (Dow Up Almost 10%)

The spread between forward rate agreements (FRA) and overnight indexed swaps (OIS) just spiked to the highest level since Q1 2009.

vansky

A vanilla interest rate swap is an agreement between two counter-parties to exchange cashflows (fixed vs floating) in the same currency.  This agreement is often used by counterparties to change their fixed cashflows to floating or vice versa.

The payments are made during the life of the swap in the frequency that is pre-established by the counter-parties.

ycsc

Here is Tom Cruise wearing his Coronavirus mask from Vanilla Sky.

vanskyscruise

Good news! The stock market is up almost 10%, the exact opposite of yesterday.

mktup10

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