用語

  • 思わずスルーしそうになってしまったので、忘れない内に調べておきます。

EONIA

Eonia (Euro OverNight Index Average) is an effective overnight interest rate computed as a weighted average of all overnight unsecured lending transactions in the interbank market. It has been initiated within the euro area by the contributing panel banks. It is one of the two benchmarks for the money and capital markets in the euro zone (the other one being Euribor). The banks contributing to Eonia are the same as the Panel Banks quoting for Euribor.

EURIBOR

The Euro Interbank Offered Rate (Euribor) is a daily reference rate based on the averaged interest rates at which Eurozone banks offer to lend unsecured funds to other banks in the euro wholesale money market (or interbank market).

FRA

What Does Forward Rate Agreement - FRA Mean?
An over-the-counter contract between parties that determines the rate of interest, or the currency exchange rate, to be paid or received on an obligation beginning at a future start date. The contract will determine the rates to be used along with the termination date and notional value. On this type of agreement, it is only the differential that is paid on the notional amount of the contract.
Also known as a "future rate agreement".

FRA-OIS Spread

Forward spreads suggest the tension will not ease soon.

The three-month FRA/OIS spread, a gauge of future money market tension, was at 40.4 bps for September, up from 20 bps in mid-April but off 42 bps on Monday

  • これを引用するのが適切かどうかはともかく、LIBOR-OIS Spreadと同様にインターバンク市場におけるストレスの強度を測る指数の一つと言うことで。
  • 意味的に考えると、LIBOR-OIS Spreadが現時点での調達金利とOISのSpreadなのに対して、FRA-OIS Spreadは先物とOISのSpreadなので、比較対象の時間軸が異なると理解しておけばよいだろうか。

FIAT Money

Fiat money is money that has value only because of government regulation or law. The term derives from the Latin fiat, meaning "let it be done", as such money is established by government decree. Where fiat money is used as currency, the term fiat currency is used.