• The so-called FRA-OIS spread , which measures the gap between the U.S. three-month forward rate agreement and the overnight index swap rate, edged to its widest since Feb. 21, to 11.4 basis points. This spread is widely seen as a proxy for banking sector risk and a higher reading reflects rising interbank lending risk.
• Euro swap spreads, another risk gauge, widened sharply.
• Cross-currency basis swaps, a measure of non-U.S. investor demand for the dollar, another safe-haven, reached their widest in three years.