Overnight Index Swap


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Overnight Index Swap

A short-term, plain vanilla swap in which the legs are a fixed interest rate and the current rate for an overnight loan. As with all interest rate swaps, an overnight index swap is calculated over some notional amount.
References in periodicals archive ?
The Bloomberg Indonesian Overnight Index Swaps platform underlines Bloomberg's vision, capability and commitment to helping the Asia-Pacific capital markets grow.
When and why did Overnight Index Swaps (OIS) become so important?
Meanwhile, RBA Governor Stevens said that "it is now prudent to begin gradually lessening the stimulus provided by monetary policy," suggesting more rate hikes may follow, with Credit Suisse overnight index swaps now pricing in another 175 basis points worth of increases over the next 12 months.
Reuters Dealing 3000 platform is used by nearly 18,000 FX and money market professionals across 4,000 organizations to trade FX spot, forwards, options, futures, plus interest rate and overnight index swaps.
Overnight index swaps jumped to 99bps of rate hikes over the next twelve month from 85 yesterday.
Overnight index swaps from Credit Suisse are pricing in 85.
BGC was also awarded second or third place in 29 additional categories which included short dated interest rate swaps, interest rate swaps 2-10 years, overnight index swaps and forward rate agreements.
Trading in overnight index swaps suggests traders are pricing the likelihood that the RBA will raise rates by 175-200 basis points over the next 12 months.
This new index will promote the development of new markets and products, providing a reference rate for long term swaps, creating a forward rate agreement market on Overnight Index Swaps and adding volume to the basis swap market.
As it stands, Credit Suisse Overnight Index Swaps (OIS) are pricing in a 60 percent chance of a 25 basis point rate hike during this upcoming meeting - which we think to be highly unlikely - and 175 basis points worth of hikes over the next 12 months, which is generally in line with what we've seen since early August.
Meanwhile, Credit Suisse overnight index swaps are up 187bp this month as the RBA maintains a neutral policy stance, and long-term expectations for higher borrowing costs is likely to drive the aussie-dollar higher as investors speculate the central bank to tighten policy over the next 12 months.
The pair continues to see little relationship with interest rate expectations with overnight index swaps holding only a 0.