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 ?
Central banks can promote alternative rates such as overnight rates and overnight index swaps (OIS) rates, the report said.
India's bond yields and overnight index swaps (OIS) rates fell on the news, with some investors predicting the low number will lead the Reserve Bank of India to cut the repo rate at its policy meeting on July 31.
The spread between three-month interbank euro lending rates and less risky overnight index swaps is now as wide as it was prior to the worst of the financial crisis.
Meanwhile the closely-watched spread between three-month lending rates and overnight index swaps, a sign of where markets think Bank rate will be in three months time, narrowed to 1.
These concerns are shown in the closely-watched spread between three-month interbank rates and overnight index swaps - a measure of where markets think interest rates will be in three months' time.
Dollar swaps, Euro swaps and Overnight Index Swaps increased by 38% in H1 2008 compared to a year earlier.
Bloomberg, the leading provider of business and financial news and data around the globe, today announced the opening of the first Overnight Index Swaps market in Indonesia.
com), the leading provider of cross-asset analytics for derivatives valuations and risk management, released in its latest version of Numerix CrossAsset new capabilities to help clients manage the pricing, risk and quantitative modeling challenges associated with valuing collateralized derivatives trades using Overnight Index Swaps (OIS) discounting.
It specialises in operating licensed electronic markets for trading over 800 Australian and New Zealand debt securities and interest rate derivatives, including Australian government and semi-government bonds, treasury notes, corporate bonds, floating rate notes, New Zealand government bonds, interest rate swaps, overnight index swaps, forward rate agreements and bank bills.
Meanwhile, the closely-watched spread between three-month lending rates and overnight index swaps narrowed to 1.
CHICAGO, July 29 /PRNewswire-FirstCall/ -- In a further expansion of its short-term interest rate product offerings, CME Group, the world's largest and most diverse derivatives exchange, today announced plans to offer 3-month Overnight Index Swaps (OIS) futures and options on futures.
Trading, Hedging, and Valuation of Overnight Index Swaps with Numerix