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 overnight index swaps (OIS) curve, derived from forward interbank lending rates and used as a gauge of policy rate expectations, has dropped 1-5 basis points since the start of the year in Australia, New Zealand and India and held steady in Japan.
28 February 2014 -- US-based options and futures exchange operator CME Group Inc's (NASDAQ: CME) London-based CME Clearing Europe European clearing house unit said that it has received Bank of England approval to add overnight index swaps zero coupon swaps forward rate agreements basis swaps variable notional swaps and SEK DKK and NOK currencies for clearing beginning 3 March to its existing interest rate swap offering.
Central banks can promote alternative rates such as overnight rates and overnight index swaps (OIS) rates, the report said.
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.
Overnight Index Swaps linked to the April 7 meeting have risen to their highest levels since ECB President Trichet took markets by surprise at the March policy meeting by signalling a rate hike was likely next month.
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.
Trading, Hedging, and Valuation of Overnight Index Swaps with Numerix
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.
NEW YORK -- When and why did Overnight Index Swaps (OIS) become so important?
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.