Overnight indexed swap: Difference between revisions
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(OIS). A fixed rate interest rate swap against a floating rate index such as SONIA, EURONIA or | (OIS). | ||
A fixed rate interest rate swap against a floating rate index such as SONIA, EURONIA, €STR, SOFR or the Federal Funds rate. | |||
The two parties to the OIS agree to exchange the difference between the interest accrued at an agreed fixed interest rate for a fixed period (for example 3 months) on an agreed notional amount, and the interest accrued on the same amount, by compounding the reference index daily over the term of the swap. | The two parties to the OIS agree to exchange the difference between the interest accrued at an agreed fixed interest rate for a fixed period (for example 3 months) on an agreed notional amount, and the interest accrued on the same amount, by compounding the reference index daily over the term of the swap. | ||
Settlement is made net at an agreed date after maturity (in the sterling market settlement is on the maturity date) so the principal never changes hands. | Settlement is made net at an agreed date after maturity (in the sterling market settlement is on the maturity date) so the principal never changes hands. | ||
Sometimes written Overnight ''index'' swap. | |||
== See also == | == See also == | ||
* [[ | * [[Credit risk]] | ||
* [[€STR]] | |||
* [[Early warning indicator]] (EWI) | |||
* [[EURONIA]] | * [[EURONIA]] | ||
* [[Federal funds futures]] (FFF) | |||
* [[Federal Funds Rate]] | |||
* [[Index]] | |||
* [[Interest rate swap]] | |||
* [[Principal]] | |||
* [[Risk-free rates]] | |||
* [[SOFR]] | |||
* [[SONIA]] | * [[SONIA]] | ||
* [[Swap]] | |||
* [[TORF]] | |||
[[Category:Manage_risks]] | |||
Latest revision as of 04:02, 5 October 2024
(OIS).
A fixed rate interest rate swap against a floating rate index such as SONIA, EURONIA, €STR, SOFR or the Federal Funds rate.
The two parties to the OIS agree to exchange the difference between the interest accrued at an agreed fixed interest rate for a fixed period (for example 3 months) on an agreed notional amount, and the interest accrued on the same amount, by compounding the reference index daily over the term of the swap.
Settlement is made net at an agreed date after maturity (in the sterling market settlement is on the maturity date) so the principal never changes hands.
Sometimes written Overnight index swap.
