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An overnight indexed swap (OIS) is an interest rate swap (IRS) over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a daily compounded overnight rate over the floating coupon period. Note that the OIS term is not ...
As OTC instruments, interest rate swaps (IRSs) can be customised in a number of ways and can be structured to meet the specific needs of the counterparties. For example: payment dates could be irregular, the notional of the swap could be amortized over time, reset dates (or fixing dates) of the floating rate could be irregular, mandatory break clauses may be inserted into the contract, etc.
SONIA (Sterling Overnight Index Average) is the effective reference for overnight indexed swaps for unsecured transactions in the Sterling market. SONIA is a risk-free rate . [ 1 ]
In recent years, interest rate swaps have become an important component of the fixed-income market. With an interest rate swap, investors will typically exchange or swap a fixed-interest payment ...
Fed policymakers at the median still see the central bank's benchmark overnight interest rate peaking this year in the 5.50%-5.75% range, just a quarter of a percentage point above the current ...
The forward values of the overnight rate can be read from the overnight index swap curve. "OIS-discounting" is now standard, and is sometimes, referred to as " CSA -discounting". See: Financial economics § Derivative pricing for context; Interest rate swap § Valuation and pricing for the math.
The so-called overnight reverse repurchase agreement rate, one of two technical lending rates the Fed uses to ensure the federal funds rate stays within its monetary policy target range, is ...
Secured Overnight Financing Rate (SOFR) is a secured overnight interest rate. SOFR is a reference rate (that is, a rate used by parties in commercial contracts that is outside their direct control) established as an alternative to LIBOR. LIBOR had been published in a number of currencies and underpins financial contracts all over the world.