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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 ...
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 ]
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.
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.
The reason for the change is that, post-crisis, the overnight rate is the rate paid on the collateral (variation margin) posted by counterparties on most CSAs. 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".
By Erik NorlandInterest rate differentials between currencies can be crucial in foreign exchange markets for pricing purposes such as in the carry trade, and they have taken on added significance ...
Savings interest rates today: Swap sluggish savings for faster growth at up to 5.10% APY this weekend — Dec. 6, 2024. Kelly Suzan Waggoner. Updated December 6, 2024 at 8:16 AM.
The success of the Overnight NSE MIBID MIBOR encouraged the Exchange to develop a benchmark rate for the term money market. NSE launched the 14-day NSE MIBID MIBOR on November 10, 1998, and the longer term money market benchmark rates for 1 month and 3 months on December 1, 1998.