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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.
An interest rate swap's (IRS's) effective description is a derivative contract, agreed between two counterparties, which specifies the nature of an exchange of payments benchmarked against an interest rate index. The most common IRS is a fixed for floating swap, whereby one party will make payments to the other based on an initially agreed ...
Year-on-year inflation bottomed at 5% in December 1976 before moving higher once again. Paul Volcker was chosen as Fed Chairman in 1979 in order to deal with the challenge of high inflation. In a rare Saturday press conference on October 6, 1979, [ 6 ] Paul Volcker 's federal reserve increased the Fed Funds rate from 11% to 12%. [ 7 ]
A "five-year Euribor" will be in fact referring to the 5-year swap rate vs 6-month Euribor. "Euribor + x basis points", when talking about a bond, will mean that the bond's cash flows have to be discounted on the swaps' zero-coupon yield curve shifted by x basis points in order to equal the bond's actual market price.
For interest rate swaps, the Swap rate is the fixed rate that the swap "receiver" demands in exchange for the uncertainty of having to pay a short-term (floating) rate, e.g. 3 months LIBOR over time. (At any given time, the market's forecast of what LIBOR will be in the future is reflected in the forward LIBOR curve.)
The S&P 500's average annual return is around 10%, making the 12-month returns that follow rate cuts, on average, well below this bogey. And with the exceptions of 1974, 1989, and 2019, year-ahead ...
At the conclusion of its fifth rate-setting policy meeting of 2024 on July 31, 2024, the Federal Reserve left the federal funds target interest rate at a 23-year high of 5.25% to 5.50% for an ...
Signs of cooling inflation paved the way for September’s first rate cut in four years, with economic data indicating a continued decline from a peak of 9.1% in June 2022 to rates that have ...