overnight index swap rate
overnight index swap rate
This is the difference between the overnight lending rates set by central banks and the three-month Libor. This spread is known as the overnight index swap rate (OIS). The OIS tracks the relationship between an expected three-month Fed funds rate and three-month Libor. [1]
The overnight index swap rates are used as a guide to market conditions because they measure rates traded in the market. [2]
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