overnight index swap (OIS)

The Wholesale Markets Brokers’ Association (“WMBA”) today announces the launch of market making across a derivative curve settling on the Repurchase Overnight Index Average (“RONIA”), an initiative recognised by the Money Market Liaison Group. RONIA is an overnight, sterling-secured money market benchmark which was launched by WMBA in mid-2011. 

The proliferation of collateralised trading in response to the recent crisis has thrust the debate between OIS and LIBOR discounting into the limelight. Bob Emerson, head of Interest Rate Derivatives at SuperDerivatives explores the evolution and current implementation of OIS discounting curves

Principia Partners, a leading software solution provider for structured finance and capital markets investors, today released the latest version of its Structured Finance Platform (Principia SFP). Principia SFP Version 6.6 delivers enhanced valuation capabilities to support the shift in derivatives markets towards Overnight Index Swap (OIS) discounting, providing clients with the flexibility to adopt OIS discounting for collateral calculations and valuation of their derivative positions.

LCH.Clearnet Ltd’s (LCH.Clearnet) market-leading interest rate swap (IRS) clearing service SwapClear is to begin using the overnight index swap (OIS) curve to discount Japanese Yen IRS trades from October 2011. The total outstanding notional value of IRS denominated in JPY within SwapClear is currently ¥ 1417 trillion, comprising over 12% of the total SwapClear portfolio by value.