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Overnight index swap

A swap exchanging a fixed rate for the compounded average of an overnight rate, widely used to read market expectations for central bank policy.

Because the floating leg compounds an overnight rate set by policy, an OIS covering the period to a central bank meeting prices what the market expects that meeting to deliver. Reading a strip of OIS rates gives the implied path of policy over the coming year.

OIS rates are also the standard discounting curve for collateralised derivatives, since cash collateral typically earns the overnight rate. The spread between term lending rates and OIS is a widely watched indicator of bank funding stress.

For traders, OIS provides a way to express a view on the timing and size of policy moves with minimal credit exposure. See fomc and federal-funds-rate.

Related: interest-rate-swap, fomc, federal-funds-rate, swap, rate-hike, yield-curve

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