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Can you please confirm if the underlying rate of US overnight indexed swaps is SOFR or Fed funds?

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  • $\begingroup$ the default for OIS is certainly Fed Funds. But you could OIS SOFR, if you wanted. Even OIS the 30y Treasury yield for shits and giggles if that took your fancy instead. OIS is just a 1 day bet on any interest rate you might wish to punt on. $\endgroup$ – demully Feb 4 at 3:05
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    $\begingroup$ As @dm63 points out, 2-3y ago OIS would have unambiguously referred to a swap on the FF. With the new risk-free rates, it is not clear anymore, could be FF or SOFR, and it is actually quite likely SOFR will become the most liquid overnight rate so it might end up meaning a SOFR OIS swap. $\endgroup$ – Daneel Olivaw Feb 4 at 8:28
  • $\begingroup$ We are in a complicated multi-stage transition from FF to SOFR, so it is best to check carefully in each case what the person you are speaking to has in mind when they mention OIS. $\endgroup$ – noob2 Feb 4 at 13:18
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Well, OIS is actually a style of swap, based on overnight rates. It could have a Fed Funds or a SOFR underlying rate, or anything else. Up until recently , it was assumed in common parlance that OIS meant Fed Funds, but we do hear nowadays of OIS style SOFR swaps.

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OIS always refers to Fed Funds.

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