Questions tagged [ois]

The tag has no usage guidance.

5 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
4
votes
0answers
91 views

What instrument to hedge derivatives' interest rate duration risk?

Our market making desk is back-to-back on FX notionals, but has a residual interest rate risk measured by DV01. Currently we are using EuroDollar futures to hedge, with each contract the DV01 is $25. ...
2
votes
0answers
80 views

USD OIS curve. Why is the the bid bigger than the ask for maturities > 7 years?

I was wondering why the bid is larger than the ask for maturities bigger than or equal to 7 years? If i export the screen to Excel i can see how the bid and ask swap rates are calculated. For the ...
2
votes
0answers
31 views

Any Suggestion for Credit Risk Measure for Banking Industry in Turkey?

I need a measure that will proxy for overall credit risk in the banking industry of Turkey. The literature offers LIBOR-OIS spread and Moody's Baa-Aaa spread as strong candidates. However, these ...
2
votes
0answers
154 views

Why is the SOFR par coupon rate trading higher than Fed funds?

SOFR is a 'secured rate' while the latter is not. Therefore, I would assume a 1y SOFR swap to trade at a lower par rate than a 1y fed funds overnight index swap. Any insights would be greatly ...
0
votes
0answers
30 views

OIS vs Libor for cross currency

I would like to understand the convention for discount rates fro cross currency swaps. It seems to be market convention (Australia) to discount collateralize positions with OIS and uncollateralized ...