Overnight index swap

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An overnight index swap ( OIS ) is an interest rate swap in which a fixed interest rate is exchanged for a variable one, with the variable interest rate being based on an overnight index (usually EONIA for the euro as the currency ). The interest flows are compounded at the end of the term and the resulting difference is settled between the contractual partners at the end. When the transaction is concluded, the amount of the fixed rate, the nominal volume and the term are agreed.

The swaps are named differently for each currency or the relevant index:

• EUR = EONIA swap
• USD = Fed Funds Swap
• GBP = SONIA swap
• CHF = SARON