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Overnight Index Swaps

An Overnight Index Swap (OIS) is an interest rate swap agreement where a fixed rate is swapped against a pre-determined published index of a daily overnight reference rate for example SONIA (GBP) or EONIA (EUR) for an agreed period. The Overnight Index Swap market has grown significantly in importance during the financial turmoil of the last few years.

ICAP provides a dedicated service covering a range of currencies and maturity bands in the OIS market.

Our OIS desks enable customers to hedge risks related to short-term interest rate movements and conduct arbitrage transactions, with terms of swaps ranging from a couple of weeks to two years.

Market volatility has started to increase liquidity in the short-term OIS markets, with the OIS rate being considered a valuable indicator of risk and liquidity in the money markets.

ICAP provides voice broking in Overnight Index Swap trades. Our skilled team of brokers can advise on current trends in money markets and provide solutions to meet the specific needs of customers.

The i-Swap electronic platform operates a regulated Multilateral Trading Facility (MTF) for euro denominated overnight index swaps . The platform supports both Central Limit Order Book (CLOB) and Targeted Streaming (TS) markets with full trading functionality available to all market users. Its hybrid CLOB and pure electronic TS markets ensure leading liquidity, execution and transparency, and combine the best of voice and electronic markets.