Sentence examples for index swap from inspiring English sources
We find that volatility in the federal funds market contributed to elevated Overnight Index Swap (OIS) spreads of unsecured bank funding rates during the crisis.
To start, while the implied Libor-overnight index swap spread has quadrupled since April, to 0.46 percentage point, it is far below the September 2008 peak of nearly two percentage points.
Term auction credit is available at a slight penalty rate to the overnight index swap rate (OIS), and commercial paper can be issued to the Fed for 100 to 300 basis points over OIS.
The Libor-OIS spread is the three-month London Interbank Offered Rate (Libor) minus the three-month overnight index swap (OIS).
The swap receiver pays LIBOR plus a spread to go into a one-year index swap with a $50 million notional amount and would receive quarterly payments from the NAREIT index on $50 million.
In addition, Treasury's proposal would create regulatory arbitrage between narrow-based security index swaps and broad-based security index swaps.
Some regulators have called for alternative benchmarks, including the overnight index swaps rate, that are based on real transactions.
"Dodd-Frank was intended to include these commodity index swaps with strict limitations on the participation of speculators in the commodities staples futures markets," Mr. Greenberger says.
Once again there is a widening gap between Libor, the rate banks pay to borrow from each other, and overnight index swaps, the borrowing cost of governments.
According to Zohar Hod of SuperDerivatives, a derivatives-pricing firm, there has already been movement away from LIBOR towards using overnight index swaps to discount cash flows on certain instruments.
