OIS – Overnight Indexed Swaps Product Specification

Product Code:

IRD-OIS-GLO-ALL

Description:

Our Overnight Index Swaps (OIS) data packages offer price transparency for the global OIS markets. Coverage includes spot and forward start OIS, OIS spreads, IMM dates and central bank meeting dates for both deliverable and non-deliverable currencies.

Data Source:

Data sourced directly from Tradition’s brokerage desks with 17 global desks.

Delivery Method:

• real-time:Access real-time data
• Hourly:Receive hourly snapshots delivered via SFTP.
• end-of-day:Obtain end-of-day snapshots delivered via SFTP.

Data Frequency:

Market data is updated real-time directly sourced from various trading platforms.

Data Format:

CSV files for hourly snaps , FIX API for Real-time

Data Coverage:

• Asset Class: IRD Interest Rate Derivatives (IRD)
• Sub Class: Overnight Indexed Swaps (OIS)
• Key stats : +3.4K instruments 25 currencies 17 global desks

Tradition Data Packages:

Product Code	Product Name
IRD-OIS-GLO-ALL	Global ALL
IRD-OIS-AME-ALL	Americas ALL
IRD-OIS-AME-ARM	Americas Regional Majors
IRD-OIS-AME-DOE	Americas Dollar Emerging
IRD-OIS-EUR-ALL	Europe, Middle East & Africa ALL
IRD-OIS-EUR-ERM	Europe, Middle East & Africa Regional Majors
IRD-OIS-EUR-EUE	Europe, Middle East & Africa EURO Emerging
IRD-OIS-EUR-SCA	Europe, Middle East & Africa Scandi
IRD-OIS-APA-ALL	Asia Pacific ALL
IRD-OIS-APA-AUS	Asia Pacific Australasia
IRD-OIS-APA-CHI	Asia Pacific China
IRD-OIS-APA-GCH	Asia Pacific Greater China
IRD-OIS-APA-JPY	Asia Pacific Japan
IRD-OIS-APA-KOR	Asia Pacific Korea
IRD-OIS-APA-SEA	Asia Pacific South East Asia

Curve Specification Samples

EUR ESTR OIS
Currency	EUR	EUR
Settlement	T+2 Days	T+2 Days
Discounting	OIS	OIS
Day Count	ACT/360	ACT/360
Payment Frequency	Annual	Annual
Index	ESTR ON Rate	ESTR ON Rate
Reset Frequency	Quarterly	Quarterly
Business Adjustment	Modified Following	Modified Following
Adjust	Accrual and Pay Dates	Accrual and Pay Dates
Roll Conv	Backward EOM	Backward EOM
Calc. Calendar	Eurozone	Eurozone
Fixing Calendar	Eurozone	Eurozone
Fixing Lag	0 Days	0 Days
Payment Delay	1 Days	1 Days
Reset Position	In Advance	In Advance

USD SOFR OIS
Currency	USD	USD
Settlement	T+2 Days	T+2 Days
Discounting	OIS	OIS
Day Count	ACT/360	ACT/360
Payment Frequency	Annual	Annual
Index	US SOFR Rate	US SOFR Rate
Reset Frequency	Daily	Daily/td>
Business Adjustment	Modified Following	Modified Following
Adjust	Accrual and Pay Dates	Accrual and Pay Dates
Roll Conv	Backward EOM	Backward EOM
Calc. Calendar	FR	FR
Fixing Calendar	US Govt Bond Market	US Govt Bond Market
Fixing Lag	0 Days	0 Days
Payment Delay	2 Days	2 Days
Reset Position	In Arrears	In Advance

SGD SORA OIS
Currency	SGD	SGD
Settlement	T+2 Days	T+2 Days
Discounting	OIS	OIS
Day Count	ACT/365	ACT/365
Payment Frequency	Annual	Annual
Index	SORA ON Rate	SORA ON Rate
Reset Frequency	Daily	Daily
Business Adjustment	Modified Following	Modified Following
Adjust	Accrual and Pay Dates	Accrual and Pay Dates
Roll Conv	Backward EOM	Backward EOM
Calc. Calendar	Singapore	Singapore
Fixing Calendar	Singapore	Singapore
Fixing Lag	0 Days	0 Days
Payment Delay	2 Days	2 Days
Reset Position	In Arrears	In Advance

FAQ:

Question	Answer
How many snap files are available per day?	24 files per day
What are the Key benefits of TraditionData Data package?	Manage Interest Rate Risk: OIS can be used by financial institutions such as banks, pension funds, and insurance companies to manage interest rate risk on their fixed-rate assets and liabilities. For example, a bank with a large portfolio of fixed-rate mortgages may use OIS to hedge against a rise in interest rates. Speculation: OIS can be used by hedge funds and other financial institutions to speculate on interest rate movements. Funding and Liquidity Management: OIS can be used by financial institutions to manage their funding and liquidity needs. For example, a bank may use OIS to raise funds at a lower cost than traditional borrowing methods. Basis Trading: Some traders use OIS as a hedge against basis risk, which is the risk that arises from the difference between the cash and derivative market. By using OIS, traders can lock in a specific interest rate spread between the cash and derivative market.
What is an OIS?	An OIS is a type of interest rate swap in which two parties agree to exchange a series of interest rate payments based on a specified notional amount. One party pays a fixed rate of interest and the other pays a compounded or averaged interest rate based on a specified overnight index which is typically derived from specific overnight lending activity, such as the Federal Funds rate in the US. In many currencies, OIS’ are commonly used as a benchmark for short-term interest rates, an alternative to existing or deprecated term IBOR fixings. OIS are generally considered to be more robust than other short-term IBOR benchmarks because they are typically based on more liquid lending activity. As OIS are based on overnight lending, and in some cases collateralised overnight lending (e.g. SOFR in US dollars), OIS rates can be considered to represent a very low level of credit risk, lower than term IBOR rates. In this respect, OIS rates can serve as a base level over which credit risk can be expressed as a credit spread. In some currencies OIS swaps, based on ARRs (alternative reference rates) have replaced IBOR swaps completely, for example GBP (SONIA), JPY (TONA) and USD (SOFR) in June 2023.
Is Historical Data Available?	Yes, It varies by currency, for example, the EUR OIS has been been available since 2009 however, the USD OIS has been available since 2020.

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