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Definition: Overnight index swap (OIS)
Category: Financial statistics
Interest rate swap where the periodic floating interest rate is equal to the geometric average of an overnight rate (or overnight index rate) over a specified term. The final payment will be calculated as the difference between the fixed interest rate and the compounded overnight rate recorded over the life of the OIS applied to the transaction nominal amount. https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2019.023.01.0019.01.ENG
Source:
European Central Bank, Regulation (EU) 2019/113 of the European Central Bank of 7 December 2018 amending Regulation (EU) No 1333/2014 concerning statistics on the money markets (ECB/2018/33), Official Journal of the European Union No L 23, 25.1.2019, p. 19 - 34
European Central Bank, Regulation (EU) 2019/113 of the European Central Bank of 7 December 2018 amending Regulation (EU) No 1333/2014 concerning statistics on the money markets (ECB/2018/33), Official Journal of the European Union No L 23, 25.1.2019, p. 19 - 34
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