Overnight Indexed Swaps and Overnight Indexed Swaps Yield Curve

Australian Overnight Indexed Swaps

An overnight index swap is simply an interest rate swap where the floating overnight rate is fixed to an overnight index rate such as the Sterling Overnight Index (SONIA) or the Euro Overnight Index (EONIA) instead of the more traditional rate supplied by the three or six-month London Interbank Offered Rate (LIBOR).

Date	Value	Previous	Change
May 15, 2012	3.69	3.71	-2.00 bps
May 14, 2012	3.71	3.71	--
May 11, 2012	3.71	3.73	-2.00 bps
May 10, 2012	3.73	3.71	+2.00 bps
May 9, 2012	3.71	3.71	--
May 8, 2012	3.71	3.73	-2.00 bps
May 7, 2012	3.73	3.74	-1.00 bps
May 4, 2012	3.74	3.75	-1.00 bps
May 3, 2012	3.75	3.75	--
May 2, 2012	3.75	3.75	--

Date	Value	Previous	Change
May 15, 2012	3.52	3.53	-1.00 bps
May 14, 2012	3.53	3.55	-2.00 bps
May 11, 2012	3.55	3.57	-2.00 bps
May 10, 2012	3.57	3.53	+4.00 bps
May 9, 2012	3.53	3.54	-1.00 bps
May 8, 2012	3.54	3.54	--
May 7, 2012	3.54	3.60	-6.00 bps
May 4, 2012	3.60	3.59	+1.00 bps
May 3, 2012	3.59	3.62	-3.00 bps
May 2, 2012	3.62	3.59	+3.00 bps

Date	Value	Previous	Change
May 15, 2012	3.27	3.30	-3.00 bps
May 14, 2012	3.30	3.31	-1.00 bps
May 11, 2012	3.31	3.34	-3.00 bps
May 10, 2012	3.34	3.28	+6.00 bps
May 9, 2012	3.28	3.31	-3.00 bps
May 8, 2012	3.31	3.30	+1.00 bps
May 7, 2012	3.30	3.39	-9.00 bps
May 4, 2012	3.39	3.40	-1.00 bps
May 3, 2012	3.40	3.42	-2.00 bps
May 2, 2012	3.42	3.40	+2.00 bps

Australian Overnight Indexed Swaps Yield Curve

An overnight index swap is simply an interest rate swap where the floating overnight rate is fixed to an overnight index rate such as the SONIA or the EONIA instead of the more traditional rate supplied by the three or six-month LIBOR rates.