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Derivatives

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  • October 11, 2022
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Short Term Interest Rate Swap

An interest rate swap whose maturity doesn’t exceed 2 years. A short-term interest rate swaps (STIRS) involves the settlement of a fixed swap rate against an average overnight interest rate in a specific period. Since short-term interest-rate swaps reflect current and expected monetary-policy interest rates, the spreads between the reference rates and short-term interest-rate swaps can be seen as an indication of the size of the liquidity and risk premiums.

An example of this swap is the overnight index swap (OIS).


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