Interest Rates Derivatives

AFS provides full services on Interest Rates Derivatives in all major currencies. The desk provides liquidity and price discovery in Future Rate Agreements (FRA), Interest Rate Swaps (IRS), Overnight Index Swaps (OIS) and Basis Swaps.

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Future Rate Agreements (FRA)

A forward rate agreements (FRA) is an over-the-counter contract between parties that determines the rate of interest to be paid on an agreed-upon date in the future. In other words, an FRA is an agreement to exchange an interest rate commitment on a notional amount.

Overnight Index Swaps (OIS)

An overnight indexed swap (OIS) is an interest rate swap (IRS) over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a daily compounded overnight rate over the floating coupon period. Note that the OIS term is not overnight; it is the underlying reference rate that is an overnight rate. The exact compounding formula depends on the type of such overnight rate.

Interest Rate Swaps (IRS)

An IRS is a popular and highly liquid financial derivatives instrument in which two parties agree to, based on a specified notional amount, exchange cash flows derived from the differential between a fixed rate and a floating rate, or two different floating rates.

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Phone: +31 (0) 20 5 220 220