OIS volumes collapse after rates plummet

Trading in overnight index swaps (OIS) collapsed last week, having hit record highs at the end of February and early March.

The week ending March 20 saw $502 billion in notional traded for USD OIS swaps, according to data from the Depository Trust & Clearing Corporation’s (DTCC) trade repository. This compares to $1.29 trillion for the week ending March 13 and $3.25 trillion in the week ending February 28, probably an all-time high.

Just $57.8 billion of notional hit the market on March 17

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