I'm having a tough time finding a robust offering of OIS fixing data for valuations.I've tried the following providers:ICAPTullettsBGCICAP seems the best with CHF TOISEUR OIS (EONIA)GBP OIS (SONIA)JPY OIS (TONAR)USD OIS I'm looking for a larger offering than those 5 currencies. I realize some markets aren't that active but does anyone know a better source for this data or some insight?Thanks

By OIS fixing, do you mean the O/N rate or the various term rates for OIS swaps in various mkts?

Yes exactly. I'm looking for the O/N rates. I'm not looking for the term rates. I believe many of the central banks publish similar data but I'm trying to acquire this data from one source or provider.For Example:CHF ? SARON (Swiss Average Rate Overnight)JPY - Bank of Japan Uncollateralized Overnight Call RateCAD ? CORRA (Canadian Overnight Repo Rate)

Swiss OIS actually fixes off of TOIS. I would have thought you can find the data you're looking for on BBG. Obviously, all depends on how far back you're looking.

Yes. With BBG I was told you can go to SWDF and pick the currency to get the OIS curve but currently BBG restricts my companies current access because of competition (Trying to break the mold). This is why I am looking for outside vendors.I was also told about the PREB screen within BBG and I am guessing that is Tullett data. It looked like Reuters main provider was ICAP when I talked to their customer service reps. Either instance does not help.

Wait a second, you just said that you're looking for the O/N rate fixings, not the swap rates. Why do you need SWDF and PREB for the O/N rates? You can get them as individual tickers in BBG. For example, CAONREPO Index is the CAD CORRA, TOISTOIS Index is the CHF TOIS, etc.

Sorry for the confusion as I don't have full access to BBG. Yes I do need the O/N rates.I thought that these O/N rates may have been published on those screens as well along with the term. But regardless BBG is not a long term option to pull or receive these O/N rates on a daily basis.I get the OIS swap rates from IDBs but since the O/N rates are published by an underlying entity, like the Wholesale Markets Brokers' Association (WMBA) for SONIA daily, they only get limited access to these and cannot provide.

I don't understand, you have limited access to historical fixings?Whoever publishes the number would surely have an historical time series on their website.BBG would be the ideal place daily I would have thought, what's your objection to using the easy way?Where are all your other rates coming from?

Yes, limited access to historical fixings for Overnight Indexes outside of the following currencies:USD OISEUR EONIAGBP SONIAJPY MUTANCHF TOISCAD CORRACLP ND OIS CAMARAMost of these rates can be found free on the internet, besides SONIA which the Wholesale Markets Brokers' Association (WMBA) charges a fee for, and we have acquired a feed from interdealer brokers. Its easier to find the actual OISs term rates from IDBs than the historical fixings for valuations.We are trying to get a consistent feed of O/N Indexed fixing data for the following currencies: NOKSEKDKKAUDNZDHKDBRLTRYZARPLNHUFDo you know what the correct fixing index is or do they use a specific Overnight Repo or Call Rate to value these? Do you know any liquidity studies that show which currencies have a liquid OIS market across the world? Who else would know or have a robust offering of these fixing rates?Bloomberg is not an option because they decided we are a competitor and cannot access a full BBG terminal.

Ha ha, that's news to me anyway.I suppose you take for granted these things are published freely.If you can't use BB your best bet is probably Reuters.Datastream may have a lot of historical rates but they're not cheap.As a last resort do they publish it in the FT or somewhere?

QuoteOriginally posted by: NAVigateWe are trying to get a consistent feed of O/N Indexed fixing data for the following currencies: NOKSEKDKKAUDNZDHKDBRLTRYZARPLNHUFDo you know what the correct fixing index is or do they use a specific Overnight Repo or Call Rate to value these? Do you know any liquidity studies that show which currencies have a liquid OIS market across the world? Who else would know or have a robust offering of these fixing rates?Bloomberg is not an option because they decided we are a competitor and cannot access a full BBG terminal.I am pretty sure that the first five ccies on the above list have reasonably liquid OIS mkts. As to who else can help locate there other than the likes of BBG/Reuters, I am not sure. Maybe you can discuss with ISDA and get the OIS definitions from them. That will give you a starting point that would allow you to hunt down whoever publishes the fixings.

Does anyone know where to find information on the market conventions for the swiss franc and hong kong dollar OIS swaps? I mean things like what is the day count convention (some markets use 360 and some use 365, right?); also, in some markets the payment is on the maturity date and some markets there is a 1-2 day wait, right. And on the start there can be a one or two wait from the trade to when you start accumulating. If I'm not mistaken Fed funds OIS swap typically have a 2 day wait and use actual 365, while GBP SONIA swap don't have a wait and use actual over 365. I would like to know these details for the other markets, but can't find any official documentation from the standard setting bodies in those markets. Does anyone have any suggestions?

"Ask a dealer" is the most commonly used solution, if I am not mistaken.

QuoteOriginally posted by: NAVigateYes, limited access to historical fixings for Overnight Indexes outside of the following currencies:USD OISEUR EONIAGBP SONIAJPY MUTANCHF TOISCAD CORRACLP ND OIS CAMARAMost of these rates can be found free on the internet, besides SONIA which the Wholesale Markets Brokers' Association (WMBA) charges a fee for, and we have acquired a feed from interdealer brokers. Its easier to find the actual OISs term rates from IDBs than the historical fixings for valuations.We are trying to get a consistent feed of O/N Indexed fixing data for the following currencies: NOKSEKDKKAUDNZDHKDBRLTRYZARPLNHUFDo you know what the correct fixing index is or do they use a specific Overnight Repo or Call Rate to value these? Do you know any liquidity studies that show which currencies have a liquid OIS market across the world? Who else would know or have a robust offering of these fixing rates?Bloomberg is not an option because they decided we are a competitor and cannot access a full BBG terminal.For ZAR you may find some insight based on this article from Risk- the overnight rate is called Sabor.For PLN the fixing is called Polonia. The OIS basis is ACT/365F. The liquidity has significantly dropped in 2008 and is not recovering since that time. It only exists up to 1Y. Low liquidity is resulting from difficulties in managing the Polonia rate which tends to be volatile over the period, however the average is pretty stable.

BRL: BZDIOVRA Index at Bloomberg (exponential, compounded, business days / 252)