LIBOR OIS Spreads / Tick History

We are currently receiving quite a few requests for help from academics looking into derivative classes which up until recently would have been deemed mysterious and complex. One such group is spreads between LIBOR and OIS. The wikipedia entry for LIBOR – OIS spreads is: http://en.wikipedia.org/wiki/LIBOR-OIS_spread

Data exists for 10 currencies: EUR, GBP, USD, JPY, CHF, CAD, AUD, NZD, SEK, DKK.

6 tenors are available for EUR, USD, GBP and JPY: 1 week, 1 month, 2 months, 3 months, 6 months and 1 year.

5 tenors are available for CAD, CHF, AUD, NZD, DKK and SEK: 1 month, 2 months, 3 months, 6 onths and 1 year.
It is possible to use the Tick History database to retrieve historical LIBOR OIS Spread fix rates as well as tick data.

1. Fix’s

For the LIBOR OIS Spread Fix rates, data is calculated on each day that a LIBOR fix is published. The “ask” price for the relevant OIS instrument is snapshot at 11h00 London time, across each applicable currency and tenor. Once the LIBOR rates are published, the OIS rate is subtracted from this, and mltiplied up by 100.

A chain is available which shows the full coverage for LIBOR OIS Fix’s, enter the following RIC: 0#LIBOROISF=R

Individual instruments are available using the following RIC structure:  XXXL-YYYF=R

XXX is the three letter currency code, and YYY describes the tenor as follows:

01W for 1 week
01M for 1 month
02M for 2 months
03M for 3 months
06M for 6 months
01Y for 1 year

As an example, the RIC for the LIBOR OIS spread fixing for the Euro, with a tenor of 1 week, is “EURL-01WF=R”.

Coverage of this asset class started on 2 May 2009.

2. Tick data

LIBOR OIS Spread Tick data is updated everytime there is an update to the underlying OIS price on the Thomson Reuters network, and when LIBOR is published. Again the OIS rate is subtracted from the prevailing LIBOR rate, and the result is multiplied by 100.

A chain is available which shows the full coverage for LIBOR OIS spreads, enter the following RIC: 0#LIBOROIS=R

Individual instruments are available using the following RIC structure: XXXL-YYY=R

XXX is the three letter currency code, and YYY describes the tenor as follows:

01W for 1 week
01M for 1 month
02M for 2 months
03M for 3 months
06M for 6 months
01Y for 1 year

As an example, the RIC for the LIBOR OIS spread fixing for the Euro, with a tenor of 1 week, is “EURL-01W=R”.

Coverage of this asset class started on 2 May 2009.