3-Month Overnight Index Swap (OIS) futures track the overnight effective Federal Funds rate, a major benchmark of the U.S. short-term interest rate market, and will provide a complement to the 30-Day Fed Funds and Eurodollar contracts.

While the Fed Funds contract reflects the average of the Fed Funds rate over the course of a calendar month, the 3-Month OIS contract reflects the compounded Fed Funds rate over a 3-month period that is identical to the interbank deposit tenor for the corresponding 3-Month Eurodollar futures contract.

3-Month OIS futures offer a direct and efficient way to:

• Trade the spread between 3-month LIBOR and 3-month overnight rates
• Express longer term views on FOMC policy
• Hedge OIS exposure

For 3-Month OIS futures CME Group will list Intercommodity spreads against Eurodollars, Calendar spreads, and packs and bundles. Implied spreads and 3-Month OIS options will be listed at a later date.

The 3-Month OIS futures will trade side-by-side on the CME Globex electronic trading platform as well as open outcry.

For more information, contact the CME Group Interest Rate Products Team at 866-501-3646 or interestrates@cmegroup.com.

Resources:

3-Month OIS Contract Specifications
3-Month OIS Reference Quarters, Last Trading Days and Expiry Examples
Federal Open Markets Committee
3-Month OIS Futures Reference Guide