The National Bank of Hungary (NBH) will start publishing Overnight Indexed Swap (OIS) quotes (HUFONIA swap index) on its website on October 18, the bank said on Monday.
The index, operated jointly by the MNB and the Hungarian Forex Association, is based on quotes by 12 banks, the bank said, adding that the new index may support the launch and development of the HUF OIS market.
The MNB will publish official OIS rates daily at 11:30am on workdays for eight maturities between one week and one year.
The underlying product behind the OIS quotes is the HUFONIA (Hungarian Forint Overnight Index Average) reference rate that is calculated as the weighted average rate of all unsecured forint overnight-transactions on the interbank market on a given day, except for those made with the central bank, derived from daily reports by credit institutions. The rate for any given date is published next morning at 11 a.m. on working days.
The MNB started publishing HUFONIA on its website daily on September 1, 2010, at the same time publishing daily HUFONIA values and turnovers retroactively starting from 2002 until August 31, 2010.
The bank said that the wider use in the domestic market of derivative transactions based on expected future movements in overnight interbank rates may help market participants manage their interest rate risk more efficiently and define realistic levels of short-term (less-than-one-year) interbank rates. (MTI-Econews)