Goldman and the OIS gold rush: how fortunes were made from a discounting change

As the Street adapted to overnight indexed swap discounting, some desks are said to have booked profits running into the hundreds of millions of dollars – earning grudging praise, or just grudges, from their peers

“They rang everyone on the Street with this one,” says one head of swaps trading at an Asian bank, recalling how his firm was repeatedly asked by Goldman Sachs to step into a package of swap trades in 2008. The trades in question were two cross-currency swaps in the same currency pair – one would be out of the money for the new counterparty, while the other was flat. Goldman was offering to pay