Search: bill rate

Sort by: Relevance Date
1–8 of 8 collapsed search results for bill rate
Did you mean billrate?

RBA Glossary definition for bill rate

bill rate – The bill rate is the effective yield to maturity earned by the holder of a bill. The yield is usually expressed as a per annum rate.

Search Results

Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Bank bill rates also rose over this period, but not sufficiently to make investing in bills a profitable money market trade. ... 3-month). Bank bills. 3-month bank bill swap rate. ASX; RBA. Risk weights (w.
https://www.rba.gov.au/publications/rdp/2019/2019-09/full.html

Sensitivity Analysis

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Between 2016 and 2018, borrowing at the cash rate and lending into the repo market, the bank bill market, or foreign exchange swaps (JPY or USD), improved on baseline net returns ... The relative riskiness of the trade implies the use of more equity
https://www.rba.gov.au/publications/rdp/2019/2019-09/sensitivity-analysis.html

Estimation Results

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
At the beginning of the sample, the debt funding rate was well below the cash and other money market rates (Figure 6). ... Bank bill rates also rose over this period, but not sufficiently to make investing in bills a profitable money market trade.
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimation-results.html

Appendix A: Data Summary

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
RBA statistical table F5 ‘Lending Rates’. Repurchase agreement. Repo rate (1 month bucket) from open market operations. ... 3-month). Bank bills. 3-month bank bill swap rate. ASX; RBA. Risk weights (w.
https://www.rba.gov.au/publications/rdp/2019/2019-09/appendix-a.html

Introduction

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
In recent years, however, interest rates in short-term money markets have significantly and persistently deviated from each other, and from overnight cash rate expectations as captured by overnight indexed swaps ... Note: (a) Discounted variable rates on
https://www.rba.gov.au/publications/rdp/2019/2019-09/introduction.html

Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Mortgages:. Discounted variable lending rate on housing loans from RBA Statistical Table F5. ... Bank bills:. Bank Bill Swap (3 months) rate sourced from ASX.
https://www.rba.gov.au/publications/rdp/2019/2019-09/read-me.html

Estimating Funding Costs, Gross Returns and Net Returns

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
the Reserve Bank auction rate; (ii) Australian bank bills; and foreign exchange swaps where Australian dollars are lent against (iii) Japanese yen (JPY); and (iv) US dollars (USD). ... Bank bills as the average three-month bank bill swap rate. Foreign
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimating-funding-costs-gross-returns-and-net-returns.html

Opportunity Cost of Money Market Lending

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
money market rates. ... Figure 13: Return on Assets. Note: (a) Average of estimates for bank bills, repos and swaps into JPY and USD.
https://www.rba.gov.au/publications/rdp/2019/2019-09/opportunity-cost-of-money-market-lending.html