Search: OIS
RBA Glossary definition for OIS
OIS – Overnight indexed swap, a bilaterally traded, or over-the-counter (OTC), derivative in which one party agrees to pay the other party a fixed interest rate in exchange for receiving the average cash rate recorded over the term of the swap.
Search Results
Data
23 Apr 2019
RDP
2019-03
Unlike futures contracts which refer to the overnight rate in a particular calendar month, the maturity in the OIS contract is fixed. ... Hence they allow investors to more finely calibrate their hedges. OIS contracts are widely traded in a broad array
https://www.rba.gov.au/publications/rdp/2019/2019-03/data.html
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Read me file
12 May 2023
RDP
2023-04
Findur intraday OIS data.csv’ (monetary policy announcement OIS) – not for public release. ... Output folder:. Input dataHF zcrinput. Output files:. ‘ois_pre.csv’ – not for public release.
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
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Extracting Information from Financial Market Instruments
10 Mar 2012
Bulletin
– March 2012
Graph 1. OIS contracts trade for relatively short terms, generally of less than one year. ... The use of the OIS market to gauge cash rate expectations does, however, present some challenges.
https://www.rba.gov.au/publications/bulletin/2012/mar/6.html
Appendix B: Data
3 Jan 2023
RDP
2022-09
After the September quarter 2001, the risk-free rate is the 3-month Australian dollar overnight indexed swap (OIS) rate.
https://www.rba.gov.au/publications/rdp/2022/2022-09/appendix-b.html
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Results
1 Apr 2021
RDP
2021-04
The estimates suggests that a 100 basis point increase in the OIS curve drives around a 3 per cent decline in the ASX 200 index. ... For the one-year-ahead forecast, a 100 basis point increase in the OIS curve causes expected earnings growth of the ASX
https://www.rba.gov.au/publications/rdp/2021/2021-04/results.html
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The Domestic Market for Short-term Debt Securities
10 Sep 2011
Bulletin
– September 2011
Others may use OIS to speculate on the near-term direction of the cash rate. ... Subsequently, OIS rates have declined, suggesting that market participants expect a near-term easing in monetary policy.
https://www.rba.gov.au/publications/bulletin/2011/sep/5.html
The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases
24 May 2022
RDP
2022-02
Figure 6: Change in AGS Spreads to OIS. Over key event study days. ... Target bond yields. 3-year OIS rate. Target bond yields. 3-year OIS rate.
https://www.rba.gov.au/publications/rdp/2022/2022-02/full.html
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The Impact of the Capital Market Turbulence on Banks' Funding Costs
10 Jun 2009
Bulletin
– June 2009
bills and 90-day OIS remaining stable at around 10 basis points (Graph 2). ... But the increase in risk aversion since the onset of the capital market turbulence has caused bank bill rates to rise well above OIS rates.
https://www.rba.gov.au/publications/bulletin/2009/jun/1.html
Abbreviations
28 Sep 2022
PSB Annual Report
– 2022
NPPA. NPP Australia Limited. OG. Oversight Group. OIS. Overnight index swaps.
https://www.rba.gov.au/publications/annual-reports/psb/2022/abbreviations.html
A Term Structure Decomposition of the Australian Yield Curve
30 Dec 2008
RDP
2008-09
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-09.html
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