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.
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Banks’ Funding Costs and Lending Rates
29 Mar 2012
Bulletin
PDF
288KB
Reserve Bank of Australia Bulletin March Quarter 2012
https://www.rba.gov.au/publications/bulletin/2012/mar/pdf/bu-0312-5.pdf
Statement on Monetary Policy
6 Dec 2023
SMP
- August 2023
PDF
9542KB
https://www.rba.gov.au/publications/smp/2023/aug/pdf/statement-on-monetary-policy-2023-08.pdf
The Unfolding Turmoil of 2007–2008: Lessons and Responses | Conference – 2008
20 Aug 2007
Conferences
There was also a jump in CDS spreads in July 2008 that was not echoed in LIBOR-OIS markets. ... During this phase, the LIBOR-OIS spread rose to close to 100 basis points in the US interbank market and even higher in the UK market.
https://www.rba.gov.au/publications/confs/2008/cohen-remolona.html
A Term Structure Decomposition of the Australian Yield Curve
28 Dec 2008
RDP
PDF
578KB
We start by estimating zero-coupon yield curves from observed overnight indexedswap (OIS) and government bond data (for further details see Section 4 andAppendix A). ... See RBA (2002) for details of how OIS contracts operate, and Appendix A formore
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-09.pdf
Central Bank Liquidity Provision and Core Funding Markets | Conference – 2013
19 Aug 2013
Conferences
LIBOR-OIS spreads in a number of jurisdictions rose to roughly 100 basis points (Figure 7) from the previously suppressed levels of less than 10 basis points. ... improved. Funding conditions deteriorated very sharply in late 2008, with the 3-month
https://www.rba.gov.au/publications/confs/2013/johnson-santor.html
The Transmission of Monetary Policy through Banks' Balance Sheets | Conference – 2018
12 Apr 2018
Conferences
for foreign currency debt we use BBSW rate plus the cross-currency basis) and maturity-matched OIS rates. ... converted into spreads to OIS); these securities are plausible substitutes for many of these institutions.
https://www.rba.gov.au/publications/confs/2018/brassil-cheshire-muscatello.html
Domestic Financial Conditions
5 May 2023
SMP
– May 2023
Domestic Financial Conditions | Statement on Monetary Policy – May 2023
https://www.rba.gov.au/publications/smp/2023/may/domestic-financial-conditions.html
Banks' Funding Costs and Lending Rates
10 Mar 2012
Bulletin
– March 2012
of short-term debt relative to the expected cash rate as measured by the bank bill to OIS spread over the same period (Graph 7). ... There is a very small amount of credit risk in overnight index swap (OIS) rates.
https://www.rba.gov.au/publications/bulletin/2012/mar/5.html
Online Appendix: Explaining Monetary Spillovers: The Matrix Reloaded
8 Apr 2019
RDP
PDF
378KB
RDP 2019-03 online appendix
https://www.rba.gov.au/publications/rdp/2019/2019-03/rdp-2019-03-online-appendix.pdf
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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