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
Financial Conditions
6 Feb 2024
SMP
– February 2024
Financial Conditions | Statement on Monetary Policy – February 2024
https://www.rba.gov.au/publications/smp/2024/feb/financial-conditions.html
Box A: The Bond–Overnight Index Swap Spread and Asset Scarcity in Government Bond Markets
4 Aug 2023
SMP
– August 2023
Box A: The Bond–Overnight Index Swap Spread and Asset Scarcity in Government Bond Markets | Statement on Monetary Policy – August 2023
https://www.rba.gov.au/publications/smp/2023/aug/box-a-the-bond-overnight-index-swap-spread-and-asset-scarcity-in-government-bond-markets.html
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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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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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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Domestic Financial Conditions
10 Nov 2023
SMP
– November 2023
Domestic Financial Conditions | Statement on Monetary Policy – November 2023
https://www.rba.gov.au/publications/smp/2023/nov/domestic-financial-conditions.html