Search: BBSW
RBA Glossary definition for BBSW
BBSW – Bank Bill Swap Rate
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Introduction
13 Dec 2022
RDP
2022-07
BBSW). (b) Face-value weighted monthly average. Sources: Bloomberg; Intercontinental Exchange, Inc.; KangaNews; RBA.
https://www.rba.gov.au/publications/rdp/2022/2022-07/introduction.html
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Additional Analysis of Yield Effects
24 May 2022
RDP
2022-02
yield; changes in US Federal Reserve bond holdings as a share of US GDP; and changes in the spread between the 3-month BBSW and the 3-month Australian OIS rate. ... 0.04. (0.02). 0.03. (0.01). 0.04. (0.01). 0.04. (0.01). 3-month BBSW–OIS spread.
https://www.rba.gov.au/publications/rdp/2022/2022-02/additional-analysis-of-yield-effects.html
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Hedging Instruments
31 Dec 2006
RDP
2006-09
Figure 3: Hedging with a Cross-currency Interest Rate Swap. Note: Bank bill swap rate (BBSW), London interbank offer rate (LIBOR). ... However, the rate at which it is able to lend out the local currency principal is higher than BBSW and represents the
https://www.rba.gov.au/publications/rdp/2006/2006-09/hedging-instruments.html
The Consequences of Low Interest Rates for the Australian Banking Sector
21 Dec 2022
RDP
2022-08
Australian banks' wholesale debt and deposit funding is typically either directly referenced to bank bill swap rates (BBSW) or hedged to these rates (Fitzpatrick et al 2022). ... And there has been full pass-through of policy rate changes to BBSW (Aziz
https://www.rba.gov.au/publications/rdp/2022/2022-08/full.html
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Documenting Shock Measures Pre-COVID-19
12 May 2023
RDP
2023-04
three-month changes in the (log) TWI, money market spread (3-month BBSW less OIS), the US commercial paper spread, the second principal component of the yield curve (strongly related to
https://www.rba.gov.au/publications/rdp/2023/2023-04/documenting-shock-measures-pre-covid-19.html
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