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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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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

A Term Structure Decomposition of the Australian Yield Curve

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
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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Read me file for Monetary Policy, Equity Markets and the Information Effect

20 Apr 2021 RDP PDF 567KB
RDP 2021-04 supplementary information
https://www.rba.gov.au/publications/rdp/2021/2021-04/rdp-2021-04-read-me.pdf

Appendix A: Emergency Liquidity Injection Policies in Europe and the United States

9 Oct 2019 RDP 2019-10
Nicholas Garvin
It purchased unsecured commercial paper (essentially making unsecured loans), charging the overnight index swap (OIS) rate plus 100 basis points, and asset-backed commercial paper (ABCP), charging the OIS rate plus
https://www.rba.gov.au/publications/rdp/2019/2019-10/appendix-a.html
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Explaining Monetary Spillovers: The Matrix Reloaded

8 Apr 2019 RDP PDF 1861KB
interest rate on 1-month overnight indexed swaps (OIS).16 We refer to this as the ‘target’ shock as. ... 16 OIS contracts are OTC derivatives contracts allowing investors to hedge against (or speculate on) movements of the.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-03.pdf

Read me file for The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases

20 May 2022 RDP PDF 563KB
RDP 2022-02 supplementary information
https://www.rba.gov.au/publications/rdp/2022/2022-02/rdp-2022-02-read-me.pdf

Appendix C: Variable Definitions

28 Jan 2020 RDP 2020-01
Benjamin Beckers
RBA. c. s. t. M. M. Money market spread between 3-month bank-accepted bill (BAB) rate and 3-month Australian dollar overnight indexed swap (OIS) rate (3-month zero-coupon
https://www.rba.gov.au/publications/rdp/2020/2020-01/appendix-c.html
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Start Spreading the News: News Sentiment and Economic Activity in Australia

21 Dec 2020 RDP PDF 1524KB
The interest. rate surprise is calculated as the change in the 1-month overnight indexed swap rate (OIS) from the. ... 1-month OIS. 0 2 4 6 8 10-2.0. -1.5. -1.0. -0.5.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-08.pdf

Financial Stability Review – September 2008

13 Oct 2008 FSR – September 2008 PDF 692KB
https://www.rba.gov.au/publications/fsr/2008/sep/pdf/0908.pdf

The Global Financial Environment

10 Mar 2008 FSR – March 2008
Spreads between 30-day ABCP and overnight indexed swap (OIS) rates in the United States, which had typically been very close to zero, reached 200 basis points at one point in ... Since mid March, the 3-month LIBOR to OIS spreads in the United States and
https://www.rba.gov.au/publications/fsr/2008/mar/global-fin-env.html