Search: BBSW
RBA Glossary definition for BBSW
BBSW – Bank Bill Swap Rate
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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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The Yield and Market Function Effects of the Reserve Bank of Australia’s Bond Purchases
19 May 2022
RDP
PDF
1938KB
fixed-for-floating interest rate swaps and BBSW–OIS basis swaps, both of which are liquid out to ten or more years. ... rate’) in exchange for paying a floating 3- or 6-month bank bill swap rate (BBSW).
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-02.pdf
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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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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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
Limiting Foreign Exchange Exposure through Hedging: The Australian Experience
22 Aug 2006
RDP
PDF
206KB
offer rate (LIBOR), and makes local currency interest payments to the swap counterparty at the bank bill swap rate (BBSW). ... A$ interest payments (at BBSW). A$ principal. A$ interest payments(at lending rate > BBSW).
https://www.rba.gov.au/publications/rdp/2006/pdf/rdp2006-09.pdf
The Consequences of Low Interest Rates for the Australian Banking Sector
29 Dec 2022
Conferences
PDF
1221KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-brassil.pdf
The Consequences of Low Interest Rates for the Australian Banking Sector
19 Dec 2022
RDP
PDF
1588KB
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 et al 2022).
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-08.pdf
The Term Funding Facility: Has It Encouraged Business Lending?
8 Dec 2022
RDP
PDF
2133KB
rates (BBSW). (b) Face-value weighted monthly average. Sources: Bloomberg; Intercontinental Exchange, Inc.; KangaNews; RBA. ... $b. 2021. 2022. Range. (2017–22). Spread to 1-month BBSW(a). 2019 202260.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-07.pdf
The Transmission of Monetary Policy through Banks' Balance Sheets | Conference – 2018
12 Apr 2018
Conferences
Moreover, any additional margin can be added to these spreads without affecting Equation (2); we add the BBSW–OIS spread so that the spreads we analyse are hedged spreads to ... for foreign currency debt we use BBSW rate plus the cross-currency basis)
https://www.rba.gov.au/publications/confs/2018/brassil-cheshire-muscatello.html