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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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
The Australian Financial System in the 2000s: Dodging the Bullet | Conference – 2011
24 Jul 2000
Conferences
RBA Annual Conference – 2011 The Australian Financial System in the 2000s: Dodging the Bullet Kevin Davis. The global financial crisis (GFC) occupied only a quarter of the decade of the 2000s but, because of its severity and implications for
https://www.rba.gov.au/publications/confs/2011/davis.html
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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