Search: Net interest spread
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RBA Glossary definition for Net interest spread
Net interest spread – A measure of the difference between a bank�s average rate of interest-bearing assets and its average rate of interest-bearing liabilities.
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Australian Money Market Divergence: Arbitrage Opportunity or Illusion?
1 Sep 2019
RDP
2019-09
Figure 1: Money Market and Lending Interest Rates. Spread to overnight indexed swaps, various terms. ... Subsequently in 2019, net returns in all these money markets declined as the spread between money market rates and cash rate expectations narrowed.
https://www.rba.gov.au/publications/rdp/2019/2019-09/full.html
Sensitivity Analysis
13 Sep 2019
RDP
2019-09
findings. The decline in net returns from money market investments, attributable to the narrowing in the spread between gross returns and the average debt funding rate, is a key result of ... For repo funding to yield a positive net return from money
https://www.rba.gov.au/publications/rdp/2019/2019-09/sensitivity-analysis.html
Introduction
13 Sep 2019
RDP
2019-09
Figure 1: Money Market and Lending Interest Rates. Spread to overnight indexed swaps, various terms. ... It appears that, until recently, higher funding costs (debt and equity) have reduced the incentive to lend into money markets, despite the observed
https://www.rba.gov.au/publications/rdp/2019/2019-09/introduction.html
Estimation Results
13 Sep 2019
RDP
2019-09
The repo spread to cash averaged around 40 basis points, but the net return from lending under repo is estimated to have been less than 20 basis points. ... Subsequently in 2019, net returns in all these money markets declined as the spread between
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimation-results.html
Estimating Funding Costs, Gross Returns and Net Returns
13 Sep 2019
RDP
2019-09
Estimating Funding Costs, Gross Returns and Net Returns. Belinda Cheung and Sebastien Printant. ... Since then, money market interest rates have persistently diverged. Figure 2: Gross Return on Money Market Trades.
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimating-funding-costs-gross-returns-and-net-returns.html