Search: OIS
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.
Search Results
Read me file
12 May 2023
RDP
2023-04
Findur intraday OIS data.csv’ (monetary policy announcement OIS) – not for public release. ... Output folder:. Input dataHF zcrinput. Output files:. ‘ois_pre.csv’ – not for public release.
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
See 4 more results from "RDP 2023-04"
Data
23 Apr 2019
RDP
2019-03
Unlike futures contracts which refer to the overnight rate in a particular calendar month, the maturity in the OIS contract is fixed. ... Hence they allow investors to more finely calibrate their hedges. OIS contracts are widely traded in a broad array
https://www.rba.gov.au/publications/rdp/2019/2019-03/data.html
See 3 more results from "RDP 2019-03"
Appendix B: Data
3 Jan 2023
RDP
2022-09
After the September quarter 2001, the risk-free rate is the 3-month Australian dollar overnight indexed swap (OIS) rate.
https://www.rba.gov.au/publications/rdp/2022/2022-09/appendix-b.html
See 1 more results from "RDP 2022-09"
Results
1 Apr 2021
RDP
2021-04
The estimates suggests that a 100 basis point increase in the OIS curve drives around a 3 per cent decline in the ASX 200 index. ... For the one-year-ahead forecast, a 100 basis point increase in the OIS curve causes expected earnings growth of the ASX
https://www.rba.gov.au/publications/rdp/2021/2021-04/results.html
See 8 more results from "RDP 2021-04"
The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases
24 May 2022
RDP
2022-02
Figure 6: Change in AGS Spreads to OIS. Over key event study days. ... Target bond yields. 3-year OIS rate. Target bond yields. 3-year OIS rate.
https://www.rba.gov.au/publications/rdp/2022/2022-02/full.html
See 4 more results from "RDP 2022-02"
A Term Structure Decomposition of the Australian Yield Curve
30 Dec 2008
RDP
2008-09
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-09.html
See 4 more results from "RDP 2008-09"
Appendix A: Emergency Liquidity Injection Policies in Europe and the United States
9 Oct 2019
RDP
2019-10
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
See 1 more results from "RDP 2019-10"
The Unfolding Turmoil of 2007–2008: Lessons and Responses | Conference – 2008
20 Aug 2007
Conferences
There was also a jump in CDS spreads in July 2008 that was not echoed in LIBOR-OIS markets. ... During this phase, the LIBOR-OIS spread rose to close to 100 basis points in the US interbank market and even higher in the UK market.
https://www.rba.gov.au/publications/confs/2008/cohen-remolona.html
Appendix C: Variable Definitions
28 Jan 2020
RDP
2020-01
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
See 2 more results from "RDP 2020-01"
Central Bank Liquidity Provision and Core Funding Markets | Conference – 2013
19 Aug 2013
Conferences
LIBOR-OIS spreads in a number of jurisdictions rose to roughly 100 basis points (Figure 7) from the previously suppressed levels of less than 10 basis points. ... improved. Funding conditions deteriorated very sharply in late 2008, with the 3-month
https://www.rba.gov.au/publications/confs/2013/johnson-santor.html