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.
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Extracting Information from Financial Market Instruments
20 Apr 2012
Bulletin
PDF
499KB
Reserve Bank of Australia Bulletin March Quarter 2012
https://www.rba.gov.au/publications/bulletin/2012/mar/pdf/bu-0312-6.pdf
Domestic Financial Conditions
10 Nov 2023
SMP
– November 2023
Domestic Financial Conditions | Statement on Monetary Policy – November 2023
https://www.rba.gov.au/publications/smp/2023/nov/domestic-financial-conditions.html
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 May 2023
RDP
PDF
1465KB
of the 3-month OIS and the Premia shock in a given month.10. ... less OIS), the US commercial paper spread, the second principal component of the yield curve.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.pdf
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"
The Impact of the Capital Market Turbulence on Banks' Funding Costs
10 Jun 2009
Bulletin
– June 2009
bills and 90-day OIS remaining stable at around 10 basis points (Graph 2). ... But the increase in risk aversion since the onset of the capital market turbulence has caused bank bill rates to rise well above OIS rates.
https://www.rba.gov.au/publications/bulletin/2009/jun/1.html
The Domestic Market for Short-term Debt Securities
14 Sep 2011
Bulletin
PDF
294KB
Reserve Bank of Australia Bulletin September 2011
https://www.rba.gov.au/publications/bulletin/2011/sep/pdf/bu-0911-5.pdf
The Australian Money Market in a Global Crisis
10 Jun 2009
Bulletin
– June 2009
Dependent variable:. ΔBB–OIS day. Model:. 1. 2. 3. 4. Coeff. t-stat. ... continued). Dependent variable:. ΔBB–OIS day. Model:. 9. 10. 11. Coeff. t-stat.
https://www.rba.gov.au/publications/bulletin/2009/jun/2.html
Domestic Financial Conditions
4 Aug 2023
SMP
– August 2023
Domestic Financial Conditions | Statement on Monetary Policy – August 2023
https://www.rba.gov.au/publications/smp/2023/aug/domestic-financial-conditions.html
Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
3 May 2023
RDP
PDF
247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf
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