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
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
Implementation Effects
24 May 2022
RDP
2022-02
Target bond yields. 3-year OIS rate. Target bond yields. 3-year OIS rate. ... 0.16. (0.16). Change in 3-month OIS rate. 0.76. (0.36). 1.12. (0.19).
https://www.rba.gov.au/publications/rdp/2022/2022-02/implementation-effects.html
Event Study of Announcement Effects
24 May 2022
RDP
2022-02
Figure 6: Change in AGS Spreads to OIS. Over key event study days. ... the expected average overnight cash rate over the term of the OIS contract.
https://www.rba.gov.au/publications/rdp/2022/2022-02/event-study-of-announcement-effects.html
Additional Analysis of Yield Effects
24 May 2022
RDP
2022-02
Model 1. Model 2. Model 3. Preferred model. Includes 3-month. USD LIBOR–OIS spread. ... Treasury yield–OIS spread. 10-year AUD OIS rate. 0.79. (0.12). 0.81. (0.12).
https://www.rba.gov.au/publications/rdp/2022/2022-02/additional-analysis-of-yield-effects.html
Read me file
24 May 2022
RDP
2022-02
The code loads data from Findur on: the RBA's purchases and holdings of government bonds; government bond yields; and overnight indexed swap (OIS) rates.
https://www.rba.gov.au/publications/rdp/2022/2022-02/read-me.html