Interest rates and yields – money market [F1]

Updated by DBnomics on

July 31, 2020

Notes

• F1 Interest Rates and Yields – Money Market
• The 'Target cash rate' is set by the Reserve Bank's Board at each Board meeting. From January 1990 the Bank commenced announcing an explicit target to the market. While the RBA Board has met on the first Tuesday of every month (excluding January) since late-1981, it was not until late-1998 that the Bank formalised the current approach of announcing changes shortly after the conclusion of the meeting. Since February 2008, the Bank has announced changes in policy at 2.30pm on the afternoon of the Board meeting; these changes are effective on the following business day. Prior to this (from 1998 until 2007), changes in policy were announced at 9.30am on the day after the Board meeting.
• The 'Interbank Overnight Cash Rate' is a weighted average interest rate on overnight unsecured loans between banks in the Australian dollar market (the ‘Cash Market’). From 9 May 2016 the Cash Rate is calculated from transactions settled in the Reserve Bank Information Transfer System (RITS). For more details, see the Cash Rate Procedures Manual <http://www.rba.gov.au/mkt-operations/resources/cash-rate-methodology/cash-rate-procedures-manual.html>. From July 1998 until 6 May 2016, the Cash Rate is the weighted average of the interest rates at which banks borrowed and lent exchange settlement funds overnight, calculated from a survey of Cash Market participants. The 11am call rate is used prior to July 1998.
• On 18 March 2020 the Reserve Bank an out-of-cycle Reserve Bank Board meeting was held, where the cash rate target was adjusted (effective 20 March 2020).
• The “highest” interbank overnight Cash Rate represents the highest rate for a transaction in the Cash Market. The “lowest” rate refers to the lowest rate for a transaction in the Cash Market. Prior to 9 May 2016, the series contain the highest and lowest weighted average rate reported by a bank transacting in the Cash Market.
• Volume represents the value of Cash Market transactions settled in the Cash Market. From 9 May 2016, this is calculated from transactions settled in the Reserve Bank Information Transfer System (RITS). Prior to 9 May 2016, the volume is the average of the total unsecured funds borrowed and lent in the interbank market for overnight terms, calculated from a survey of Cash Market participants.
• The ‘Cash Rate Total Return Index’ measures the performance of an investment earning the Cash Rate, where interest is reinvested each day. The process for calculating the index is specified in the Cash Rate Procedures Manual <http://www.rba.gov.au/mkt-operations/resources/cash-rate-methodology/cash-rate-procedures-manual.html>.
• On days where Expert Judgement is applied, the following fields will not be published: Highest Interbank Overnight Cash rate, Lowest Interbank Overnight Cash Rate, and Number of Cash Market Transactions. Expert Judgement is applied in cases of insufficient Cash Market Transactions or when the Cash Rate Administrator, in its Expert Judgement, determines the Transaction Data on a Report Date to be insufficiently robust. A more detailed explanation of the use of Expert Judgement can be found at: <https://www.rba.gov.au/mkt-operations/resources/cash-rate-methodology/cash-rate-procedures-manual.html>.
• Interest rates and yields are representative. Unless otherwise stated, they are the midpoint of predominant bid and offer quotations in each market as identified by the RBA.
• ‘Bank accepted bills/Negotiable Certificates of Deposit’ are estimated end of day bank bill rates sourced from ASX. DISCLAIMER: End of Day data is part of the ASX Benchmark Data which is proprietary to the ASX Group. All rights are reserved. If you are an existing subscriber of ASX Benchmark Data, any use and reliance on this information is governed by the terms and conditions of your ASX Benchmark Data Subscriber Agreement. To the fullest extent permitted by law, all published ASX Benchmark Data is provided 'as is' and you may not rely on it as being accurate, timely, comprehensive or fit for a particular purpose. Prior to January 2017, this series was sourced from AFMA. Prior to March 1995 estimated midday yields are shown.
• ‘Overnight indexed swaps’ are closing market rates.
• ‘Treasury Note’ yields are closing yields based on a survey of the market.
• 2010-01-04 00:00:00 - 3.75 - 3.75 - 3.96 - 4.13 - 4.41 - 3.8 - 3.895 - 4.12 - 3.73 - 3.87 - 0.0
• 2010-01-05 00:00:00 - 3.75 - 3.75 - 3.975 - 4.12 - 4.39 - 3.77 - 3.89 - 4.095 - 3.73 - 3.87 - 0.0
• 2010-01-06 00:00:00 - 3.75 - 3.75 - 3.95 - 4.14 - 4.4 - 3.79 - 3.91 - 4.11 - 3.74 - 3.87 - 0.0
• 2010-01-07 00:00:00 - 3.75 - 3.75 - 3.96 - 4.15 - 4.425 - 3.765 - 3.9239999999999995 - 4.135 - 3.745 - 3.88 - 0.0
• 2010-01-08 00:00:00 - 3.75 - 3.75 - 3.95 - 4.14 - 4.445 - 3.78 - 3.95 - 4.165 - 3.75 - 3.89 - 0.0
• 2010-01-11 00:00:00 - 3.75 - 3.75 - 4.01 - 4.17 - 4.515 - 3.8 - 3.96 - 4.21 - 3.77 - 3.905 - 0.0
• 2010-01-12 00:00:00 - 3.75 - 3.75 - 4.005 - 4.18 - 4.54 - 3.795 - 3.945 - 4.185 - 3.77 - 3.905 - 0.0
• 2010-01-13 00:00:00 - 3.75 - 3.75 - 4.015 - 4.21 - 4.52 - 3.81 - 3.95 - 4.19 - 3.77 - 3.905 - 0.0
• 2010-01-14 00:00:00 - 3.75 - 3.75 - 4.04 - 4.24 - 4.57 - 3.83 - 3.99 - 4.22 - 3.77 - 3.915 - 0.0
• 2010-01-15 00:00:00 - 3.75 - 3.75 - 4.02 - 4.22 - 4.56 - 3.8425 - 3.99 - 4.21 - 3.785 - 3.91 - 0.0
• 2010-01-18 00:00:00 - 3.75 - 3.75 - 4.02 - 4.215 - 4.51 - 3.835 - 3.985 - 4.205 - 3.8 - 3.92 - 0.0
• 2010-01-19 00:00:00 - 3.75 - 3.74408102345416 - 4.02 - 4.185 - 4.48 - 3.845 - 3.99 - 4.205 - 3.8 - 3.93 - 0.0