9) In 2010, over $20 billion of Prime Bank bills were outstanding; currently there are only about $9 billion (figure 1).
The aim of the rate set process is to get accurate, reliable measures of the mid-rate of Prime Bank Eligible bank bills at the time of the BKBM Trading Window.
During the Trading Window, the participating banks provide a feed of their bid and offer rates for bank bills, and any transactions that occur are recorded.
Legal action is to be taken by the regulator against National Australia Bank for allegedly manipulating the bank bill
swap rate (BBSW) 50 times.
RBS is also required to undertake certain remedial measures with respect to its trading in Reference Bank Bills.
RBS) in relation to potential misconduct involving the Australian Bank Bill Swap Rate (BBSW).
Reuters Central Bank Bills
Reference Rates, Treasury Bonds Reference Rates and Sovereign Bonds Reference Rates are calculated from indicative rates provided by 13 Chinese and foreign banks, including Agricultural Bank of China, Industrial and Commercial Bank of China, Bank of China, Deutsche Bank, HSBC and Standard Chartered Bank.
The bank said that it would start selling longer-term government bonds and allow trading in central bank bills
in order to diversify funding sources.
The Bank will continue to offer Reserve Bank bills as required in the daily OMO.
The changes announced above will take effect from the beginning of November, with the final TAF and Reserve Bank bill tenders scheduled for the week beginning of 26 October.
The one-year central bank bill
will have an interest rate of 1.
To illustrate how an OIS can be used to manage interest rate exposures, imagine a bank that seeks to raise money by issuing three-month bank bills to enable it to on-lend the money on an overnight basis to its customers.
Furthermore, banks generally find it cheaper and more secure to raise money by borrowing for the whole three month period, for example by issuing three-month bank bills, compared to say, taking overnight loans.
However, bank bill rate quotes for maturities greater than six months are sparse in the New Zealand market, so beyond this maturity we extend the yield curve out to longer maturities using forward rate agreements on bank bills or FRAs.
In this example (as in practice) we only observe the rates for bank bills maturing every fifteen days, as shown by the dots.