Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
A couple of questions have been received re: IBG2 contract activity this morning, with the contract last trading at 99.835. That looks like bad execution in a thin market shortly after the re-open. The bid/offer spread was 10bp wide at the time, with 1 lot trading there. The market has been quoted 99.925/99.935 for ~5 hours. A price of 99.835 implies an effective cash rate of 16.5bp come the end of February, a full 12.5bp above current levels, which would almost fully price a 15bp cash rate hike at the RBA’s February meeting. A reminder that the IB strip has softened a touch on the back of the previously flagged Terry McCrann article, which suggested that “after the latest RBA board meeting it is clear Australia is moving closer to a rate rise, not just potentially in 2023 but possibly even relatively early next year. Note that the OIS strip now prices ~15bp of tightening come the end of the Bank’s May ’22 decision, with McCrann’s article helping push OIS rates higher from May ’22 to further out the strip (albeit only incrementally for the May decision).
RBA OIS Strip Pricing 7 December ’21 Vs. 8 December ‘21
Source: MNI - Market News/ASX/Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.