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Cover Of Hawkish RBA Bets Post-CPI

STIR

OIS covering the RBA’s August meeting now sit at ~1.80% (vs. the current effective cash rate of 1.31%), ~8bp lower on the day, with some covering of hawkish RBA bets evident in the space post-CPI. Further out, post-CPI peak to trough we saw RBA dated Dec OIS unwind ~30bp of tightening premium before recovering from lows of the session to last sit at ~3.25%, a touch over 15bp lower on the day and still ~195bp above current effective cash rate levels, equating to 39bp of tightening being priced in across the remaining 5 RBA meetings of ’22 (on a simple average basis).

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
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MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
BulletMarketsFixed Income BulletsForeign Exchange BulletsHomepage

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