Little Net Movement In RBA Pricing

There hasn’t been much in the way of meaningful net movement when it comes to market pricing surrounding the RBA tightening cycle post-U.S. CPI. RBA dated OIS prices in ~42bp of tightening for the Bank’s September meeting, while RBA Dec meeting dated OIS looks for a cash rate of just over 3.30%, with both levels a couple of bp shy of what was observed late on Wednesday. Pricing for the terminal rate still sits around 3.55%, which is expected to be reached in the Feb-Mar ’23 window, once again, virtually unchanged vs. what was seen late in Sydney hours on Wednesday. Beyond that modest cuts are priced into the OIS strip, with 10bp of easing priced between the Mar ’23 and Sep ’23 RBA dated OIS contracts. The IR strip remains comfortably inverted further out, with the IRM3/M4 spread printing at -32bp, a little above the recent cycle trough.