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STIR: RBA Dated OIS Pricing Holding Its Post-RBA Softening

STIR
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RBA-dated OIS pricing is largely unchanged today but remains 3–11bps softer than pre-RBA levels observed yesterday. 

  • A 25bp rate cut is now more than fully priced for April, with market expectations at 117%.
  • Expectations for the September meeting have softened by 50bps since mid-November, reflecting concerns about weakening domestic economic growth.
  • In mid-November, a full 25bp cut wasn’t anticipated until August, highlighting a marked shift toward earlier rate cuts.
  • The probability of a cut at yesterday’s meeting was low, at just 8%. However, the market now assigns a 60% chance to a 25bp cut at February’s meeting. 

 

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RBA-dated OIS pricing is largely unchanged today but remains 3–11bps softer than pre-RBA levels observed yesterday. 

  • A 25bp rate cut is now more than fully priced for April, with market expectations at 117%.
  • Expectations for the September meeting have softened by 50bps since mid-November, reflecting concerns about weakening domestic economic growth.
  • In mid-November, a full 25bp cut wasn’t anticipated until August, highlighting a marked shift toward earlier rate cuts.
  • The probability of a cut at yesterday’s meeting was low, at just 8%. However, the market now assigns a 60% chance to a 25bp cut at February’s meeting. 

 

Keep reading...Show less