March 13, 2023 02:30 GMT
RBA Dated OIS – Terminal Rate Expectations Tumble
RBA dated OIS pricing is 7-10bp softer for meetings May through July and -13bp for meetings beyond.
- Pricing for November and December meetings is however +8bp and +11bp respectively from levels before today’s policy initiative announcements from U.S. authorities regarding the Silicon Valley Bank (SVB) collapse. In volatile early session trade, the market had moved to price in almost a full 25bp cut from the RBA by December.
- As Figure 1 highlights, terminal rate expectations (Oct-23) have softened a cumulative 28bp to 3.85% from pre-RBA March Meeting levels.
- Equally noteworthy ahead of the all-important Employment Report for February on Thursday, pricing for the April meeting has declined to a 30% chance of a 25bp hike. Pricing was around 55% the day after the RBA Policy Meeting last week.
Figure 1: RBA-Dated OIS Today Vs. Pre-RBA Meeting
Source: MNI-Market News / Bloomberg
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