RBA: Likely to be at the top end of the range for OIS pricing - ANZ

Martin Whetton, Senior Rates Strategist at ANZ, suggests that they are likely to be at the top end of the range for OIS pricing save for a significant change in rhetoric from the RBA.

Key Quotes

“July 2017 RBA date now has 8.5bp of hikes, while the 2017 strip is now devoid of expectations. For the short curve, the steeper bias makes sense against a low delta chance of a rate cut and a grinding move higher in rates. Looking at the 3m OIS/3 year futures spread, the slope at 40bp is right on the median seen so far in 2017. The high point was 68bp, back in mid-March when global yields were at their highest. This was from a pinned OIS curve and the broader move.”