AUS Rates Monitor

By Tevin Weerawardena · LinkedIn ↗

RBA cash rate expectations, money markets, government bonds and the AUD, updated every weekday.

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Tevin Weerawardena

Cash rate expectations

Implied path

Market-implied cash rate for each month ahead, from the 30-day interbank futures strip

Implied future cash rate Current target

Futures implied curves

The 30-day interbank futures strip today and at the previous three month ends. The most recent curve is the boldest

Note: shows a maximum of 4 curves at all times (excluding the current target line): the latest close plus the previous three month ends. Each new month, the oldest curve drops off.

Target rate probabilities

Market-implied cash rate target after each meeting, split into 25bp outcomes

Street RBA Calls

Implied change by forward horizon

Futures-implied cash rate vs the target at the time, for contracts 6 and 12 months out and at the end of the strip

Next-meeting implied change

Basis points priced for the next RBA decision, each day's close. Darker bars: meeting within 14 days

Meeting ≤ 14 days away Further out Hike Cut No change

How pricing has moved

Implied rate for the next three meetings, each day's close

Taylor rule vs actual cash rate

Dotted lines are projections

Actual cash rate target Taylor rule rate Futures-implied path Taylor rule, next month

Real cash rate

Cash rate target minus year-ended inflation, each quarter. Above zero means the policy rate is above inflation

Real cash rate (trimmed mean inflation) Real cash rate (headline CPI)
Sources: RBA table G1 (consumer price inflation), RBA table F1. Ex-post: uses inflation over the past year.

Money markets

6-month vs 1-month bank bill spread

Bank accepted bills / NCDs, 6-month minus 1-month yield.

6m − 1m spread Hike Cut
Source: RBA table F1 (bank bill rates are ASX BBSW).

Bank bill swap rates

Daily 1-month, 3-month and 6-month BBSW

1-month 3-month 6-month
Source: RBA table F1.

Major data and events

The next 10 releases and events for Australian rates, with the US and other G10 majors

Government bonds

2-year ACGB yield

Australian Commonwealth Government Bond, 2-year benchmark

Source: RBA table F2.

3s10s ACGB curve

10-year minus 3-year yield, in basis points. Below zero means an inverted curve

Source: RBA table F2.

ACGB yield curve

Yield of each nominal Australian Government bond by years to maturity. Each dot is one bond

Source: RBA table F16 (indicative mid yields). Inflation-indexed bonds and Treasury notes excluded.

Forward rates

Rates the government bond curve implies for future periods: 1-year rate in 1 year (1y1y), in 2 years (2y1y), and 5-year rate in 5 years (5y5y)

1y1y 2y1y 5y5y Cash rate target
Calculated from RBA table F16: each day's bond yields are interpolated by maturity to 1, 2, 3, 5 and 10 years (treated as zero rates, a standard approximation), then compounded annually into forwards.

2s5s10s butterfly

2 × 5-year yield − 2-year − 10-year, in basis points. Positive means the 5-year belly is cheap (high) relative to the wings

Source: RBA table F2.

Global & FX

US Treasury yields

US 2-year and 10-year Treasury yields

2-year 10-year
Source: FRED (US Treasury constant maturity yields).

US 10-year yield: expectations vs term premium

The 10-year yield split into the expected average short rate over 10 years and the term premium, the extra yield investors demand for locking money up

10-year yield Expected short-term rates over 10 years (yield − term premium) Term premium
Source: Federal Reserve Board Kim–Wright model via FRED. Term premium: FRED THREEFYTP10 (Term Premium on a 10 Year Zero Coupon Bond). 10-year yield: FRED THREEFY10 (10-year zero-coupon yield). Expected short-term rates = yield − term premium. The term premium is a model estimate.

AUD/USD and the 2-year rate differential

US dollars per Australian dollar (left axis) and 2-year ACGB minus US 2-year Treasury yield (right axis)

AUD/USD (left axis) ACGB 2y − UST 2y, percentage points (right axis) Zero differential
Sources: FRED (AUD/USD from Federal Reserve H.10, US 2-year Treasury), RBA table F2.