The short term OIS rate has around 10 basis point lower than the cash rate at this moment.Literatures suggests that OIS rate, to some extents, representing the market expectation on the average cash rate in the future. For example, the below RBA paper (2002) has a paragraph saying that:http://www.rba.gov.au/publications/bull ... dfQuoteThe 30-day swap rate of 4.75 per centsuggests that market participants are, onbalance, expecting the overnight cash rate overthe next 30 days to average that rate.However, I don't really think the markets expect another RBA rate cut in short term.How could we explain this lower-than-cash-rate OIS rate then?

I would imagine this is down to credit risk.

Well, this is, in fact, all about the cuts being priced, prior to today's CPI number. For instance, Jun RBA meeting was quoted 2.37 earlier, implying a reasonable probability of a rate cut. After the release, Jun RBA is arnd 2.442 mid, which still implies a wee bit of a cut, but much less so than before.