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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
STIR
Terminal rate expectations have moved higher across the $-bloc this week, with the periphery leading.
- Canadian inflation accelerated unexpectedly, causing CA STIR to raise the expected terminal rate by 35bp to 4.74% compared to 4.40% at the end of last week. This implies a cumulative tightening of 24bp by October. Although headline CPI exceeded expectations, the core measure eased. However, policymakers pay close attention to the three-month moving average of the core measures, which showed a slight increase.
- RBNZ dated OIS has firmed 20bp this week to 5.73% following upward revisions to their OCR profiles from two sell-side banks. Westpac now expects a terminal OCR of 6.0%, while ANZ predicts 5.75%.
- On the other hand, RBA dated OIS has only seen a modest 3bp firming in the expected terminal rate to 3.98%. However, these expectations are 30bp higher than before the surprise 25bp rate hike in May.
Figure 1: $-Bloc STIR: Terminal Rate Expectations & Year-End Pricing
Source: MNI – Market News / Bloomberg
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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