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STIR: BOJ Dated OIS Slightly Softer Across Meetings Than Earlier In The Week

STIR
BulletMarketsFixed Income Bullets

BOJ-dated OIS pricing continues to hold firmer across meetings versus levels prevailing ahead of the BOJ’s October 30-31 meeting. 

  • However, pricing is 1-5bps softer across meetings compared to earlier in the week despite today’s labour earnings and household spending figures being a little better than expected, albeit more so in real than nominal terms.
  • Yesterday, BOJ Nakamura, a known dove, stated that he wasn't against rate hikes. He would base his decision for December on data outcomes, and is watching wages, consumer spending trends and the upcoming Tankan survey result.
  • Currently, OIS pricing sits 3-15bps firmer across meetings versus pre-BOJ MPM (Oct), with September 2025 leading the gains.
  • For the upcoming December 18-19 meeting, pricing sits 10bps firmer than late October, reflecting a 53% probability of a 25bp rate hike. Pricing for this meeting has been influenced by recent remarks from BoJ Governor Ueda, who described the meeting as “live.”.
  • Market expectations currently indicate: a 53% probability of a 25bp hike in December; a cumulative 68% chance by January; and a full 25bp increase is not fully priced in until May 2025 (+26bps).

 

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BOJ-dated OIS pricing continues to hold firmer across meetings versus levels prevailing ahead of the BOJ’s October 30-31 meeting. 

  • However, pricing is 1-5bps softer across meetings compared to earlier in the week despite today’s labour earnings and household spending figures being a little better than expected, albeit more so in real than nominal terms.
  • Yesterday, BOJ Nakamura, a known dove, stated that he wasn't against rate hikes. He would base his decision for December on data outcomes, and is watching wages, consumer spending trends and the upcoming Tankan survey result.
  • Currently, OIS pricing sits 3-15bps firmer across meetings versus pre-BOJ MPM (Oct), with September 2025 leading the gains.
  • For the upcoming December 18-19 meeting, pricing sits 10bps firmer than late October, reflecting a 53% probability of a 25bp rate hike. Pricing for this meeting has been influenced by recent remarks from BoJ Governor Ueda, who described the meeting as “live.”.
  • Market expectations currently indicate: a 53% probability of a 25bp hike in December; a cumulative 68% chance by January; and a full 25bp increase is not fully priced in until May 2025 (+26bps).

 

Keep reading...Show less