December 19, 2024 05:17 GMT
STIR: BOJ Dated OIS Slightly Softer After BOJ Decision
STIR
After today’s BOJ policy decision, BOJ-dated OIS pricing is marginally softer.
- Nevertheless, pricing is currently -1bp to +12bps compared to pre-October BOJ MPM levels, with the September 2025 contract showing the strongest gains.
- For today’s decision, OIS pricing only reflected an 8% probability of a 25bp rate hike.
- Market expectations currently indicate: an 49% probability of a 25bp hike in January; a cumulative 83% chance by March; and a full 25bp increase not fully priced in until May 2025.
Figure 1: BOJ-Dated OIS – Today Vs. Pre-BOJ MPM (October)
Source: MNI – Market News / Bloomberg
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