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Dovish SNB-Dated OIS 'Only' Reflects Today's Cut

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The moves in ’24 SNB-dated OIS are mostly reflective of today’s 25bp rate cut being delivered.

  • ~17bp of cuts were priced ahead of the decision, meaning that contracts ‘should’ have seen an 8bp adjustment lower in the wake of today’s cut, all else equal.
  • The Sep SNB-dated OIS contract has fallen by ~8bp, while the Dec meeting contract has fallen by ~9bp.
  • That leaves ~8bp of cuts priced through the September meeting, while ~14bp of cuts are priced through year end.
  • A modest adjustment lower in medium-term inflation expectations seemed to drive today’s cut.
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The moves in ’24 SNB-dated OIS are mostly reflective of today’s 25bp rate cut being delivered.

  • ~17bp of cuts were priced ahead of the decision, meaning that contracts ‘should’ have seen an 8bp adjustment lower in the wake of today’s cut, all else equal.
  • The Sep SNB-dated OIS contract has fallen by ~8bp, while the Dec meeting contract has fallen by ~9bp.
  • That leaves ~8bp of cuts priced through the September meeting, while ~14bp of cuts are priced through year end.
  • A modest adjustment lower in medium-term inflation expectations seemed to drive today’s cut.