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Fed OIS Off Monday’s Lows, But Still Lower Than Friday’s Close


It wasn’t only OIS pricing re: the odds of a 50bp hike at the March FOMC meeting that took a hit on Monday (with weekend developments surrounding the Russia-Ukraine conflict and related sanctions on Russia applying pressure). FOMC dated OIS now prices ~5.5x 25bp (~138bp) rate hikes during calendar ‘22, back from over 170bp of tightening that was briefly priced in during mid-February. There has been a modest bounce in FOMC dated OIS tightening pricing during early Asia dealing, but we are talking a matter of a handful of bp at each meeting, nowhere near unwinding Monday’s shift lower.

Fig.1: Tightening Priced Into Dec ’22 FOMC Dated OIS (%)

Source: MNI - Market News/Bloomberg

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