Free Trial

OIS Strip Steeper In Wake Of FOMC Dec Meeting Minutes

STIR

The release of the FOMC’S December meeting minutes has allowed the OIS strip to steepen, with just under ~20bp of tightening now priced for central bank’s March meeting. Further out the strip, ~80bp of tightening is now priced come the end of the Fed’s December meeting, 8bp more than was priced as of Tuesday’s close, with ~17bp of extra tightening priced over that horizon when compared to the 24 December close.

  • Outside of the potential for a brisker pace of rate hikes, the potential for swifter, more aggressive balance sheet normalisation has also become more apparent.

Fig. 1: Fed Meeting Dated OIS Strip Pricing

Source: MNI - Market News/Bloomberg


Fed MeetingFed OIS Strip 5 January '22Fed OIS Strip 4 January '22Fed OIS Strip 24 December '21
Jan-220.089%0.087%0.090%
Mar-220.277%0.247%0.241%
Apr-220.368%0.340%0.324%
Jun-220.510%0.463%0.478%
Jul-220.588%0.534%0.525%
Sep-220.702%0.642%0.653%
Nov-220.772%0.705%0.694%
Dec-220.890%0.810%0.722%
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

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.