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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

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