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STIR: BOJ Dated OIS Nudge Firmer Across Meetings After Tokyo CPI Data

STIR
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BOJ-dated OIS pricing has firmed across meetings following the BOJ’s widely anticipated decision to hold rates steady at its October 30-31 meeting. 

  • Today core CPI (excluding fresh food) in the Tokyo area, a leading indicator of the national average, registered a 2.2% increase in November, up from the 1.8% growth in October.
  • The core-core CPI (excluding fresh food and energy) -- a key indicator of the underlying trend of inflation -- rose 1.9% y/y in November, quicker than the 1.8% y/y registered previously.
  • Currently, OIS pricing sits 6–19bps firmer across meetings versus pre-BOJ MPM (Oct), with September 2025 leading the gains.
  • For the upcoming December 18-19 meeting, pricing has increased by 10bps since late October, reflecting a 54% probability of a 25bp rate hike. Pricing for this meeting has been influenced by recent remarks from BoJ Governor Ueda, who described the meeting as “live.”.
  • According to a Bloomberg survey, just over half of economists expect the BoJ's next rate hike to occur in December.
  • Market expectations currently indicate: a 54% probability of a 25bp hike in December; a cumulative 77% chance by January; and a full 25bp increase is not fully priced in until May 2025.

 

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BOJ-dated OIS pricing has firmed across meetings following the BOJ’s widely anticipated decision to hold rates steady at its October 30-31 meeting. 

  • Today core CPI (excluding fresh food) in the Tokyo area, a leading indicator of the national average, registered a 2.2% increase in November, up from the 1.8% growth in October.
  • The core-core CPI (excluding fresh food and energy) -- a key indicator of the underlying trend of inflation -- rose 1.9% y/y in November, quicker than the 1.8% y/y registered previously.
  • Currently, OIS pricing sits 6–19bps firmer across meetings versus pre-BOJ MPM (Oct), with September 2025 leading the gains.
  • For the upcoming December 18-19 meeting, pricing has increased by 10bps since late October, reflecting a 54% probability of a 25bp rate hike. Pricing for this meeting has been influenced by recent remarks from BoJ Governor Ueda, who described the meeting as “live.”.
  • According to a Bloomberg survey, just over half of economists expect the BoJ's next rate hike to occur in December.
  • Market expectations currently indicate: a 54% probability of a 25bp hike in December; a cumulative 77% chance by January; and a full 25bp increase is not fully priced in until May 2025.

 

Keep reading...Show less