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Aggressive NZGB Repricing After RBNZ

BOND SUMMARY

An aggressive round of repricing post-RBNZ, with the major NZGB benchmarks now running 2-18bp cheaper across the curve, as bear flattening comes to the fore.

  • See previous bullets for more colour on the RBNZ communique, with the highlight being the discussion of a potential 100bp hike, before the Bank decided to go with a 75bp step. Also see our earlier bullets re: the moves in the Bank’s projected OCR track.
  • Swap rates surge in sympathy, with swap spreads now wider across the curve. Note that the 2-/10-Year swap curve has shunted lower, moving over 10bp further into inverted territory vs. yesterday’s closing levels.
  • A peak OCR of 5.50% is now seen by the RBNZ, with the RBNZ dated OIS strip pricing a peak of ~5.40% post-decision.
  • ASB are the first major sell-side name to tweak their RBNZ call, and now look for a peak OCR rate of 5.50% (matching the RBNZ’s OCR track peak) in April.
  • Focus now moves to RBNZ Governor Orr’s address, which will get underway at the top of the hour.
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An aggressive round of repricing post-RBNZ, with the major NZGB benchmarks now running 2-18bp cheaper across the curve, as bear flattening comes to the fore.

  • See previous bullets for more colour on the RBNZ communique, with the highlight being the discussion of a potential 100bp hike, before the Bank decided to go with a 75bp step. Also see our earlier bullets re: the moves in the Bank’s projected OCR track.
  • Swap rates surge in sympathy, with swap spreads now wider across the curve. Note that the 2-/10-Year swap curve has shunted lower, moving over 10bp further into inverted territory vs. yesterday’s closing levels.
  • A peak OCR of 5.50% is now seen by the RBNZ, with the RBNZ dated OIS strip pricing a peak of ~5.40% post-decision.
  • ASB are the first major sell-side name to tweak their RBNZ call, and now look for a peak OCR rate of 5.50% (matching the RBNZ’s OCR track peak) in April.
  • Focus now moves to RBNZ Governor Orr’s address, which will get underway at the top of the hour.