Another Round Of NZGB Cheapening

The negative lead from U.S. Tsys has dragged the NZGB space lower at the NZ open, with RBNZ Governor Orr’s post-FSR appearance in front of parliament (including references to a laser-like focus on returning inflation to target, in addition to another hat tip to the increasing downside risks provided by the global economic backdrop and a note that NZ banks are amongst the most resilient in the world) headlining on the domestic front thus far.

• Cash NZGBs run ~14bp cheaper across the curve, in what has been a parallel shift, with swap rates lagging the move, resulting in swap spread tightening (another such instance of that dynamic as the impact of the front running of NZGB WGBI index inclusion unwinds).
• OIS pricing of the RBNZ terminal OCR is incrementally higher this morning, printing just above 5.25%, with ~71bp of tightening still priced for this month’s meeting.
• The weekly round of NZGB supply (consisting of ’28, ’33 & ’51 bonds) is due today, headlining the remainder of today’s domestic docket.