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BONDS: NZGBS: Late Session Bull-Steepener In Swap, Positive Spillover From ACGBs

BONDS
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NZGBs closed showing a bear-flattener, with benchmark yields flat to 3bps.

  • Swap rates, however, closed flat to 5bps lower, with the 2s10s curve steeper and implied swap spreads significantly tighter.
  • Late session strength could be linked to positive spillover from ACGBs, which have rallied strongly following a disappointing Q3 GDP print.
  • Governor Adrian Orr told a parliamentary select committee that changing capital rules is unlikely to improve bank competition.
  • The ANZ World Commodity Price Index increased 2.9% m/m in November. In NZD terms, the index was up 5.2%. Dairy prices rose 5.4% amid a continued increase in demand and relatively stagnant supply. Notably, butter is at record prices and are up 44% in the past year, as per ANZ.
  • RBNZ dated OIS pricing is flat to 7bps softer across meetings, led by late 2025. 42bps of easing is priced for February, with a cumulative 101bps by November 2025.
  • The local calendar will see CoreLogic Home Values, Volume of All Buildings and NZ Government 4-Month Financial Statements tomorrow.
  • Tomorrow, the NZ Treasury plans to sell NZ$200mn of the 3.00% Apr-29 bond, NZ$250mn of the 4.25% May-34 bond and NZ$50mn of the 2.75% Apr-37 bond.
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NZGBs closed showing a bear-flattener, with benchmark yields flat to 3bps.

  • Swap rates, however, closed flat to 5bps lower, with the 2s10s curve steeper and implied swap spreads significantly tighter.
  • Late session strength could be linked to positive spillover from ACGBs, which have rallied strongly following a disappointing Q3 GDP print.
  • Governor Adrian Orr told a parliamentary select committee that changing capital rules is unlikely to improve bank competition.
  • The ANZ World Commodity Price Index increased 2.9% m/m in November. In NZD terms, the index was up 5.2%. Dairy prices rose 5.4% amid a continued increase in demand and relatively stagnant supply. Notably, butter is at record prices and are up 44% in the past year, as per ANZ.
  • RBNZ dated OIS pricing is flat to 7bps softer across meetings, led by late 2025. 42bps of easing is priced for February, with a cumulative 101bps by November 2025.
  • The local calendar will see CoreLogic Home Values, Volume of All Buildings and NZ Government 4-Month Financial Statements tomorrow.
  • Tomorrow, the NZ Treasury plans to sell NZ$200mn of the 3.00% Apr-29 bond, NZ$250mn of the 4.25% May-34 bond and NZ$50mn of the 2.75% Apr-37 bond.