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Global Forces & Higher RBNZ Terminal Rate Weigh On NZGBs

BONDS

NZGBs have continued to leak lower during the final session of the week, with the impetus from Thursday’s global FI trade and spill over from weakness in ACGBs providing the driving factors ahead of the elongated holiday weekend in NZ.

  • Swap spreads have narrowed notably on the session given the pressure in bonds, with NZGB yields running 13-16bp higher across the curve, as intermediates lead the weakness, while comparable swap rates are 2-8bp higher.
  • 2-Year NZGB yields have extended to fresh cycle peaks.
  • RBNZ OIS pricing for October is sticky, hovering just above 50bp, while terminal rate pricing has moved closer to cycle peaks, last printing ~4.70%, per RBNZ dated OIS.
  • Looking ahead, a Tuesday address from RBNZ Governor Orr (based on August’s MPS) and the monthly ANZ business & consumer confidence prints present the highlights ahead of the Oct RBNZ meeting.
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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