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NZGB Curve Twist Flattens, Swap Rates Ease

BONDS

NZGBs have twist flattened, running 2bp cheaper to 6.5bp richer across the curve, with Thursday’s bid in U.S. Tsy futures lending support in the main.

  • Swap rates are 3-4bp lower across the term structure, resulting in mixed swap spread performance early today.
  • Local data has seen the ANZ consumer confidence reading hit the lowest level observed since June, after the headline print fell by a little over 5%. The survey collator noted that “sharp increases in the cost of living and interest rates (not to mention falling house prices) are clearly hurting confidence, but excellent job security and strong wage growth have so far seen spending hold up far better than this level of confidence would normally imply. This dynamic is likely to be on borrowed time.”
  • Elsewhere, Q3 retail sales volume data was virtually in line with exp., rising by 0.4% Q/Q (the BBG survey median looked for a reading of +0.5%).
  • RBNZ dated OIS continues to price just over 70bp of tightening for the RBNZ’s Feb ’23 meeting, while terminal rate pricing hovers just below 5.50%.
  • There isn’t much in the way of tier 1 macro data to note during the remainder of Friday’s Asia-Pac session, which will leave matters such as the COVID situation in China & the direction of travel for U.S. Tsys as cash markets re-open at the fore.
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NZGBs have twist flattened, running 2bp cheaper to 6.5bp richer across the curve, with Thursday’s bid in U.S. Tsy futures lending support in the main.

  • Swap rates are 3-4bp lower across the term structure, resulting in mixed swap spread performance early today.
  • Local data has seen the ANZ consumer confidence reading hit the lowest level observed since June, after the headline print fell by a little over 5%. The survey collator noted that “sharp increases in the cost of living and interest rates (not to mention falling house prices) are clearly hurting confidence, but excellent job security and strong wage growth have so far seen spending hold up far better than this level of confidence would normally imply. This dynamic is likely to be on borrowed time.”
  • Elsewhere, Q3 retail sales volume data was virtually in line with exp., rising by 0.4% Q/Q (the BBG survey median looked for a reading of +0.5%).
  • RBNZ dated OIS continues to price just over 70bp of tightening for the RBNZ’s Feb ’23 meeting, while terminal rate pricing hovers just below 5.50%.
  • There isn’t much in the way of tier 1 macro data to note during the remainder of Friday’s Asia-Pac session, which will leave matters such as the COVID situation in China & the direction of travel for U.S. Tsys as cash markets re-open at the fore.