NZGBS: A little Firmer To Start The NY, Swap Spreads Mixed

NZGBs are firmer after the NY break, playing catch up to the bid witnessed in wider core global FI markets since the turn of the year, with growth worries re: China (at least in the immediate term) and softer than expected German inflation data (at a headline level, although core prices appear to paint a slightly different picture) dominating the news wires in recent days.

• That leaves the major benchmarks running 7.5-8.5bp richer across the curve, with intermediates leading the bid.
• Swap rates are 5-9bp lower across the curve vs. pre-NY levels, with shorter dated swap spreads widening and longer dated spreads little changed.
• RBNZ dated OIS pricing is little changed to start the NY, with ~71bp of tightening priced for next month’s meeting and a terminal rate of just over 5.50% eyed.
• CoreLogic house price data presents the only domestic economic data release of note this week, which will leave participants focussed on headline flow and cross-market dynamics.
• There hasn’t been much in the way of meaningful domestic headline flow to digest from the NY break.