NZGBs A Touch Cheaper On The Day On Wider Impetus

Cash NZGBs extended the early cheapening that was derived from the move in U.S. Tsys on Monday, although the move lagged that seen in their U.S. counterpart, which then allowed them to grind cheaper through the day.

• That left the major NZGB benchmarks running 3.5-4.5bp cheaper at the bell, with some light bear steepening in play.
• Meanwhile, swaps rates ran 2-7p higher on the day, with that curve flattening, resulting in mixed swap spread performance across the curve.
• RBNZ dated OIS still prices just over 60bp of tightening for the first RBNZ meeting of ’23, with a terminal cash rate of ~5.35% priced, a touch higher on the day.
• Any post-RBA meeting, trans-Tasman adjustment may kick in early on Wednesday, although the post-meeting cheapening in ACGBs has only been relatively limited.
• The domestic docket is empty on Wednesday.