NZGBS: A Touch Firmer On The Day, Awaiting a More Meaningful Catalyst

The early move lower in NZGB yields saw a marginal extension, although there was lack of meaningful headline catalysts apparent during Tuesday’s Asia-Pac session, leaving the imprint of Monday’s modest richening in U.S. Tsys front and centre.

• The major NZGB benchmarks finished ~4bp richer in a parallel shift.
• RBNZ dated OIS pricing was little changed to marginally lower, showing 67bp of tightening for the Feb ’23 meeting and a terminal OCR of just below 5.50%.
• Swap rates unwound some of their initial move lower to finish little changed to 4bp lower across the curve, meaning that swap spreads finished flat to wider after narrowing in early dealing.
• Local headline flow remained non-existent, with only lower tier local data scheduled for the remainder of the week.