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NZGBs Cheapen A Touch, Swaps Mire Mixed

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MNI (London) - Cash NZGBs cheapened as Wednesday trade wore on, with hope re: another rollback of COVID restrictions in China front and centre. Spill over from some very modest cheapening in U.S. Tsys also aided the trajectory of travel, leaving the major NZGB benchmarks 4-7bp cheaper at the close, with the long end leading the weakness as intermediates lagged the wider move.

  • Conversely, the swap curve twist flattened, leaving swap spreads tighter across the curve.
  • RBNZ dated OIS inched higher on the day, with ~65bp of tightening now priced for the Bank’s Feb ’23 meeting, while terminal OCR pricing sits just below 5.40%.
  • Local headline flow was very subdued.
  • Looking ahead, Thursday’s local docket is dominated by the weekly round of NZDM auctions, which consists of NZGB May-28, May-32 & Apr-37.
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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