NZGBS: Closed On Session Bests, NZ-US 10Y Spread Unchanged

NZGBs closed at session bests, with benchmark yields 5bps lower. With the domestic calendar empty until ANZ Business Confidence on Thursday, the local market has tracked the performance of US tsys and ACGBs. NZ-US and NZ-AU 10-year yield differentials are unchanged versus the NZ close on Friday.

• Swap rates are 3-4bps lower, with the short-end implied swap spread wider.
• RBNZ dated OIS pricing is little changed, with terminal OCR expectations at 5.76%.
• Stronger-than-expected employment or CPI data in October alongside Thursday’s solid GDP and elevated levels of government spending could force the RBNZ to raise its Official Cash Rate from 5.5% as soon as November, former Reserve officials told MNI. John McDermott, executive director at Motu Economic and Public Policy Research and former RBNZ assistant governor, said the central bank had failed to contain non-tradable inflation, while oil price spikes could again cause tradable and goods prices to rise. (See link)
• Tomorrow the local calendar is empty.
• Later today sees Chicago Fed Nat and Dallas Fed Manf. Activity Indices, along with Fedspeak from Kashkari