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NZGBS: Closed Weaker, Mid-Range, Awaits RBNZ Policy Decision Tomorrow


NZGBs closed 3-6bp weaker, in the middle of the local session’s range, with the 2/10 cash curve steeper.

  • Swap rates are flat to 4bp higher with implied swap spreads tighter.
  • The local calendar saw a couple of releases today. In addition to the previously mentioned REINZ house sales and price data, the RBNZ published Q3 household expectations survey results. The median expected inflation rate in 2 years to be 3.5% down from 5% in Q2. The survey also showed median expected house price inflation in 1 year of 0.0%.
  • Tomorrow sees the RBNZ policy decision, with Bloomberg consensus unanimous in expecting the OCR to be kept at 5.50%.
  • RBNZ dated OIS is flat across meetings out to Feb’24 and 1-7bp firmer for meetings beyond. The market attaches an 8% chance of a 25bp hike tomorrow.
  • Over the past six weeks, terminal OCR expectations have primarily traded within a range of 5.60-5.65%, aside from a brief uptick to 5.81% in early July. This trading pattern aligns with the "watch, worry, and wait" guidance issued by the RBNZ during its May Monetary Policy Statement.
  • Later today, US retail sales, empire manufacturing, business inventories and cross-border investment are due.

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