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NZGBS: Continued Hedging For A More Hawkish RBNZ Weighs

BONDS

NZGBs extended on Tuesday’s cheapening, with continued payside swap flow noted in the wake of Tuesday’s CPI reading, as hedging for a more hawkish RBNZ dragged swap spreads wider. Fresh cycle highs were registered in both swap rates and NZGB yields across the term structure as a result.

  • NZGBs finished the session 8-12bp cheaper, bear flattening.
  • RBNZ dated OIS now prices a peak OCR of just over 5.40%, with ~78bp of tightening priced in for next month’s meeting (some are pointing to the 3-month RBNZ meeting hiatus that follows that meeting as another source of uncertainty re: monetary policy, given the firmer than expected inflation prints).
  • Looking ahead, Thursday’s domestic docket is headlined by the weekly round of NZGB issuance, with May-28, Apr-33 and May-51 paper set to come to market.
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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