NZGBS: Early, Light Richening Holds

NZGBs held on to their early richening, even as their Antipodean counterparts faltered on the back of what seems like cross-market flow-driven moves (which perhaps underpinned NZGBs further).

• That left the major NZGB benchmarks running flat 2.5-4.0bp richer across the curve at the close, with some light bull steepening seen after NZGBs looked to Wednesday’s bid in U.S. Tsys for early support.
• Swap rates are essentially unchanged across the curve.
• The front end of the RBNZ dated OIS strip was flat, with ~71bp of tightening priced for the Feb ’23 gathering and a terminal OCR of ~5.55% currently baked in.
• Broader inputs will shape the NZGB space on Friday, although activity is likely to be limited, unless we get major macro headline flow, with the local docket empty and participants eying the exits ahead of the Christmas holiday.