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NZGBS: Pressured After The Long Weekend


New Zealand returns from the elongated weekend, with participants having to adjust to two days of cheapening in U.S. Tsys in lieu of Friday’s NFP & ISM services print, in addition to hawkish central bank rhetoric from both the Fed & ECB. That leaves the major NZGB benchmarks 17-18bp cheaper vs. Friday’s closing levels, while swap rates are 15-17bp higher, leaving swap spreads little changed to a touch tighter.

  • NZGBs have generally lagged the moves in U.S. Tsys observed since Friday’s NZ close i.e. cheapened to a lesser degree, although weakness has been slightly more pronounced than that seen in ACGBs over the same horizon.
  • The key near-term RBNZ dated OIS points have shifted a little higher today, showing 55bp of tightening for this month’s meeting, alongside pricing for a terminal OCR of ~5.25%, aided by the market repricing re: the Fed in lieu of the aforementioned data.
  • Local headline flow has been fairly limited since Friday’s close.
  • The latest ANZ commodity price index print will cross today, although that won’t move the needle for NZGBs. More focus will be afforded to post-holiday adjustments and any trans-Tasman impetus derived from the latest RBA monetary policy decision.
MNI London Bureau | +44 0203-865-3809 |
MNI London Bureau | +44 0203-865-3809 |

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