NZGBS: Receiver Side Swap Flow & Move Lower In RBNZ Dated OIS Helps Early Bid Extend

NZGBs looked more to the extension in ACGBs than the light cheapening in U.S. Tsys during Friday trade, extending on the early richening that was inspired by the move in U.S. Tsys on Thursday, after the space initially lagged Thursday’s rally in Tsys. That left the major benchmarks running 9-10bp richer at the bell, while swaps were 9-11bp richer, leaving swap spreads little changed to a touch tighter as the swap curve flattened.

• RBNZ dated OIS was little changed to a touch lower in lieu of Thursday’s move in market pricing re the U.S. Fed, with 61bp of tightening now priced for the first RBNZ meeting of ’23, while terminal OCR pricing hovers around 5.30%. This aided the bid in NZGBS.
• Domestically, terms of trade data printed much softer than expected, with the headline index seeing a ‘surprise’ fall.
• Governor Orr will take part in a BIS panel discussion late on Friday, although the topic of “A Digitalised Monetary System in the Making” should limit the scope for comments on meaningful monetary policy issues.
• Further out, Q3 manufacturing activity and monthly card spending data headline next week’s domestic docket, with NZGBs set to adjust to the impending U.S. NFP print at Monday’s open.