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NZGBS: Strengthens Further After Weaker GDP Data

BONDS

A weaker-than-expected Q4 GDP print (-0.6% Q/Q Vs. -0.2% Q/Q) and a downward revision to Q3 (+1.7% Q/Q Vs. +2.0% previously) sees NZGBs add 2bp to the morning's globally induced strength to be 14-17bp richer with the curve steeper by 3bp.

  • The 2-year swap rate declines 7bp on the GDP data with 10-year swap 2bp stronger leaving the swap curve 17-28bp richer on the day. Implied swap spreads are sharply lower at the short end.
  • RBNZ Dated OIS softens 4-15bp across meetings with April meeting pricing at 10bp of tightening. Terminal OCR expectations drop to 5.08%, well below the RBNZ's projected OCR peak of 5.50%.
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