NZGBS: Twist Flattening Early On

Light twist flattening has been observed on the NZGB curve in early Friday trade, in sympathy with the moves observed in both the U.S. Tsy and ACGB markets, as participants digest Thursday’s broader price action and the latest raft of central bank decisions from the UK & Europe. The major NZGBs run 0.5bp cheaper to 2.5bp richer.

• Swap rates are 2-4bp lower across the curve, with some light steepening in play there as the space pares back from yesterday’s GDP-inspired extremes.
• A 75bp hike at the RBNZ’s Feb ’23 meeting remains near-enough fully priced in dated OIS, with terminal OCR pricing hovering around 5.55%, incrementally softer vs. Thursday’s closing levels.
• The latest BusinessNZ m’fing PMI reading moved further into contractionary territory. Non-resident bond holdings data rounds off the domestic docket on Friday.
• Participants will be on headline watch into the weekend, with the Asia-Pac docket limited and most of the final major central bank decisions of ’22 in the rear-view.