NZGBS: Twist Steepening, 10Y Performs In Line With US Tsys & ACGBs

NZGBs closed with benchmark yields 2bp richer to 4bp cheaper. After opening the local session with a material outperformance versus US Tsys and ACGBs, NZGBs closed with the NZ/US and NZ/AU 10-year yield differentials unchanged.

• The swap curve closed with the rates -2bp to +4bp and the 2s10s curve 6bp steeper.
• The local calendar is light again tomorrow, ahead of the RBNZ policy decision on Wednesday. BBG consensus is unanimous in expecting a no-change outcome after the RBNZ steered the market in its May Monetary Policy Statement that it expected that no further increases in the OCR would be required and that now is the time to “watch, worry and wait”. (See link)
• RBNZ dated OIS pricing closed little changed across meetings. A 14% chance of a 25bp hike is priced for this week’s policy meeting. Terminal OCR expectations are sitting at 5.79%.
• A majority of nine members of the RBNZ Shadow Board recommend no change in the OCR at the July 12 decision given slowing demand, the NZIER says in a statement. One member recommends a 25bp increase to 5.75%. Looking ahead a year, the Shadow Board views centre on an unchanged 5.5% but with a range from 4.5% to 6%. (See link)