NZGBS: Weaker On Global Impulse, Although Outperforming Again

Monday’s weakness in core global FI markets is leaking into NZGBs, with the major NZ benchmarks running 1.5-3.5bp cheaper early on Tuesday, bear steepening. Still, NZGBs have been fairly resilient in a cross-market sense over the past couple of sessions, in what could be a sign of relative value appeal and perhaps some WGBI flow-related dynamics.

• Swap rates are 3-5bp higher on the day, in a relatively parallel shift, resulting in the slight widening of most of the major swap spreads.
• RBNZ dated OIS is little changed this morning, with ~72bp of tightening priced in for the Feb ’23 meeting, alongside a terminal OCR of ~5.55%.
• ANZ business survey data headlines today’s domestic docket. Meanwhile, participants are set to have one eye on offshore matters, with the latest BoJ monetary policy decision (no change expected), minutes from the latest RBA monetary policy meeting and PBoC MLF fixing all slated for release.