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RBNZ Dated OIS Pricing Is 9-19bps Firmer Than Pre-RBNZ Decision Levels

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RBNZ dated OIS pricing is 2-5bps firmer for meetings beyond July.

  • Additionally, these same meetings are now 9-19bps firmer compared to levels before the RBNZ Decision.
  • While the RBNZ maintained its tightening bias, the primary impetus behind this shift was a substantial reduction in market expectations for easing by the US Federal Reserve. This adjustment followed the release of stronger-than-expected US CPI data earlier in the week.
  • Currently, the US market has priced in 44 basis points of Fed easing for this year, notably lower than the 75bpss median projection by policymakers at the March FOMC meeting. Moreover, the first 25bp rate cut has been pushed back to September, from July ahead of the inflation data.
  • The projected terminal OCR remains at 5.50%.
  • By year-end, a cumulative 39bps of easing is factored into the pricing versus around 60bps earlier in the week.
  • For context, it's noteworthy that in late December, the market had anticipated over 100bps of easing by year-end, driven by expectations of a terminal OCR of 5.53%.


Figure 1: RBNZ Dated OIS Expected Terminal & End-24 OCR (%)



Source: MNI – Market News / Bloomberg

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