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RBNZ Dated OIS Slightly Pare Friday’s Post-ANZ Forecast Firming

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RBNZ dated OIS has slightly pared Friday’s significant firming, prompted by ANZ Bank's announcement that they expected the RBNZ to raise the official cash rate (OCR) by a cumulative 50bps (this month and in April), bringing the OCR to 6.0%.

  • (DJ) The RBNZ warned in November that "If inflation pressures were to be stronger than anticipated, the OCR would likely need to increase further." Data since then has been a series of small but pretty consistent surprises in that direction, Zollner said. (See link ICYMI)
  • A cumulative 61bps of easing is priced by year-end versus 69bps on Thursday. However, this is measured from a terminal OCR of 5.75% versus 5.58% on Thursday.

Figure 1: RBNZ Dated OIS Pricing (%)

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RBNZ dated OIS has slightly pared Friday’s significant firming, prompted by ANZ Bank's announcement that they expected the RBNZ to raise the official cash rate (OCR) by a cumulative 50bps (this month and in April), bringing the OCR to 6.0%.

  • (DJ) The RBNZ warned in November that "If inflation pressures were to be stronger than anticipated, the OCR would likely need to increase further." Data since then has been a series of small but pretty consistent surprises in that direction, Zollner said. (See link ICYMI)
  • A cumulative 61bps of easing is priced by year-end versus 69bps on Thursday. However, this is measured from a terminal OCR of 5.75% versus 5.58% on Thursday.

Figure 1: RBNZ Dated OIS Pricing (%)

Keep reading...Show less