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RBNZ Dated OIS Softens After Less Hawkish RBNZ

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Following the RBNZ’s hint yesterday that they may opt to maintain a tight monetary policy for an extended period instead of pursuing further tightening, RBNZ-dated OIS rates have softened. They are now 5-9bps softer from pre-decision levels across meetings extending to August 2024.

  • Only a 17% chance of a 25bp hike had been priced for Wednesday’s policy meeting.
  • In line with the softening across meetings, terminal OCR expectations have softened 9bps from pre-RBNZ decision levels.
  • At 5.76%, the market still has a 25bp hike priced by April 2024. Prior to the RBNZ decision, a 25bp hike had been fully priced by February 2024.

Figure 3: RBNZ Dated OIS Terminal Rate Pricing (%)

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Following the RBNZ’s hint yesterday that they may opt to maintain a tight monetary policy for an extended period instead of pursuing further tightening, RBNZ-dated OIS rates have softened. They are now 5-9bps softer from pre-decision levels across meetings extending to August 2024.

  • Only a 17% chance of a 25bp hike had been priced for Wednesday’s policy meeting.
  • In line with the softening across meetings, terminal OCR expectations have softened 9bps from pre-RBNZ decision levels.
  • At 5.76%, the market still has a 25bp hike priced by April 2024. Prior to the RBNZ decision, a 25bp hike had been fully priced by February 2024.

Figure 3: RBNZ Dated OIS Terminal Rate Pricing (%)

Keep reading...Show less