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RBNZ Dated OIS Softer With AU STIR

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After a subdued open RBNZ dated OIS is 3-10bp softer across meetings in sympathy with developments in AU STIR. RBA dated OIS is currently 8-18bp softer for meetings beyond June with April flat.

  • RBNZ April meeting pricing remains just shy of a 25bp hike with terminal OCR expectations at 5.24%. Pricing does however have 18bp of easing priced by year-end.
  • The willingness of NZ STIR to price a 25bp hike for April versus no change in AU STIR is noteworthy particularly given the key message from last week’s economic data appeared to be that the NZ economy wasn’t running as strongly as the RBNZ was expecting at the end of 2022.
  • As an overshooter of OIS expectations this cycle, the market is priced on the basis that the RBNZ is likely to want clearer signals that it has done enough in its fight against capacity constraints and inflation before halting tightening.
Figure 1: RBNZ Dated OIS: Today Vs. Friday
Source: MNI – Market News / Bloomberg

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After a subdued open RBNZ dated OIS is 3-10bp softer across meetings in sympathy with developments in AU STIR. RBA dated OIS is currently 8-18bp softer for meetings beyond June with April flat.

  • RBNZ April meeting pricing remains just shy of a 25bp hike with terminal OCR expectations at 5.24%. Pricing does however have 18bp of easing priced by year-end.
  • The willingness of NZ STIR to price a 25bp hike for April versus no change in AU STIR is noteworthy particularly given the key message from last week’s economic data appeared to be that the NZ economy wasn’t running as strongly as the RBNZ was expecting at the end of 2022.
  • As an overshooter of OIS expectations this cycle, the market is priced on the basis that the RBNZ is likely to want clearer signals that it has done enough in its fight against capacity constraints and inflation before halting tightening.
Figure 1: RBNZ Dated OIS: Today Vs. Friday
Source: MNI – Market News / Bloomberg