Free Trial

RBNZ Repricing Weighs On NZGBs Post-CPI

BONDS

Firmer than expected Q3 CPI data (more details in previous bullets) shifts NZGBs into cheapening territory, as the major benchmarks run 6.5-10.0bp cheaper across the curve, with bear flattening in play as RBNZ rate hike expectations are repriced.

  • RBNZ dated OIS has shifted to pricing ~70bp of tightening at next month’s decision, an 80% chance of a 75bp step, while terminal OCR pricing has shifted to just below 5.25%, just over 20bp firmer on the session.
  • Swap spreads run wider across the curve, pointing to payside flow in swaps helping the move in NZGBs.
  • 2-Year NZ swap rates have registered a fresh cycle high of 5.14% in the wake of the CPI release.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.