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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.
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Last week's surprise 50bp rate hike by the RBNZ has resulted in a flattening of the 1-year swap Vs. 1-year swap rate 1 year forward (1y1y) to levels not seen since the Global Financial Crisis (GFC).
- As noted previously with respect to AU swaps, 1y Vs. 1y1y typically flattens until the last rate hike of the cycle. Soft economic data reinforces the flattening trend, as investors become concerned about the risk of overtightening and the potential for a recession.
- The market seems to be taking last week’s hawkish message from the RBNZ seriously, given the central bank's track record of overshooting OIS forward pricing.
- With the market attaching an 80% chance of a 25bp hike at the May meeting, there are few signs that investors are considering fading post-RBNZ pricing.
Figure 1: RBNZ OCR (%) Vs. 1y Vs. 1y1y (%)
Source: Bloomberg / MNI - Market News
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.
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