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Despite all the turbulence in equity, commodity and currency markets, the US Treasury market remains fairly sleepy, with rates remaining in a tight trading range.
The 10-year rate is down 2 bps at 2.15%, having traded in a range of 2.12-2.20%. The 2-year rate has now moved more decisively below the 1% handle at 0.96%.
Investors seem to have become more confident that the tightening cycle will be much more gradual than indicated by the FOMC.
NZ interest rates continued to fall, helped by the global tailwind.
The 2-year swap rate was down 2 bps to 2.77%.
The yield curve has flattened slightly every day so far this year. The 10-year swap rate was down 6.5 bps to 3.58%.
The first Kauri deal for the year was priced. IFC added $325m to its existing May 2020 issue priced at mid-swap +42 bps. The deal set off some activity in the swaps market, helping contribute to falling rates.
NZ government bonds remained well bid.
The 10-year rate (Apr-27) fell by another 3 bps to 3.37%.
This means that the cumulative fall over the first three trading days of the year is now 20 bps for this bond, compared to about a 10 bp fall for the US Treasury rate since the end of the year.
We think that there remains further potential for the NZ-US spread to contract this year, although we thought that this would be more likely in the context of a rising US rate environment.
Daily swap rates
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1 Comments
This means that the cumulative fall over the first three trading days of the year is now 20 bps for this bond, compared to about a 10 bp fall for the US Treasury rate since the end of the year.
Margin/collateral calls are generally met by liquidating that which is still above water. The tiny and extremely illiquid NZ government debt market hardly qualifies in the global scheme of financial collapse.
To that end: - Swap spreads—rates charged for interest rate swaps—are dipping lower this week, resuming a much discussed trend from last year. Read more
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