Cash rate (%pa) | Bank bill yields (%pa) | Secondary market government bond yields (%pa) | Swap rate spread close (bps) | |||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Date | Official Cash Rate (OCR) | Overnight interbank cash rate | 30 days | 60 days | 90 days | 1 year1 | 2 year1 | 5 year | 10 year | 2-10s2 |
| 10 May 2023 | 5.25 | – | 5.51 | 5.57 | 5.62 | 5.25 | 4.70 | 4.10 | 4.17 | -81 |
| 11 May 2023 | 5.25 | – | 5.50 | 5.56 | 5.61 | 5.23 | 4.63 | 4.05 | 4.12 | -83 |
| 12 May 2023 | 5.25 | – | 5.51 | 5.56 | 5.60 | 5.23 | 4.60 | 4.01 | 4.08 | -76 |
| 15 May 2023 | 5.25 | – | 5.51 | 5.55 | 5.58 | 5.19 | 4.54 | 3.96 | 4.05 | -78 |
| 16 May 2023 | 5.25 | – | 5.55 | 5.59 | 5.64 | 5.25 | 4.63 | 4.05 | 4.12 | -82 |
| 17 May 2023 | 5.25 | – | 5.54 | 5.59 | 5.65 | 5.25 | 4.67 | 4.08 | 4.16 | -89 |
| 18 May 2023 | 5.25 | – | 5.57 | 5.63 | 5.70 | 5.34 | 4.78 | 4.19 | 4.26 | -96 |
| 19 May 2023 | 5.25 | – | 5.63 | 5.72 | 5.79 | 5.52 | 5.04 | 4.41 | 4.41 | -105 |
| 22 May 2023 | 5.25 | – | 5.68 | 5.77 | 5.82 | 5.57 | 5.08 | 4.43 | 4.42 | -100 |
| 23 May 2023 | 5.25 | – | 5.67 | 5.75 | 5.83 | 5.57 | 5.03 | 4.40 | 4.40 | – |
[1] Where there is no suitable benchmark bond, none is reported. See series description for details.[2] The spread between the 2 and 10 year swap rate is presented in basis points to better align with market conventions.
OCR at 5.25 matches the FED at 5.25. The RBNZ interest rates historically were priced far above Fed Rates. The 5, 4 and 3 day higher rates qualifies to RBNZ raise. How far back was this seen. Many, days is the answer. Rare day to disappoint with no raise under the 5 day rule scenario. Only 2 options for RBNZ: raise or on hold. OCR at 5.25 vs Inflation 6.7.
I will post NZD trades this evening long before RBNZ. What will all see. NZD/USD minimum 32 and Max at 62. Maybe in 1 direction.
Brian Twomey
BRIAN TWOMEY ON TRADING 