NZGBS: Cheaper But Off The Session’s Worst Levels, Subdued Session

NZGBs closed 2-4bps cheaper across benchmarks but off the local session’s worst levels. Nevertheless, with the domestic calendar light, local participants have extended Friday’s sell-off, prompted by ANZ Bank's hawkish OCR forecast change. ANZ Bank now anticipates that the RBNZ will raise the official cash rate (OCR) by a cumulative 50bps (this month and in April) to 6.0%.

• The 2-year yield currently sits 30-35bps higher than last week's start. The 10-year yield is 20bps higher, with its yield differential with ACGBs 15bps wider.
• Swap rates are 3-5bps higher.
• RBNZ dated OIS pricing is 3-6bps softer across meetings out to August. That said, the cumulative easing priced by year-end has been pared to 51bps from a peak of 5.68% versus around 100bps of easing off 5.53% at the end of January.
• RBNZ Chief Economist Paul Conway will speak to the ANZ Investor Tour in Wellington tomorrow. There will be no new economic information or insights presented in this engagement.
• The NZ Government will deliver the Budget on May 30.
• Tomorrow, the local calendar sees Inflation Expectations, ahead of REINZ House Sales, Card Spending and Food Prices on Wednesday. The RBNZ Policy Decision is on 28 February.