NZGBS: Closed At Bests, Outperforming $-Bloc

NZGBs closed at session bests with the 2-year and 10-year benchmarks 9bp richer on the day following the firmer lead from U.S. Tsys ahead of the weekend. U.S Tsys were little changed in Asia-Pac trade with the market eyeing e-minis and weakness in Chinese property developer names. NZGBs outperformed their $-bloc peers with the NZ/US 10-year yield differential 6bp narrower and the NZ/AU differential -4bp.

• Swaps closed 5-6bp stronger, implying wider swap spreads, with the 2s10s curve 1bp flatter.
• RBNZ dated OIS closed flat to 5bp softer across meetings with 22bp of tightening priced for April. Terminal OCR expectations were unchanged at 5.14%.
• With the NZ calendar light until ANZ Business Confidence and Building consents on Thursday, the market attention, other than banking headlines, will be on tomorrow’s release of Australian Retail Sales for February. After a volatile couple of months related to Black Friday sales (-4.0% M/M in December followed by +1.6% in January), the market will be keen to see if household spending weakness seen in Q4 GDP data has carried over into early 2023.