NZGBS: Closed On A Low Note But Richer On the Day

NZGBs closed on a low note but with the benchmarks 2-5bp richer on the day. NZ/US 10-year yield differential is 1bp higher.

• NZGBs have shown stronger performance compared to ACGBs, with the NZ/AU 10-year yield differential -1bp. At +57bp, the NZ/AU differential is back near its tightest level since mid-February. The 10-year differential hit a 20-year+ high in March at around +100bp.
• Swap rates closed 5-6bp lower with the implied short-end swap spread tighter.
• RBNZ dated OIS are 1-3bp softer across meetings with the expected terminal rate at 5.63%.
• Not surprisingly given how much they've risen over the past 18 months or so, a growing number of New Zealanders are worried about interest rates, market research company Roy Morgan says.
• Next week sees Retail Card Spending (May) on Monday, Net Migration (Apr) on Tuesday, Balance of Payments (Q1) on Wednesday and GDP (Q1) on Thursday.
• The global calendar is light today. Accordingly, market participants will be keen to see if US tsys can hold yesterday’s gains sparked by the larger-than-expected jump in US initial jobless claims.