NZGBS: Closed On A Weak Note, Pressured By US Tsys

NZGBs closed on a weak note, with benchmark yields 11-12bps higher. With the domestic data calendar light (ANZ Commodity Prices as the sole release), the local participants have likely monitored today's extension of Friday’s post-payrolls sell-off in US tsys. Cash US tsys are trading 2-5bps cheaper in today’s Asia-Pac session, with a flattening bias, after an airing of a pre-recorded interview with Fed Chair Powell on 60 Minutes.

• The NZ-US 10-year yield differential ended the session 6bps narrower, settling at +56bps. This places it near the midpoint of the range observed over the last 12 months, which has fluctuated between +40 and +85bps.
• In contrast, the NZ-AU 10-year yield differential is currently positioned towards the upper end of its recent trading range, registering at +54bps. Over the past three months, this differential has hovered within a range of +30 to +60bps. However, it's worth noting that the 12-month high for this differential stands at approximately +100bps.
• Swap rates are 10-14bps higher, with the 2s10s curve flatter.
• RBNZ dated OIS pricing is 1-10bps firmer across meetings. A cumulative 86bps of easing is priced by year-end.
• Tomorrow, the local calendar is empty, ahead of 4Q Employment and Wages data on Wednesday.