NZGBS: Closes At Bests

NZGBs close at session bests after richening with U.S. Tsys but then failing to weaken with them after they bounce off NY highs. The 2-year and 10-year cash benchmarks closed respectively 8bp and 4bp stronger with the 2/10 curve 4bp steeper. NZ/US & NZ/AU cash 10-year yield differentials closed respectively +1bp at +72bp and +2bp at +88bp.

• Swaps closed 6-7bp richer, implying a flatter swap spread box, with the 2s10s curve 1bp flatter.
• RBNZ dated OIS pricing closed 2-10bp softer for meetings beyond April with terminal rate expectations at 5.14%. April meeting pricing continued to hold in its recent 20-25bp of tightening range at 23bp.
• The NZ calendar is light until late next week with the first major release being ANZ Business Confidence and Building consents on Thursday.
• A more interesting data week for Australia with the scheduled release of February retail sales (Tue) and monthly CPI (Wed). These two releases were highlighted in the RBA Minutes as important inputs to the April policy decision.
• With the global calendar light today, the global roll-out of flash PMIs as the highlight, the market attention will be on U.S. Tsys as it continues to process the dovishly perceived hike by the Fed this week.