NZGBS: Friday’s Sell-Off Extends, $-Bloc Underperformance Continues

In local morning trade, NZGBs are 6-7bps cheaper across benchmarks. This trend reflects the continued weakness observed since Friday, prompted by ANZ Bank's announcement. ANZ Bank anticipates that the RBNZ will raise the official cash rate (OCR) by 50bps this month and in April, bringing the OCR to 6.0%.

• The 2-year yield currently sits 35bps higher than last week's start. The 10-year yield is 25bps higher, with its yield differential with ACGBs 15bps wider.
• US tsys finished last week moderately weaker, with yields 2-3bps higher. With limited economic data on Friday, the market focused on revisions to US CPI data after Fed Waller highlighted the importance of the adjustments to confirm the downward trend for inflation in a recent speech. Nevertheless, the Core CPI 3-month annualised rate was near enough unrevised: 3.34% vs 3.33% prior. 6-month rate at 3.25% annualised vs 3.21% prior.
• Swap rates are 4-7bps higher, with the 2s10s curve flatter.
• RBNZ dated OIS pricing is little changed, with a cumulative 60bps of easing priced by year-end. The expected year-end OCR has jumped 50bps over the past week.
• Today, the local calendar is empty, ahead of Inflation Expectations tomorrow, and REINZ House Sales, Card Spending and Food Prices on Wednesday. The RBNZ Policy Decision is on 28 February.