NZGBS: Late Session Bull Flattening

The NZGB 10-year benchmark closed at session bests despite weaker U.S Tsys in Asia-Pac trade. Without an obvious catalyst, late session strength in the long end appeared to be driven by the local market playing catch-up to U.S. Tsy strength ahead of the weekend. At the bell benchmark yields were 2-9bp lower with the 2/10 curve 7bp flatter and the NZ/US 10-year yield differential 4bp narrower at +60bp.

• 2s10s swaps curve bull steepened sharply into the close with rates flat to 10bp richer. The implied swap spread box curve flattened.
• RBNZ dated OIS closed little changed today with 28bp of tightening priced for Wednesday’s meeting and terminal OCR expectations at 5.28% (28bp of additional tightening assuming a 25bp hike this week).
• The RBNZ released a Debt-to-Income (DTI) framework that set the specifications that banks need to comply with if a DTI tool is activated. The publication does not immediately activate DTI restrictions.
• The local calendar is light ahead of the RBNZ decision on Wednesday with the NZIER Quarterly Business Opinion Survey tomorrow as the highlight.
• In Australia, the RBA policy is slated for tomorrow with a no-change outcome expected.
• Further afield, today’s calendar is scheduled to deliver final prints for March Manufacturing PMIs globally along with the ISM Manufacturing Survey.