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NZGBS: Little Changed Ahead Of ANZAC Day Holiday

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NZGBs closed flat to 1bp richer after trading in a relatively tight range. In the absence of domestic drivers, the market was content to track US Tsys, which were 1-2bp stronger in Asia-Pac trade after a weaker close ahead of the weekend. NZGBs outperformed US Tsys with the NZ/US 10-year yield differential 3bp narrower than Friday’s local close at +58bp.

  • Swap rates are flat to 2bp higher with the 2s10s curve 2bp flatter and short-end implied swap spreads wider.
  • RBNZ dated OIS closed little changed with 20bp of tightening priced for the May meeting. Easing expectations for Feb-24, off the expected terminal OCR of 5.52% (July), are currently 46bp.
  • The Antipodean markets are closed tomorrow for the ANZAC Day holiday ahead of the release of ANZ Business (Thu) and Consumer Confidence (Fri).
  • In Australia, the calendar highlight will be the release of Q1 CPI on Wednesday.
  • Ahead of the local market’s opening on Wednesday, the US data docket will see a raft of second-tier releases with the Chicago & Dallas Feds, S&P/CS House Prices Index and New Home Sales as the highlights.

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