NZGBS: Little Changed, Narrow Ranges Ahead of US NFP Data, Q4 Jobs & Wages Data On Wednesday

NZGBs closed near session cheaps, with benchmark yields flat to 1bp lower after being 4bps lower earlier in the session following the positive lead-in from US tsys. With the local data drop failing to provide a domestic catalyst, trading ranges have been narrow ahead of US Non-Farm Payrolls data later today.

• The NZ-US 10-year yield differential ended the session 4bps wider, settling at +63bps. 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.
• Cash US tsys have also been trading in narrow ranges in today’s Asia-Pac session. Currently, they are dealing ~1bp cheaper across benchmarks after being slightly richer earlier in the session.
• Swap rates are 2-4bps lower, with the 2s10s curve steeper.
• RBNZ dated OIS pricing is 1-2bps softer across meetings beyond May. A cumulative 96bps of easing is priced by year-end.
• The local calendar sees ANZ Commodity Price on Monday, ahead of 4Q Employment and Wages data on Wednesday.