NZGBS: Near Bests, Outperforming US Tsys

NZGBs closed at or near session bests with US Tsys firmer (yields 2-3bp lower) in Asia-Pac trade as Chinese data showed producer prices falling at their fastest pace since June 2020. At the close, the 2-year and 10-year NZGB benchmarks were respectively flat and 3bp cheaper. The NZ/US 10-year yield differential narrowed 8bp to 57bp.

• Swap rates were flat to 1bp cheaper, implying a slightly tighter long-end swap spread.
• RBNZ dated OIS closed little changed across meetings with 19bp of tightening priced for May. 45bp of easing is priced for Feb-24 off a terminal OCR expectation of 5.46% (July).
• The local calendar is slated to release March Retail Card Spending data tomorrow with a boost from high inflation and post-cyclone pricing expected. March Manufacturing PMI and February Net Migration data are scheduled for release on Friday. The local market will be keen to see if the recent strong net inflows continue with the border now open.
• With the global calendar relatively light today, Euro Area Retail Sales and US NFIB Small Business Optimism as the highlights, global investors may stay close to the sidelines ahead of Wednesday’s release of US CPI and FOMC minutes for the March meeting.