NZGBS: OIS Slightly Firmer After RBNZ Conway’s Comments, Bonds Remain Richer

In local morning trade, NZGBs are 3-5bps richer after US tsys richened 3-6bps on Monday as traders await a raft of quarterly earnings reports (including some of the US market’s magnificent seven), quarterly US debt refunding plans and a Federal Reserve Policy Decision.

• Bond bulls latched onto dovish comments from several ECB officials overnight, which heightened expectations for a rate cut in April. The 10-year Bund yield fell 6bps to 2.23%, while the 10-year Gilt declined 9bps to 3.88%, ahead of this week’s BoE Policy Meeting.
• Bloomberg reported “Monetary policy is working, with the economy slowing and inflation falling,” RBNZ Chief Economist Conway said in a speech on Tuesday in Wellington. “But we still have a way to go to get inflation back to the target midpoint.” (See link)
• Swap rates are flat to 1bp higher.
• NZD/USD spiked as RBNZ Chief Economist Conway spoke. The pair got to a high of 0.6144, just below Tuesday's highs from last week. The Kiwi is up around 0.60% for Monday's session as a whole, the best performer in the G10 space.
• RBNZ dated OIS pricing is flat to 2bps firmer across meetings. A cumulative 90bps of easing is priced by year-end.
• Today, the local data calendar is empty, with the antipodean highlight being Australian Retail Sales for December.