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NZGBS: Richer Following U.S Tsys Lead


NZGBs open 2-3bp richer in line with the stronger close in U.S. Tsys in NY trade ahead of the weekend. U.S Tsy yields closed 8-11bp lower after core PCE deflator data for February surprised on the downside. The NZ/US 10-year yield differential is 7bp wider at +70bp.

  • Swaps are 2-4bp stronger, implying slightly tighter long-end swap spreads, with the 2s10s curve 2bp flatter
  • RBNZ dated OIS is little changed across meetings ahead of the RBNZ policy decision on Wednesday. The April meeting is priced for 27bp of tightening, with terminal OCR expectations at 5.27%.
  • This week's highlight is the RBNZ rates decision meeting on Wednesday. BBG consensus expects a 25bp hike to 5.0%. Despite the RBNZ considering monetary policy to be in 'contractionary territory', it is likely to emphasise the potential need for further rate hikes to ensure that inflation returns to target.
  • Today, there is no major local data scheduled. In Australia, several economic indicators are set for release, including house prices, PMIs, dwelling approvals, housing finance, and the inflation gauge, ahead of the RBA's policy decision tomorrow.
  • In other news, the NZ Government responded to the Productivity Commission on Immigration, stating that the recommendations largely align with its objectives.

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