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NZGBS: Softer After U.S Tsy Yields Retrace Higher

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NZGBs open 8bp softer across the curve as U.S Tsys yields retrace some of the previous day’s stunning declines as risk appetite improves. U.S Tsy 2-year yield was +26bp and the 10-year is +10bp. Nonetheless, after the largest daily decline since the 1980s, the U.S. Tsy 2-year yield was still around 85bp below last week’s peak.

  • Swaps are 10-11bp cheaper, implying wider swap spreads.
  • RBNZ dated OIS open 3-6bp softer across meetings after yesterday’s dramatic events. April meeting pricing retains a tightening of 24bp resisting the lead from AU STIR yesterday which priced a halt to the tightening cycle. Terminal OCR expectations sit at 5.23%, well below the RBNZ projected peak of 5.50%.
  • Locally, Q4 Current Account data is slated for today with another large deficit expected (BBG consensus -8.5% of GDP) ahead of Q4 GDP tomorrow.
  • Offshore, China is slated to announce the 1-year MT lending rate along with a raft of monthly (Jan/Feb) releases including Retail Sales and Industrial Production. US PPI and Retail Sales for February are slated for tonight.
  • Until then, tracking U.S. Tsys and awaiting any further Silicon Valley Bank (SVB) developments is likely to remain the main game.
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NZGBs open 8bp softer across the curve as U.S Tsys yields retrace some of the previous day’s stunning declines as risk appetite improves. U.S Tsy 2-year yield was +26bp and the 10-year is +10bp. Nonetheless, after the largest daily decline since the 1980s, the U.S. Tsy 2-year yield was still around 85bp below last week’s peak.

  • Swaps are 10-11bp cheaper, implying wider swap spreads.
  • RBNZ dated OIS open 3-6bp softer across meetings after yesterday’s dramatic events. April meeting pricing retains a tightening of 24bp resisting the lead from AU STIR yesterday which priced a halt to the tightening cycle. Terminal OCR expectations sit at 5.23%, well below the RBNZ projected peak of 5.50%.
  • Locally, Q4 Current Account data is slated for today with another large deficit expected (BBG consensus -8.5% of GDP) ahead of Q4 GDP tomorrow.
  • Offshore, China is slated to announce the 1-year MT lending rate along with a raft of monthly (Jan/Feb) releases including Retail Sales and Industrial Production. US PPI and Retail Sales for February are slated for tonight.
  • Until then, tracking U.S. Tsys and awaiting any further Silicon Valley Bank (SVB) developments is likely to remain the main game.