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NZGBS: Softer After U.S Tsy Yields Retrace Higher


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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