NZGBS: Strong Gains Hold Ahead Of U.S. CPI

NZGBs close 10-21bp richer, but well off session bests, as U.S Tsys given back some of yesterday’s Silicon Valley Bank induced gains in Asia-Pac trade (U.S. Tsy 2-year yield +17bp). The 2/10 curve closes +11bp.

• Swaps curve bull steepens with rates 12-27bp lower, implying tighter swap spreads.
• RBNZ dated OIS collapses 16-31bp across meetings. April meeting pricing softens to 20bp of tightening with terminal OCR expectations tumbling to 5.19%, well above RBNZ’s projected OCR peak of 5.50%. For reference, RBA dated OIS went further and priced the end of the tightening cycle.
• Locally, REINZ house sales data notched up another large decline (-31.1% Y/Y), albeit with severe weather distortions. Net migration (Jan) was also released with the result robust. Migration and tourism provide one of the few bright spots for the local economy.
• The local calendar is scheduled to release tomorrow the first of this week’s quarterly data, Q4 Current Account. If a widening deficit is a sign of an overheated economy, then look no further than tomorrow’s data with BBG consensus expecting a -8.6% of GDP print.
• Until then, tracking U.S. Tsys and monitoring SVB developments is likely to remain the main game, at least until the release of US CPI tonight.