NZGBS: Strong Session, Plays Catch-Up With ACGBs, Focus Turns To FOMC Decision

NZGBs closed at the session’s best levels, with benchmark yields 7bps lower. With domestic data printing better than expected (Q4 Current Account Deficit narrower and Q1 Consumer Confidence higher), the intraday richening appears linked to offshore influences, namely the stronger lead from US tsys overnight and the post-RBA rally in ACGBs.

• There have been no cash US tsy dealings in Asia today, with Japan out for a public holiday.
• ACGBs are dealing 5-6bps richer than their levels at yesterday's local close. The local market was closed when the RBA delivered its decision.
• The NZ-AU 10-year yield differential closed 1bp tighter than yesterday’s closing level at +47bps.
• Swap rates closed 5-7bps lower, with the 2s10s curve steeper.
• RBNZ dated OIS pricing closed is 4-7bps softer for meetings beyond July. A cumulative 62bps of easing is priced by year-end.
• Tomorrow, the local calendar will see Q4 GDP.
• Before then, the market focus will be on the FOMC Decision.
• Tomorrow, the NZ Treasury plans to sell NZ$250mn of the 1.5% May-31 bond and NZ$250mn of the 3.5% Apr-33 bond.