NZGBS: Stronger, Tracking U.S. Tsys’ Reaction To Weekend’s News

NZGBs opened stronger, weakened with U.S. Tsys’ initial reaction to the weekend’s banking news, before closing at or near session bests as U.S. Tsys reversed course in Asia-Pac trade. NZGBs richen 17-19bp on the day with the 2/10 curve 2bp steeper and the NZ/US 10-year yield differential -5bp.

• Swaps bull steepen 2bp with rates 17-19bp lower.
• RBNZ dated OIS closed 8-13bp softer for meetings beyond April with terminal OCR expectations at 5.21% (+46bp of additional tightening across meetings out to July). April meeting pricing settled at 22bp of tightening.
• The local calendar is scheduled to release February's Trade Balance data tomorrow. After last week’s worse-than-expected Q4 current account deficit print and resultant bond rating guidance from S&P, the release will be closely watched.
• RBNZ Chief Economist Conway is scheduled to give a speech: “The path back to low inflation in NZ” at a capital markets forum on Thursday.
• Elsewhere, the RBA Minutes, slated for release tomorrow, will provide further details on the dovish shift at the March meeting.
• The global calendar’s highlight this week however is the FOMC meeting (Tue/Wed). BBG consensus expects a 25bp hike, although some analysts expect no move.