NZGBS: Twist Flattening, Local Market Weighs ACGB & US Tsy Movements

NZGBs closed with the 2s10s cash curve bear flattening. This occurred as the local market considered the negative impact stemming from an ACGB sell-off triggered by yesterday's surprise 25bp rate hike, which took place after the local market had closed. However, the positive performance of longer-dated US tsys overnight provided a contrasting influence. These divergent factors have persisted during Asia-Pac trading today.

• As a result, NZGBs have shown weaker performance compared to US tsys, with the NZ/US 10-year yield differential +5bp. Conversely, NZGBs have exhibited stronger performance when compared to ACGBs, resulting in a 5bp point narrowing of the NZ/AU 10-year yield differential.
• Swap rates closed 2-4bp higher with the curve flatter and implied swap spreads slightly wider.
• RBNZ dated OIS closed flat to 4bp firmer across meeting with Feb’24 leading.
• The local calendar sees Mfg Activity (Q1) and the NZ Government’s 10-month Financial Statement tomorrow.
• The global economic calendar is light today, with the highlight being the BoC Policy Decision. The market has assigned a 46% probability of a 25bp rate hike.
• The NZ Treasury announced that they plan to sell NZ$200mn of the 4.50% May-30 bond, NZ$150mn of the 3.50% Apr-33 bond and NZ$50mn of the 2.75% Apr-37 bond tomorrow.