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BONDS: NZGBS: Short-End Extends Post-CPI Rally

BONDS

NZGBs ended the day near the middle of their trading range, with the 2/10 curve experiencing a bull-steepening. Benchmark yields ranged from flat to 2bps lower, with the 2-year yield sitting 7bps below its pre-CPI level yesterday, while the 10-year yield is unchanged.

  • It was a mixed session for the NZGB 10-year on a relative basis within the $-bloc. The NZ-US yield differential widened by 1bp to +38bps, while the NZ-AU differential lower by 2bps to -17bps. Australian yields rose sharply following a strong September Employment Report.
  • The weekly bond supply was adequately absorbed, with cover ratios ranging from 2.22x to 2.93x.
  • Cash US tsys are 1-2bps cheaper, with a steepening bias, in today’s Asia-Pac session after yesterday’s modest gains. US data picks up today, with two key reports: weekly jobless claims (following up from the previous week's hurricane-impacted surprise) and retail sales. Chicago Fed Pres Goolsbee also makes an appearance.
  • Swap rates closed flat to 4bps lower, with the 2s10s curve steeper.
  • RBNZ-dated OIS pricing is 1-5bps softer across meetings. Following yesterday's Q3 CPI data, a cumulative 99bps of easing is priced by February, with 57bps in November.
  • Tomorrow, the local calendar is empty. 
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NZGBs ended the day near the middle of their trading range, with the 2/10 curve experiencing a bull-steepening. Benchmark yields ranged from flat to 2bps lower, with the 2-year yield sitting 7bps below its pre-CPI level yesterday, while the 10-year yield is unchanged.

  • It was a mixed session for the NZGB 10-year on a relative basis within the $-bloc. The NZ-US yield differential widened by 1bp to +38bps, while the NZ-AU differential lower by 2bps to -17bps. Australian yields rose sharply following a strong September Employment Report.
  • The weekly bond supply was adequately absorbed, with cover ratios ranging from 2.22x to 2.93x.
  • Cash US tsys are 1-2bps cheaper, with a steepening bias, in today’s Asia-Pac session after yesterday’s modest gains. US data picks up today, with two key reports: weekly jobless claims (following up from the previous week's hurricane-impacted surprise) and retail sales. Chicago Fed Pres Goolsbee also makes an appearance.
  • Swap rates closed flat to 4bps lower, with the 2s10s curve steeper.
  • RBNZ-dated OIS pricing is 1-5bps softer across meetings. Following yesterday's Q3 CPI data, a cumulative 99bps of easing is priced by February, with 57bps in November.
  • Tomorrow, the local calendar is empty.