NZGBS: Add To Yesterday’s Post-CPI Strength

NZGBs opened 5bp richer, building on yesterday’s post-CPI strength, after US Tsys bull steepened on the weaker-than-expected Philly Fed, jobless claims and existing home sales. The Philly Fed Manufacturing Index declined to -31.3 (-19.3 expected) with the price component also weaker at -3.3, the first negative print since Jun’19. After the bell, US Tsy 2-year and 10-year yields were respectively 10bp and 6bp lower.

• Swap rates are 4-5bp lower with implied swap spreads marginally wider and the 2s10s curve 1bp steeper.
• Whilst the RBNZ will gain some comfort from the downside surprise, inflation is still running well above the target range. Moreover, the RBNZ will be acutely aware that non-tradeable inflation made a fresh Y/Y cycle high in Q1.
• RBNZ dated OIS opened flat to 2bp softer across meetings with 21bp of tightening priced for the May meeting. Easing expectations for Feb-24, off the expected terminal OCR of 5.55% (July), are currently 42bp.
• The Antipodean is light today with Australia's preliminary Judo Bank PMI release as the highlight.
• RBNZ Deputy Governor Hawkesby speaks about financial stability to the Institute of Directors Canterbury Branch.
• Elsewhere, Japan is scheduled to release Mar National CPI ahead of a global round of Manufacturing and Services PMIs.