NZGBS: Cheaper, US Tsys Pressured By Strong Data & BoJ YCC Tweak Report

In early local trade, NZGBs are 7-8bp cheaper after the US tsy curve bear steepens with yields 8-14bp higher. Several factors were at play including much stronger than expected GDP, lower than projected jobless claims, a pop in durable goods orders, a bounce in pending home sales, and a narrowing in the goods trade deficit. A poor 7-year auction weighed as well, along with a Nikkei report that the BoJ at today’s policy meeting “…will discuss tweaking its yield curve control policy at a policy board meeting Friday to let long-term interest rates rise beyond its cap of 0.5% by a certain degree.”

• Swap rates are 5-8bp higher, with the 2s10s curve steeper.
• RBNZ dated OIS pricing is 1-5bp firmer for meetings beyond Feb’24. Terminal OCR expectations sit at 5.66%.
• Today the local calendar sees ANZ Consumer Confidence, with sentiment likely to continue to be weighed down by ongoing pressure on household finances.
• In Australia, Q2 PPI and June Retail Sales data are due. After this week’s Q2 CPI undershoot, PPI data will be eyed.
• Attention will also turn later today to the BoJ Policy Decision, particularly after news that policymakers will discuss making some changes to its yield curve control framework.