NZGBS: Cheaper With US Tsys, Adds To the Post-CPI Sell-Off

In early local trade, NZGBs are 4-5bp weaker after risk appetite sours after some key earnings (Tesla and Netflix) misses and US initial jobless claims decline by 9k to a two-month low. The US tsy curve bear steepens, with the 10-year yield up 10bp to 3.85%, and US equities are weaker. The Philadelphia Fed survey was little changed for the headline index (-13.5 vs. -10 est.).

• FOMC hike projections gain slightly with July running at 96% with an implied rate of +24bp to 5.318%. Terminal rate expectations are holding at 5.42% in Nov'23.
• There is a dearth of US economic data over the next two sessions, awaiting the latest FOMC policy announcement next Wednesday, July 26.
• Swap rates are 4-5bp higher, bringing the cumulative rise since Wednesday’s Q2 CPI release to 20bp for the 2-year rate and 13bp for the 10-year.
• RBNZ dated OIS pricing is little changed across meetings. Terminal OCR expectations sit at 5.71%, the highest since early July.
• The RBNZ has published its policy dates for 2025, more here.
• The local calendar has no data today with the next data release of note being Trade Balance data on Monday.