NZGBS: Cheaper With US Tsys Ahead Of RBNZ Decision Tomorrow

In early local trade, NZGBs are 4bp cheaper as the US tsys curve bear flattens during a NY session that lacked newsflow. The 10-year US tsy yield was mostly range bound, after a brief push to a new high for the year of 4.21%, before finishing at 4.19%, up 4bp for the day. The 2-year yield finished 7bp higher at 4.97%.

• More than $1.8 billion came out of the $39 billion iShares 20+ Year Treasury Bond ETF (ticker TLT) last week, the most since March 2020, data compiled by Bloomberg show. (See link)
• Swap rates are 1-2bp higher with implied swap spreads slightly tighter.
• Today the local calendar is light, apart from already released REINZ house sales and price data. Sales fell 16% m/m in July to be +1.6% y/y. The house price index rose 0.7% m/m, -6.9% y/y.
• Tomorrow sees the RBNZ policy decision, with Bloomberg consensus unanimous in expecting the OCR to be kept at 5.50%.
• RBNZ dated OIS is little changed across meetings, with an 8% chance of a 25bp hike priced for tomorrow’s meeting. Over the past six weeks, terminal OCR expectations have primarily traded within a range of 5.60-5.65%, aside from a brief uptick to 5.81% in early July.