NZGBS: Closed At The Session’s Cheapest Levels, Q1 CPI Next Wednesday

NZGBs closed at the session’s cheapest levels, with benchmark yields 7-9bps higher. The NZGB 10-year underperformed its $-bloc counterparts, with the NZ-US and NZ-AU yield differentials 3bps wider at +27bps and +53bps respectively.

• Softer domestic data (Manufacturing PMI, Retail Card Spending and Food Prices) failed to support the market during the session.
• Cash US tsys are dealing 1-2bps richer in today's Asia-Pac session after finishing Thursday with a slight twist-steepening.
• Swap rates closed 8bps higher.
• For meetings beyond July, RBNZ dated OIS pricing is 2-8bps firmer today and 10-22bps firmer compared to levels before the RBNZ Decision on Wednesday.
• While the RBNZ maintained its tightening bias, the primary impetus behind this shift was a substantial reduction in market expectations for easing by the US Federal Reserve. This adjustment followed the release of stronger-than-expected US CPI data earlier in the week.
• Next week, the local calendar sees the Performance Services Index and Net Migration data on Monday ahead of REINZ House Sales, Non-Resident Bond Holdings and Q1 CPI data on Wednesday.