NZGBS: Closed On A Weak Note, Negative Spillover From ACGBs

NZGBs closed near the session’s worst levels, 4-6bps cheaper, after negative spillover from a post-CPI sell-off in ACGBs.

• ACGB benchmarks are 11-17bps cheaper after May’s CPI Monthly printed +4.0% y/y versus +3.8% est. and +3.6% prior. Annual trimmed mean inflation was 4.4% in May, up from 4.1% in April. RBA Dated OIS shunted 7-21bps firmer across meetings, with the market giving a 25bp hike in August a 47% chance.
• Cash US tsys are also ~2bps cheaper in today’s Asia-Pac session after a similar-sized move yesterday.
• The local calendar was empty today, although NZ Treasury’s Secretary Caralee McLiesh said the department is “examining further measures to reduce government spending and increase revenue as the weak economy continues to erode tax receipts” (as per BBG).
• Swap rates closed 4-5bps.
• RBNZ dated OIS pricing closed 1-2bps firmer for 2025 meetings. A cumulative 30bps of easing is priced by year-end.
• Tomorrow, the local calendar will see Consumer and Business Confidence data alongside NZ Treasury’s planned sale of NZ$250mn of the 4.5% May-30 bond, NZ$200mn of the 3.5% Apr-33 bond and NZ$50mn of the 2.75% Apr-37 bond.