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NZGBS: Closed On A Weak Note, Post-CPI Sell-Off Continued

BONDS

NZGBs closed on a weak note with benchmark yields 7-8bp higher. Without domestic drivers, the local market has drifted cheaper through the day in line with development in US tsys and ACGBs. As a result, NZ/US and NZ/AU 10-year yield differentials are little changed on the day. Nevertheless, the post-CPI sell-off currently sits at a cumulative 24bp for the 2-year and 17bp for the 10-year benchmark.

  • Swap rates are 2-9bp steeper with the short-end implied swap spread sharply tighter.
  • RBNZ dated OIS pricing closed mixed across meetings: flat to 1bp softer out to Feb’24 and 1-3bp firmer beyond. Terminal OCR expectations sit at 5.70%, just off the highest level since early July.
  • The BNZ jobs ads index falls 3.5% m/m in June following a revised 4.6% decline in May. The index is down 21.3% y/y.
  • Next week the local calendar is relatively light with Trade Balance (Jun) data on Monday and ANZ Consumer Confidence (Jul) on Friday.
  • Next week the NZ Treasury plans to sell NZ$225mn of the 0.5% May-26 bond, NZ$225mn of the 1.5% May-31 bond and NZ$50mn of the 2.75% May-51 bond tomorrow.
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