NZGBS: Closed Richer Despite Post-CPI ACGB Cheapening

NZGBs closed at the session's best levels, 1-5bps richer, despite a sharp cheapening in ACGBs following the release of higher-than-expected Q3 CPI data. NZGB yields were 2-3bps lower in post-AU CPI dealings. In contrast, ACGBs are 4-9bps cheaper.

• Notably, the Australian CPI release stands out as it bucks the recent trend observed in the peripheral regions of the $-bloc, specifically New Zealand and Canada, where inflation prints have fallen below expectations. Additionally, the Australian monthly CPI data for September revealed a significant uptick in inflation, suggesting that it carries strong momentum into the fourth quarter. This newfound momentum is expected to play a role in the likely revision of the RBA's Q4 CPI forecasts, potentially pushing them upward.
• The NZ-AU 10-year yield differential closed a massive 9bps tighter at +68bps versus its mid-October high of +99bps.
• Swap rates closed 2-4bps lower, with the 2s10s curve unchanged.
• RBNZ dated OIS pricing closed 1-4bps softer across meetings, with terminal rate expectations at 5.60%.
• Tomorrow, the local calendar is empty again, ahead of ANZ Consumer Confidence on Friday.
• Tomorrow, the NZ Treasury plans to sell NZ$200mn of the 4.5% Apr-27 bond, NZ$200mn of the 3.5% Apr-33 bond and NZ$100mn of the 2.75% May-51 bond.