NZGBS: Little Changed Awaiting US CPI

NZGBS are little changed following a rangebound session for U.S. Tsys ahead of US CPI data. The modest downside bias in short-end Tsys and slightly flatter U.S. 2/10 curve has been mirrored in NZ swaps, with the 2-year swap 2bp higher and the 2s10s curve 1-2bp flatter.

• RBNZ-dated OIS is little changed, with just over 60bp of tightening priced for this month’s meeting. The big mover over recent days has been terminal rate pricing, now printing just below 5.50% for the July meeting (up 30bp+ month-to-date)
• The latest REINZ house price index readings saw the precipitous fall in valuations extend, with the (already delivered and expectations for further) expeditious RBNZ tightening weighing.
• The Q1 RBNZ Survey of inflation Expectations will be released later today. This comes after the Q4 print saw the 1-year metric push above 5.0%, while the 2-year reading pushed on to a fresh cycle high of 3.62%, comfortably above the upper end of the RBNZ's inflation target band.
• The recent floods in Auckland are set to provide further upward bias to inflation, with Cyclone Gabrielle potentially adding further momentum on that front.
• More broadly, focus is on the aforementioned U.S. CPI print for January.