NZGBS: Little Changed, Weaker Global PMI Data But US Tsys Bear Flatten

In early local trade, NZGBs are slightly cheaper after US tsys finished the NY session with a bear flattening. US tsys had initially richened with EGBs after weaker than expected PMI data. This helped counter some potential impetus from China stimulus. Nevertheless, US tsys reversed direction around mid-session after an almost 43k block trade in TUU3.

• Some of those losses were subsequently pared heading into the 2-year auction, which saw a small tail with details generally stronger than the five-auction average but weaker than June’s, before some two-way trade which left 2-year yield +8bp and 10-year yield +4.0bp.
• FOMC implied rates creep up 0.5bp for the next two meetings with Wednesday’s decision priced at +24.5bp. There have been larger increases further out though with the Nov terminal now priced for a cumulative +34.5bps (+1.5bp) and 2024 cuts trimmed with 59bp from terminal to Jun’24 (from 62bp).
• Swap rates are flat to 1bp lower with the 2s10s curve steeper.
• RBNZ dated OIS pricing is flat to 2bp softer across meetings with Apr’24 leading. Terminal OCR expectations sit at 5.66% versus 5.70% late last week.
• Today the local calendar is scheduled to release no data. The next key release is ANZ Consumer Confidence (Jul) on Friday.