NZGBs Marginally Cheaper To Start The Week, Tuesday’s CPI Eyed

Cash NZGBs run ~3bp cheaper across the curve in early dealing, with the spill over from Friday’s cheapening U.S. Tsys/Gilts perhaps tempered by more measured/realistic fiscal rhetoric out of the UK over the weekend, while weekend Fedpseak from Bullard pointed to a more data-dependent Fed in ’23 (with risks to policy rates a little more two-way than in ’22).

• 2-Year swap rates have registered another cycle high in early Monday trade, last dealing a couple of bp shy of 5.00%.
• RBNZ dated OIS price a terminal OCR of ~5.05%, with ~60bp of tightening priced for the Bank’s final meeting of ’22.
• Tuesday’s Q2 CPI data presents the domestic data highlight this week, with the PSI print already crossing this morning, revealing a slight slowing in the headline rate of expansion (55.8 vs. 58.6 prev.).