NZGBS: Off Best Levels As JGB Weakness Takes Edge Off Feed Through From U.S. CPI

NZGBs cheapened away from firmest levels of Friday trade on the back of spill over from weakness in JGBS, leaving the major benchmarks running ~7bp richer at the bell, in what was a parallel shift across the curve.

• This came after an initial round of richening tied to catch up to Thursday’s U.S. CPI print.
• Swap rates were 5-7bp lower across the major benchmarks, leaving swap spreads a touch wider to unchanged.
• RBNZ dated OIS came in at the margins, with ~63bp of tightening priced for the Feb 23 meeting, alongside terminal OCR pricing showing between 5.40-5.45%, aided by the post-CPI reaction in U.S. Fed pricing.
• Local headline flow remained subdued at best, as has been the case for most of early ’23, leaving the wider macro cues at the fore.
• Looking ahead, next week’s local docket includes REINZ house price data, card spending readings, non-resident bond holdings and the latest manufacturing PMI survey.