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NZGBS: Post-CPI Rally Held Into The Close, Outperforms The $-Bloc

BONDS

NZGBs closed with a twist-steepening of the curve. Yields closed 3bps lower to 3bps higher on the day and 1-4bps lower than pre-CPI levels after Q3 data printed on the downside of expectations. Headline CPI showed +1.8% q/q and +5.6% y/y versus estimates of +1.9% and +5.9% and prior +1.1% and +6.0%.

  • Tradable and non-tradeable inflation also printed on the downside of expectations at +1.7% q/q and +1.8% q/q respectively versus estimates of +1.8% and +2.4% and prior +1.3% and +0.8%.
  • NZ-US and NZ-AU 10-year yield differentials closed 5bps tighter on the day at +68bps and +87bps respectively.
  • Non-Resident Bond Holdings dipped to 62.1% in September from 62.4% in August.
  • The post-CPI rally defied the prevailing bearish mood in today's Asia-Pac session. US tsys are flat to 3bps cheaper compared to their NY closing levels.
  • Swap rates closed 1-9bps lower than pre-CPI levels. The 2s10s curve twist-steepened on the day, with rates 5bps lower to 4bps higher.
  • RBNZ dated OIS pricing shunted 5-9bps softer in post-CPI dealings, with terminal OCR expectations 7bps softer on the day at 5.65%.
  • Tomorrow, the local calendar is empty. The next key release will be the September Trade Balance data on Friday.
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