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NZGBS: Post-RBNZ Rally Extends, Heavy Traffic Gauge Slumps

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In local morning trade, NZGBs have extended yesterday's post-RBNZ rally, gaining an additional 1-2bps. This move has been slightly supported by modest gains in US tsys. Overall, there was little new information to drive the markets.

  • ANZ Heavy Traffic Gauge slumped 5.2% m/m in June, its biggest fall outside lockdowns, following a 2.4% decline in May. “Some of the monthly fall could just be data volatility, but it adds to the pile of indicators suggesting Q2 GDP could make for ugly reading”: ANZ (per BBG)
  • Food Prices rise 1% m/m in June.
  • Swap rates are flat to 3bps lower, with the 2s10s curve steeper.
  • RBNZ dated OIS pricing for 2025 meetings is 2-4bps softer today and 26-31bps softer than pre-RBNZ levels. This shift follows yesterday’s acknowledgement by the RBNZ of weaker monthly activity and confidence data, as well as its downgrade of inflation concerns after previously escalating them in May. Additionally, the RBNZ expressed concern that the impact of restrictive policy could be stronger than expected. A cumulative 59bps of easing is priced by year-end.
  • Today, the local calendar will also see the NZ Treasury's planned sale of NZ$225mn of the 3.0% Apr-29 bond, NZ$225mn of the 4.25% May-34 bond and NZ$50mn of the 2.75% Apr-37 bond.
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In local morning trade, NZGBs have extended yesterday's post-RBNZ rally, gaining an additional 1-2bps. This move has been slightly supported by modest gains in US tsys. Overall, there was little new information to drive the markets.

  • ANZ Heavy Traffic Gauge slumped 5.2% m/m in June, its biggest fall outside lockdowns, following a 2.4% decline in May. “Some of the monthly fall could just be data volatility, but it adds to the pile of indicators suggesting Q2 GDP could make for ugly reading”: ANZ (per BBG)
  • Food Prices rise 1% m/m in June.
  • Swap rates are flat to 3bps lower, with the 2s10s curve steeper.
  • RBNZ dated OIS pricing for 2025 meetings is 2-4bps softer today and 26-31bps softer than pre-RBNZ levels. This shift follows yesterday’s acknowledgement by the RBNZ of weaker monthly activity and confidence data, as well as its downgrade of inflation concerns after previously escalating them in May. Additionally, the RBNZ expressed concern that the impact of restrictive policy could be stronger than expected. A cumulative 59bps of easing is priced by year-end.
  • Today, the local calendar will also see the NZ Treasury's planned sale of NZ$225mn of the 3.0% Apr-29 bond, NZ$225mn of the 4.25% May-34 bond and NZ$50mn of the 2.75% Apr-37 bond.