NZGBS: Richer After CPI Miss

In local morning trade, NZGBs are 2-3bps richer after Q3 CPI printed on the downside of expectations at +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%.
• At the time of writing, the 2/10 NZGB curve had twist-steepened, with yields 2bps lower to 1bps higher.
• NZ-US and NZ-AU 10-year yield differentials are 3-4bps tighter on the.
• Going into the release NZGBs had been 1-4bps cheaper after global markets adopted a risk-on tone to start the week after heading into the weekend on a cautious note. US tsys had finished the NY session with yields 5-11bps higher.
• Swap rates are 3-7bps richer after the data and are 3bps lower to 2bps higher on the day. The 2s10s curve is steeper.
• RBNZ dated OIS pricing has shunted 4-9bps softer, with terminal OCR expectations 7bps lower at 5.65%.