NZGBS: Richer, Closed Mid-Range, Q2 CPI Next Wednesday

NZGBs closed richer, but off the session's bests, 6-9bps richer. Nevertheless, today’s move brings the cumulative rally since the RBNZ’s surprising dovish tilt on Wednesday to 14-25bps, with the 2/10 curve 11bps steeper.

• On a relative basis, the NZGB 10-year has seen a mixed performance, with the NZ-US 10-year differential 1bp wider but the NZ-AU 3bps narrower.
• At +16bps, the NZ-AU 10-year differential sits at its lowest level since August 2022.
• Swap rates closed 5-7bps lower, with the 2s10s curve steeper.
• RBNZ dated OIS pricing closed little changed today, but 18-36bps softer for meetings beyond August versus Wednesday's pre-RBNZ Decision levels. A cumulative 62bps of easing is priced by year-end.
• Next week, the local calendar will see the Performance Services Index and REINZ House Sales data on Monday, Non-Resident Bond Holdings on Tuesday and the all-important Q2 CPI data on Wednesday.
• In the accompanying statement to this week’s Policy Decision, the RBNZ anticipated that CPI will fall within the 1-3% target range in the second half of 2024. Currently, it sits at 3.5% y/y.
• The US calendar later today will see June PPI and UofM Sentiment data alongside the start of the latest equity earnings cycle: Wells Fargo, Bank of NY Mellon, JP Morgan and Citigroup headlining.