NZGBS: Richer Going Into US Payrolls Data

NZGBs closed 3bps richer but in the middle of today’s range. After an extension of yesterday’s strong gains for cash US tsys early in today’s Asia-Pacific session, local investors opted to lock in some gains ahead of the US payrolls data release later today. Cash US tsys are currently ~1bp richer, having been as much as 2-3bps richer earlier in the session.

• Nonfarm payrolls are expected to moderate further in July after the slight beat in June was more than offset by large negative revisions to the prior two months. Hurricane Beryl is likely to have negative impacts on payrolls and hours worked but some upside for AHE growth. (See MNI US Payrolls Preview: Hurricane Beryl To Add A Layer Of Confusion – here)
• The NZ-US 10-year yield differential is 5bps wider at +27bps, with the NZ-AU 10-year differential 2bps tighter at +19bps.
• Swap rates closed 2-5bps lower, with the 2s10s curve steeper.
• RBNZ dated OIS pricing is 2-8bps softer across meetings, with mid-2025 leading. The market gives a 25bp cut in August a 64% probability. A cumulative 80bps of easing is priced by year-end.
• Next week, the local calendar will see ANZ Commodity Price on Monday, ahead of the Q2 Employment Report on Wednesday.