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NZGBS: Sharply Weaker With US Tsys Following Hotter Than Expected US CPI

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In local morning trade, NZGBs are 12bps cheaper after US tsy yields shunted higher following hotter than expected CPI inflation data: m/m (0.4% vs. 0.3% est), y/y (3.5% vs. 3.4% est); CPI Ex Food and Energy m/m (0.4% vs. 0.3% est), y/y (3.8% vs. 3.7% est).

  • US tsys were pressured further by a poorly received 10-year auction re-open tailed 3.3bp (largest since Dec'22: 4.560% high yield vs. 4.527% WI; bid-to-cover falls to 2.34x vs. 2.51x prior).
  • There was little reaction to the March FOMC minutes where the majority favoured cutting QT pace by half "soon".
  • US tsys bear-flattened, with the 2-year yield finishing 23bps higher at 4.97%. The US 10-year yield increased 18bps to 4.54%, a fresh YTD high, and more than 70bps above January levels.
  • Swap rates are 12-13bps higher.
  • RBNZ dated OIS pricing is 2-11bps firmer across meetings, with late-24/early-25 leading. A cumulative 48bps of easing is priced by year-end.
  • NZ Trade Minister McClay is to visit China next week.
  • Today’s local calendar sees Finance Minister Willis appear in front of a Select Committee on Budget Policy.
  • The NZ Treasury plans to sell NZ$275mn of the 3.0% Apr-29 bond, NZ$175mn of the 2.0% May-32 bond and NZ$50mn of the 2.75% May-51 bond.
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In local morning trade, NZGBs are 12bps cheaper after US tsy yields shunted higher following hotter than expected CPI inflation data: m/m (0.4% vs. 0.3% est), y/y (3.5% vs. 3.4% est); CPI Ex Food and Energy m/m (0.4% vs. 0.3% est), y/y (3.8% vs. 3.7% est).

  • US tsys were pressured further by a poorly received 10-year auction re-open tailed 3.3bp (largest since Dec'22: 4.560% high yield vs. 4.527% WI; bid-to-cover falls to 2.34x vs. 2.51x prior).
  • There was little reaction to the March FOMC minutes where the majority favoured cutting QT pace by half "soon".
  • US tsys bear-flattened, with the 2-year yield finishing 23bps higher at 4.97%. The US 10-year yield increased 18bps to 4.54%, a fresh YTD high, and more than 70bps above January levels.
  • Swap rates are 12-13bps higher.
  • RBNZ dated OIS pricing is 2-11bps firmer across meetings, with late-24/early-25 leading. A cumulative 48bps of easing is priced by year-end.
  • NZ Trade Minister McClay is to visit China next week.
  • Today’s local calendar sees Finance Minister Willis appear in front of a Select Committee on Budget Policy.
  • The NZ Treasury plans to sell NZ$275mn of the 3.0% Apr-29 bond, NZ$175mn of the 2.0% May-32 bond and NZ$50mn of the 2.75% May-51 bond.