NZGBS: Subdued Trading, Narrow Range Ahead Of Tomorrow’s Events In AU & US

NZGBs closed slightly cheaper with benchmark yields 2bp higher after trading in a narrow range in the local session. Without domestic drivers, local participants have content to be guided by headlines, US tsys and ACGBs ahead of tomorrow’s Q2 CPI release in Australia and FOMC policy decision.

• US tsys are dealing flat to 2bp richer in the Asia-Pac session with the curve steeper.
• NZ/US and NZ/AU 10-year yield differentials are both 1bp wider on the day at respectively +75bp and +61bp.
• Swap rates are flat to 1bp lower with the 2s10s curve steeper.
• RBNZ dated OIS pricing is flat to 4bp softer across meetings with Jul’24 leading. Terminal OCR expectations sit at 5.67% versus 5.70% late last week.
• NZ’s heavy traffic index fell 1% m/m in June but rose 0.4% in Q2. This suggests low but positive GDP growth in Q2, according to ANZ Bank.
• Tomorrow the local calendar is empty. The next key release is ANZ Consumer Confidence (Jul) on Friday.
• Later today, US House Prices, Consumer Confidence and Richmond Fed Mfg Index are due. 5-Year supply is also scheduled.