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NZGBS: Twist-Steepening After Business Survey Shows An Easing In Activity & Inflation

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After initially being pressured by US tsys’ overnight bear-steepening, NZGBs quickly moved away from the session’s worst levels, led by the short end. NZGB benchmarks twist-steepened, with yields closing 2bps lower to 3bps higher versus 7bps higher earlier in the session.

  • The move away from session cheaps was aided by cash US tsys, which are flat to 2bps richer with a flattening bias in today's Asia-Pac session.
  • Nevertheless, the key driver of today’s intra-session richening appears to have been the NZIER Survey results, which showed both activity and inflation easing.
  • Westpac observed the “inflation indicators have continued to head in the direction that the RBNZ would have hoped. A net 41% of firms reported cost increases over the last three months, down from 52% last quarter and a peak of 80% at the end of 2022. There were similar falls in firms’ past and expected pricing.”
  • The swaps curve has also twist-steepened, with rates 1bp lower to 3bps higher.
  • RBNZ dated OIS pricing is flat to 4bps softer, with 2025 meetings leading. A cumulative 33bps of easing is priced by year-end.
  • Tomorrow, the local calendar will see ANZ Commodity Price data.
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After initially being pressured by US tsys’ overnight bear-steepening, NZGBs quickly moved away from the session’s worst levels, led by the short end. NZGB benchmarks twist-steepened, with yields closing 2bps lower to 3bps higher versus 7bps higher earlier in the session.

  • The move away from session cheaps was aided by cash US tsys, which are flat to 2bps richer with a flattening bias in today's Asia-Pac session.
  • Nevertheless, the key driver of today’s intra-session richening appears to have been the NZIER Survey results, which showed both activity and inflation easing.
  • Westpac observed the “inflation indicators have continued to head in the direction that the RBNZ would have hoped. A net 41% of firms reported cost increases over the last three months, down from 52% last quarter and a peak of 80% at the end of 2022. There were similar falls in firms’ past and expected pricing.”
  • The swaps curve has also twist-steepened, with rates 1bp lower to 3bps higher.
  • RBNZ dated OIS pricing is flat to 4bps softer, with 2025 meetings leading. A cumulative 33bps of easing is priced by year-end.
  • Tomorrow, the local calendar will see ANZ Commodity Price data.