Firmer than expected Q3 CPI data (more details in previous bullets) shifts NZGBs into cheapening territory, as the major benchmarks run 6.5-10.0bp cheaper across the curve, with bear flattening in play as RBNZ rate hike expectations are repriced.

• RBNZ dated OIS has shifted to pricing ~70bp of tightening at next month’s decision, an 80% chance of a 75bp step, while terminal OCR pricing has shifted to just below 5.25%, just over 20bp firmer on the session.
• Swap spreads run wider across the curve, pointing to payside flow in swaps helping the move in NZGBs.
• 2-Year NZ swap rates have registered a fresh cycle high of 5.14% in the wake of the CPI release.