NZGBS: Cheaper With US Tsys Ahead Of US PPI & Retail Sales

In local morning trade, NZGBs are 2bps cheaper with US tsys under pressure during the NY session. US tsys finished 3-5bps cheaper, with a flattening bias, ahead of Thursday's PPI and Retail Sales data.

• No headline driver, limited data on the day: MBA Mortgage Applications at 7.1% vs. 9.7% prior. Carryover weakness after Tuesday's higher than hoped for CPI inflation data was in play.
• Projected rate cut pricing over the next three FOMC meetings evaporating: March 2024 chance of 25bp rate cut currently at 1.5%; May 2024 at a cumulative 12% and June 2024 at a cumulative 59%.
• Swap rates are 2-3bps higher.
• RBNZ dated OIS pricing is flat to 3bps firmer across meetings, with late-24 leading. A cumulative 60bps of easing is priced by year-end.
• February Home Sales rise 37.9% y/y.
• Nominal Home Prices rose 3.7% y/y in January while inflation for the month was 4.7% y/y.
• January Net Migration +2,870.
• RBNZ Chief Economist Conway spoke earlier at a Kiwibank event but no headlines.
• Today, the NZ Treasury plans to sell NZ$275mn of the 0.25% May-28 bond and NZ$225mn of the 2% May-32 bond.