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NZGBS: Richer As US Tsys Extend Their Rally

BONDS

In local morning trade, NZGBs have bull-flattened, with yields flat to 7bps lower, after the yield on the US Tsy 10-year dropped 11bps to 3.79% - the lowest level since mid-July. The ball started rolling after the Richmond Fed Mfg Index (-11 vs. -3 est, -5 prior) and Business Conditions (0.0 vs. -9 prior) printed the lowest reading since April. US Tsys continued to advance after a decent $58bn 5Y sale traded through (3.801% high yield vs. 3.812% WI, 2.50x bid-to-cover).

  • Projected rate cuts for early 2024 gained momentum: March 2024 has fully priced in a full 25bp cut, with a cumulative -54bps by May 2024 and -167bps by December 2024.
  • Later today the US calendar sees Weekly Claims, Retail/Wholesale Inventories and Home Sales. The US Treasury wraps up 2023's supply with a $40bn 7Y Note auction.
  • Swap rates are 7-9bps lower, with the 2s10s curve slightly flatter.
  • RBNZ dated OIS pricing is little changed across meetings out to Jul’24 but 7bps softer beyond. The market now has 116bps of easing priced by Nov’24.
  • Today, the local calendar is empty.
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