February 01, 2023 00:10 GMT
Initial ACGB May-34 Tap Goes Well
A firm inaugural tap for ACGB May-34, as the weighted average yield prices 1.19bp through prevailing mids (per YieldBroker), while the cover ratio tops 5.00x and the yield tail between the weighted and high yields prints at a tight 0.14bp. Demand for the bond (which is the first bond beyond XM futures in maturity terms and has favourable RV metrics) was always likely to be evident, even with the impending event risk and slightly diminished hedgability vs. shorter dated lines (in itself a partial source of the micro RV cheapness). The bond firms by ~1bp in secondary markets in reaction to the auction, while XM futures are flat vs. pre-auction levels.