NZGBS: Cheaper But Off Worst Levels, Heavy US Calendar Tonight

NZGBs closed 1-2bps cheaper but better than the session’s worst levels. There wasn’t much in the way of domestic drivers to flag, outside of the previously outlined NZ government’s financial statements for five months ended Nov. 30, which came in NZ$1.15bn better than projected in the half-year fiscal update.

• Today’s weekly NZGB supply saw weak demand metrics for the Apr-27 and May-34 bonds, with cover ratios below 2.0x. Nevertheless, post-auction dealings have seen the lines richen. The Apr-37 bond saw a healthier 3.37x cover ratio.
• The move away from session cheaps was aided by US tsys, which have richened 1-2bps in today’s Asia-Pac session, ahead of Thursday's busy US calendar: GDP, PCE, Weekly Jobless Claims and Tsy Sec Yellen’s Outlook.
• Swap rates closed 2-6bps higher, with the 2s10s curve steeper. Implied long end swap spreads were wider.
• RBNZ dated OIS pricing closed little changed across meetings. A cumulative 87bps of easing is priced by year-end compared to 92bps before yesterday’s Q4 CPI data release.
• Tomorrow, the local calendar is empty. The Australian market is closed for the Australia day holiday tomorrow.