NZGBS: Heavy Start To Local Session, US Tsys In Pre-Thanksgiving Mode

In local morning trade, NZGBs are 3-6bps cheaper after the US tsy curve bear-flattened, with yields flat to 3bps higher. US jobless claims (-24k to 209k) and UofM inflation expectations data (the year-ahead measure revised up a tenth to 4.5%) were not US tsy-friendly, sending yields higher led by the 5s. There was, however, a two-stage paring of losses. The first coincided with headlines of an explosion on the Rainbow Bridge. The second appeared to be pre-Thanksgiving position squaring after the data-related sell-off.

• Cash US tsys are closed on Thursday before an early close on Friday. Futures are open until 1300 ET Thursday and 1315 ET Friday.
• Today’s local market price may also reflect spillover from heavy ACGBs following a relatively hawkish speech from RBA Governor Bullock after-market yesterday.
• Swap rates are 4-7bps higher, with the 2s10s curve flatter.
• RBNZ dated OIS pricing is flat to 6bps firmer across meetings, with Apr-24 leading. Terminal OCR expectations remain at 5.54%.
• The local calendar is once again empty today, ahead of Q3 Retail Sales Ex-Inflation tomorrow.
• Today, the NZ Treasury plans to sell NZ$225mn of the 3.0% Apr-29 bond, NZ$225mn of the 3.5% Apr-33 bond and NZ$50mn of the 2.75% Apr-37 bond.