NZGBS: Sharply Richer But Pared Gains Into The Close

NZGBs closed 7-10bp richer, but 3-4bp off session bests. The away from session bests coincided with a cheapening in US tsys in Asia-Pac trade.

• US tsys have been pressured in recent dealing, the move comes alongside a move off session lows in the USD. US tsys sit flat to 2bp cheaper across the major benchmarks, with the curve flatter.
• Today’s weekly supply also likely weighed, particularly at the short end. The NZGB auctions showed mixed results, with the cover ratio for the Apr-27 bond collapsing to 1.38x from 2.79x. Meanwhile, the cover ratios for the May-32 and May-51 bonds held around 3.00x. In post-auction trade, the lines were flat to 0.5bp cheaper, led by the Apr-27 bond.
• RBNZ publishes new residential mortgage lending data for July. Lending to all borrowers fell 12% m/m to NZ$5.0bn, the lowest for July since 2017. (See link)
• Swap rates are 4-9bp lower, with the 2s10s curve 4bp flatter and implied swap spreads wider.
• RBNZ dated OIS pricing is 3-6bp softer for meetings beyond October, with Jul’24 leading. Terminal OCR expectations soften 3bp to 5.64%.
• Tomorrow the local calendar is empty.