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🏦🔻🔺NZ-AU Swap Curve Spread Widens After RBNZ: Cable FX Macro

  • Antipodes received monetary policy decisions this week, the RBA stayed steady at 3.6% while the RBNZ surprised the consensus as it lifted the OCR to 5.25%

  • Rate expectations favoured the NZD in absolute terms, market was pricing further rate hikes from the RBNZ heading into this week, the same could not be said about the RBA

  • After the decisions, we have seen the NZ-AU OIS curve spread widen, most of the increase was seen in 6m to 1y tenors, where the differential now reads above 180bps. Overnight index swaps see the RBA cutting rates before the RBNZ, however, AUD curve is slightly unchanged when compared to last week


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