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Rate Spreads Weighing


AUD/NZD is tracking lower post the NZ Q3 CPI beat. The sharp spike in NZ yields suggest we may hold this break of the 100-day MA to the downside. That level comes in just above 1.1140, versus current spot just under 1.1130. Recent lows sit just under the 1.1110 level, while the 200-day MA comes in 1.0981, the 50-day is at 1.1220 on the topside.

  • NZ 2yr swaps have surged 20bps for the session so far, to fresh cyclical highs around 5.20%. The chart below plots AUD/NZD against the 2yr swap spread.
  • RBNZ terminal pricing is now 5.36%, +35bps for the session.
  • Still to come is the RBA minutes following the 25bps hike at the start of the month. RBA Deputy Governor Bullock also speaks.

Fig 1: AUD/NZD Versus 2yr AU-NZ Swap Spread

Source: MNI - Market News/Bloomberg

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