FX Comment: The Unwinding Road—Go Short AUD/NZD

Research evidence excerpt

FX Comment: The Unwinding Road—Go Short AUD/NZD

Goldman Sachs FX Comment

Exhibit 1: The gap between our GSBEER model-implied and actual spot levels remains

historically wide.

Percent AUD/NZD Actual vs GSBEER Model-implied Performance Percent

12 12

VIX

10 Crude Oil 10

Credit Spreads

8 Nominal 2y Rate Differential 8

Constant

6 AUD/NZD 6

Fitted

4 4

2 2

0 0

-2 -2

-4 -4

Jan-25 Feb-25 Apr-25 May-25 Jul-25 Sep-25 Oct-25 Dec-25 Jan-26 Mar-26 May-26 Jun-26

Source: Goldman Sachs FICC and Equities, Goldman Sachs Global Investment Research

While AUD/NZD’s outperformance this year looked more consistent with the

terms-of-trade support from higher energy prices, that impulse has been fading.

Developments over the past week illustrate that renewed energy price pressures remain

a risk, though AUD/NZD has recently been responding less consistently with increases in

commodity prices and more consistently with rate differentials. This is in line with our

finding that FX’s normal beta to rates has started to reestablish itself with the energy

shock now receding as a primary catalyst, and the delivered vol in both energy prices

and risk pricing resetting lower compared to the early weeks of the shock. We expect

that dynamic to continue as rates reassert themselves as a more dominant driver of FX,

leaving us more comfortable with AUD/NZD downside despite lingering energy risks.

Exhibit 2: AUD/NZD has recently been responding less Exhibit 3: ...and more consistently with rate differentials.

consistently with increases in commodity prices...

AUD/NZD AUD/NZD (Left) Ratio AUD/NZD AUD/NZD vs Rate Differentials Percent

1.24 Australia vs New Zealand Relative GS Terms of Trade (Right) 1.000 1.24 AUD/NZD (Left) 1.6

1.22 0.996 1.22 Australia - NZ 2y Nominal Rate Differential (Right) 1.4

0.992