Strategy Trade update

研报英文原文证据摘录

Strategy Trade update

Global Markets Research

8 July 2026Strategy Trade update

Rates - Asia ex-Japan

Research Analysts

Short GBP/NZD with higher conviction Global FX Strategy

Dominic Bunning - NIplc

We raise our conviction level as the RBNZ commences a hiking cycle. dominic.bunning@nomura.com

+44 (0) 20 7102 4063

The trade Yusuke Miyairi, CFA - NIplc

We raisetheconvictionlevelonourshortGBP/NZDtradeto4/5 (from3/5), yusuke.miyairi@nomura.com

maintainingatargetof2.25.Theoriginalentrywas2.3390on26June2026. +44 (0) 20 7102 4145

Australia/New Zealand RatesRationale

Strategy

The RBNZcommenceditstighteningcycletodaywitha25bphiketo2.50%. While this Andrew Ticehurst - NAL

outcome was largely priced in (around a 70% probability based on market pricing) and andrew.ticehurst@nomura.com

was expected by the majority of economists surveyed in the Bloomberg consensus, NZD +61 2 8062 8611

still staged a decent rally. The realisation of the tightening cycle, with further hikes likely to

come in the months ahead, should be a catalyst for a significant reversal on NZD. We also

note that the RBNZ referenced the depreciation of the NZD trade-weighted exchange rate

in its discussion of financial conditions, and while this is unlikely to be a central part of its

decision-making, it is a notable reference, in our view.

NZD has already underperformed GBP relative to changes in front-end rates in recent

weeks, similar to late 2026/early 2026 (Fig.1). We ultimately expect the carry

differential between NZD and GBP to narrow to as little as 25bp (3.00% terminal rate

for NZD, 3.25% for GBP). As such, we expect NZD underperformance to reverse. Short

NZD positions remain close to record levels (when measured as a percentage of open

interest on CFTC futures data; Fig.2).