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NZGBs closed showing a bull-flattener, with benchmark yields 2-5bps lower. Nevertheless, NZGBs finished mid-range, with the 10-year underperforming its Australian counterpart.
The AU-NZ 10-year yield differential is 5bps lower today, standing at -12bps compared to the recent high of +10bps in early November, which marked the highest level since August 2022.
Figure 1: AU-NZ: 10-Year Yield Differential Vs. FV
Source: MNI – Market News / Bloomberg
In terms of the CFTC positioning update from Friday, leveraged contracts saw a sharp shift against the USD. This data is for the week ending Feb 18. The table below outlines positioning shifts by currency and investor type and what the outstanding position is now for each currency.
Fig 1: CFTC Positioning Update By Currency & Investor Type
Leveraged Contracts | Asset manager Contracts | |||
Weekly Change | Outright Position | Weekly Change | Outright Position | |
JPY | 7169 | -23850 | 1610 | 38924 |
EUR | 9600 | -11227 | 12288 | 172533 |
GBP | 3182 | 34804 | 11589 | -56476 |
AUD | 9148 | -33347 | -2017 | -31084 |
NZD | -2484 | -13860 | -484 | -43799 |
CAD | 3553 | -78094 | 3422 | -135461 |
CHF | 798 | -14160 | -1633 | -39052 |
MXN | 4023 | -8286 | -2082 | 10885 |
Source: CFTC/MNI - Market News/Bloomberg