Rate differentials · ECB vs RBNZ · priced as of 12 November 2026
EUR/NZD interest rate differential: ECB vs RBNZ
As of 12 November 2026, the EUR/NZD interest rate differential is −25 bp: the ECB's deposit rate at 2.50% against the RBNZ's OCR at 2.75%, in favour of the New Zealand dollar. Markets price the gap at −43 bp in six months and −52 bp in twelve.
Over the next six months, markets price the gap to move −18 bp over six months, towards the New Zealand dollar. That six-month gap has moved +19 bp in a month.
The rate spread, now and priced ahead
| ECB (EUR) | RBNZ (NZD) | Gap | |
|---|---|---|---|
| Policy rate now | 2.50% | 2.75% | −25 bp |
| Priced in 6 months | 3.00% | 3.43% | −43 bp |
| Priced in 12 months | 3.17% | 3.69% | −52 bp |
| 6-month gap a month ago | 2.93% | 3.55% | −62 bp |
The gap is EUR minus NZD, in basis points (100 bp is one percentage point). Six and twelve months out is the rate implied after each bank's last meeting on or before that date. Market pricing, not a forecast. Each bank's meeting-by-meeting odds: ECB · RBNZ.
The carry on EUR/NZD
The New Zealand dollar: the RBNZ pays 2.75% against 2.50%, a gap of +25 bp. Holding the higher-yielding currency against the lower earns roughly that gap a year before costs, which is what the carry trade collects; a move in the exchange rate can outweigh it.
How the gap feeds the exchange rate, and when it does not: rate differentials explained and the carry trade explained.
Questions
What is the EUR/NZD interest rate differential?
As of 12 November 2026, the EUR/NZD interest rate differential is −25 bp: the ECB's deposit rate at 2.50% against the RBNZ's OCR at 2.75%, in favour of the New Zealand dollar. Markets price the gap at −43 bp in six months and −52 bp in twelve.
Is the ECB–RBNZ gap priced to widen or narrow?
Markets price the gap to move −18 bp over six months, towards the New Zealand dollar, from −25 bp now to −43 bp. A month ago (13 October) the same six-month gap was priced at −62 bp, so it has moved +19 bp since. That is market pricing, not a forecast.
Which side of EUR/NZD has the carry?
The New Zealand dollar: the RBNZ pays 2.75% against 2.50%, a gap of +25 bp. Holding the higher-yielding currency against the lower earns roughly that gap a year before costs, which is what the carry trade collects; a move in the exchange rate can outweigh it.
Where does this pricing come from?
Each bank's priced path comes from the market instrument behind it: Exchange-traded futures, WatchTower model for ECB, Exchange-traded futures, WatchTower model for RBNZ. The rate six or twelve months out is the one implied after the last meeting on or before that date. The month-ago figure is from our daily snapshot of the same curves.
More on EUR/NZD: EUR/NZD analysis · EUR/NZD retail sentiment · EUR/NZD seasonality · Euro outlook · Euro COT positioning · ECB rate expectations · Eurozone economic surprises · New Zealand Dollar outlook · New Zealand Dollar COT positioning · RBNZ rate expectations · New Zealand economic surprises
Other rate differentials: EUR/USD −150 bp · NZD/USD −125 bp · EUR/GBP −150 bp · EUR/JPY +125 bp · EUR/CHF +250 bp · EUR/AUD −235 bp · EUR/CAD 0 bp · GBP/NZD +125 bp · AUD/NZD +210 bp · NZD/JPY +150 bp · all 28
In WatchTower Terminal, the Rate spread panel draws the EUR/NZD gap against the price. Nothing here is financial advice.