Rate differentials · RBNZ vs Fed · priced as of 12 November 2026
NZD/USD interest rate differential: RBNZ vs Fed
As of 12 November 2026, the NZD/USD interest rate differential is −125 bp: the RBNZ's OCR at 2.75% against the Fed's federal funds rate at 4.00%, in favour of the US dollar. Markets price the gap at −123 bp in six months; there is no twelve-month figure, because the Fed curve reaches only July 2027.
Over the next six months, markets price little change in the gap over six months (+2 bp). That six-month gap has moved −25 bp in a month.
The rate spread, now and priced ahead
| RBNZ (NZD) | Fed (USD) | Gap | |
|---|---|---|---|
| Policy rate now | 2.75% | 4.00% | −125 bp |
| Priced in 6 months | 3.43% | 4.66% | −123 bp |
| Priced in 12 months | 3.69% | curve ends July 2027 | n/a |
| 6-month gap a month ago | 3.55% | 4.54% | −99 bp |
The gap is NZD minus USD, 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: RBNZ · Fed.
The carry on NZD/USD
The US dollar: the Fed pays 4.00% against 2.75%, a gap of +125 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 NZD/USD interest rate differential?
As of 12 November 2026, the NZD/USD interest rate differential is −125 bp: the RBNZ's OCR at 2.75% against the Fed's federal funds rate at 4.00%, in favour of the US dollar. Markets price the gap at −123 bp in six months; there is no twelve-month figure, because the Fed curve reaches only July 2027.
Is the RBNZ–Fed gap priced to widen or narrow?
Markets price little change in the gap over six months (+2 bp), from −125 bp now to −123 bp. A month ago (13 October) the same six-month gap was priced at −99 bp, so it has moved −25 bp since. That is market pricing, not a forecast.
Which side of NZD/USD has the carry?
The US dollar: the Fed pays 4.00% against 2.75%, a gap of +125 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 RBNZ, Exchange-traded futures for Fed. 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 NZD/USD: NZD/USD analysis · NZD/USD retail sentiment · NZD/USD seasonality · New Zealand Dollar outlook · New Zealand Dollar COT positioning · RBNZ rate expectations · New Zealand economic surprises · US Dollar outlook · US Dollar COT positioning · Fed rate expectations · US economic surprises
Other rate differentials: EUR/USD −150 bp · GBP/USD 0 bp · USD/JPY +275 bp · USD/CHF +400 bp · AUD/USD +85 bp · USD/CAD +150 bp · EUR/NZD −25 bp · GBP/NZD +125 bp · AUD/NZD +210 bp · NZD/JPY +150 bp · all 28
In WatchTower Terminal, the Rate spread panel draws the NZD/USD gap against the price. Nothing here is financial advice.