New Zealand Government Bonds - Yields Curve

COUNTRY • SUMMARY
NEW ZEALAND

The New Zealand 10-Year Government Bond currently offers a yield of 4.403%. This yield reflects the return investors can expect if they hold the bond until maturity. Government bond yields are critical indicators of economic confidence and investor sentiment.

The yield spread between New Zealand 10-Year and 2-Year government bonds is 66.9 basis points (bp), reflecting the difference in yields between long-term and short-term debt.
Typically, long-term bonds carry higher yields than short-term ones.
Current observation: Normal Convexity in Long-Term vs Short-Term Maturities.

New Zealand Central Bank Rate stands at 4.25%, following the most recent adjustment in November 2024.

According to Standard & Poor's agency, the New Zealand credit rating is AA+.

The current quotation for New Zealand 5-Years Credit Default Swap is 21.40 basis points. Correspondingly, the implied probability of default is 0.36%.

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New Zealand Yield Curve

A Yield Curve is a graph that shows the relationship between interest rates (or yields) and different maturities of debt for a specific borrower, often government bonds. It typically plots yields on the y-axis and maturities on the x-axis, ranging from short-term to long-term bonds.

The shape of the yield curve gives investors insights into market expectations for interest rates, economic growth, and inflation. A normal yield curve, where long-term rates are higher than short-term, suggests economic growth, while an inverted curve, where short-term rates are higher, can indicate an upcoming recession.

New Zealand Yield Curve
New Zealand Government Bonds
10 December 2024

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Residual
Maturity
Annualized Yield Constant Maturity Zero Coupon Price Capital
Growth
of 1 Unit
Last
Update
Last Chg 1M Chg 6M Chg 12M Last Chg 1M Chg 6M Chg 12M
1 month 4.395% -30.5 bp -124.5 bp -121.5 bp 99.64 +0.02 % +0.10 % +0.09 % 1.003 10 Dec
2 months 4.395% -14.5 bp -125.5 bp -124.5 bp 99.29 +0.03 % +0.20 % +0.20 % 1.007 10 Dec
3 months 4.315% -18.5 bp -134.5 bp -135.5 bp 98.95 +0.04 % +0.32 % +0.32 % 1.010 10 Dec
4 months 4.225% -18.0 bp -142.5 bp -145.5 bp 98.63 +0.06 % +0.46 % +0.46 % 1.013 10 Dec
5 months 4.145% -18.0 bp -150.5 bp -154.5 bp 98.32 +0.07 % +0.59 % +0.61 % 1.017 10 Dec
6 months 4.065% -20.5 bp -158.5 bp -163.5 bp 98.03 +0.10 % +0.76 % +0.78 % 1.020 10 Dec
1 year 3.750% -21.1 bp -168.0 bp -152.0 bp 96.39 +0.21 % +1.62 % +1.47 % 1.037 10 Dec
2 years 3.734% -17.9 bp n.a. -132.2 bp 92.93 +0.35 % n.a. +2.56 % 1.076 10 Dec
5 years 3.986% -23.0 bp -67.6 bp -87.0 bp 82.25 +1.12 % +3.29 % +4.26 % 1.215 10 Dec
7 years 4.106% -23.0 bp -59.0 bp -78.5 bp 75.45 +1.55 % +4.03 % +5.39 % 1.325 10 Dec
10 years 4.403% -26.3 bp -39.4 bp -61.3 bp 64.99 +2.54 % +3.83 % +6.02 % 1.538 10 Dec
15 years 4.571% -24.7 bp -39.1 bp -59.2 bp 51.15 +3.61 % +5.77 % +8.83 % 1.955 10 Dec
20 years 4.779% -22.7 bp -29.2 bp -45.6 bp 39.31 +4.41 % +5.73 % +9.07 % 2.543 10 Dec
Last Update: 10 Dec 2024, 9:15 GMT+0

New Zealand Yield History

This table presents the historical values of the yield curve, with data points collected at the end of each year.

By analyzing these values over time, one can observe trends and shifts in economic sentiment and monetary policy that impact investor expectations about future interest rates and economic growth.

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Government Bonds Yield (%)
Spread (bp)
Period 1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y 10Y - 2Y
Dec 2024 4.395 4.315 4.065 3.750 3.734 n.a. 3.986 4.106 4.403 n.a. 66.9
Dec 2023 5.620 5.670 5.590 5.028 4.450 n.a. 4.185 4.247 4.415 n.a. -3.5
Dec 2022 4.350 4.680 5.220 n.a. 4.992 n.a. 4.578 4.584 4.580 n.a. -41.2
Dec 2021 0.830 1.000 1.230 n.a. 1.962 n.a. 2.223 2.277 2.319 n.a. 35.7
Dec 2020 0.290 0.300 0.310 n.a. 0.263 n.a. 0.390 0.569 0.996 n.a. 73.3
Dec 2019 1.220 1.320 1.320 1.128 n.a. n.a. 1.360 1.526 1.660 n.a. n.a.
Dec 2018 1.890 2.000 2.030 1.745 1.715 n.a. 1.883 2.055 2.393 n.a. 67.8
Dec 2017 1.820 1.910 1.960 1.815 1.900 n.a. 2.270 2.560 2.750 n.a. 85.0
Dec 2016 1.880 2.030 2.080 n.a. 2.280 n.a. 2.700 2.980 3.365 n.a. 108.5

New Zealand Yield Analysis

Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat or inverted.

The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).

Internal Spread on Key Maturities:
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2Y vs 1Y -1.6 bp Yield Curve is flat in Short-Term Maturities
5Y vs 2Y 25.2 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 66.9 bp Normal Convexity in Long-Term vs Short-Term Maturities
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Residual
Maturity
Yield Spread vs Spread vs
Central Bank
Rate (4.25%)
3 months 1 year 2 years 5 years
10 years 4.403% 15.3bp
5 years 3.986%
-26.4bp
2 years 3.734%
-51.6bp
1 year 3.750%
-50.0bp
3 months 4.315%
6.5bp

New Zealand Credit Ratings

A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation).

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Rating Agency Rating Outlook Last Update Action
Standard & Poor's AA+ - 22 Feb 2021 rating upgrade
Moody's Investors Service Aaa - 20 Oct 2002 rating upgrade
Fitch Ratings AA+ - 9 Sep 2022 rating upgrade
DBRS - -

New Zealand Interest Rates

A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.

Interest Rates Value
Central Bank Rate 4.25%

New Zealand Credit Default Swaps

The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.

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Credit Default Swap CDS Value Var % 1W Var % 1M Var % 1Y Implied PD(*)
5 Years CDS 21.40 0.00 % 0.00 % +36.31 % 0.36 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.
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New Zealand 10Y Bond Yield Spread

The New Zealand 10Y Government Bond has a 4.403% yield.

A positive spread, marked by , means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle .

Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
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New Zealand 10Y vs Current Spread Chg 1M Chg 6M Chg 12M Compare
Countries
vs Japan 10Y 334.3 bp -32.4 bp -43.1 bp -90.6 bp
vs China 10Y 250.9 bp -3.7 bp +3.1 bp +19.1 bp
vs Germany 10Y 227.4 bp -4.1 bp +15.1 bp -48.0 bp
vs Spain 10Y 164.2 bp +5.4 bp +34.1 bp -9.5 bp
vs France 10Y 154.0 bp -3.0 bp -1.7 bp -65.9 bp
vs Canada 10Y 132.4 bp -16.2 bp +6.3 bp -29.1 bp
vs Italy 10Y 120.1 bp +18.4 bp +48.9 bp +24.0 bp
vs Australia 10Y 17.3 bp +6.4 bp -23.7 bp -48.9 bp
vs United States 10Y 16.8 bp -19.3 bp -16.1 bp -61.9 bp
vs United Kingdom 10Y 3.4 bp -20.0 bp -43.4 bp -93.3 bp
vs India 10Y -241.7 bp -31.3 bp -18.2 bp -16.7 bp
vs Brazil 10Y -976.3 bp -167.4 bp -255.5 bp -383.8 bp
vs Russia 10Y -1180.7 bp -49.4 bp -158.4 bp -445.3 bp

New Zealand Government Bonds Prices

Price Simulation: bonds with a face value of 100, with different coupon rates.

The highlighted column refers to the zero coupon bond.
Click on for a forecast of the yield.
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Residual
Maturity
Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
20 years 4.779% 39.31 52.01 77.41 102.81 128.20 153.60
15 years 4.571% 51.15 61.84 83.21 104.58 125.96 147.33
10 years 4.403% 64.99 72.94 88.85 104.75 120.65 136.55
7 years 4.106% 75.45 81.43 93.39 105.34 117.30 129.26
5 years 3.986% 82.25 86.70 95.61 104.52 113.42 122.33
2 years 3.734% 92.93 94.82 98.61 102.40 106.18 109.97
1 year 3.750% 96.39 97.35 99.28 101.20 103.13 105.06
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00
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