Macro, FX and Rates Strategist

Ishaan Dev Kapoor

FX & Rates

<ul>
<li>The September RBNZ resolved as we projected: a 25bp hike with the OCR path modestly trimmed, citing on-target core, anchored expectations, and a softening labour market. Hawkish previews were wrong.</li>
<li>Market pricing followed our mechanism. With the terminal effectively reaffirmed, the one-in-four weight on a hawkish 4% terminal priced out: the terminal fell 20bp to 3.28%; October halved to 30.5%.</li>
<li>Key risk arrived before the catalyst: right on the RBNZ, stopped trade. US-Iran escalation on 1 September took us out at -15bp; Brent hit $97.04, spiking the 1y1y to 4.14%.</li>
</ul>


The September RBNZ resolved as we projected: a 25bp hike with the OCR path modestly trimmed, citing on-target core, anchored expectations, and a softening labour market. Hawkish previews were wrong.
Market pricing followed our mechanism. With the terminal effectively reaffirmed, the one-in-four weight on a hawkish 4% terminal priced out: the terminal fell 20bp to 3.28%; October halved to 30.5%.
Key risk arrived before the catalyst: right on the RBNZ, stopped trade. US-Iran escalation on 1 September took us out at -15bp; Brent hit $97.04, spiking the 1y1y to 4.14%.


The Flightless Hike, Marked to Market: The RBNZ Did What the Data Said

<ul>
<li>Inflation is 1pp above band, but expectations are anchored, unemployment is at a decade high, and domestic inflation is decelerating. The ~4 hikes priced (to ~3.46% terminal) are too rich.</li>
<li>2 September MPS is the catalyst: receive NZD 1y1y at 3.90%, target 3.55%, stop 4.05%. Data undershoot May projections; a held or trimmed track leaves pricing two hikes rich.</li>
<li>The 7 November election adds unpriced optionality. Labour has pledged to restore the employment mandate; a dual-mandate committee facing decade-high unemployment is unlikely to deliver the marginal hikes priced in.</li>
</ul>


Inflation is 1pp above band, but expectations are anchored, unemployment is at a decade high, and domestic inflation is decelerating. The ~4 hikes priced (to ~3.46% terminal) are too rich.
2 September MPS is the catalyst: receive NZD 1y1y at 3.90%, target 3.55%, stop 4.05%. Data undershoot May projections; a held or trimmed track leaves pricing two hikes rich.
The 7 November election adds unpriced optionality. Labour has pledged to restore the employment mandate; a dual-mandate committee facing decade-high unemployment is unlikely to deliver the marginal hikes priced in.


The Flightless Hike: Receiving NZD 1y1y Ahead of the September MPS

<ul>
<li>The dollar reacted to one macro factor all year, with a sensitivity statistically indistinguishable across five regimes; what changed was which driver moved the factor and whether others followed it.</li>
<li>Gold led before the Iran war, VIX during it and again in the fiscal-dominance weeks; since Jackson Hole the dollar has traded the factor itself, led by the front end.</li>
<li>A dollar factor and the same macro drivers explain 72%-85% of every G10 currency except the yen; beyond the dollar, NOK traded oil, CAD the BoC, NZD the RBNZ.</li>
</ul>


The dollar reacted to one macro factor all year, with a sensitivity statistically indistinguishable across five regimes; what changed was which driver moved the factor and whether others followed it.
Gold led before the Iran war, VIX during it and again in the fiscal-dominance weeks; since Jackson Hole the dollar has traded the factor itself, led by the front end.
A dollar factor and the same macro drivers explain 72%-85% of every G10 currency except the yen; beyond the dollar, NOK traded oil, CAD the BoC, NZD the RBNZ.


Five Regimes, One Reaction Function-  What the Dollar and G10 Have Traded on in 2026

Head of Research and Global Chief Strategist, Steno Research

Andreas Steno

Head of Research and Global Chief Strategist

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Cross Asset Strategy

<ul><li>Today, I am going to address three main topics of concern for investors given the current conflicting signals from the US economy.</li><li>These are the key questions I will address, and I will summarize both the pros and cons of each viewpoint, including my own bottom line: Is liquidity no longer improving, but rather at risk of weakening in the coming months? Is the economy accelerating rather than slowing? Is the commodity complex heavily undervalued or overvalued?</li><li>The equity rotation paired with the sharp sell-off in Tech has had me thinking, and we therefore need to litmus-test every corner of our current thesis. Follow along below.</li></ul>

Today, I am going to address three main topics of concern for investors given the current conflicting signals from the US economy.These are the key questions I will address, and I will summarize both the pros and cons of each viewpoint, including my own bottom line: Is liquidity no longer improving, but rather at risk of weakening in the coming months? Is the economy accelerating rather than slowing? Is the commodity complex heavily undervalued or overvalued?The equity rotation paired with the sharp sell-off in Tech has had me thinking, and we therefore need to litmus-test every corner of our current thesis. Follow along below.

Steno Signals #109 – What if We Are All Wrong on Liquidity, Rates and Commodities?

<ul><li>After a tricky few days, we have started gaining substantial traction in our portfolio again over the past 1-2 trading days.</li><li>Risk assets seem to be stabilizing, with crypto leading a new bull wave, while metals are selling off right, left, and center alongside a turning tide in the USD versus Asian FX and Lat-Am FX overall.</li><li>Over the week, our biggest concern, given our current tilt in industrial metals, is that manufacturing rebounds faster than anticipated by many.</li></ul>

After a tricky few days, we have started gaining substantial traction in our portfolio again over the past 1-2 trading days.Risk assets seem to be stabilizing, with crypto leading a new bull wave, while metals are selling off right, left, and center alongside a turning tide in the USD versus Asian FX and Lat-Am FX overall.Over the week, our biggest concern, given our current tilt in industrial metals, is that manufacturing rebounds faster than anticipated by many.

Portfolio Watch: Here Comes the Metals Meltdown...

New Zealand

The New Zealand dollar is the official currency of New Zealand.  

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The Flightless Hike, Marked to Market: The RBNZ Did What the Data Said

Published six days before the RBNZ, our note said the track would hold and the hawkish premium would die on the projections. It did, in 40 minutes....

Ishaan Dev Kapoor

The Flightless Hike: Receiving NZD 1y1y Ahead of the September MPS

Markets price two more RBNZ hikes than the Bank's own track. Unemployment at a decade high, expectations back to 2.3%, and a 7 Nov election that...

Ishaan Dev Kapoor

Five Regimes, One Reaction Function- What the Dollar and G10 Have Traded on in 2026

The dollar traded one macro factor all year with an unchanged sensitivity; though underlying drivers shifted In G10, four currencies traded beyond...

Ishaan Dev Kapoor

Steno Signals #109 – What if We Are All Wrong on Liquidity, Rates and Commodities?

I am going to address three main topics of concern for investors given the current conflicting signals from the US economy.

Steno Research

Portfolio Watch: Here Comes the Metals Meltdown...

After a tricky few days, we have started gaining substantial traction in our portfolio again over the past 1-2 trading days.

Steno Research

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