There are chances that foreign investors will seek to reduce their exposure as NZ yield spreads compress, and we see little reason to suppose that such a bond outflow would not have a symmetrical effect in depressing the currency over and beyond that suggested by the deterioration in policy rate spreads.The support which sterling now enjoys from a firming up of BoE expectations makes sterling a less risky safe-haven hedge to Greek stress than, for instance, CHF.Sterling would sell-off versus euro on a Greek resolution, but this would be temporary and shouldn’t do too much damage to either GBP/NOK or GBP/NZD.Buy 3M GBP/NOK call spread, strikes 12.70-13.20 for 98 bps.Buy 3M GBP/NZD call spread, strikes 2.37- 2.42 for 80 bps.Short spot FX NZD/SEK at 6.1270. Marked at 8.42%, lower stop to 5.75.
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