I now understand that if the NZD curve moves to reflect today’s implied forward rates, then 4.5 yr swap rises by 19 bps.
What I don’t understand is how this 19 bps increase results in mark-to-market loss exactly offset the carry accrual.
I thought the carry accrual was 44.5 bps (Pay 6mo NZD/receive 5yr NZD). Why would this swap just break even?