Interbank tricks: If you’re caught short NZD, buy AUD instead

Of course the same applies if you’re caught long NZD, then sell AUD, but you get the picture. The NZD is a fairly illiquid market, particularly in overnight markets, so if dealers get caught out by some big flows, they will cover their risk in the much more liquid AUD market. This will leave them with an open position in AUD/NZD, but as that cross doesn’t move very often they will fancy their chances of being able to trade out of that position.