The high New Zealand dollar has taken the shine off record commodity export prices for the second consecutive month, in May.
Separate figures show a slowing in the improvement in the country's terms of trade in the first three months of the year.
The ANZ says prices on world markets for New Zealand's commodity exports hit a record high for the ninth consecutive month in May.
But once the rise in the New Zealand dollar is taken into account, returns fell for the second month in a row, 5% down from March's all-time high.
Meanwhile, official figures show the purchasing power of New Zealand's exports, as measured by the terms of trade, hit a fresh 37-year high at the end of March.
It was the sixth consecutive quarterly increase in the terms of trade, but the rate of improvement is slowing.
The 0.9% rise was the second smallest over the past six quarters.
