Implied forwards
Forward BKBM rates
Forward BKBM is the 90-day bank-bill rate the market prices in for each future quarter, read out of today's swap curve — the level at which fixing and floating break even. A breakeven, not a forecast.
See also: Swap ratesBond spreadsIssue margins
What floating is priced to average
As at 2026-08-17 · updated every trading day
| Reference point | Rate |
|---|---|
| Floating now — 3-month BKBM | 2.97% |
| Priced to average over 3 years | 3.77% |
| Priced to average over 5 years | 4.00% |
What this shows
The snapshot reads the swap curve as a breakeven: an N-year swap is close to the average of the floating 90-day rate expected over those N years, so it is the fixed level that makes fixing and floating cost the same. The live page strips the full quarter-by-quarter forward path out of the curve.
Why it matters for borrowers
If you borrow floating, the forward curve is the market's implied path for your future interest cost, and the level a fixed rate or swap is priced to beat. It carries a term premium, so it usually sits above where the rate actually goes — the right number for a fix-or-float decision, a high one as a prediction.
Where the data comes from
Stripped from the same RBNZ bills and swap closes behind the swap-rates page, so the forwards and the spot curve are internally consistent. The OCR is left out as a policy rate.