Today's surprise OCR cut by the RBNZ has not only reduced this benchmark to a record low, it has driven wholesale interest rate swaps to record lows as well.
One year swaps have fallen -19 bps so far today, two years have fallen -18 bps, and three years have fallen -17 bps.
The five year is at 2.52%, a -15 bps fall, and the ten year is at 2.99%, a -10 bps fall from the positions they opened at today.
In fact, every single one of them is now at a record low.
The benchmark 10 yr swap rate has now fallen below 3%, the latest in the set to do so.
Interest rate swaps are now at these levels in late morning trade in New Zealand:
|OCR review dates||10-Sep-15||10-Dec-15||28-Jan-16||10-Mar-16||reduction|
|90 day bank bill rate||2.85||2.74||2.70||2.38||-0.32|
|1 yr swap||2.68||2.70||2.59||2.26||-0.33|
|2 yr swap||2.75||2.74||2.63||2.26||-0.37|
|3 yr swap||2.84||2.84||2.72||2.31||-0.41|
|4 yr swap||2.97||2.95||2.83||2.41||-0.42|
|5 yr swap||3.09||3.07||2.95||2.52||-0.43|
|7 yr swap||3.33||3.32||3.18||2.74||-0.44|
|10 yr swap||3.60||3.57||3.41||2.99||-0.42|