Swap Rates

Overnight Swap Rates

A swap rate is the rate of the fixed leg of a swap as determined by its particular market and the parties involved. In an interest rate swap, it is the fixed interest rate exchanged for a benchmark rate such as Libor, plus or minus a spread. It is also the exchange rate associated with the fixed portion of a currency swap.

Forex Swap Rates

SYMBOL PRODUCT DESCRIPTION
Long Short
AUDCAD AUSTRALIAN DOLLAR VS CANADIAN DOLLAR -0.97 -1.21
AUDCHF AUSTRALIAN DOLLAR VS SWISS FRANC 0.42 -2.32
AUDJPY AUSTRALIAN DOLLAR VS JAPANESE YEN -0.24 -1.94
AUDNZD AUSTRALIAN DOLLAR VS NEW ZEALAND DOLLAR -2.06 -0.73
AUDUSD AUSTRALIAN DOLLAR VS US DOLLAR -0.93 -1.28
CADCHF CANADIAN DOLLAR VS SWISS FRANC 0.70 -2.94
CADJPY CANADIAN DOLLAR VS JAPANESE YEN -0.35 -1.63
CHFJPY SWISS FRANC VS JAPANESE YEN -4.24 1.11
EURAUD EURO VS AUSTRALIAN DOLLAR -4.99 0.50
EURCAD EURO VS CANADIAN DOLLAR -4.98 0.61
EURCHF EURO VS SWISS FRANC -0.61 -2.18
EURGBP EURO VS GREAT BRITAIN POUND -3.64 0.32
EURJPY EURO VS JAPANISE YEN -2.79 -0.48
EURNOK EURO VS NORWEGIAN KRONER -26.47 1.05
EURNZD EURO VS NEW ZEALAND DOLLAR -5.43 0.87
EURPLN EURO VS POLISH ZLOTY -36.70 -14.18
EURSEK EURO VS SWEDISH KRONA -26.18 0.79
EURSGD EURO VS SINGAPORE DOLLAR -6.62 0.25
EURTRY EURO VS TURKISH LIRA -215.43 36.61
EURUSD EURO VS US DOLLAR -3.60 0.46
EURZAR EURO VS SOUTH AFRICAN RAND -344.52 184.44
GBPAUD GREAT BRITAIN POUND VS AUSTRALIAN DOLLAR -2.18 -2.42
GBPCAD GREAT BRITAIN POUND VS CANADIAN DOLLAR -2.91 -0.85
GBPCHF GREAT BRITAIN POUND VS SWISS FRANC 0.17 -3.72
GBPJPY GREAT BRITAIN POUND VS JAPANESE YEN -0.73 -2.67
GBPNZD GREAT BRITAIN POUND VS NEW ZEALAND DOLLAR -3.88 -0.97
GBPSEK GREAT BRITAIN POUND VS SWEDISH KRONA 4.44 -10.30
GBPSGD GREAT BRITAIN POUND VS SINGAPORE DOLLAR -5.82 -3.76
GBPUSD GREAT BRITAIN POUND VS US DOLLAR -3.05 -0.57
NZDCAD NEW ZEALAND DOLLAR VS CANADIAN DOLLAR -0.97 -1.70
NZDCHF NEW ZEALAND DOLLAR VS SWISS FRANC 0.42 -2.79
NZDJPY NEW ZEALAND DOLLAR VS JAPANESE YEN -0.36 -1.70
NZDSGD NEW ZEALAND DOLLAR VS SINGAPORE DOLLAR -1.70 -2.06
NZDUSD NEW ZEALAND DOLLAR VS US DOLLAR -1.33 -0.85
USDCAD US DOLLAR VS CANADIAN DOLLAR -1.74 -1.97
USDCHF US DOLLAR VS SWISS FRANC 0.96 -4.41
USDCNH US DOLLAR VS CHINESE YUAN -79.87 16.32
USDHKD US DOLLAR VS HONG KONG DOLLAR
USDJPY US DOLLAR VS JAPANESE YEN -0.78 -2.22
USDNOK US DOLLAR VS NORWEGIAN KRONE 3.56 -28.97
USDPLN US DOLLAR VS POLISH ZLOTY -24.11 -20.07
USDSEK US DOLLAR VS SWEDISH KRONA 0.93 -27.88
USDSGD US DOLLAR VS SINGAPORE DOLLAR -3.76 -3.64
USDTRY US DOLLAR VS TURKEY LIRA -175.84 -3.16
USDZAR US DOLLAR VS SOUTH AFRICAN RAND -272.59 106.65

Metal Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
XAUUSD GOLD VS US DOLLAR -2.96 0.51
XAUAUD GOLD VS AUSTRALIAN DOLLAR -4.24 0.01
XAGUSD SILVER VS US DOLLAR -0.19 0.00
XAGAUD SILVER VS AUSTRALIAN DOLLAR -0.32 0.00

Indices Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
AUS200 AUSTRALIA 200 INDEX CASH -0.35 -0.32
UK100 UK100 INDEX CASH -0.39 -0.34
JP225 JAPAN 225 INDEX CASH -12.23 -12.79
GER30 GERMAN 30 INDEX CASH -0.57 -0.84
US500 US 500 INDEX CASH -0.17 -0.19
US30 US DOW JONES INDEX CASH -1.65 -1.25
US100 US NASDAQ INDEX CASH -0.67 -0.51
HK50 HONG KONG INDEX CASH -1.69 -1.05

Commodities Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
XTIUSD WEST TEXAS INTERMEDIATE CRUDE OIL -90.20 11.60
XBRUSD BRENT CRUDE OIL CASH -7.23 3.67
WTI WEST TEXAS INTERMEDIATE CRUDE OIL FUTURE 0.00 0.00
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