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 -1.09 -0.61
AUDCHF AUSTRALIAN DOLLAR VS SWISS FRANC 0.42 -2.09
AUDJPY AUSTRALIAN DOLLAR VS JAPANESE YEN 0.08 -1.82
AUDNZD AUSTRALIAN DOLLAR VS NEW ZEALAND DOLLAR -2.06 -0.48
AUDUSD AUSTRALIAN DOLLAR VS US DOLLAR -0.81 -1.05
CADCHF CANADIAN DOLLAR VS SWISS FRANC 0.70 -2.71
CADJPY CANADIAN DOLLAR VS JAPANESE YEN 0.08 -2.09
CHFJPY SWISS FRANC VS JAPANESE YEN -3.27 0.24
EURAUD EURO VS AUSTRALIAN DOLLAR -4.53 0.25
EURCAD EURO VS CANADIAN DOLLAR -4.30 1.57
EURCHF EURO VS SWISS FRANC -0.85 -1.94
EURGBP EURO VS GREAT BRITAIN POUND -0.02 -0.02
EURJPY EURO VS JAPANISE YEN -2.42 -0.36
EURNOK EURO VS NORWEGIAN KRONER -30.54 4.36
EURNZD EURO VS NEW ZEALAND DOLLAR -6.33 1.39
EURPLN EURO VS POLISH ZLOTY -44.70 -2.28
EURSEK EURO VS SWEDISH KRONA -23.03 6.34
EURSGD EURO VS SINGAPORE DOLLAR -9.72 -4.10
EURTRY EURO VS TURKISH LIRA -632.66 -43.63
EURUSD EURO VS US DOLLAR -3.71 0.82
EURZAR EURO VS SOUTH AFRICAN RAND -426.74 191.48
GBPAUD GREAT BRITAIN POUND VS AUSTRALIAN DOLLAR -0.02 -0.02
GBPCAD GREAT BRITAIN POUND VS CANADIAN DOLLAR -0.02 -0.02
GBPCHF GREAT BRITAIN POUND VS SWISS FRANC -0.02 -0.02
GBPJPY GREAT BRITAIN POUND VS JAPANESE YEN -0.02 -0.02
GBPNZD GREAT BRITAIN POUND VS NEW ZEALAND DOLLAR -0.02 -0.02
GBPSEK GREAT BRITAIN POUND VS SWEDISH KRONA -0.02 -0.02
GBPSGD GREAT BRITAIN POUND VS SINGAPORE DOLLAR -0.02 -0.02
GBPUSD GREAT BRITAIN POUND VS US DOLLAR -0.02 -0.02
NZDCAD NEW ZEALAND DOLLAR VS CANADIAN DOLLAR -0.48 -1.45
NZDCHF NEW ZEALAND DOLLAR VS SWISS FRANC 0.67 -2.44
NZDJPY NEW ZEALAND DOLLAR VS JAPANESE YEN 0.24 -2.42
NZDSGD NEW ZEALAND DOLLAR VS SINGAPORE DOLLAR -0.20 -1.49
NZDUSD NEW ZEALAND DOLLAR VS US DOLLAR -0.85 -1.33
USDCAD US DOLLAR VS CANADIAN DOLLAR -1.51 -1.16
USDCHF US DOLLAR VS SWISS FRANC 1.31 -3.85
USDCNH US DOLLAR VS CHINESE YUAN -46.06 -2.42
USDHKD US DOLLAR VS HONG KONG DOLLAR
USDJPY US DOLLAR VS JAPANESE YEN 0.18 -2.67
USDNOK US DOLLAR VS NORWEGIAN KRONE 0.79 -18.18
USDPLN US DOLLAR VS POLISH ZLOTY -25.49 -13.22
USDSEK US DOLLAR VS SWEDISH KRONA 5.81 -9.99
USDSGD US DOLLAR VS SINGAPORE DOLLAR -1.58 -2.42
USDTRY US DOLLAR VS TURKEY LIRA -545.40 -98.17
USDZAR US DOLLAR VS SOUTH AFRICAN RAND -349.06 127.51

Metal Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
XAUUSD GOLD VS US DOLLAR -3.18 -0.07
XAUAUD GOLD VS AUSTRALIAN DOLLAR -4.73 -1.51
XAGUSD SILVER VS US DOLLAR -0.15 -0.02
XAGAUD SILVER VS AUSTRALIAN DOLLAR -0.27 -0.01

Indices Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
AUS200 AUSTRALIA 200 INDEX CASH -0.35 -0.32
UK100 UK100 INDEX CASH -0.30 -0.44
JP225 JAPAN 225 INDEX CASH -12.42 -12.97
GER30 GERMAN 30 INDEX CASH -0.59 -0.81
US500 US 500 INDEX CASH 0.47 -0.84
US30 US DOW JONES INDEX CASH -1.70 -1.22
US100 US NASDAQ INDEX CASH 0.94 -2.07
HK50 HONG KONG INDEX CASH 36.55 -39.27

Commodities Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
XTIUSD WEST TEXAS INTERMEDIATE CRUDE OIL -291.47 11.60
XBRUSD BRENT CRUDE OIL CASH -47.05 26.05
WTI WEST TEXAS INTERMEDIATE CRUDE OIL FUTURE 0.00 0.00
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