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 -3.98 -0.07
AUDCHF AUSTRALIAN DOLLAR VS SWISS FRANC 1.93 -5.03
AUDJPY AUSTRALIAN DOLLAR VS JAPANESE YEN 0.86 -4.45
AUDNZD AUSTRALIAN DOLLAR VS NEW ZEALAND DOLLAR -2.10 -2.80
AUDUSD AUSTRALIAN DOLLAR VS US DOLLAR -4.20 -0.69
CADCHF CANADIAN DOLLAR VS SWISS FRANC 3.93 -7.12
CADJPY CANADIAN DOLLAR VS JAPANESE YEN 3.01 -6.55
CHFJPY SWISS FRANC VS JAPANESE YEN -3.66 -0.33
EURAUD EURO VS AUSTRALIAN DOLLAR -10.15 4.36
EURCAD EURO VS CANADIAN DOLLAR -12.22 7.09
EURCHF EURO VS SWISS FRANC -1.24 -2.67
EURGBP EURO VS GREAT BRITAIN POUND -5.15 0.59
EURJPY EURO VS JAPANISE YEN -3.37 -1.25
EURNOK EURO VS NORWEGIAN KRONER -101.90 17.31
EURNZD EURO VS NEW ZEALAND DOLLAR -10.48 3.95
EURPLN EURO VS POLISH ZLOTY -45.84 8.02
EURSEK EURO VS SWEDISH KRONA -30.74 -5.64
EURSGD EURO VS SINGAPORE DOLLAR -14.93 6.40
EURTRY EURO VS TURKISH LIRA -262.33 124.67
EURUSD EURO VS US DOLLAR -9.10 4.90
EURZAR EURO VS SOUTH AFRICAN RAND -421.85 227.06
GBPAUD GREAT BRITAIN POUND VS AUSTRALIAN DOLLAR -6.73 -2.36
GBPCAD GREAT BRITAIN POUND VS CANADIAN DOLLAR -9.69 1.24
GBPCHF GREAT BRITAIN POUND VS SWISS FRANC 1.99 -8.17
GBPJPY GREAT BRITAIN POUND VS JAPANESE YEN -0.14 -6.94
GBPNZD GREAT BRITAIN POUND VS NEW ZEALAND DOLLAR -6.78 -3.42
GBPSEK GREAT BRITAIN POUND VS SWEDISH KRONA -1.78 -56.34
GBPSGD GREAT BRITAIN POUND VS SINGAPORE DOLLAR -11.15 1.89
GBPUSD GREAT BRITAIN POUND VS US DOLLAR -7.95 1.59
NZDCAD NEW ZEALAND DOLLAR VS CANADIAN DOLLAR -4.17 0.18
NZDCHF NEW ZEALAND DOLLAR VS SWISS FRANC 1.51 -4.69
NZDJPY NEW ZEALAND DOLLAR VS JAPANESE YEN 0.55 -3.98
NZDSGD NEW ZEALAND DOLLAR VS SINGAPORE DOLLAR -5.61 -0.71
NZDUSD NEW ZEALAND DOLLAR VS US DOLLAR -3.74 -0.08
USDCAD US DOLLAR VS CANADIAN DOLLAR -2.21 -3.14
USDCHF US DOLLAR VS SWISS FRANC 5.84 -9.48
USDCNH US DOLLAR VS CHINESE YUAN -4.44 -2.10
USDHKD US DOLLAR VS HONG KONG DOLLAR
USDJPY US DOLLAR VS JAPANESE YEN 4.12 -9.29
USDNOK US DOLLAR VS NORWEGIAN KRONE -29.93 -51.77
USDPLN US DOLLAR VS POLISH ZLOTY -15.49 -21.09
USDSEK US DOLLAR VS SWEDISH KRONA 39.94 -73.64
USDSGD US DOLLAR VS SINGAPORE DOLLAR -3.91 -3.81
USDTRY US DOLLAR VS TURKEY LIRA -195.07 65.62
USDZAR US DOLLAR VS SOUTH AFRICAN RAND -281.90 98.63

Metal Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
XAUUSD GOLD VS US DOLLAR -11.30 5.52
XAUAUD GOLD VS AUSTRALIAN DOLLAR -12.92 3.09
XAGUSD SILVER VS US DOLLAR -15.44 7.63
XAGAUD SILVER VS AUSTRALIAN DOLLAR -12.00 -6.00

Indices Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
AUS200 AUSTRALIA 200 INDEX CASH -0.56 -0.22
UK100 UK100 INDEX CASH -0.61 -0.28
JP225 JAPAN 225 INDEX CASH -13.04 -13.61
GER30 GERMAN 30 INDEX CASH -0.63 -0.93
US500 US 500 INDEX CASH -0.36 -0.03
US30 US DOW JONES INDEX CASH -3.13 -0.15
US100 US NASDAQ INDEX CASH -0.99 -0.07
HK50 HONG KONG INDEX CASH -3.22 0.03

Commodities Swap Rates

SYMBOL PRODUCT DESCRIPTION
LONG SHORT
XTIUSD WEST TEXAS INTERMEDIATE CRUDE OIL -5.51 -9.49
XBRUSD BRENT CRUDE OIL CASH -26.34 -30.32
WTI WEST TEXAS INTERMEDIATE CRUDE OIL FUTURE 0 0