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Swap Specification Archive

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Specification NameCalculation DateSwap LongSwap Short
AUD/CAD17/10/20140.666-1.022
AUD/CHF17/10/20140.811-1.112
AUD/DKK17/10/20143.585-6.452
AUD/JPY17/10/20140.9-1.242
AUD/NZD17/10/20140.404-0.559
AUD/SEK17/10/20143.768-6.068
AUD/SGD17/10/20141.065-1.469
AUD/USD17/10/20140.958-1.104
AUD/ZAR17/10/2014-4.8032.135
CAD/CHF17/10/20140.132-0.367
CAD/JPY17/10/20140.131-0.397
CAD/MXN17/10/2014-12.1215.443
CHF/JPY17/10/2014-0.179-0.135
CHF/NOK17/10/2014-4.6672.181
CHF/SEK17/10/2014-6.4733.934
EUR/AUD17/10/2014-1.6141.093
EUR/CAD17/10/2014-0.237-0.04
EUR/CHF17/10/20140.121-0.355
EUR/CZK17/10/2014-0.062-0.4
EUR/DKK17/10/2014-1.51-0.558
EUR/GBP17/10/2014-0.022-0.11
EUR/HUF17/10/2014-4.1243.441
EUR/JPY17/10/20140.148-0.376
EUR/NOK17/10/2014-3.8760.877
EUR/NZD17/10/2014-0.9990.641
EUR/PLN17/10/2014-4.9713.796
EUR/RUB17/10/2014-58.531.5
EUR/SEK17/10/2014-4.8482.296
EUR/SGD17/10/2014-0.134-0.358
EUR/USD17/10/20140.07-0.281
EUR/ZAR17/10/2014-23.20918.205
GBP/AUD17/10/2014-2.1161.466
GBP/CAD17/10/2014-0.4940.099
GBP/CHF17/10/20140.109-0.444
GBP/DKK17/10/2014-2.1430.077
GBP/JPY17/10/20140.09-0.374
GBP/NOK17/10/2014-7.4343.976
GBP/NZD17/10/2014-1.3590.632
GBP/SEK17/10/2014-6.0543.186
GBP/SGD17/10/20140-0.559
GBP/USD17/10/2014-0.044-0.263
GBP/ZAR17/10/2014-29.94424.176
GOLD17/10/2014-5.9-1.9
NOK/SEK17/10/2014-0.068-0.332
NZD/CAD17/10/20140.179-0.522
NZD/CHF17/10/20140.351-0.6
NZD/JPY17/10/20140.404-0.734
NZD/SGD17/10/20140.48-0.869
NZD/USD17/10/20140.333-0.595
SGD/JPY17/10/2014-0.12-0.115
SILVER17/10/2014-1.3-0.4
USD/CAD17/10/2014-0.3750
USD/CHF17/10/2014-0.011-0.175
USD/CZK17/10/2014-2.601-0.073
USD/DKK17/10/2014-1.6830.376
USD/HKD17/10/2014-1.594-1.207
USD/HUF17/10/2014-3.5963.056
USD/JPY17/10/2014-0.033-0.207
USD/MXN17/10/2014-15.13510.628
USD/NOK17/10/2014-3.9742.151
USD/SEK17/10/2014-4.2333.024
USD/SGD17/10/2014-0.035-0.248
USD/PLN17/10/2014-4.3913.463
USD/RUB17/10/2014-44.223.8
USD/ZAR17/10/2014-17.72410.124

The figures in columns represent the quantity of points charged to a customer’s open position if it is rolled over to the following day. These values are calculated based on differences between short-term interest rates.

Since the value date is the second business day after a transaction is entered into, Monday next week is the value date for transactions entered on Wednesday. Accordingly, from Wednesday to Thursday swaps are charged in triple size.

You can view the actual swap-rates on all quoted currencies in “Contracts specification” section

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