This chart shows historic UK fixed interest swap rates. To get more information move your mouse pointer over the chart.
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A swap is the agreement between 2 parties to exchange sequences of cash flows over a set period of time. Normally when the contract is initiated, one of these series of cash flows is determined randomly by an uncertain variable e.g. an interest or foreign exchange rate. You could describe a swap as a portfolio of contracts or as a long position in one bond coupled with a short position in another bond.
Most loans are entirely or in part likely to be on an amortising basis, which might mean that the actual swap rate will differ from the Swap Rates indicated above. These are based on a loan of c £5 million and interest-only throughout the term. Red Chilli are happy to provide tailor-made quotes.
Ask Swap Rates are quoted as of close of London business. US dollars are quoted annual money/actual 360 basis against 3 month LIBOR. Sterling is quoted on a semi-annual actual/365 basis against 3 month LIBOR, and Euro is quoted on an annual bond 30/360 basis against 6 month EURIBOR/LIBOR with the exception of the one year rate – which is quoted against 3 month EURIBOR/LIBOR.