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Where do swap rates come from?
 Post subject: Where do swap rates come from? Post rating: 0   New post Posted: Wed 07 Mar, 2018, 19:04 

User rating: 15
Joined: Thu 20 Apr, 2017, 22:42
Posts: 144
Location: Russian Federation,
Hello,

i'm not sure if anyone here is tracking changes in overnight swap rates. I do. And I noticed that today swap rates across all currencies have changed significantly.

https://www.dukascopy.com/plugins/fxMarketWatch/?overnight_policy
For example swap per 1MLN BUY of EUR/CHF
was - around $+110 (from my memory)
now - $+1.3 - it is 85 times lower

Most other pairs I look after got 25-50% change in swap rates.

In my understanding swaps come from difference of currency's central bank interest rates - therefore swaps should change when one of the central banks in currency pair changes its interest rate.
But as far as I see it from practice - swap rates change more frequently and because of some other unknown reasons.
Such significant changes as I see today significantly affects approach to trading and I'd like to better understand what I can expect in future.

Can someone explain where swap rates (here) come from?

Note: there were no changes in Central Bank rates nor for EUR nor for CHF since 2016
https://www.dukascopy.com/plugins/fxMarketWatch/?interest_rate_calendar


 
 Post subject: Re: Where do swap rates come from? Post rating: 0   New post Posted: Mon 07 May, 2018, 15:48 
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Joined: Thu 09 May, 2013, 18:38
Posts: 11
Location: SerbiaSerbia
Your understanding is very limited. Swap rates are determined by numerous factors, basically originated from the so called money market. Supply/Demand fluctuations on this huge market which is bigger than spot forex could be followed by changing of swap rates without shifts of major CB rates.


 
 Post subject: Re: Where do swap rates come from? Post rating: 0   New post Posted: Tue 08 May, 2018, 21:58 

User rating: 15
Joined: Thu 20 Apr, 2017, 22:42
Posts: 144
Location: Russian Federation,
Jester wrote:
Your understanding is very limited
Yes, exactly :(

Jester wrote:
Swap rates are determined by numerous factors, basically originated from the so called money market
May you have a link with description of these "numerous factors"? I failed to google right resources on my own.


 
 Post subject: Re: Where do swap rates come from? Post rating: 0   New post Posted: Tue 26 Jun, 2018, 14:58 
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Joined: Fri 19 Apr, 2013, 10:17
Posts: 31
Location: Ukraine, Kiev
You can start Your deep dive in dark waters of global finance from here https://www.investopedia.com/university/moneymarket/


 
 Post subject: Re: Where do swap rates come from? Post rating: 0   New post Posted: Mon 06 Aug, 2018, 20:24 

User rating: 15
Joined: Thu 20 Apr, 2017, 22:42
Posts: 144
Location: Russian Federation,
Can someone explain where these SWAPs numbers for AUD/JPY come from? Is it bug or is real?
https://www.dukascopy.com/plugins/fxMarketWatch/?overnight_policy

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 Post subject: Re: Where do swap rates come from? Post rating: 0   New post Posted: Sun 12 Aug, 2018, 23:04 
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Joined: Fri 19 Apr, 2013, 10:17
Posts: 31
Location: Ukraine, Kiev
Apaprently it was a bug. Currently there are the following figures in that widget for the position of 1 mio:

AUD/JPY 0.35 -0.48 31.50 -43.79


 

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