SWAP

Please note that, as of 1st of October 2019, Nasdaq Copenhagen has stopped acting as calculating agent for the daily fixing of CIBOR, CITA, Swap and T/N.

If you need further information, please contact Finans Denmark at: +45 33 70 10 00 / mail@finansdanmark.dk, http://financedenmark.dk/hard-figures/interest-rates/the-danish-reference-rates/

Nasdaq collects, calculates and publishes the SWAP reference rate. The SWAP reference rate is published approximately at 11:30. After the publication the individual quotes can be found on the Finance Denmark's website.

Following Banks are participating in the SWAP fixing: Danske Bank, Jyske Bank, Nordea Bank, Nykredit Bank, Sydbank and SEB.

An interest rate swap (IRS) is a contract for the exchange of interest payments in the same currency – from a variable interest rate to a fixed interest rate or vice versa. At the time of conclusion a nominal principal is agreed together with terms for the variable and fixed ’legs’ of the swap. The principal is not exchanged and the only thing that is physically paid between the two parties having entered into a swap is the difference between the fixed and the variable interest payments on the principal on the settlement date.

Participating banks report their mid rates for all maturities from 2 to 10 years against 6-month CIBOR and follow the practices in the Danish interest rate swap market, (value date; t+2, Day Convention; 30/360, banking days; Copenhagen, Modified Following) on all Danish banking days.

Finance Denmark's guide to rules governing SWAP rate fixing, can be found here.