Settlement Prices

Final settlement prices are published once daily for swaps in all currencies eligible for registration at LCH.Clearnet at 09:00 EST (14:00 London). Settlement prices are generally applied based on the end of day snapshot timetable below.

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Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 3M LIBORAnl Mny / 6M LIBOR
2 year1.353261.433361.49200
3 year1.307631.389931.44672
5 year1.306051.391051.45276
10 year1.425831.514601.58760
30 year1.600931.695931.78293

OIS

 Anl Mny / FEDFUND
3 year1.21493
5 year1.20605
10 year1.32330
30 year1.50343

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.50018-0.44388-0.37968
3 year-0.48123-0.42581-0.36023
5 year-0.41588-0.36113-0.37968-0.29388
10 year-0.15678-0.10583-0.04778
30 year0.293230.328590.35323

OIS

 Anl Mny / EONIA
3 month-0.46000
6 month-0.47200
1 year-0.49000
2 year-0.50900

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.08906
3 year-0.09813
5 year-0.09688
10 year-0.02187
30 year0.23437

OIS

 Anl Mny / TONA
3 month-0.05125
6 month-0.06128
1 year-0.07313
2 year-0.08750
3 year-0.09625
5 year-0.09688
10 year-0.02313
30 year0.22000

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.570450.649120.717450.71745
3 year0.567550.645750.71455
5 year0.579600.659100.73060
10 year0.644750.727250.807250.80725
30 year0.727750.810250.89525

OIS

 Anl Mny / SONIA
3 month0.69495
6 month0.65808
1 year0.59850
2 year0.55126
3 year0.53585
5 year0.54110
10 year0.60125
30 year0.67525

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.79958-0.72958
3 year-0.77792-0.70542
5 year-0.69267-0.62017
10 year-0.44483-0.37233
30 year-0.13625-0.07875

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.73867
3 year*0.74050
5 year0.90200
10 year1.19250
30 year1.54750

OIS

 Qtly Mny / AONIA
3 month0.71625
6 month0.66250
1 year0.57250
2 year0.53800
3 year0.53675
5 year0.63013
10 year0.94188
30 year1.28063

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.749251.76900
3 year1.720751.74050
5 year1.699501.72200
10 year1.772811.79000
30 year1.928251.93800

OIS

 Sml Mny / CORRA
3 month1.69800
6 month1.64933
1 year1.57500
2 year1.49890
3 year1.45883
5 year1.43283
10 year1.49458
30 year1.63883

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.24667
3 year2.13750
5 year1.97667
10 year1.68083

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.24250
3 year-0.22200
5 year-0.15600
10 year0.07603

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.76000
3 year1.70000
5 year1.66000
10 year1.71000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year1.07000
3 year1.21750
5 year1.44000
10 year1.84500

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MXN

IRS

 28D Mny / 28D TIIE
2 year6.53650
3 year6.42500
5 year6.40250
10 year6.56500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.82833
3 year1.77750
5 year1.74050
10 year1.77500

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.14503
3 year1.16135
5 year1.23745
10 year1.51500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.80938
3 year1.81500
5 year1.86188
10 year1.93750

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.16133
3 year0.18167
5 year0.24617
10 year0.46175
30 year0.74467

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.50250
3 year1.49500
5 year1.51250
10 year1.64350

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.29500
3 year6.37000
5 year6.65000
10 year7.45000

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Our Methodology

Quotation basis is indicated for each of the IRS currency and product types as shown above. Settlement prices are yields, although percentage sign (%) is not shown in tables above for easier viewing and comparison of data. Settlement Prices are derived from a variety of market pricing sources as deemed relevant by LCH, and LCH staff in its sole discretion may determine an alternative settlement price if such sources produce yield results that are not representative of fair value.

The following abbreviations are used in column headings in the tables:

Frequency
Annual = Anl
Semi-annual = Sml
Quarterly = Qtl

Daycount scheme
Money market = Mny /
Bond = Bnd /

Example: GBP quoted on semi-annual Actual/365 day basis vs 6 month LIBOR would appear as "Sml Mny / 6M LIBOR"

Region Currencies EOD Snap
EST
EOD Snap
London
Asia Pacific JPY, AUD, NZD, HKD, SGD 7:00 12:00
Europe EUR, GBP, CHF, SEK, DKK, NOK, PLN, ZAR, CZK, HUF 11:30 16:30
GBP OIS (SONIA) 13:00 18:00
EUR OIS (EONIA) 13:00 18:00
North America USD, CAD 15:00 20:00