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 / 6M LIBOR
2 year0.292290.58354
3 year0.313650.55115
5 year0.425200.63145
10 year0.655050.85755
30 year0.831491.05024

OIS

 Anl Mny / FEDFUND
1 year0.07200
2 year0.08700

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.46790-0.39565-0.32090
3 year-0.44893-0.37693-0.30443
5 year-0.36650-0.29600-0.32090-0.22550
10 year-0.12590-0.05730-0.00990
30 year0.124600.178600.18560

OIS

 Anl Mny / EONIA
3 month-0.46750
6 month-0.47850
1 year-0.50200
2 year-0.50800

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.08063
3 year-0.09156
5 year-0.09813
10 year-0.03875
30 year0.10969

OIS

 Anl Mny / TONA
3 month-0.05250
6 month-0.06375
1 year-0.07188
2 year-0.08093
3 year-0.08750
5 year-0.09438
10 year-0.02750
30 year0.14313

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.224900.381570.500900.50090
3 year0.250700.386700.49470
5 year0.313250.433250.53225
10 year0.400550.507550.60355
30 year0.424000.519000.61500

OIS

 Anl Mny / SONIA
3 month0.07390
6 month0.07773
1 year0.09566
2 year0.14218

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.70325-0.62325
3 year-0.68458-0.60708
5 year-0.55050-0.47300
10 year-0.26483-0.18733
30 year-0.20250-0.13000

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.34100
3 year*0.37225
5 year0.56525
10 year0.89388
30 year0.86000

OIS

 Qtly Mny / AONIA
3 month0.15000
6 month0.15000
1 year0.14900
2 year0.15400
3 year0.18100
5 year0.31650
10 year0.65263
30 year0.58750

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.718750.76100
3 year0.796000.82700
5 year0.930000.95600
10 year1.115751.13200
30 year1.489251.49800

OIS

 Sml Mny / CORRA
3 month0.21916
6 month0.20017
1 year0.19950
2 year0.29000
3 year0.46533
5 year0.62600
10 year0.80950
30 year1.18008

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.71000
3 year0.72958
5 year0.73167
10 year0.75000

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.04750
3 year-0.03900
5 year0.02100
10 year0.22525

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.99000
3 year0.99000
5 year1.01750
10 year1.08000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.57500
3 year0.67875
5 year0.95875
10 year1.59375

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MXN

IRS

 28D Mny / 28D TIIE
2 year5.74250
3 year5.86500
5 year6.36125
10 year7.01750

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.73950
3 year0.73267
5 year0.80517
10 year1.04100

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.52500
3 year0.54150
5 year0.62300
10 year0.93000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.74375
3 year0.75938
5 year0.86563
10 year1.06000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.13583
3 year0.14567
5 year0.19550
10 year0.38800
30 year0.51108

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.72000
3 year0.84750
5 year1.00500
10 year1.17000

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year5.26000
3 year5.64000
5 year6.74000
10 year8.64000

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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