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 year0.125530.29838
3 year0.134500.32101
5 year0.218700.41975
10 year0.490550.70430
30 year0.728150.95940

OIS

 Anl Mny / FEDFUND
1 year0.03200
2 year-0.00200

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.52698-0.45324-0.37198
3 year-0.51973-0.44729-0.37273
5 year-0.47285-0.40518-0.37198-0.33985
10 year-0.28415-0.22398-0.17615
30 year-0.04740-0.00402-0.00040

OIS

 Anl Mny / EONIA
3 month-0.47100
6 month-0.47950
1 year-0.49100
2 year-0.51100

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.07563
3 year-0.08781
5 year-0.09531
10 year-0.02813
30 year0.25875

OIS

 Anl Mny / TONA
3 month-0.05158
6 month-0.05595
1 year-0.06313
2 year-0.08250
3 year-0.09813
5 year-0.11375
10 year-0.05250
30 year0.23438

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year-0.014100.047170.144900.14490
3 year-0.022200.045300.153800.15380
5 year0.013500.086000.204500.20450
10 year0.139000.216100.34400
30 year0.215000.296000.43000

OIS

 Anl Mny / SONIA
3 month0.05355
6 month0.04275
1 year0.01175
2 year-0.03545

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.72438-0.65188
3 year-0.70500-0.63250
5 year-0.61750-0.54500
10 year-0.36375-0.29625
30 year-0.25188-0.18688

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.17171
3 year*0.22104
5 year0.41756
10 year0.84744
30 year1.20563

OIS

 Qtly Mny / AONIA
3 month0.13125
6 month0.13333
1 year0.13850
2 year0.14450
3 year0.17354
5 year0.29131
10 year0.65744
30 year0.88313

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.548500.56150
3 year0.605250.61250
5 year0.727000.72850
10 year0.991880.99000
30 year1.380751.37500

OIS

 Sml Mny / CORRA
3 month0.24600
6 month0.23767
1 year0.23150
2 year0.24700
3 year0.30750
5 year0.44100
10 year0.71917
30 year1.12000

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.39000
3 year0.45625
5 year0.59625
10 year0.79875

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.12420
3 year-0.13100
5 year-0.10800
10 year0.04383

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.50000
3 year0.51500
5 year0.61000
10 year0.88000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.70000
3 year0.75500
5 year0.96000
10 year1.47250

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MXN

IRS

 28D Mny / 28D TIIE
2 year4.38125
3 year4.51250
5 year4.87000
10 year5.59000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.46225
3 year0.51725
5 year0.64983
10 year0.91867

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.21300
3 year0.22800
5 year0.34500
10 year0.73000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.28500
3 year0.36750
5 year0.56938
10 year0.89750

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.03900
3 year-0.01433
5 year0.06733
10 year0.31100
30 year0.51267

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.29900
3 year0.37900
5 year0.54750
10 year0.86400

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year3.81500
3 year4.16750
5 year5.08000
10 year6.99500

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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