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 year1.400591.500491.55757
3 year1.353821.451771.50949
5 year1.350561.446191.50810
10 year1.479991.574991.64874
30 year1.659051.763451.85095

OIS

 Anl Mny / FEDFUND
3 year1.25547
5 year1.24239
10 year1.36749
30 year1.55345

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.46265-0.40708-0.33865
3 year-0.43970-0.38355-0.31270
5 year-0.37188-0.31591-0.33865-0.24288
10 year-0.09748-0.045010.018520.01853
30 year0.367780.404840.43278

OIS

 Anl Mny / EONIA
3 month-0.45500
6 month-0.46000
1 year-0.47000
2 year-0.47000

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.06750
3 year-0.08188
5 year-0.09313
10 year-0.03125
30 year0.21750

OIS

 Anl Mny / TONA
3 month-0.04843
6 month-0.05378
1 year-0.06250
2 year-0.07375
3 year-0.08938
5 year-0.10375
10 year-0.04438
30 year0.20188

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.469200.555200.63020
3 year0.474300.558800.632300.63230
5 year0.498550.582050.657550.65755
10 year0.577350.663100.747350.74735
30 year0.677350.764350.85735

OIS

 Anl Mny / SONIA
3 month0.57470
6 month0.53021
1 year0.47305
2 year0.44060
3 year0.43930
5 year0.45505
10 year0.52610
30 year0.61835

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.74267-0.67267
3 year-0.74208-0.66958
5 year-0.68533-0.61283
10 year-0.43908-0.36658
30 year-0.11688-0.05938

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.64875
3 year*0.67000
5 year0.84150
10 year1.11963
30 year1.48375

OIS

 Qtly Mny / AONIA
3 month0.62650
6 month0.55283
1 year0.46750
2 year0.43300
3 year0.46250
5 year0.55150
10 year0.85588
30 year1.20375

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.733251.75800
3 year1.713001.73650
5 year1.700251.72500
10 year1.786811.80650
30 year1.958741.96950

OIS

 Sml Mny / CORRA
3 month1.70533
6 month1.64500
1 year1.55850
2 year1.46060
3 year1.43025
5 year1.40958
10 year1.48317
30 year1.64242

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.12417
3 year2.03500
5 year1.88833
10 year1.61167

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.22855
3 year-0.19715
5 year-0.12300
10 year0.12455

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.93750
3 year1.87750
5 year1.82500
10 year1.87000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.66000
3 year0.83000
5 year1.14000
10 year1.71250

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MXN

IRS

 28D Mny / 28D TIIE
2 year6.64250
3 year6.53750
5 year6.52875
10 year6.71250

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.83275
3 year1.77817
5 year1.73167
10 year1.76783

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.14485
3 year1.15155
5 year1.21005
10 year1.46250

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.83375
3 year1.84625
5 year1.87813
10 year1.95750

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.19417
3 year0.20450
5 year0.26317
10 year0.50025
30 year0.78917

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.29000
3 year1.27750
5 year1.31000
10 year1.48750

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.34000
3 year6.44000
5 year6.74500
10 year7.56000

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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