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 year0.306830.64333
3 year0.352130.61555
5 year0.468750.69118
10 year0.648850.85660
30 year0.791401.00490

OIS

 Anl Mny / FEDFUND
1 year0.07700
2 year0.10100

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.44790-0.36590-0.29190
3 year-0.43918-0.35818-0.28318
5 year-0.37795-0.29870-0.29190-0.22295
10 year-0.14810-0.07335-0.02210
30 year0.053400.110700.11940

OIS

 Anl Mny / EONIA
3 month-0.46800
6 month-0.46500
1 year-0.47700
2 year-0.49900

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.07125
3 year-0.08563
5 year-0.10125
10 year-0.04656
30 year0.06344

OIS

 Anl Mny / TONA
3 month-0.05500
6 month-0.06565
1 year-0.07188
2 year-0.08250
3 year-0.09250
5 year-0.10563
10 year-0.04813
30 year0.08563

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.213050.376880.48205
3 year0.238100.373100.473100.47310
5 year0.292200.410200.505200.50520
10 year0.378850.489600.585100.58510
30 year0.399930.496680.59368

OIS

 Anl Mny / SONIA
3 month0.06975
6 month0.07290
1 year0.08306
2 year0.12070

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.69767-0.61767
3 year-0.67033-0.59283
5 year-0.54892-0.47142
10 year-0.27300-0.19550
30 year-0.21250-0.14000

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.32611
3 year*0.35971
5 year0.55225
10 year0.90272
30 year0.94075

OIS

 Qtly Mny / AONIA
3 month0.13350
6 month0.13400
1 year0.14100
2 year0.13500
3 year0.21846
5 year0.36225
10 year0.70522
30 year0.70825

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.681250.72050
3 year0.810500.83900
5 year0.999751.02200
10 year1.185691.20100
30 year1.527501.53500

OIS

 Sml Mny / CORRA
3 month0.19733
6 month0.19533
1 year0.21500
2 year0.33000
3 year0.51567
5 year0.70992
10 year0.89100
30 year1.22750

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.69250
3 year0.72417
5 year0.76083
10 year0.79167

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.01350
3 year-0.00900
5 year0.04500
10 year0.23540

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.08000
3 year1.10000
5 year1.15500
10 year1.23000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year1.18625
3 year1.24875
5 year1.40625
10 year1.84125

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MXN

IRS

 28D Mny / 28D TIIE
2 year5.64875
3 year5.83750
5 year6.39000
10 year7.17000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.68383
3 year0.66708
5 year0.71983
10 year0.96083

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.50000
3 year0.52725
5 year0.61775
10 year0.92800

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.65500
3 year0.66500
5 year0.75625
10 year0.94688

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.11217
3 year0.12233
5 year0.19100
10 year0.38750
30 year0.48808

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.71500
3 year0.83000
5 year0.98750
10 year1.16750

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year5.64500
3 year6.25000
5 year7.37000
10 year9.15500

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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