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.

Jump to a currency

Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 3M LIBORAnl Mny / 6M LIBOR
2 year1.506151.619251.67897
3 year1.498121.604291.66493
5 year1.518031.619901.68490
10 year1.642651.742651.82115
30 year1.809461.918232.00923

OIS

 Anl Mny / FEDFUND
3 year1.37299
5 year1.39490
10 year1.52265
30 year1.69823

Back to top

EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.45513-0.40186-0.32813
3 year-0.42338-0.36983-0.29338
5 year-0.32908-0.27589-0.32813-0.19808
10 year-0.018130.032440.09988
30 year0.451130.487560.51613

OIS

 Anl Mny / EONIA
3 month-0.45150
6 month-0.46050
1 year-0.47383
2 year-0.47233

Back to top

JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.07375
3 year-0.07906
5 year-0.06625
10 year0.03563
30 year0.35375

OIS

 Anl Mny / TONA
3 month-0.06000
6 month-0.07128
1 year-0.07938
2 year-0.08125
3 year-0.08438
5 year-0.07313
10 year0.02500
30 year0.33000

Back to top

GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.655700.740570.810700.81070
3 year0.674150.760280.82915
5 year0.712950.800450.87195
10 year0.800900.888400.96990
30 year0.888150.977151.06615

OIS

 Anl Mny / SONIA
3 month0.67830
6 month0.65410
1 year0.62521
2 year0.61150
3 year0.62088
5 year0.65645
10 year0.73440
30 year0.81115

Back to top

CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.72875-0.65625
3 year-0.69975-0.62725
5 year-0.60333-0.53333
10 year-0.29417-0.22667
30 year0.012500.07750

Back to top

AUD

IRS

 Sml Mny / 6M Bills
2 year*0.69925
3 year*0.73700
5 year0.94650
10 year1.28550
30 year1.65000

OIS

 Qtly Mny / AONIA
3 month0.67900
6 month0.59500
1 year0.50075
2 year0.48183
3 year0.51825
5 year0.63400
10 year0.99675
30 year1.34875

* Quoted Qtly Mny / 3M Bills

Back to top

CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.917501.94250
3 year1.913751.94100
5 year1.916751.94950
10 year2.001562.02500
30 year2.141752.15500

OIS

 Sml Mny / CORRA
3 month1.73767
6 month1.71200
1 year1.68600
2 year1.65550
3 year1.63767
5 year1.63242
10 year1.70083
30 year1.82833

Back to top

CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.13833
3 year2.05000
5 year1.87500
10 year1.53250

Back to top

DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.22450
3 year-0.18650
5 year-0.09090
10 year0.20035

Back to top

HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.98000
3 year1.92250
5 year1.87250
10 year1.92500

Back to top

HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.35250
3 year0.44250
5 year0.64000
10 year1.20000

Back to top

MXN

IRS

 28D Mny / 28D TIIE
2 year6.59500
3 year6.51500
5 year6.52500
10 year6.75250

Back to top

NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.99392
3 year1.96958
5 year1.94100
10 year1.96100

Back to top

NZD

IRS

 Sml Mny / 3M Bills
2 year1.23340
3 year1.27148
5 year1.36763
10 year1.69563

Back to top

PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.68688
3 year1.64750
5 year1.64875
10 year1.70500

Back to top

SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.16717
3 year0.20030
5 year0.29500
10 year0.56250
30 year0.86142

Back to top

SGD

IRS

 Sml Bnd / 6M SOR
2 year1.38100
3 year1.39200
5 year1.47250
10 year1.67050

Back to top

ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.63000
3 year6.73000
5 year7.03000
10 year7.77000

Back to top

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