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.


Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 3M LIBORAnl Mny / 6M LIBOR
2 year1.493521.572271.67477
3 year1.604521.685771.79077
5 year1.789741.873491.98224
10 year2.126952.201952.33195
30 year2.416462.498912.62896

OIS

 Anl Mny / FEDFUND
3 month1.16452
6 month1.19413
1 year1.26709
2 year1.38910
3 year1.47947
5 year1.63469
10 year1.90815
30 year2.15011

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.27310-0.22114-0.14610
3 year-0.16000-0.09904-0.01300
5 year0.104000.174490.28000
10 year0.739500.810510.91350
30 year1.471251.513351.56225

OIS

 Anl Mny / EONIA
3 month-0.35575
6 month-0.35225
1 year-0.34250
2 year-0.27075
3 year-0.17004
5 year0.08549
10 year0.72001
30 year1.45285

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.01750
3 year0.03000
5 year0.06656
10 year0.18716
30 year0.74778

OIS

 Anl Mny / TONA
3 month-0.05615
6 month-0.05695
1 year-0.05500
2 year-0.04805
3 year-0.04115
5 year-0.01700
10 year0.06400
30 year0.56000

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.458450.505450.60045
3 year0.540150.597150.69015
5 year0.713200.777200.86720
10 year1.103901.168901.24090
30 year1.468551.508301.54230

OIS

 Anl Mny / SONIA
3 month0.23787
6 month0.27400
1 year0.32590
2 year0.40570
3 year0.47905
5 year0.63420
10 year1.01290
30 year1.39530

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.63100-0.54350
3 year-0.52350-0.42350
5 year-0.31533-0.19283
10 year0.125000.26500
30 year0.687500.75250

OIS

 Anl Mny / SONIA
3 month-0.57000
6 month-0.57825
1 year-0.57817
2 year-0.52050

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AUD

IRS

 Sml Mny / 6M Bills
2 year*1.99575
3 year*2.14718
5 year2.52210
10 year2.90975
30 year3.33250

OIS

 Qtly Mny / AONIA
3 month1.50092
6 month1.53504
1 year1.61800
2 year1.77813
3 year1.90968
5 year2.16210
10 year2.55808
30 year3.02120

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.498001.54025
3 year1.615501.66525
5 year1.784251.84850
10 year2.128442.18875
30 year2.466752.50000

OIS

 Sml Mny / CORRA
3 month0.77833
6 month0.87633
1 year1.00818
2 year1.16570
3 year1.29692
5 year1.48267
10 year1.82292
30 year2.13583

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.74333
3 year0.87917
5 year1.07833
10 year1.37667

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year0.04800
3 year0.18800
5 year0.49150
10 year1.14297

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.25500
3 year1.42500
5 year1.69000
10 year2.05000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.40650
3 year0.58500
5 year1.09500
10 year2.32250

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.03417
3 year6.85833
5 year6.83250
10 year7.16000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.12250
3 year1.25417
5 year1.52083
10 year1.99167

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.23000
3 year2.43755
5 year2.78840
10 year3.31250

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.93000
3 year2.05125
5 year2.33000
10 year2.78625

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.27433
3 year-0.06300
5 year0.38433
10 year1.20875
30 year1.95867

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.28250
3 year1.46750
5 year1.76000
10 year2.25250

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.95470
3 year7.02833
5 year7.28500
10 year7.86500

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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.Clearnet, and LCH.Clearnet 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