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 year1.815161.901412.01766
3 year1.914272.004272.12677
5 year2.041372.130752.25830
10 year2.274052.350302.49280
30 year2.472132.557132.69888

OIS

 Anl Mny / FEDFUND
3 month1.33736
6 month1.41538
1 year1.54797
2 year1.69431
3 year1.77797
5 year1.87945
10 year2.05650
30 year2.21213

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.31090-0.26206-0.19390
3 year-0.20450-0.15100-0.07350
5 year0.044500.107860.20150
10 year0.672000.736960.83400
30 year1.448001.489411.53800

OIS

 Anl Mny / EONIA
3 month-0.35700
6 month-0.35650
1 year-0.35350
2 year-0.31067
3 year-0.20550
5 year0.02395
10 year0.64213
30 year1.41933

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.00875
3 year0.02375
5 year0.06125
10 year0.19676
30 year0.78910

OIS

 Anl Mny / TONA
3 month-0.04500
6 month-0.04305
1 year-0.03100
2 year-0.01775
3 year-0.00500
5 year0.02690
10 year0.12700
30 year0.65115

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.747700.783430.83770
3 year0.840700.880430.94070
5 year0.972901.016901.08290
10 year1.230551.272051.33855
30 year1.452051.479051.53105

OIS

 Anl Mny / SONIA
3 month0.46660
6 month0.49140
1 year0.57500
2 year0.69150
3 year0.77323
5 year0.88990
10 year1.11575
30 year1.31905

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.65367-0.55367
3 year-0.55467-0.44717
5 year-0.36000-0.22750
10 year0.087830.24283
30 year0.683750.75875

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AUD

IRS

 Sml Mny / 6M Bills
2 year*1.90069
3 year*2.00667
5 year2.36520
10 year2.74167
30 year3.13000

OIS

 Qtly Mny / AONIA
3 month1.49910
6 month1.50744
1 year1.55808
2 year1.68600
3 year1.76417
5 year1.97770
10 year2.36917
30 year2.80500

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.757251.79300
3 year1.867001.90750
5 year1.991002.04400
10 year2.232442.28900
30 year2.515752.54450

OIS

 Sml Mny / CORRA
3 month1.05033
6 month1.12467
1 year1.27300
2 year1.44780
3 year1.54250
5 year1.68150
10 year1.92275
30 year2.17450

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.33000
3 year1.46833
5 year1.65083
10 year1.88750

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.07000
3 year0.06330
5 year0.35950
10 year1.02663

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.48000
3 year1.65500
5 year1.87000
10 year2.15000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.20675
3 year0.37113
5 year0.82294
10 year1.92500

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.41333
3 year7.31167
5 year7.30000
10 year7.51083

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.01833
3 year1.14667
5 year1.38333
10 year1.83600

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.15875
3 year2.33080
5 year2.63750
10 year3.13000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year2.04000
3 year2.22625
5 year2.54750
10 year3.01625

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.25433
3 year-0.05250
5 year0.33783
10 year1.12000
30 year1.86683

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.43050
3 year1.58400
5 year1.83650
10 year2.28250

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.48789
3 year7.71250
5 year8.05000
10 year8.54250

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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