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 year1.591071.679191.77554
3 year1.697661.785161.88714
5 year1.855391.939142.04736
10 year2.142382.216132.34310
30 year2.389582.470832.60883

OIS

 Anl Mny / FEDFUND
3 month1.17405
6 month1.24793
1 year1.34345
2 year1.47270
3 year1.56016
5 year1.68784
10 year1.92113
30 year2.11953

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.29570-0.24606-0.17570
3 year-0.19700-0.13911-0.05800
5 year0.049000.119760.22000
10 year0.700500.771710.87150
30 year1.465251.511191.56125

OIS

 Anl Mny / EONIA
3 month-0.35550
6 month-0.35513
1 year-0.35100
2 year-0.29825
3 year-0.20086
5 year0.02985
10 year0.67638
30 year1.44185

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.00250
3 year0.01250
5 year0.04625
10 year0.16724
30 year0.76148

OIS

 Anl Mny / TONA
3 month-0.06000
6 month-0.05920
1 year-0.05800
2 year-0.05115
3 year-0.04115
5 year-0.02100
10 year0.06500
30 year0.59115

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.686250.724250.79125
3 year0.790400.835400.90540
5 year0.947901.003901.07590
10 year1.260501.321751.39175
30 year1.541051.591051.64105

OIS

 Anl Mny / SONIA
3 month0.31807
6 month0.40007
1 year0.51220
2 year0.64420
3 year0.73140
5 year0.87190
10 year1.16675
30 year1.44105

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.62467-0.53717
3 year-0.52350-0.42350
5 year-0.32100-0.19850
10 year0.120830.26583
30 year0.705880.77838

OIS

 Anl Mny / SONIA
3 month-0.56180
6 month-0.58300
1 year-0.57833
2 year-0.51800

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.06200
3 year*2.24333
5 year2.63780
10 year2.98433
30 year3.34625

OIS

 Qtly Mny / AONIA
3 month1.50903
6 month1.53913
1 year1.63861
2 year1.84281
3 year1.99833
5 year2.23363
10 year2.58600
30 year2.99922

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.887251.92525
3 year1.977002.02250
5 year2.077252.13900
10 year2.308092.37325
30 year2.594752.62800

OIS

 Sml Mny / CORRA
3 month1.07667
6 month1.20908
1 year1.39100
2 year1.56605
3 year1.65292
5 year1.77275
10 year2.00700
30 year2.26133

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.97417
3 year1.11667
5 year1.30417
10 year1.54250

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.04740
3 year0.08163
5 year0.38138
10 year1.05997

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.27500
3 year1.43500
5 year1.67500
10 year2.01000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.19500
3 year0.34000
5 year0.80000
10 year2.04250

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MXN

IRS

 28D Mny / 28D TIIE
2 year6.99000
3 year6.88500
5 year6.80000
10 year7.06500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.06267
3 year1.19100
5 year1.43500
10 year1.89667

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.25250
3 year2.45310
5 year2.77750
10 year3.27000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.93750
3 year2.07000
5 year2.34375
10 year2.80375

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.18783
3 year0.02717
5 year0.43567
10 year1.19950
30 year1.94217

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.32000
3 year1.48750
5 year1.75750
10 year2.24000

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.63387
3 year6.74000
5 year7.04500
10 year7.71417

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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