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 / 6M LIBOR
2 year0.141680.30904
3 year0.156820.34957
5 year0.256550.47092
10 year0.603600.83548
30 year0.934131.18565

OIS

 Anl Mny / FEDFUND
1 year0.05700
2 year0.04000

Back to top

EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.52075-0.46625-0.41375
3 year-0.50875-0.45325-0.39775
5 year-0.46150-0.40500-0.41375-0.34950
10 year-0.25650-0.19700-0.15650
30 year0.005500.050000.05250

OIS

 Anl Mny / EONIA
3 month-0.46800
6 month-0.47500
1 year-0.48550
2 year-0.49400

Back to top

JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.06250
3 year-0.06906
5 year-0.07000
10 year0.00250
30 year0.29813

OIS

 Anl Mny / TONA
3 month-0.04125
6 month-0.04593
1 year-0.05000
2 year-0.06375
3 year-0.07313
5 year-0.07750
10 year-0.00813
30 year0.28625

Back to top

GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.017350.063520.12335
3 year0.013250.065220.15025
5 year0.064450.122450.22845
10 year0.220250.285650.411250.41125
30 year0.362500.443000.58000

OIS

 Anl Mny / SONIA
3 month0.05620
6 month0.04855
1 year0.02433
2 year-0.01134

Back to top

CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.69000-0.62250
3 year-0.65813-0.59313
5 year-0.55875-0.49625
10 year-0.31500-0.25250
30 year-0.23188-0.16938

Back to top

AUD

IRS

 Sml Mny / 6M Bills
2 year*0.16959
3 year*0.21363
5 year0.39844
10 year0.85481
30 year1.23063

OIS

 Qtly Mny / AONIA
3 month0.12750
6 month0.12630
1 year0.12700
2 year0.14950
3 year0.18488
5 year0.29969
10 year0.69794
30 year0.92313

* Quoted Qtly Mny / 3M Bills

Back to top

CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.559000.57300
3 year0.632500.63900
5 year0.791750.79200
10 year1.081501.07900
30 year1.478751.47100

OIS

 Sml Mny / CORRA
3 month0.24200
6 month0.23900
1 year0.24050
2 year0.28160
3 year0.35317
5 year0.51825
10 year0.81233
30 year1.22017

Back to top

CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.50625
3 year0.60438
5 year0.75250
10 year0.90875

Back to top

DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.12500
3 year-0.13000
5 year-0.10400
10 year0.06410

Back to top

HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.52000
3 year0.54750
5 year0.61750
10 year0.88500

Back to top

HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.82250
3 year0.91125
5 year1.12000
10 year1.60750

Back to top

MXN

IRS

 28D Mny / 28D TIIE
2 year4.44000
3 year4.57500
5 year4.92000
10 year5.62000

Back to top

NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.46688
3 year0.55542
5 year0.73083
10 year1.00417

Back to top

NZD

IRS

 Sml Mny / 3M Bills
2 year0.14000
3 year0.14500
5 year0.23800
10 year0.62800

Back to top

PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.28438
3 year0.36375
5 year0.59313
10 year0.94438

Back to top

SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.00650
3 year0.04600
5 year0.13350
10 year0.37250
30 year0.56000

Back to top

SGD

IRS

 Sml Bnd / 6M SOR
2 year0.31750
3 year0.37900
5 year0.53150
10 year0.84400

Back to top

ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year3.68500
3 year4.05000
5 year4.98500
10 year6.94000

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