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.

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Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 6M LIBOR
2 year0.162450.38146
3 year0.187850.38223
5 year0.300100.48311
10 year0.612830.80095
30 year0.898901.10990

OIS

 Anl Mny / FEDFUND
1 year0.03700
2 year0.02000

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.47950-0.38425-0.27650
3 year-0.46975-0.38225-0.28775
5 year-0.42000-0.33850-0.27650-0.25700
10 year-0.23575-0.16025-0.10375
30 year-0.047750.012250.01725

OIS

 Anl Mny / EONIA
3 month-0.47050
6 month-0.48000
1 year-0.49400
2 year-0.50600

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.08594
3 year-0.10375
5 year-0.12125
10 year-0.08500
30 year0.10406

OIS

 Anl Mny / TONA
3 month-0.06125
6 month-0.07530
1 year-0.09063
2 year-0.11000
3 year-0.12500
5 year-0.14063
10 year-0.10313
30 year0.10500

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.086650.184280.290650.29065
3 year0.100750.189650.28975
5 year0.150100.233100.329100.32910
10 year0.252100.334600.436100.43610
30 year0.250350.335350.44035

OIS

 Anl Mny / SONIA
3 month0.06063
6 month0.04918
1 year0.02510
2 year0.00973

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.74438-0.66188
3 year-0.73375-0.65625
5 year-0.66500-0.59250
10 year-0.39750-0.33500
30 year-0.30938-0.24938

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.21131
3 year*0.26383
5 year0.45563
10 year0.88338
30 year1.10063

OIS

 Qtly Mny / AONIA
3 month0.14025
6 month0.13910
1 year0.14550
2 year0.16200
3 year0.18883
5 year0.29437
10 year0.66900
30 year0.80125

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.560500.57600
3 year0.621750.63300
5 year0.744250.75050
10 year0.998561.00200
30 year1.377501.37950

OIS

 Sml Mny / CORRA
3 month0.21733
6 month0.21525
1 year0.20400
2 year0.23330
3 year0.31633
5 year0.45050
10 year0.71533
30 year1.09617

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.37667
3 year0.42083
5 year0.50833
10 year0.69417

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.07245
3 year-0.07825
5 year-0.04075
10 year0.10225

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.03750
3 year1.01250
5 year1.01500
10 year1.15250

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.88500
3 year0.93500
5 year1.10000
10 year1.56750

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MXN

IRS

 28D Mny / 28D TIIE
2 year4.75000
3 year4.82500
5 year5.21000
10 year5.95500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.35750
3 year0.36917
5 year0.45417
10 year0.75600

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.19300
3 year0.19125
5 year0.28900
10 year0.65600

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.50750
3 year0.57438
5 year0.73000
10 year0.97250

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.08517
3 year0.10400
5 year0.17117
10 year0.38000
30 year0.49650

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.32250
3 year0.38000
5 year0.50750
10 year0.77300

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year4.15500
3 year4.49500
5 year5.31000
10 year7.09000

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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, 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