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 / 3M LIBORAnl Mny / 6M LIBOR
2 year2.522882.712882.83726
3 year2.649912.811162.93804
5 year2.760962.887833.01971
10 year2.872852.962853.10562
30 year2.885422.994173.13292

OIS

 Anl Mny / FEDFUND
3 month1.79358
6 month1.89249
1 year2.07468
2 year2.31726
3 year2.42986
5 year2.51283
10 year2.56405
30 year2.53667

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.25560-0.20407-0.14160
3 year-0.08263-0.024730.04338
5 year0.251700.321670.40170
10 year0.851350.927081.01335
30 year1.423601.482921.53260

OIS

 Anl Mny / EONIA
3 month-0.35800
6 month-0.35950
1 year-0.35250
2 year-0.25750
3 year-0.09773
5 year0.23175
10 year0.82258
30 year1.38817

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.02500
3 year0.04406
5 year0.08500
10 year0.21937
30 year0.71437

OIS

 Anl Mny / TONA
3 month-0.05250
6 month-0.04695
1 year-0.03375
2 year-0.01604
3 year-0.00375
5 year0.03000
10 year0.14625
30 year0.61875

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.947851.041481.10085
3 year1.067151.160781.22315
5 year1.218451.315951.38745
10 year1.430851.523951.59985
30 year1.528501.601501.66650

OIS

 Anl Mny / SONIA
3 month0.55960
6 month0.61070
1 year0.70490
2 year0.85370
3 year0.95398
5 year1.09295
10 year1.27795
30 year1.32050

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.52217-0.43717
3 year-0.35250-0.26000
5 year-0.069000.03600
10 year0.397500.52250
30 year0.921130.98113

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.17000
3 year*2.29775
5 year2.65867
10 year2.97638
30 year3.18375

OIS

 Qtly Mny / AONIA
3 month1.49700
6 month1.50723
1 year1.56083
2 year1.75217
3 year1.87775
5 year2.10742
10 year2.44825
30 year2.66063

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.251002.27850
3 year2.385502.41550
5 year2.523502.55950
10 year2.670692.70850
30 year2.775502.80050

OIS

 Sml Mny / CORRA
3 month1.31033
6 month1.40967
1 year1.60000
2 year1.85300
3 year1.98967
5 year2.13554
10 year2.29183
30 year2.38717

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.24500
3 year1.40625
5 year1.62250
10 year1.79833

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.00158
3 year0.19000
5 year0.55833
10 year1.19108

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.31500
3 year2.51500
5 year2.69000
10 year2.83500

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.24625
3 year0.50625
5 year1.02250
10 year2.06250

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.62933
3 year7.49000
5 year7.46033
10 year7.74350

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.49150
3 year1.64900
5 year1.90500
10 year2.26500

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.31310
3 year2.46330
5 year2.75370
10 year3.21875

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.87125
3 year2.02625
5 year2.35500
10 year2.83000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.13233
3 year0.10733
5 year0.56500
10 year1.28400
30 year1.86933

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.96000
3 year2.10500
5 year2.31500
10 year2.61250

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.76125
3 year6.88000
5 year7.12000
10 year7.61000

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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