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 year2.345992.454662.51842
3 year2.292942.397242.46519
5 year2.286852.384982.45873
10 year2.438942.530212.62021
30 year2.611262.712482.82023

OIS

 Anl Mny / FEDFUND
3 year2.16844
5 year2.15498
10 year2.29391
30 year2.46248

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.35335-0.28310-0.20035
3 year-0.29003-0.21853-0.13503
5 year-0.11602-0.040520.04198
10 year0.383670.456340.52768
30 year1.039421.091841.13043

OIS

 Anl Mny / EONIA
3 month-0.36450
6 month-0.36550
1 year-0.36800
2 year-0.34850

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.09250
3 year-0.09781
5 year-0.08500
10 year0.05688
30 year0.49000

OIS

 Anl Mny / TONA
3 month-0.07315
6 month-0.07595
1 year-0.08625
2 year-0.09875
3 year-0.10313
5 year-0.09063
10 year0.03813
30 year0.46938

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.878950.962551.05195
3 year0.956901.034331.11990
5 year1.067801.142301.22180
10 year1.240101.307351.38510
30 year1.388101.451601.52510

OIS

 Anl Mny / SONIA
3 month0.70940
6 month0.72115
1 year0.75850
2 year0.82510
3 year0.87993
5 year0.98130
10 year1.13185
30 year1.26660

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.70500-0.63250
3 year-0.64000-0.56500
5 year-0.47283-0.39533
10 year-0.004330.07317
30 year0.541130.60863

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AUD

IRS

 Sml Mny / 6M Bills
2 year*1.51401
3 year*1.53392
5 year1.78188
10 year2.15556
30 year2.50625

OIS

 Qtly Mny / AONIA
3 month1.45300
6 month1.37667
1 year1.26517
2 year1.20213
3 year1.19767
5 year1.33063
10 year1.71681
30 year2.06500

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.926251.96450
3 year1.921751.96100
5 year1.952001.99850
10 year2.174752.21100
30 year2.504252.52400

OIS

 Sml Mny / CORRA
3 month1.74633
6 month1.73967
1 year1.71100
2 year1.66100
3 year1.63058
5 year1.65642
10 year1.85850
30 year2.16483

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.11333
3 year2.07250
5 year1.96833
10 year1.88500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.11973
3 year-0.03430
5 year0.17072
10 year0.68267

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.00000
3 year2.03250
5 year2.10000
10 year2.27000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.71000
3 year1.00750
5 year1.48000
10 year2.25000

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MXN

IRS

 28D Mny / 28D TIIE
2 year8.03375
3 year7.87063
5 year7.82438
10 year8.11750

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.79933
3 year1.86783
5 year1.97167
10 year2.16167

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.65275
3 year1.67415
5 year1.81090
10 year2.25875

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.83875
3 year1.90500
5 year2.08063
10 year2.43000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.11733
3 year0.21820
5 year0.44067
10 year0.93550
30 year1.44367

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.93000
3 year1.93900
5 year1.98900
10 year2.25250

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.12000
3 year7.18750
5 year7.41000
10 year7.96000

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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