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 year1.737211.845311.91084
3 year1.680951.783801.85197
5 year1.708081.806231.87853
10 year1.909112.003482.09348
30 year2.137472.243722.34647

OIS

 Anl Mny / FEDFUND
3 year1.56500
5 year1.58493
10 year1.77468
30 year1.99492

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.47340-0.40433-0.32440
3 year-0.44505-0.37557-0.29705
5 year-0.31333-0.24366-0.16833
10 year0.110550.178920.24655
30 year0.703300.752120.78630

OIS

 Anl Mny / EONIA
3 month-0.36800
6 month-0.39550
1 year-0.43100
2 year-0.46183

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.16250
3 year-0.18438
5 year-0.18375
10 year-0.06000
30 year0.28250

OIS

 Anl Mny / TONA
3 month-0.07815
6 month-0.08845
1 year-0.12188
2 year-0.16375
3 year-0.18625
5 year-0.18813
10 year-0.06750
30 year0.27563

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.721150.797720.86615
3 year0.726000.800470.86900
5 year0.769050.842300.91205
10 year0.904300.972451.04680
30 year1.081301.145551.22030

OIS

 Anl Mny / SONIA
3 month0.70950
6 month0.70438
1 year0.68828
2 year0.65655
3 year0.65307
5 year0.68730
10 year0.79945
30 year0.95855

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.82017-0.74767
3 year-0.79833-0.72333
5 year-0.68250-0.60500
10 year-0.25233-0.17733
30 year0.264130.33413

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AUD

IRS

 Sml Mny / 6M Bills
2 year*1.04216
3 year*1.05558
5 year1.26506
10 year1.63106
30 year2.03438

OIS

 Qtly Mny / AONIA
3 month1.06300
6 month0.95750
1 year0.83575
2 year0.75150
3 year0.75808
5 year0.87131
10 year1.24481
30 year1.65562

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.682941.71200
3 year1.640501.67300
5 year1.642191.68000
10 year1.845001.87250
30 year2.123442.14000

OIS

 Sml Mny / CORRA
3 month1.72600
6 month1.69400
1 year1.58050
2 year1.43400
3 year1.36050
5 year1.35500
10 year1.53542
30 year1.80167

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.94750
3 year1.83583
5 year1.69333
10 year1.63333

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.25205
3 year-0.22122
5 year-0.08830
10 year0.33073

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.86750
3 year1.79000
5 year1.78000
10 year1.91000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.59000
3 year0.78875
5 year1.16000
10 year1.90000

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.86250
3 year7.64950
5 year7.53750
10 year7.74750

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.73267
3 year1.71017
5 year1.69500
10 year1.83500

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.36838
3 year1.37773
5 year1.47705
10 year1.83500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.73000
3 year1.74250
5 year1.82438
10 year2.06688

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.05260
3 year-0.01100
5 year0.14150
10 year0.60050
30 year1.12067

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.61800
3 year1.60000
5 year1.63400
10 year1.87750

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.77000
3 year6.85500
5 year7.16750
10 year7.85250

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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