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 year4.601764.752264.89906
3 year4.183704.332904.48530
5 year3.827753.979004.13775
10 year3.654863.804863.96736
30 year3.392473.539983.70373

OIS

 Anl Mny / FEDFUND
3 month5.64357
6 month5.50986
1 year5.12000
2 year4.45000
3 year4.03700
5 year3.67800
10 year3.50100
30 year3.22565

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.479273.537003.62300
3 year3.251673.308003.39000
5 year3.020133.064303.13680
10 year3.004143.027003.05600
30 year2.821892.762002.69650

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JPY

OIS

 Anl Mny / TONA
3 month-0.04125
6 month-0.02875
1 year0.00500
2 year0.07875
3 year0.14875
5 year0.27250
10 year0.61188
30 year1.04750

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GBP

OIS

 Anl Mny / SONIA
3 month4.80647
3 year4.99400
5 year4.60200
10 year4.17200
30 year3.89020

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CHF

OIS

 Anl Mny / SONIA
3 month1.69687
6 month1.78400
1 year1.88500
2 year1.87525

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.20560
3 year*4.05125
5 year4.10000
10 year4.30033
30 year4.12688

OIS

 Qtly Mny / AONIA
3 month4.18700
6 month4.30900
1 year4.35150
2 year4.11280
3 year3.88000
5 year3.78875
10 year3.99033
30 year3.75562

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year5.100505.13300
3 year4.669004.69900
5 year4.101724.13050
10 year3.905503.93300
30 year3.726003.75100

OIS

 Sml Mny / CORRA
3 month4.88833
6 month5.03330
1 year5.15500
2 year4.75300
3 year4.34050
5 year3.78600
10 year3.59950
30 year3.42350

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year5.88500
3 year5.22250
5 year4.64250
10 year4.34500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.72540
3 year3.51240
5 year3.26830
10 year3.16900

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.18000
3 year3.95500
5 year3.78000
10 year3.67000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year11.65000
3 year10.10000
5 year8.61500
10 year7.74500

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MXN

IRS

 28D Mny / 28D TIIE
2 year9.86000
3 year9.15000
5 year8.60500
10 year8.41250

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.29883
3 year4.05333
5 year3.79333
10 year3.56900

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NZD

IRS

 Sml Mny / 3M Bills
2 year5.29250
3 year4.89000
5 year4.51750
10 year4.40300

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.98750
3 year5.54250
5 year5.24875
10 year5.30875

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.68467
3 year3.42733
5 year3.15017
10 year2.98900
30 year2.66400

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SGD

IRS

 Sml Bnd / 6M SOR
2 year3.69250
3 year3.45500
5 year3.32650
10 year3.25650

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.81023
3 year8.80963
5 year9.07843
10 year10.00500

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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