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 year2.162662.255162.34766
3 year2.296972.383222.47822
5 year2.435902.514032.61153
10 year2.623192.688692.80806
30 year2.705852.793352.92085

OIS

 Anl Mny / FEDFUND
3 month1.49756
6 month1.60900
1 year1.78299
2 year2.00212
3 year2.11942
5 year2.23273
10 year2.36739
30 year2.42955

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.24535-0.19633-0.13735
3 year-0.08430-0.026890.03970
5 year0.225050.293710.37405
10 year0.814320.884820.96833
30 year1.464321.507321.55133

OIS

 Anl Mny / EONIA
3 month-0.35150
6 month-0.35000
1 year-0.34283
2 year-0.24000
3 year-0.08389
5 year0.22296
10 year0.80249
30 year1.44141

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.02750
3 year0.04750
5 year0.09747
10 year0.29624
30 year0.91692

OIS

 Anl Mny / TONA
3 month-0.04813
6 month-0.04125
1 year-0.03267
2 year-0.01840
3 year0.00164
5 year0.04342
10 year0.18743
30 year0.72611

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.806000.832000.87600
3 year0.921400.951131.00540
5 year1.076251.116251.18425
10 year1.320201.359701.43520
30 year1.494651.521651.57840

OIS

 Anl Mny / SONIA
3 month0.47113
6 month0.51333
1 year0.61010
2 year0.75710
3 year0.85513
5 year0.99225
10 year1.18570
30 year1.32565

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.55433-0.45933
3 year-0.40217-0.29717
5 year-0.15967-0.03217
10 year0.242500.39500
30 year0.775750.84825

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.09808
3 year*2.27695
5 year2.67275
10 year3.02758
30 year3.30875

OIS

 Qtly Mny / AONIA
3 month1.50407
6 month1.53839
1 year1.63969
2 year1.86013
3 year2.01695
5 year2.28192
10 year2.65300
30 year2.96375

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.137962.16650
3 year2.254152.28800
5 year2.365792.41350
10 year2.531312.58100
30 year2.626002.65450

OIS

 Sml Mny / CORRA
3 month1.28633
6 month1.38533
1 year1.56600
2 year1.78280
3 year1.91342
5 year2.04267
10 year2.20808
30 year2.28200

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.36333
3 year1.55083
5 year1.75500
10 year1.92500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.01745
3 year0.16728
5 year0.51218
10 year1.13033

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.86000
3 year2.05000
5 year2.28000
10 year2.52000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.28250
3 year0.50500
5 year0.93000
10 year1.75750

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.86833
3 year7.74250
5 year7.68833
10 year7.89833

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.18650
3 year1.37167
5 year1.65583
10 year2.06500

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.25540
3 year2.46683
5 year2.78228
10 year3.28750

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.98375
3 year2.17000
5 year2.48563
10 year2.92563

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.08983
3 year0.15800
5 year0.60400
10 year1.33500
30 year2.01933

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.54500
3 year1.70750
5 year1.95875
10 year2.34800

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.87624
3 year6.98983
5 year7.24000
10 year7.78000

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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