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 / 6M LIBOR
2 year0.138500.32403
3 year0.144300.33789
5 year0.249330.45110
10 year0.564150.77880
30 year0.842451.06745

OIS

 Anl Mny / FEDFUND
1 year0.03400
2 year0.00600

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.53943-0.46616-0.37743
3 year-0.52785-0.45682-0.37585
5 year-0.46835-0.40133-0.37743-0.33035
10 year-0.25200-0.19330-0.14200
30 year0.009920.052920.059920.05993

OIS

 Anl Mny / EONIA
3 month-0.47450
6 month-0.48400
1 year-0.50100
2 year-0.52000

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.06688
3 year-0.07531
5 year-0.07719
10 year-0.00125
30 year0.27719

OIS

 Anl Mny / TONA
3 month-0.06000
6 month-0.06628
1 year-0.07563
2 year-0.08500
3 year-0.09563
5 year-0.10000
10 year-0.02688
30 year0.26063

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.031250.103980.191250.19125
3 year0.025650.104080.200650.20065
5 year0.069330.149330.255330.25533
10 year0.184400.269150.38540
30 year0.248100.330600.45410

OIS

 Anl Mny / SONIA
3 month0.05577
6 month0.04425
1 year0.01943
2 year-0.01283

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.70375-0.62875
3 year-0.67750-0.60250
5 year-0.58625-0.51125
10 year-0.33438-0.26438
30 year-0.25750-0.19000

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.18626
3 year*0.23579
5 year0.43544
10 year0.89194
30 year1.20938

OIS

 Qtly Mny / AONIA
3 month0.13775
6 month0.14130
1 year0.14225
2 year0.15100
3 year0.17954
5 year0.30419
10 year0.69319
30 year0.88063

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.546750.56700
3 year0.614500.62850
5 year0.752000.76150
10 year1.016061.01950
30 year1.369751.37050

OIS

 Sml Mny / CORRA
3 month0.23900
6 month0.23133
1 year0.22300
2 year0.24735
3 year0.32183
5 year0.47233
10 year0.74408
30 year1.10800

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.34375
3 year0.38875
5 year0.49500
10 year0.71250

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.13150
3 year-0.13700
5 year-0.09770
10 year0.08013

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.72000
3 year0.72000
5 year0.78750
10 year1.03250

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.63750
3 year0.67250
5 year0.84500
10 year1.38500

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MXN

IRS

 28D Mny / 28D TIIE
2 year4.39125
3 year4.48125
5 year4.79000
10 year5.59875

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.48075
3 year0.54583
5 year0.70917
10 year0.97667

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.21000
3 year0.23000
5 year0.35500
10 year0.75500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.30375
3 year0.38625
5 year0.57938
10 year0.91938

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.03217
3 year-0.01167
5 year0.07433
10 year0.33000
30 year0.53650

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.31150
3 year0.37500
5 year0.54800
10 year0.88000

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year3.71000
3 year4.06000
5 year5.03000
10 year6.87500

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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