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.

Jump to a currency

Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 3M LIBORAnl Mny / 6M LIBOR
2 year0.225150.263900.29330
3 year0.399800.471050.54298
5 year0.695100.792600.89910
10 year1.150261.267761.40026
30 year1.521011.654761.80570

OIS

 Anl Mny / FEDFUND
3 month0.15313
6 month0.11775
1 year0.09000
2 year0.18300
3 year0.33500
5 year0.61400
10 year1.05700
30 year1.43700

Back to top

EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.54300-0.52018-0.49275
3 year-0.51250-0.48467-0.45400
5 year-0.42350-0.39722-0.49275-0.36325
10 year-0.11900-0.09585-0.06975
30 year0.266500.269750.262000.26200

OIS

 Anl Mny / EONIA
3 month-0.46212
6 month-0.48024
1 year-0.48899
2 year-0.49339
3 year-0.47863
5 year-0.41227
10 year-0.14084
30 year0.22167

Back to top

JPY

IRS

 Sml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year-0.07094-0.02781
3 year-0.07266-0.02766
5 year-0.07344-0.02656
10 year-0.006250.04250
30 year0.395000.44375

OIS

 Anl Mny / TONA
3 month-0.04438
6 month-0.04813
1 year-0.05438
2 year-0.06688
3 year-0.07313
5 year-0.07750
10 year-0.01188
30 year0.38688

Back to top

GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.242300.311800.42980
3 year0.332550.409050.54105
5 year0.446580.527080.66908
10 year0.599350.682850.832850.83285
30 year0.655280.741280.89628

OIS

 Anl Mny / SONIA
3 month0.05272
6 month0.05683
1 year0.09858
2 year0.21673
3 year0.30600
5 year0.41800
10 year0.56900
30 year0.62400

Back to top

CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.72755-0.66625
3 year-0.67500-0.61000
5 year-0.54438-0.47688
10 year-0.19375-0.12375
30 year0.013130.08313

OIS

 Anl Mny / SONIA
3 month-0.74000
6 month-0.74000
1 year-0.73875
2 year-0.71500

Back to top

AUD

IRS

 Sml Mny / 6M Bills
2 year*0.19842
3 year*0.36250
5 year0.71188
10 year1.30450
30 year1.68375

OIS

 Qtly Mny / AONIA
3 month0.02825
6 month0.02850
1 year0.04500
2 year0.15630
3 year0.28875
5 year0.54813
10 year1.08700
30 year1.36750

* Quoted Qtly Mny / 3M Bills

Back to top

CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.772440.78400
3 year0.991281.00050
5 year1.262161.26700
10 year1.662751.66400
30 year2.172692.16300

OIS

 Sml Mny / CORRA
3 month0.19400
6 month0.20167
1 year0.26650
2 year0.52800
3 year0.73050
5 year0.99700
10 year1.39400
30 year1.89300

Back to top

CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.74063
3 year1.84500
5 year1.86500
10 year1.72750

Back to top

DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.13155
3 year-0.10535
5 year-0.02965
10 year0.23900

Back to top

HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.26000
3 year0.42250
5 year0.71000
10 year1.17250

Back to top

HUF

IRS

 Anl Bnd / 6M BUBOR
2 year2.18000
3 year2.33500
5 year2.48500
10 year2.66750

Back to top

MXN

IRS

 28D Mny / 28D TIIE
2 year5.88000
3 year6.13000
5 year6.40250
10 year6.86000

Back to top

NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.99700
3 year1.15750
5 year1.30988
10 year1.48750

Back to top

NZD

IRS

 Sml Mny / 3M Bills
2 year1.04900
3 year1.21150
5 year1.43900
10 year1.80000

Back to top

PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.76500
3 year1.03250
5 year1.37563
10 year1.69625

Back to top

SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.02325
3 year0.08425
5 year0.22733
10 year0.55750
30 year0.88900

Back to top

SGD

IRS

 Sml Bnd / 6M SOR
2 year0.35250
3 year0.57000
5 year0.81275
10 year1.23000

Back to top

ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year4.49000
3 year4.95000
5 year5.72500
10 year7.15000

Back to top

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