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 year1.465671.582041.64905
3 year1.446421.556271.62142
5 year1.470861.575861.64754
10 year1.603431.706581.79108
30 year1.787311.895431.99043

OIS

 Anl Mny / FEDFUND
3 year1.32627
5 year1.35086
10 year1.48658
30 year1.67543

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.45098-0.39738-0.32398
3 year-0.41743-0.36338-0.28743
5 year-0.31813-0.26453-0.32398-0.18613
10 year-0.006850.043680.11115
30 year0.452900.489250.517900.51790

OIS

 Anl Mny / EONIA
3 month-0.45000
6 month-0.46050
1 year-0.47000
2 year-0.46683

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.08813
3 year-0.09469
5 year-0.08563
10 year0.01625
30 year0.33250

OIS

 Anl Mny / TONA
3 month-0.06625
6 month-0.07970
1 year-0.08813
2 year-0.09250
3 year-0.10000
5 year-0.09188
10 year0.00625
30 year0.31000

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.655350.740050.81035
3 year0.673350.759320.82835
5 year0.718200.806200.87720
10 year0.820050.905050.98630
30 year0.918051.005551.09305

OIS

 Anl Mny / SONIA
3 month0.68014
6 month0.65745
1 year0.62906
2 year0.61195
3 year0.62162
5 year0.66020
10 year0.75105
30 year0.84255

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.73992-0.66492
3 year-0.70808-0.63558
5 year-0.61458-0.54458
10 year-0.30275-0.23525
30 year0.018750.08375

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.70331
3 year*0.73050
5 year0.93800
10 year1.26500
30 year1.61875

OIS

 Qtly Mny / AONIA
3 month0.69000
6 month0.59250
1 year0.49625
2 year0.46850
3 year0.51300
5 year0.62425
10 year0.97375
30 year1.31375

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.926751.95450
3 year1.926001.95500
5 year1.939001.97150
10 year2.011752.03800
30 year2.125502.13900

OIS

 Sml Mny / CORRA
3 month1.74200
6 month1.72000
1 year1.69800
2 year1.66600
3 year1.65250
5 year1.65525
10 year1.71425
30 year1.81233

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.16167
3 year2.07667
5 year1.90667
10 year1.56583

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.22200
3 year-0.18400
5 year-0.08900
10 year0.20913

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.93750
3 year1.89000
5 year1.84000
10 year1.89000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.37000
3 year0.47750
5 year0.70500
10 year1.28375

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MXN

IRS

 28D Mny / 28D TIIE
2 year6.71000
3 year6.63000
5 year6.65625
10 year6.87000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.99283
3 year1.96833
5 year1.94433
10 year1.96533

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.20075
3 year1.21985
5 year1.30185
10 year1.61263

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.68500
3 year1.64750
5 year1.65625
10 year1.71375

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.19077
3 year0.22710
5 year0.32417
10 year0.59575
30 year0.89450

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.38200
3 year1.39300
5 year1.46950
10 year1.66400

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.66000
3 year6.77000
5 year7.08500
10 year7.82500

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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