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 year1.490291.619721.69121
3 year1.445641.566011.63517
5 year1.433191.548191.62269
10 year1.544661.657161.74166
30 year1.734981.843731.94373

OIS

 Anl Mny / FEDFUND
3 year1.31971
5 year1.30689
10 year1.42086
30 year1.61493

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.50693-0.45548-0.37893
3 year-0.48935-0.43647-0.35935
5 year-0.41093-0.35694-0.37893-0.28093
10 year-0.11400-0.059370.00800
30 year0.358000.397430.42500

OIS

 Anl Mny / EONIA
3 month-0.45733
6 month-0.47050
1 year-0.49950
2 year-0.51933

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.17688
3 year-0.18750
5 year-0.18016
10 year-0.06281
30 year0.24875

OIS

 Anl Mny / TONA
3 month-0.10750
6 month-0.13253
1 year-0.16438
2 year-0.18125
3 year-0.19250
5 year-0.18563
10 year-0.07250
30 year0.24000

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.624900.710900.785900.78590
3 year0.621400.707870.782400.78240
5 year0.627550.711800.79255
10 year0.697800.779550.87030
30 year0.811800.880550.974300.97430

OIS

 Anl Mny / SONIA
3 month0.68781
6 month0.65735
1 year0.61406
2 year0.57235
3 year0.55727
5 year0.55280
10 year0.61455
30 year0.71355

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.78563-0.71563
3 year-0.75150-0.68150
5 year-0.63275-0.56775
10 year-0.29975-0.23725
30 year0.060000.12000

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.79074
3 year*0.80871
5 year0.98844
10 year1.29294
30 year1.64575

OIS

 Qtly Mny / AONIA
3 month0.66150
6 month0.58750
1 year0.53517
2 year0.52333
3 year0.56871
5 year0.65906
10 year0.97106
30 year1.32575

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.908751.94050
3 year1.892751.92300
5 year1.871751.90500
10 year1.921001.94600
30 year2.020252.03450

OIS

 Sml Mny / CORRA
3 month1.73500
6 month1.72333
1 year1.70850
2 year1.64000
3 year1.60592
5 year1.57667
10 year1.61475
30 year1.69950

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.17083
3 year2.05167
5 year1.82000
10 year1.44500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.29960
3 year-0.27500
5 year-0.19150
10 year0.10048

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.82250
3 year1.77750
5 year1.74750
10 year1.79750

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.38250
3 year0.50375
5 year0.74250
10 year1.31250

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MXN

IRS

 28D Mny / 28D TIIE
2 year6.59250
3 year6.48500
5 year6.50750
10 year6.76125

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.88183
3 year1.83183
5 year1.78750
10 year1.80792

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.91683
3 year0.91828
5 year0.99398
10 year1.32275

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.74750
3 year1.73750
5 year1.75750
10 year1.77000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.00298
3 year0.01528
5 year0.10300
10 year0.41475
30 year0.82100

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.50750
3 year1.50800
5 year1.56250
10 year1.71750

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.53000
3 year6.62125
5 year6.87250
10 year7.57375

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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