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 year2.689502.803252.89575
3 year2.751832.855582.94933
5 year2.793142.881892.98314
10 year2.865042.938043.06235
30 year2.856622.969623.10087

OIS

 Anl Mny / FEDFUND
3 month2.04194
6 month2.16406
1 year2.33698
2 year2.51682
3 year2.55928
5 year2.57439
10 year2.60554
30 year2.57582

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.26325-0.20018-0.15125
3 year-0.13803-0.07171-0.01703
5 year0.132450.205320.27045
10 year0.736880.811940.87988
30 year1.381121.438621.47613

OIS

 Anl Mny / EONIA
3 month-0.35700
6 month-0.35600
1 year-0.35250
2 year-0.27950
3 year-0.16471
5 year0.09398
10 year0.68611
30 year1.32704

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.01125
3 year0.03563
5 year0.09312
10 year0.27563
30 year0.83062

OIS

 Anl Mny / TONA
3 month-0.05593
6 month-0.05065
1 year-0.04000
2 year-0.02500
3 year-0.00563
5 year0.04313
10 year0.20688
30 year0.74500

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.936251.011351.07725
3 year1.032201.106901.17620
5 year1.173751.239751.32475
10 year1.392701.448951.53670
30 year1.516951.565701.63295

OIS

 Anl Mny / SONIA
3 month0.706000.70610
6 month0.711700.71200
1 year0.752800.75410
2 year0.846300.85140
3 year0.926800.94070
5 year1.037251.07385
10 year1.212951.29835
30 year1.300701.38610

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.64500-0.54500
3 year-0.50933-0.39933
5 year-0.25183-0.12933
10 year0.285830.41083
30 year0.916250.98125

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.03816
3 year*2.10933
5 year2.43631
10 year2.79006
30 year2.95813

OIS

 Qtly Mny / AONIA
3 month1.49600
6 month1.50510
1 year1.52208
2 year1.59350
3 year1.67433
5 year1.87256
10 year2.25881
30 year2.41938

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.422382.45550
3 year2.493542.52750
5 year2.553752.59150
10 year2.646632.68350
30 year2.747752.77100

OIS

 Sml Mny / CORRA
3 month1.58067
6 month1.69733
1 year1.88350
2 year2.07900
3 year2.13167
5 year2.18483
10 year2.27267
30 year2.35558

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.91917
3 year2.02167
5 year2.12583
10 year2.19500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.02688
3 year0.10945
5 year0.39878
10 year1.01180

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.44000
3 year2.55000
5 year2.65000
10 year2.76500

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year1.15000
3 year1.51750
5 year2.10000
10 year2.92500

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MXN

IRS

 28D Mny / 28D TIIE
2 year8.07000
3 year7.95500
5 year7.94250
10 year8.17500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.45175
3 year1.59375
5 year1.81875
10 year2.15375

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.04195
3 year2.13770
5 year2.38025
10 year2.89775

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.92563
3 year2.10563
5 year2.43375
10 year2.90875

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.13950
3 year0.05350
5 year0.42250
10 year1.12600
30 year1.70600

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.95950
3 year2.06500
5 year2.21600
10 year2.52150

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.44000
3 year7.61250
5 year7.89250
10 year8.37000

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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