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 year4.474084.595984.70348
3 year4.298464.427664.55206
5 year4.081504.215254.35400
10 year3.815193.953944.10394
30 year3.239343.381843.53809

OIS

 Anl Mny / FEDFUND
3 month4.20814
6 month3.64186
1 year4.34815
2 year4.34350
3 year4.17150
5 year3.95320
10 year3.68100
30 year3.10000

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year2.911503.006003.065003.06500
3 year2.978503.069503.13150
5 year3.018003.095003.065003.14800
10 year3.142503.152003.15150
30 year2.552002.451002.363502.36350

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JPY

OIS

 Anl Mny / TONA
3 month-0.03375
6 month-0.00656
1 year0.04938
2 year0.13000
3 year0.19500
5 year0.30188
10 year0.58000
30 year1.19688

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GBP

OIS

 Anl Mny / SONIA
3 month3.33500
3 year5.65500
5 year5.27900
10 year4.66500
30 year4.30140

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CHF

OIS

 Anl Mny / SONIA
3 month0.57083
6 month0.95350
1 year1.38000
2 year1.64015

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.13813
3 year*4.11813
5 year4.33167
10 year4.46458
30 year3.96250

OIS

 Qtly Mny / AONIA
3 month2.96100
6 month3.26000
1 year3.80150
2 year4.02890
3 year3.90812
5 year3.94917
10 year4.09333
30 year3.52250

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.232254.33100
3 year4.024634.09900
5 year3.733253.78450
10 year3.706003.74600
30 year3.482923.51500

OIS

 Sml Mny / CORRA
3 month3.63933
6 month3.86933
1 year4.04400
2 year3.92300
3 year3.71400
5 year3.42700
10 year3.40100
30 year3.18250

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year6.74000
3 year6.06250
5 year5.54438
10 year5.08500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.33100
3 year3.38950
5 year3.38150
10 year3.38850

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.50000
3 year4.40000
5 year4.24000
10 year3.98000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year12.97600
3 year12.05600
5 year10.62600
10 year9.57600

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.22500
3 year9.77000
5 year9.46000
10 year9.35500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year3.79083
3 year3.77400
5 year3.66433
10 year3.64250

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NZD

IRS

 Sml Mny / 3M Bills
2 year4.74000
3 year4.67700
5 year4.56000
10 year4.51000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year7.42750
3 year7.10250
5 year6.84500
10 year6.70750

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.45133
3 year3.49067
5 year3.37450
10 year3.18850
30 year2.76233

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SGD

IRS

 Sml Bnd / 6M SOR
2 year3.90000
3 year3.86500
5 year3.76000
10 year3.54000

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.18125
3 year8.39088
5 year8.80750
10 year9.63875

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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