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 LIBOR | Anl Mny / 3M LIBOR | Anl Mny / 6M LIBOR | |
|---|---|---|---|
| 2 year | 4.60176 | 4.75226 | 4.89906 |
| 3 year | 4.18370 | 4.33290 | 4.48530 |
| 5 year | 3.82775 | 3.97900 | 4.13775 |
| 10 year | 3.65486 | 3.80486 | 3.96736 |
| 30 year | 3.39247 | 3.53998 | 3.70373 |
OIS
| Anl Mny / FEDFUND | |
|---|---|
| 3 month | 5.64357 |
| 6 month | 5.50986 |
| 1 year | 5.12000 |
| 2 year | 4.45000 |
| 3 year | 4.03700 |
| 5 year | 3.67800 |
| 10 year | 3.50100 |
| 30 year | 3.22565 |
EUR
IRS
| Anl Bnd / 1MEURIBOR | Anl Bnd / 3MEURIBOR | Anl Bnd / 6MEURIBOR | |
|---|---|---|---|
| 2 year | 3.47927 | 3.53700 | 3.62300 |
| 3 year | 3.25167 | 3.30800 | 3.39000 |
| 5 year | 3.02013 | 3.06430 | 3.13680 |
| 10 year | 3.00414 | 3.02700 | 3.05600 |
| 30 year | 2.82189 | 2.76200 | 2.69650 |
JPY
OIS
| Anl Mny / TONA | |
|---|---|
| 3 month | -0.04125 |
| 6 month | -0.02875 |
| 1 year | 0.00500 |
| 2 year | 0.07875 |
| 3 year | 0.14875 |
| 5 year | 0.27250 |
| 10 year | 0.61188 |
| 30 year | 1.04750 |
GBP
OIS
| Anl Mny / SONIA | |
|---|---|
| 3 month | 4.80647 |
| 3 year | 4.99400 |
| 5 year | 4.60200 |
| 10 year | 4.17200 |
| 30 year | 3.89020 |
AUD
IRS
| Sml Mny / 6M Bills | |
|---|---|
| 2 year* | 4.20560 |
| 3 year* | 4.05125 |
| 5 year | 4.10000 |
| 10 year | 4.30033 |
| 30 year | 4.12688 |
OIS
| Qtly Mny / AONIA | |
|---|---|
| 3 month | 4.18700 |
| 6 month | 4.30900 |
| 1 year | 4.35150 |
| 2 year | 4.11280 |
| 3 year | 3.88000 |
| 5 year | 3.78875 |
| 10 year | 3.99033 |
| 30 year | 3.75562 |
* Quoted Qtly Mny / 3M Bills
CAD
IRS
| Sml Mny / 1M CADOR | Sml Mny / 3M CADOR | |
|---|---|---|
| 2 year | 5.10050 | 5.13300 |
| 3 year | 4.66900 | 4.69900 |
| 5 year | 4.10172 | 4.13050 |
| 10 year | 3.90550 | 3.93300 |
| 30 year | 3.72600 | 3.75100 |
OIS
| Sml Mny / CORRA | |
|---|---|
| 3 month | 4.88833 |
| 6 month | 5.03330 |
| 1 year | 5.15500 |
| 2 year | 4.75300 |
| 3 year | 4.34050 |
| 5 year | 3.78600 |
| 10 year | 3.59950 |
| 30 year | 3.42350 |
SEK
IRS
| Anl Bnd / 3M STIBOR | |
|---|---|
| 2 year | 3.68467 |
| 3 year | 3.42733 |
| 5 year | 3.15017 |
| 10 year | 2.98900 |
| 30 year | 2.66400 |
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 |