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 year2.967633.090753.15950
3 year3.041083.153583.22608
5 year3.071513.175883.26213
10 year3.149013.245033.34877
30 year3.162873.280873.39212

OIS

 Anl Mny / FEDFUND
3 month2.27950
6 month2.38650
1 year2.58125
2 year2.75988
3 year2.81358
5 year2.82838
10 year2.88623
30 year2.90207

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.22155-0.16387-0.11655
3 year-0.061350.000870.05065
5 year0.257850.325270.37985
10 year0.870350.937930.99335
30 year1.453101.504951.54010

OIS

 Anl Mny / EONIA
3 month-0.35850
6 month-0.35600
1 year-0.34017
2 year-0.23250
3 year-0.07313
5 year0.23727
10 year0.83893
30 year1.42095

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.01000
3 year0.03750
5 year0.09688
10 year0.29500
30 year0.88500

OIS

 Anl Mny / TONA
3 month-0.05750
6 month-0.04970
1 year-0.03625
2 year-0.01750
3 year0.00250
5 year0.05500
10 year0.24625
30 year0.82750

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year1.015151.083681.14715
3 year1.142051.203821.26905
5 year1.306751.370751.44075
10 year1.533401.596151.67240
30 year1.658151.718151.78315

OIS

 Anl Mny / SONIA
3 month0.708400.70860
6 month0.740410.74076
1 year0.813100.81463
2 year0.945080.95122
3 year1.045021.05854
5 year1.189751.22540
10 year1.388151.49232
30 year1.496151.60032

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.59950-0.50700
3 year-0.44383-0.34633
5 year-0.14700-0.04200
10 year0.419830.52733
30 year0.998001.06300

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.06090
3 year*2.15838
5 year2.50788
10 year2.87456
30 year3.08750

OIS

 Qtly Mny / AONIA
3 month1.49800
6 month1.50638
1 year1.54283
2 year1.64475
3 year1.74463
5 year1.95350
10 year2.34456
30 year2.56125

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.576002.62150
3 year2.655002.70150
5 year2.723502.77350
10 year2.862062.90050
30 year2.965252.99000

OIS

 Sml Mny / CORRA
3 month1.78967
6 month1.89517
1 year2.07800
2 year2.25295
3 year2.32025
5 year2.38225
10 year2.50133
30 year2.58167

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.38750
3 year2.50250
5 year2.63500
10 year2.65417

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year0.00580
3 year0.17615
5 year0.51010
10 year1.12313

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.77000
3 year2.87500
5 year2.98000
10 year3.09000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year1.29000
3 year1.78750
5 year2.47000
10 year3.35750

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MXN

IRS

 28D Mny / 28D TIIE
2 year8.24000
3 year8.19500
5 year8.19000
10 year8.43250

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.59150
3 year1.78250
5 year2.03317
10 year2.36650

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.03060
3 year2.13760
5 year2.38530
10 year2.89250

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year2.05313
3 year2.28500
5 year2.61438
10 year3.04750

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.03500
3 year0.26387
5 year0.66250
10 year1.32250
30 year1.85167

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SGD

IRS

 Sml Bnd / 6M SOR
2 year2.19275
3 year2.30000
5 year2.43650
10 year2.72625

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.55750
3 year7.76000
5 year8.08000
10 year8.63000

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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