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 year0.574260.630610.65432
3 year0.862230.944081.01308
5 year1.181291.285041.39004
10 year1.550181.668931.80018
30 year1.744101.876602.02910

OIS

 Anl Mny / FEDFUND
3 month0.17200
6 month0.12488
1 year0.19000
2 year0.50600
3 year0.77250
5 year1.08300
10 year1.43050
30 year1.62000

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.38500-0.36035-0.33150
3 year-0.25600-0.23127-0.19650
5 year-0.08450-0.05535-0.33150-0.01550
10 year0.235750.259750.290250.29025
30 year0.454750.458950.45425

OIS

 Anl Mny / EONIA
3 month-0.48612
6 month-0.48209
1 year-0.45971
2 year-0.35602
3 year-0.24973
5 year-0.09886
10 year0.19359
30 year0.39987

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JPY

IRS

 Sml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year-0.020000.01500
3 year-0.013750.03000
5 year0.007810.05281
10 year0.109530.15766
30 year0.545000.59375

OIS

 Anl Mny / TONA
3 month-0.02844
6 month-0.02688
1 year-0.02438
2 year-0.02000
3 year-0.01313
5 year0.00625
10 year0.10563
30 year0.53875

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.929051.002551.111551.11155
3 year1.009701.086651.21120
5 year1.036801.117801.255301.25530
10 year1.095131.177131.327131.32713
30 year1.033901.119901.273401.27340

OIS

 Anl Mny / SONIA
3 month0.25264
6 month0.42399
1 year0.67315
2 year0.91310
3 year0.98500
5 year1.01200
10 year1.06800
30 year1.00400

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.57588-0.51788
3 year-0.44388-0.37788
5 year-0.20787-0.13888
10 year0.167250.23725
30 year0.250630.32063

OIS

 Anl Mny / SONIA
3 month-0.72000
6 month-0.71750
1 year-0.69000
2 year-0.56625

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.62953
3 year*0.96271
5 year1.42350
10 year1.93444
30 year2.14688

OIS

 Qtly Mny / AONIA
3 month0.03315
6 month0.05750
1 year0.16400
2 year0.53140
3 year0.83146
5 year1.19850
10 year1.66944
30 year1.77313

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.243091.26950
3 year1.496251.52000
5 year1.746911.77300
10 year2.078122.09500
30 year2.404312.40650

OIS

 Sml Mny / CORRA
3 month0.21154
6 month0.28986
1 year0.53250
2 year0.98800
3 year1.23000
5 year1.47925
10 year1.80250
30 year2.12025

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year3.25375
3 year3.20313
5 year3.07375
10 year2.71875

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.03950
3 year0.08730
5 year0.26275
10 year0.55150

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.64000
3 year0.96000
5 year1.35000
10 year1.76000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year3.28000
3 year3.47750
5 year3.63250
10 year3.83838

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.03000
3 year7.26000
5 year7.48000
10 year7.73000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.51217
3 year1.70217
5 year1.85133
10 year1.97242

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.98500
3 year2.21000
5 year2.38250
10 year2.59100

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year2.16688
3 year2.37563
5 year2.55500
10 year2.74500

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.19700
3 year0.36592
5 year0.63642
10 year0.99050
30 year1.23717

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.70000
3 year1.04500
5 year1.47500
10 year1.88250

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year5.29000
3 year5.87000
5 year6.67000
10 year7.86000

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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