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 year1.370581.506911.57112
3 year1.292831.414401.48198
5 year1.254761.365411.44063
10 year1.341741.442961.53996
30 year1.518551.620401.73040

OIS

 Anl Mny / FEDFUND
3 year1.15440
5 year1.11291
10 year1.19916
30 year1.38160

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.70225-0.62902-0.55825
3 year-0.70960-0.63622-0.56360
5 year-0.66610-0.59535-0.52210
10 year-0.40968-0.34309-0.27768
30 year0.047330.095590.12833

OIS

 Anl Mny / EONIA
3 month-0.47667
6 month-0.54400
1 year-0.62600
2 year-0.69917

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.20063
3 year-0.22219
5 year-0.23250
10 year-0.14688
30 year0.10000

OIS

 Anl Mny / TONA
3 month-0.10000
6 month-0.12968
1 year-0.16688
2 year-0.20875
3 year-0.23000
5 year-0.24125
10 year-0.15875
30 year0.08250

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.553200.640500.70120
3 year0.531920.615420.67693
5 year0.505500.586500.64950
10 year0.516300.588550.65755
30 year0.573850.644350.71635

OIS

 Anl Mny / SONIA
3 month0.69155
6 month0.63419
1 year0.55911
2 year0.49173
3 year0.46312
5 year0.42450
10 year0.41955
30 year0.47435

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-1.03983-0.95733
3 year-1.03283-0.95283
5 year-0.97850-0.89850
10 year-0.69100-0.61600
30 year-0.33075-0.25825

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.70406
3 year*0.70117
5 year0.82413
10 year1.07563
30 year1.46688

OIS

 Qtly Mny / AONIA
3 month0.88025
6 month0.74250
1 year0.59875
2 year0.49500
3 year0.46367
5 year0.50662
10 year0.75938
30 year1.14812

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.613501.64850
3 year1.558501.59200
5 year1.499751.53800
10 year1.540251.57150
30 year1.721251.73850

OIS

 Sml Mny / CORRA
3 month1.67700
6 month1.58467
1 year1.45700
2 year1.30580
3 year1.26742
5 year1.20800
10 year1.23983
30 year1.40308

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.70625
3 year1.49875
5 year1.20500
10 year1.01375

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.45515
3 year-0.46150
5 year-0.41895
10 year-0.17387

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.79000
3 year1.66000
5 year1.52000
10 year1.49000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.31750
3 year0.37000
5 year0.51750
10 year1.02000

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.13500
3 year6.91125
5 year6.81250
10 year6.96250

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.66417
3 year1.58125
5 year1.49100
10 year1.48167

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.94580
3 year0.92375
5 year0.96565
10 year1.23800

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.59438
3 year1.52750
5 year1.48875
10 year1.53875

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.19090
3 year-0.20183
5 year-0.13850
10 year0.16038
30 year0.57150

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.59500
3 year1.56900
5 year1.56000
10 year1.67600

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.64450
3 year6.74375
5 year7.01375
10 year7.70625

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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