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.

Jump to a currency

Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 3M LIBORAnl Mny / 6M LIBOR
2 year0.134590.196610.23175
3 year0.200100.269380.31587
5 year0.436790.525540.60491
10 year0.994881.099881.21051
30 year1.480541.600541.73679

OIS

 Anl Mny / FEDFUND
3 month0.24813
6 month0.22338
1 year0.07300
2 year0.08000
3 year0.12750
5 year0.35400
10 year0.91250
30 year1.41500

Back to top

EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.58200-0.56185-0.53300
3 year-0.56975-0.54698-0.51675
5 year-0.51350-0.48810-0.53300-0.45650
10 year-0.28500-0.26055-0.23400
30 year0.014500.034400.031500.03150

OIS

 Anl Mny / EONIA
3 month-0.48400
6 month-0.49200
1 year-0.50600
2 year-0.52000
3 year-0.51600
5 year-0.47585
10 year-0.27190
30 year0.01550

Back to top

JPY

IRS

 Sml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year-0.09563-0.05625
3 year-0.10000-0.05500
5 year-0.08750-0.04000
10 year-0.002190.05031
30 year0.370630.42313

OIS

 Anl Mny / TONA
3 month-0.03875
6 month-0.04563
1 year-0.05500
2 year-0.08375
3 year-0.09500
5 year-0.08563
10 year-0.00375
30 year0.37125

Back to top

GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year-0.04395-0.001950.07805
3 year-0.021250.031750.136750.13675
5 year0.064950.127950.25395
10 year0.279930.348930.492430.49243
30 year0.472430.547180.70118

OIS

 Anl Mny / SONIA
3 month0.03381
6 month0.01350
1 year-0.02235
2 year-0.05269
3 year-0.04200
5 year0.03600
10 year0.24300
30 year0.43100

Back to top

CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.77250-0.71250
3 year-0.73500-0.67250
5 year-0.62063-0.55313
10 year-0.33313-0.26313
30 year-0.19313-0.12313

OIS

 Anl Mny / SONIA
3 month-0.74500
6 month-0.74750
1 year-0.75250
2 year-0.74750

Back to top

AUD

IRS

 Sml Mny / 6M Bills
2 year*0.07275
3 year*0.14800
5 year0.42100
10 year1.07500
30 year1.67438

OIS

 Qtly Mny / AONIA
3 month0.03275
6 month0.03400
1 year0.03850
2 year0.06200
3 year0.12050
5 year0.33350
10 year0.92500
30 year1.39688

* Quoted Qtly Mny / 3M Bills

Back to top

CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.457000.46800
3 year0.582250.58550
5 year0.867500.85700
10 year1.354191.33450
30 year1.850251.82550

OIS

 Sml Mny / CORRA
3 month0.17867
6 month0.17500
1 year0.17500
2 year0.20560
3 year0.31842
5 year0.58700
10 year1.06408
30 year1.55467

Back to top

CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.58250
3 year0.74625
5 year0.97750
10 year1.21833

Back to top

DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.18025
3 year-0.18610
5 year-0.16900
10 year-0.00100

Back to top

HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.29000
3 year0.34000
5 year0.54000
10 year0.98000

Back to top

HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.90000
3 year1.03250
5 year1.29000
10 year1.79750

Back to top

MXN

IRS

 28D Mny / 28D TIIE
2 year4.23125
3 year4.37125
5 year4.72000
10 year5.45000

Back to top

NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.64250
3 year0.77483
5 year1.01267
10 year1.35683

Back to top

NZD

IRS

 Sml Mny / 3M Bills
2 year0.28300
3 year0.36000
5 year0.58000
10 year1.08500

Back to top

PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.23000
3 year0.34000
5 year0.65313
10 year1.17875

Back to top

SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.01725
3 year0.02500
5 year0.13083
10 year0.41150
30 year0.65358

Back to top

SGD

IRS

 Sml Bnd / 6M SOR
2 year0.22125
3 year0.29150
5 year0.52000
10 year0.99625

Back to top

ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year3.70500
3 year4.04500
5 year4.88000
10 year6.75500

Back to top

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