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 year0.215900.280300.31158
3 year0.384220.465400.50940
5 year0.797330.901100.99105
10 year1.437121.558391.68214
30 year1.853231.985682.13193

OIS

 Anl Mny / FEDFUND
3 month0.22363
6 month0.18825
1 year0.09100
2 year0.14600
3 year0.30100
5 year0.71400
10 year1.35950
30 year1.78950

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.55500-0.53362-0.49350
3 year-0.51800-0.49453-0.44700
5 year-0.37875-0.36010-0.49350-0.30475
10 year0.014500.028300.080500.08050
30 year0.475500.475900.49150

OIS

 Anl Mny / EONIA
3 month-0.48600
6 month-0.48800
1 year-0.49100
2 year-0.49150
3 year-0.46450
5 year-0.35335
10 year0.00455
30 year0.43950

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JPY

IRS

 Sml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year-0.06531-0.02781
3 year-0.06469-0.02344
5 year-0.040000.00375
10 year0.082810.13031
30 year0.495310.54406

OIS

 Anl Mny / TONA
3 month-0.02190
6 month-0.02783
1 year-0.03813
2 year-0.05375
3 year-0.05938
5 year-0.04125
10 year0.07625
30 year0.48563

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.124700.188800.27220
3 year0.233650.303250.41115
5 year0.442630.518380.64638
10 year0.769150.850650.992650.99265
30 year0.931801.016051.16805

OIS

 Anl Mny / SONIA
3 month0.04895
6 month0.04910
1 year0.05379
2 year0.10245
3 year0.20700
5 year0.41200
10 year0.73800
30 year0.90000

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.70875-0.64875
3 year-0.64375-0.57875
5 year-0.46938-0.40188
10 year-0.033130.03688
30 year0.245630.31563

OIS

 Anl Mny / SONIA
3 month-0.73000
6 month-0.72750
1 year-0.72500
2 year-0.69500

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.16751
3 year*0.32300
5 year0.82119
10 year1.70213
30 year2.19750

OIS

 Qtly Mny / AONIA
3 month0.03250
6 month0.03380
1 year0.04940
2 year0.11500
3 year0.23800
5 year0.65244
10 year1.49025
30 year1.85250

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.605500.61550
3 year0.886660.89400
5 year1.369911.37350
10 year1.986881.98250
30 year2.467862.45350

OIS

 Sml Mny / CORRA
3 month0.18998
6 month0.20197
1 year0.22797
2 year0.35450
3 year0.63650
5 year1.11350
10 year1.72000
30 year2.19600

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.92375
3 year1.19625
5 year1.49438
10 year1.67438

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.14400
3 year-0.12300
5 year-0.00650
10 year0.34900

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.30000
3 year0.46750
5 year0.84750
10 year1.43000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year1.31000
3 year1.54000
5 year1.89750
10 year2.40250

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MXN

IRS

 28D Mny / 28D TIIE
2 year4.85000
3 year5.21500
5 year5.76000
10 year6.58000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.81950
3 year1.05233
5 year1.34483
10 year1.72550

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.45500
3 year0.63000
5 year1.06800
10 year1.83500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.53313
3 year0.79000
5 year1.24500
10 year1.74500

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.01083
3 year0.09300
5 year0.31792
10 year0.77350
30 year1.14217

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.39000
3 year0.58150
5 year0.94400
10 year1.51250

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year4.18000
3 year4.62000
5 year5.60000
10 year7.26500

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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