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 / 6M LIBOR
2 year0.312770.56852
3 year0.336530.54753
5 year0.428250.61888
10 year0.615950.81783
30 year0.736500.94838

OIS

 Anl Mny / FEDFUND
1 year0.06600
2 year0.08600

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.47198-0.39373-0.31898
3 year-0.45448-0.37748-0.30448
5 year-0.38590-0.31190-0.31898-0.24090
10 year-0.15203-0.08103-0.03103
30 year0.078730.133680.14273

OIS

 Anl Mny / EONIA
3 month-0.48500
6 month-0.49500
1 year-0.51700
2 year-0.51800

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.08062
3 year-0.08688
5 year-0.08406
10 year-0.01313
30 year0.14313

OIS

 Anl Mny / TONA
3 month-0.05750
6 month-0.06815
1 year-0.07688
2 year-0.07690
3 year-0.08000
5 year-0.07375
10 year0.00688
30 year0.18375

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.224650.379350.49365
3 year0.254400.390230.49340
5 year0.307430.426930.524430.52443
10 year0.391580.500080.594080.59408
30 year0.413570.509570.603570.60358

OIS

 Anl Mny / SONIA
3 month0.07503
6 month0.08055
1 year0.10015
2 year0.14605

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.70200-0.62200
3 year-0.68842-0.60842
5 year-0.54567-0.46567
10 year-0.26783-0.19033
30 year-0.18825-0.11575

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.36010
3 year*0.38950
5 year0.62781
10 year1.03650
30 year1.05500

OIS

 Qtly Mny / AONIA
3 month0.15090
6 month0.14750
1 year0.14000
2 year0.13700
3 year0.17450
5 year0.35844
10 year0.77650
30 year0.77000

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year0.704000.74300
3 year0.768500.80000
5 year0.885000.91300
10 year1.041751.05800
30 year1.384501.39350

OIS

 Sml Mny / CORRA
3 month0.22316
6 month0.21951
1 year0.20450
2 year0.29940
3 year0.41833
5 year0.57342
10 year0.72633
30 year1.06975

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.68167
3 year0.68833
5 year0.69000
10 year0.71167

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.04900
3 year-0.03600
5 year0.03100
10 year0.22535

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.06750
3 year1.04750
5 year1.06000
10 year1.11000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.41856
3 year0.48925
5 year0.72738
10 year1.31488

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MXN

IRS

 28D Mny / 28D TIIE
2 year5.81250
3 year5.95500
5 year6.44750
10 year6.98750

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year0.77175
3 year0.78700
5 year0.89817
10 year1.15583

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NZD

IRS

 Sml Mny / 3M Bills
2 year0.56500
3 year0.59000
5 year0.67725
10 year1.01000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year0.76125
3 year0.77750
5 year0.88500
10 year1.08625

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.16250
3 year0.18283
5 year0.24517
10 year0.44050
30 year0.56750

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.81000
3 year0.94250
5 year1.10000
10 year1.25000

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year5.36000
3 year5.83000
5 year7.13500
10 year9.22500

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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