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 year2.792382.910583.00528
3 year2.794012.923513.04001
5 year2.765102.898853.03385
10 year2.771802.909303.05805
30 year2.653762.791262.95001

OIS

 Anl Mny / FEDFUND
3 month2.06186
6 month1.52386
1 year2.36500
2 year2.66800
3 year2.66900
5 year2.63030
10 year2.62950
30 year2.50400

Back to top

EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year0.869750.954750.986750.98675
3 year1.067001.157001.20000
5 year1.302251.375750.986751.42875
10 year1.664801.698501.73250
30 year1.634001.604001.56050

Back to top

JPY

OIS

 Anl Mny / TONA
3 month-0.02500
6 month-0.02632
1 year-0.01500
2 year0.04000
3 year0.08625
5 year0.15563
10 year0.35938
30 year0.85000

Back to top

GBP

OIS

 Anl Mny / SONIA
3 month1.25237
3 year2.27500
5 year2.18000
10 year2.00900
30 year1.82400

Back to top

CHF

OIS

 Anl Mny / SONIA
3 month-0.66317
6 month-0.56265
1 year-0.21050
2 year0.26300

Back to top

AUD

IRS

 Sml Mny / 6M Bills
2 year*2.92628
3 year*3.08938
5 year3.37917
10 year3.58500
30 year3.31375

OIS

 Qtly Mny / AONIA
3 month0.83625
6 month1.35130
1 year2.10750
2 year2.70320
3 year2.81562
5 year2.99042
10 year3.21000
30 year2.83625

* Quoted Qtly Mny / 3M Bills

Back to top

CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year3.031633.06350
3 year3.100753.13200
5 year3.106503.13400
10 year3.274083.29700
30 year3.181443.20300

OIS

 Sml Mny / CORRA
3 month1.64367
6 month2.03533
1 year2.48000
2 year2.72120
3 year2.79950
5 year2.80400
10 year2.97700
30 year2.88550

Back to top

CZK

IRS

 Anl Mny / 6M PRIBOR
2 year6.03000
3 year5.53000
5 year5.09000
10 year4.71000

Back to top

DKK

IRS

 Anl Bnd / 6M CIBOR
2 year1.28200
3 year1.47640
5 year1.69200
10 year1.98355

Back to top

HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.76500
3 year2.88000
5 year2.90000
10 year2.96000

Back to top

HUF

IRS

 Anl Bnd / 6M BUBOR
2 year8.02100
3 year7.67600
5 year7.10100
10 year6.68100

Back to top

MXN

IRS

 28D Mny / 28D TIIE
2 year8.93250
3 year8.87250
5 year8.54500
10 year8.48500

Back to top

NOK

IRS

 Anl Bnd / 6M NIBOR
2 year2.62250
3 year2.79700
5 year2.87083
10 year2.91800

Back to top

NZD

IRS

 Sml Mny / 3M Bills
2 year3.57750
3 year3.65300
5 year3.63800
10 year3.68000

Back to top

PLN

IRS

 Anl Bnd / 6M WIBOR
2 year7.09000
3 year6.73000
5 year6.25500
10 year5.93000

Back to top

SEK

IRS

 Anl Bnd / 3M STIBOR
2 year2.02500
3 year2.23500
5 year2.36967
10 year2.47175
30 year2.30600

Back to top

SGD

IRS

 Sml Bnd / 6M SOR
2 year2.49250
3 year2.60250
5 year2.70000
10 year2.77900

Back to top

ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.41615
3 year6.77000
5 year7.22750
10 year8.15250

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