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 year1.519201.625801.69016
3 year1.499311.602181.66382
5 year1.528381.628381.69268
10 year1.674861.773631.84563
30 year1.858281.962682.05118

OIS

 Anl Mny / FEDFUND
3 year1.39838
5 year1.42208
10 year1.56363
30 year1.75268

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.42703-0.37219-0.30603
3 year-0.38720-0.33270-0.26320
5 year-0.28090-0.22857-0.30603-0.15590
10 year0.031200.079370.14320
30 year0.519950.553080.58095

OIS

 Anl Mny / EONIA
3 month-0.45125
6 month-0.45125
1 year-0.45050
2 year-0.43600

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.05188
3 year-0.05531
5 year-0.04438
10 year0.05875
30 year0.37219

OIS

 Anl Mny / TONA
3 month-0.05375
6 month-0.05628
1 year-0.06125
2 year-0.05750
3 year-0.06250
5 year-0.05188
10 year0.03688
30 year0.34313

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.467100.554270.63110
3 year0.483800.567130.643800.64380
5 year0.542450.626450.70545
10 year0.675800.763600.85080
30 year0.812550.901050.99555

OIS

 Anl Mny / SONIA
3 month0.55255
6 month0.50579
1 year0.45448
2 year0.42793
3 year0.43493
5 year0.49145
10 year0.62060
30 year0.75105

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.72683-0.65433
3 year-0.69975-0.62725
5 year-0.58517-0.52017
10 year-0.28833-0.22333
30 year0.062500.12000

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AUD

IRS

 Sml Mny / 6M Bills
2 year*0.73938
3 year*0.78050
5 year1.00050
10 year1.33650
30 year1.71250

OIS

 Qtly Mny / AONIA
3 month0.60750
6 month0.55800
1 year0.51000
2 year0.51900
3 year0.57300
5 year0.70550
10 year1.07150
30 year1.43375

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.908751.93050
3 year1.908501.92950
5 year1.910501.93400
10 year2.002122.01900
30 year2.160242.17150

OIS

 Sml Mny / CORRA
3 month1.73250
6 month1.71300
1 year1.68200
2 year1.63400
3 year1.62367
5 year1.61525
10 year1.69442
30 year1.84400

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.24833
3 year2.19667
5 year2.08833
10 year1.81250

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.18800
3 year-0.14100
5 year-0.03550
10 year0.25160

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.92750
3 year1.88000
5 year1.85000
10 year1.93750

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.56750
3 year0.76500
5 year1.12000
10 year1.77500

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MXN

IRS

 28D Mny / 28D TIIE
2 year6.70500
3 year6.59750
5 year6.61500
10 year6.82500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.91613
3 year1.89163
5 year1.87500
10 year1.94000

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.20485
3 year1.23708
5 year1.34305
10 year1.67125

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.90063
3 year1.95500
5 year2.05000
10 year2.12500

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.22917
3 year0.26400
5 year0.36617
10 year0.63625
30 year0.92767

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.39550
3 year1.40450
5 year1.47050
10 year1.68200

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.43000
3 year6.54000
5 year6.83500
10 year7.59000

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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