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 year2.503112.627182.70527
3 year2.464582.576562.65594
5 year2.457732.557732.64317
10 year2.581042.672922.77817
30 year2.695882.802132.91563

OIS

 Anl Mny / FEDFUND
3 month2.40342
6 month2.41048
1 year2.42250
2 year2.35750
3 year2.30406
5 year2.27643
10 year2.38292
30 year2.50583

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.31188-0.23338-0.15688
3 year-0.22978-0.14828-0.07078
5 year-0.028380.054130.13163
10 year0.506800.586300.65380
30 year1.141051.196921.23305

OIS

 Anl Mny / EONIA
3 month-0.36175
6 month-0.36075
1 year-0.34850
2 year-0.29650
3 year-0.21617
5 year-0.02958
10 year0.48920
30 year1.10482

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.09688
3 year-0.10063
5 year-0.09313
10 year0.05437
30 year0.55500

OIS

 Anl Mny / TONA
3 month-0.06250
6 month-0.06565
1 year-0.07813
2 year-0.09500
3 year-0.10500
5 year-0.10313
10 year0.03375
30 year0.52938

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.850000.946801.03800
3 year0.911451.007181.09045
5 year1.014651.102651.18615
10 year1.198701.274701.35670
30 year1.354951.417451.49245

OIS

 Anl Mny / SONIA
3 month0.707300.70740
6 month0.714430.71483
1 year0.744350.74595
2 year0.795550.80205
3 year0.847380.86158
5 year0.935650.97295
10 year1.098201.20750
30 year1.236451.34575

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.66217-0.58717
3 year-0.57917-0.49917
5 year-0.39067-0.30567
10 year0.101500.18650
30 year0.658500.72600

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AUD

IRS

 Sml Mny / 6M Bills
2 year*1.79885
3 year*1.79900
5 year2.03300
10 year2.36550
30 year2.65250

OIS

 Qtly Mny / AONIA
3 month1.48500
6 month1.46327
1 year1.40350
2 year1.33588
3 year1.34400
5 year1.44237
10 year1.82238
30 year2.10188

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.135002.16800
3 year2.145752.17650
5 year2.179502.21050
10 year2.366252.39250
30 year2.598872.61950

OIS

 Sml Mny / CORRA
3 month1.75583
6 month1.76767
1 year1.79450
2 year1.79735
3 year1.79483
5 year1.82675
10 year2.00625
30 year2.23283

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.18250
3 year2.09500
5 year1.93250
10 year1.88833

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.05550
3 year0.04100
5 year0.25850
10 year0.77918

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.07750
3 year2.12250
5 year2.19000
10 year2.36000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.86750
3 year1.17250
5 year1.63000
10 year2.31000

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MXN

IRS

 28D Mny / 28D TIIE
2 year8.26500
3 year8.18000
5 year8.16750
10 year8.50500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.55633
3 year1.63783
5 year1.77500
10 year2.02500

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NZD

IRS

 Sml Mny / 3M Bills
2 year1.90800
3 year1.94300
5 year2.08300
10 year2.48500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.76250
3 year1.81125
5 year1.99750
10 year2.33125

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.07580
3 year0.19300
5 year0.43567
10 year0.98250
30 year1.50150

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.94250
3 year1.95050
5 year1.99050
10 year2.23950

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.26875
3 year7.37750
5 year7.63125
10 year8.19875

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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