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 year2.649452.788202.88320
3 year2.738682.859932.95743
5 year2.801582.896582.99908
10 year2.871602.942103.06460
30 year2.845882.947883.07638

OIS

 Anl Mny / FEDFUND
3 month1.93826
6 month2.04289
1 year2.22724
2 year2.44425
3 year2.51743
5 year2.55778
10 year2.58080
30 year2.51538

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.28668-0.22791-0.17168
3 year-0.16475-0.10055-0.03775
5 year0.114480.185260.25848
10 year0.738750.810450.88775
30 year1.407001.467031.51000

OIS

 Anl Mny / EONIA
3 month-0.35600
6 month-0.35500
1 year-0.35400
2 year-0.30150
3 year-0.18755
5 year0.08443
10 year0.69737
30 year1.36803

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.01156
3 year0.03000
5 year0.06625
10 year0.20375
30 year0.69688

OIS

 Anl Mny / TONA
3 month-0.06280
6 month-0.05690
1 year-0.04438
2 year-0.03000
3 year-0.01563
5 year0.01125
10 year0.13375
30 year0.61500

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.916650.997081.05465
3 year1.028801.107971.17380
5 year1.182101.252101.33710
10 year1.401801.467301.55580
30 year1.558051.609051.66905

OIS

 Anl Mny / SONIA
3 month0.54880
6 month0.606300.60650
1 year0.686100.68730
2 year0.821600.82680
3 year0.919970.93407
5 year1.040101.07770
10 year1.219301.30640
30 year1.327051.41415

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.64067-0.54567
3 year-0.50317-0.40567
5 year-0.23333-0.12833
10 year0.287670.40267
30 year0.883250.94075

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.10158
3 year*2.18539
5 year2.52270
10 year2.85291
30 year3.03750

OIS

 Qtly Mny / AONIA
3 month1.50000
6 month1.50517
1 year1.53033
2 year1.64550
3 year1.74539
5 year1.95708
10 year2.29791
30 year2.47625

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.128502.15550
3 year2.232712.26250
5 year2.330292.36550
10 year2.493502.52850
30 year2.612502.63600

OIS

 Sml Mny / CORRA
3 month1.36533
6 month1.43692
1 year1.58050
2 year1.76565
3 year1.86500
5 year1.96217
10 year2.12350
30 year2.22850

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.45500
3 year1.62500
5 year1.82500
10 year1.99875

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.05223
3 year0.08650
5 year0.39095
10 year1.03617

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.56000
3 year2.67000
5 year2.80000
10 year2.90000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year1.21250
3 year1.51250
5 year1.98000
10 year2.81250

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MXN

IRS

 28D Mny / 28D TIIE
2 year8.14750
3 year8.03500
5 year7.96167
10 year8.12000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.44167
3 year1.58567
5 year1.83167
10 year2.19333

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.25050
3 year2.38960
5 year2.65670
10 year3.11900

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.91563
3 year2.08375
5 year2.39938
10 year2.88875

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.17367
3 year0.01867
5 year0.39400
10 year1.12775
30 year1.72150

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SGD

IRS

 Sml Bnd / 6M SOR
2 year2.07750
3 year2.20250
5 year2.36500
10 year2.64500

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.25600
3 year7.43500
5 year7.73000
10 year8.25000

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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