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 year2.722722.856472.95022
3 year2.709662.825912.91966
5 year2.710722.810722.90672
10 year2.803502.899003.01025
30 year2.863252.978003.09550

OIS

 Anl Mny / FEDFUND
3 month2.38993
6 month2.44503
1 year2.53192
2 year2.54750
3 year2.51591
5 year2.50072
10 year2.58400
30 year2.64670

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.27608-0.20424-0.14308
3 year-0.15748-0.08146-0.02048
5 year0.121730.198860.25873
10 year0.730900.807230.86190
30 year1.335151.391951.42415

OIS

 Anl Mny / EONIA
3 month-0.35700
6 month-0.35650
1 year-0.34850
2 year-0.27500
3 year-0.15636
5 year0.10706
10 year0.69823
30 year1.29075

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year-0.05000
3 year-0.04375
5 year-0.02125
10 year0.13750
30 year0.73125

OIS

 Anl Mny / TONA
3 month-0.06530
6 month-0.06188
1 year-0.05625
2 year-0.05375
3 year-0.05438
5 year-0.03938
10 year0.11375
30 year0.70000

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.980501.075871.15750
3 year1.060701.145101.22370
5 year1.149201.228201.30520
10 year1.289751.363751.44475
30 year1.428251.488251.56825

OIS

 Anl Mny / SONIA
3 month0.70430
6 month0.724870.72534
1 year0.784430.78661
2 year0.871480.88033
3 year0.928900.94837
5 year1.014201.06539
10 year1.155951.30567
30 year1.293751.44347

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.64033-0.55283
3 year-0.52217-0.43217
5 year-0.28350-0.18850
10 year0.274000.37150
30 year0.815000.89000

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AUD

IRS

 Sml Mny / 6M Bills
2 year*1.97546
3 year*2.03585
5 year2.33767
10 year2.65500
30 year2.86000

OIS

 Qtly Mny / AONIA
3 month1.49500
6 month1.49490
1 year1.48893
2 year1.52400
3 year1.57460
5 year1.74933
10 year2.10500
30 year2.29875

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.360252.39950
3 year2.380002.42100
5 year2.418252.46100
10 year2.578192.60600
30 year2.771752.79400

OIS

 Sml Mny / CORRA
3 month1.78933
6 month1.85100
1 year1.93050
2 year2.00515
3 year2.03350
5 year2.06933
10 year2.20808
30 year2.38900

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year2.29750
3 year2.31500
5 year2.31000
10 year2.25500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.01675
3 year0.11769
5 year0.40635
10 year1.00317

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.52000
3 year2.56000
5 year2.60000
10 year2.70500

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.90750
3 year1.29250
5 year1.82750
10 year2.66750

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MXN

IRS

 28D Mny / 28D TIIE
2 year8.73500
3 year8.74875
5 year8.82500
10 year9.10500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.58188
3 year1.69588
5 year1.87475
10 year2.17750

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.07525
3 year2.15380
5 year2.35250
10 year2.77125

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year1.84875
3 year1.96688
5 year2.21375
10 year2.58625

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.00967
3 year0.16947
5 year0.49417
10 year1.13400
30 year1.65683

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.94150
3 year1.96750
5 year2.03750
10 year2.29400

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.48750
3 year7.64125
5 year7.94750
10 year8.46875

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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