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 year2.662702.781702.88170
3 year2.656852.785852.90585
5 year2.619302.753052.88935
10 year2.675652.813152.96315
30 year2.594982.735482.89423

OIS

 Anl Mny / FEDFUND
3 month2.05429
6 month1.55286
1 year2.28500
2 year2.54200
3 year2.53200
5 year2.48300
10 year2.53400
30 year2.44825

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year0.790000.880500.91500
3 year0.981501.076001.119501.11950
5 year1.235001.308000.915001.35750
10 year1.636501.673501.70150
30 year1.670501.641501.590501.59050

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JPY

OIS

 Anl Mny / TONA
3 month-0.02500
6 month-0.02693
1 year-0.02000
2 year0.02000
3 year0.05750
5 year0.11938
10 year0.30875
30 year0.80375

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GBP

OIS

 Anl Mny / SONIA
3 month1.23137
3 year2.16250
5 year2.08900
10 year1.94900
30 year1.80460

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CHF

OIS

 Anl Mny / SONIA
3 month-0.61333
6 month-0.50250
1 year-0.18000
2 year0.26000

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.85375
3 year*3.00125
5 year3.29792
10 year3.51667
30 year3.25813

OIS

 Qtly Mny / AONIA
3 month0.87130
6 month1.38000
1 year2.07800
2 year2.62000
3 year2.73000
5 year2.91417
10 year3.14292
30 year2.79188

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year2.937502.97000
3 year2.987133.01900
5 year3.001253.03000
10 year3.208083.23100
30 year3.152943.17450

OIS

 Sml Mny / CORRA
3 month1.64967
6 month2.00933
1 year2.39800
2 year2.62500
3 year2.68650
5 year2.70000
10 year2.91350
30 year2.85950

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year6.05500
3 year5.53500
5 year5.06500
10 year4.68500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year1.20900
3 year1.41200
5 year1.64300
10 year1.97200

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.61000
3 year2.72000
5 year2.78000
10 year2.89000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year7.97000
3 year7.62625
5 year7.04500
10 year6.64000

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MXN

IRS

 28D Mny / 28D TIIE
2 year8.81250
3 year8.66500
5 year8.37500
10 year8.38250

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year2.55850
3 year2.72850
5 year2.79900
10 year2.85967

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NZD

IRS

 Sml Mny / 3M Bills
2 year3.73000
3 year3.73750
5 year3.71000
10 year3.74300

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year7.22750
3 year6.86750
5 year6.38750
10 year6.03875

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year1.98483
3 year2.18833
5 year2.32000
10 year2.42850
30 year2.26650

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SGD

IRS

 Sml Bnd / 6M SOR
2 year2.35250
3 year2.46500
5 year2.57000
10 year2.67250

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.39800
3 year6.76875
5 year7.25125
10 year8.20125

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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