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 year4.648004.795004.96590
3 year4.226234.372834.54143
5 year3.790953.938454.10555
10 year3.512723.660233.82772
30 year3.154603.300903.46590

OIS

 Anl Mny / FEDFUND
3 month5.21871
6 month4.73386
1 year4.85700
2 year4.45800
3 year4.04200
5 year3.65200
10 year3.37400
30 year3.00800

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year2.768502.858002.90950
3 year2.681002.765502.82000
5 year2.582002.653502.708002.90950
10 year2.653502.666502.675002.67500
30 year2.241802.169302.104302.10430

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JPY

OIS

 Anl Mny / TONA
3 month-0.05625
6 month-0.02563
1 year0.03813
2 year0.13125
3 year0.19813
5 year0.29500
10 year0.59000
30 year1.22563

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GBP

OIS

 Anl Mny / SONIA
3 month3.52130
3 year4.20000
5 year3.87100
10 year3.36100
30 year2.90000

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CHF

OIS

 Anl Mny / SONIA
3 month0.79793
6 month0.94380
1 year1.13650
2 year1.25500

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AUD

IRS

 Sml Mny / 6M Bills
2 year*3.86140
3 year*3.83438
5 year4.00567
10 year4.20500
30 year3.86688

OIS

 Qtly Mny / AONIA
3 month3.07500
6 month3.30475
1 year3.61500
2 year3.71500
3 year3.61938
5 year3.61692
10 year3.82625
30 year3.41312

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.274944.32400
3 year3.912443.95400
5 year3.473813.50850
10 year3.376003.40600
30 year3.256003.28100

OIS

 Sml Mny / CORRA
3 month4.13583
6 month4.27500
1 year4.36000
2 year3.93000
3 year3.58650
5 year3.16100
10 year3.07096
30 year2.95475

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year6.14250
3 year5.43500
5 year4.83250
10 year4.38750

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.07800
3 year2.98100
5 year2.87500
10 year2.82150

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.93000
3 year4.56000
5 year4.23000
10 year3.97000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year11.80000
3 year10.46000
5 year8.85000
10 year7.97500

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MXN

IRS

 28D Mny / 28D TIIE
2 year9.81000
3 year9.09500
5 year8.64000
10 year8.60250

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year3.91267
3 year3.74433
5 year3.46133
10 year3.30483

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NZD

IRS

 Sml Mny / 3M Bills
2 year5.23250
3 year4.97000
5 year4.62300
10 year4.43000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year7.15250
3 year6.70375
5 year6.23875
10 year6.08000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.18450
3 year3.09450
5 year2.91500
10 year2.73125
30 year2.31083

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SGD

IRS

 Sml Bnd / 6M SOR
2 year3.98500
3 year3.77000
5 year3.53500
10 year3.36000

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.68875
3 year7.75573
5 year7.99500
10 year8.90000

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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