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 LIBOR	Anl Mny / 3M LIBOR	Anl Mny / 6M LIBOR
2 year	4.64800	4.79500	4.96590
3 year	4.22623	4.37283	4.54143
5 year	3.79095	3.93845	4.10555
10 year	3.51272	3.66023	3.82772
30 year	3.15460	3.30090	3.46590

OIS

	Anl Mny / FEDFUND
3 month	5.21871
6 month	4.73386
1 year	4.85700
2 year	4.45800
3 year	4.04200
5 year	3.65200
10 year	3.37400
30 year	3.00800

EUR

IRS

	Anl Bnd / 1MEURIBOR	Anl Bnd / 3MEURIBOR	Anl Bnd / 6MEURIBOR
2 year	2.76850	2.85800	2.90950
3 year	2.68100	2.76550	2.82000
5 year	2.58200	2.65350	2.70800	2.90950
10 year	2.65350	2.66650	2.67500	2.67500
30 year	2.24180	2.16930	2.10430	2.10430

JPY

OIS

	Anl Mny / TONA
3 month	-0.05625
6 month	-0.02563
1 year	0.03813
2 year	0.13125
3 year	0.19813
5 year	0.29500
10 year	0.59000
30 year	1.22563

GBP

OIS

	Anl Mny / SONIA
3 month	3.52130
3 year	4.20000
5 year	3.87100
10 year	3.36100
30 year	2.90000

CHF

OIS

	Anl Mny / SONIA
3 month	0.79793
6 month	0.94380
1 year	1.13650
2 year	1.25500

AUD

IRS

	Sml Mny / 6M Bills
2 year*	3.86140
3 year*	3.83438
5 year	4.00567
10 year	4.20500
30 year	3.86688

OIS

	Qtly Mny / AONIA
3 month	3.07500
6 month	3.30475
1 year	3.61500
2 year	3.71500
3 year	3.61938
5 year	3.61692
10 year	3.82625
30 year	3.41312

* Quoted Qtly Mny / 3M Bills

CAD

IRS

	Sml Mny / 1M CADOR	Sml Mny / 3M CADOR
2 year	4.27494	4.32400
3 year	3.91244	3.95400
5 year	3.47381	3.50850
10 year	3.37600	3.40600
30 year	3.25600	3.28100

OIS

	Sml Mny / CORRA
3 month	4.13583
6 month	4.27500
1 year	4.36000
2 year	3.93000
3 year	3.58650
5 year	3.16100
10 year	3.07096
30 year	2.95475

CZK

IRS

	Anl Mny / 6M PRIBOR
2 year	6.14250
3 year	5.43500
5 year	4.83250
10 year	4.38750

DKK

IRS

	Anl Bnd / 6M CIBOR
2 year	3.07800
3 year	2.98100
5 year	2.87500
10 year	2.82150

HKD

IRS

	Qtl Mny / 3M HIBOR
2 year	4.93000
3 year	4.56000
5 year	4.23000
10 year	3.97000

HUF

IRS

	Anl Bnd / 6M BUBOR
2 year	11.80000
3 year	10.46000
5 year	8.85000
10 year	7.97500

MXN

IRS

	28D Mny / 28D TIIE
2 year	9.81000
3 year	9.09500
5 year	8.64000
10 year	8.60250

NOK

IRS

	Anl Bnd / 6M NIBOR
2 year	3.91267
3 year	3.74433
5 year	3.46133
10 year	3.30483

NZD

IRS

	Sml Mny / 3M Bills
2 year	5.23250
3 year	4.97000
5 year	4.62300
10 year	4.43000

PLN

IRS

	Anl Bnd / 6M WIBOR
2 year	7.15250
3 year	6.70375
5 year	6.23875
10 year	6.08000

SEK

IRS

	Anl Bnd / 3M STIBOR
2 year	3.18450
3 year	3.09450
5 year	2.91500
10 year	2.73125
30 year	2.31083

SGD

IRS

	Sml Bnd / 6M SOR
2 year	3.98500
3 year	3.77000
5 year	3.53500
10 year	3.36000

ZAR

IRS

	Qtl Bnd / 3M JIBAR
2 year	7.68875
3 year	7.75573
5 year	7.99500
10 year	8.90000

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