Final settlement prices are published once daily for swaps in all currencies eligible for registration at LCH at 09:00 EST (14:00 London). Settlement prices are generally applied based on the end of day snapshot timetable below.

Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 3M LIBORAnl Mny / 6M LIBOR
2 year1.800531.888032.00303
3 year1.896671.987922.11042
5 year2.006852.095602.22190
10 year2.223922.300922.44092
30 year2.426132.509882.65113

OIS

 Anl Mny / FEDFUND
3 month1.34991
6 month1.42601
1 year1.55189
2 year1.68374
3 year1.76042
5 year1.84310
10 year2.00462
30 year2.16108

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year-0.30675-0.25800-0.18975
3 year-0.19808-0.14449-0.06708
5 year0.048000.111890.20500
10 year0.655000.720680.81700
30 year1.403751.445211.49375

OIS

 Anl Mny / EONIA
3 month-0.35700
6 month-0.35600
1 year-0.35750
2 year-0.30788
3 year-0.21249
5 year0.02805
10 year0.62576
30 year1.37438

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JPY

IRS

 Sml Bnd / 3M LIBOR
2 year0.00500
3 year0.02094
5 year0.05875
10 year0.19905
30 year0.79008

OIS

 Anl Mny / TONA
3 month-0.04805
6 month-0.04420
1 year-0.03400
2 year-0.02195
3 year-0.01115
5 year0.02100
10 year0.11977
30 year0.64275

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.738850.773950.82685
3 year0.830450.871150.92945
5 year0.970351.014351.07935
10 year1.234051.271401.33655
30 year1.448551.476051.52655

OIS

 Anl Mny / SONIA
3 month0.46670
6 month0.48960
1 year0.56790
2 year0.68020
3 year0.76625
5 year0.89235
10 year1.11710
30 year1.31825

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.63183-0.53433
3 year-0.53500-0.42750
5 year-0.35083-0.21833
10 year0.075830.23083
30 year0.677630.75263

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AUD

IRS

 Sml Mny / 6M Bills
2 year*1.89750
3 year*2.01217
5 year2.36530
10 year2.73583
30 year3.10438

OIS

 Qtly Mny / AONIA
3 month1.50050
6 month1.50753
1 year1.55523
2 year1.67950
3 year1.76967
5 year1.97634
10 year2.36604
30 year2.77813

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year1.736501.77200
3 year1.837001.87800
5 year1.937001.99150
10 year2.157752.21650
30 year2.450252.47900

OIS

 Sml Mny / CORRA
3 month1.04833
6 month1.11400
1 year1.25850
2 year1.42910
3 year1.51300
5 year1.62900
10 year1.85025
30 year2.10900

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year1.34167
3 year1.48167
5 year1.66417
10 year1.89417

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year-0.06480
3 year0.07010
5 year0.36335
10 year1.00983

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year1.55000
3 year1.73000
5 year1.94500
10 year2.19000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year0.19000
3 year0.32750
5 year0.74500
10 year1.81000

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MXN

IRS

 28D Mny / 28D TIIE
2 year7.34313
3 year7.24125
5 year7.23000
10 year7.44688

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.03500
3 year1.15500
5 year1.38500
10 year1.83433

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NZD

IRS

 Sml Mny / 3M Bills
2 year2.15275
3 year2.31090
5 year2.61065
10 year3.10775

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year2.03750
3 year2.21625
5 year2.52250
10 year2.98750

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year-0.24967
3 year-0.04667
5 year0.33783
10 year1.10375
30 year1.85183

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SGD

IRS

 Sml Bnd / 6M SOR
2 year1.44000
3 year1.59150
5 year1.84400
10 year2.27500

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.51739
3 year7.73942
5 year8.08117
10 year8.56000

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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 07:15 12:15
Europe EUR, GBP, CHF, SEK, DKK, NOK, PLN, ZAR, CZK, HUF 12:00 17:00
GBP OIS (SONIA) 13:45 18:45
EUR OIS (EONIA) 13:45 18:45
North America USD, CAD , MXN 15:00 20:00