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Settlement Prices SwapClear Global

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.


Updated

USD

IRS

 Anl Mny / 1M LIBORAnl Mny / 3M LIBORAnl Mny / 6M LIBOR
2 year0.465830.541830.63083
3 year0.932131.009131.09713
5 year1.743081.821081.90908
10 year2.745192.810192.90919
30 year3.427903.474903.57590

OIS

 Anl Mny / FEDFUND
3 month0.08850
6 month0.09600
1 year0.12380
2 year0.38200
3 year0.83033
5 year1.60978
10 year2.55389
30 year3.20990

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year0.244800.347800.47280
3 year0.349670.467170.59767
5 year0.681800.816800.95280
10 year1.501031.636031.76203
30 year2.282182.369182.43618

OIS

 Anl Mny / EONIA
3 month0.18450
6 month0.16390
1 year0.15100
2 year0.18560
3 year0.30017
5 year0.62980
10 year1.44903
30 year2.25518

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JPY

IRS

 Sml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.140830.19333
3 year0.158250.21575
5 year0.248750.32125
10 year0.673250.77825
30 year1.645001.78750

OIS

 Anl Mny / TONA
3 month0.06625
6 month0.06380
1 year0.06313
2 year0.06563
3 year0.08031
5 year0.15725
10 year0.51688
30 year1.45532

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.976201.026201.10870
3 year1.356051.411051.50230
5 year1.874401.935652.05690
10 year2.552202.622202.78470
30 year3.122083.175833.28458

OIS

 Anl Mny / SONIA
3 month0.42403
6 month0.43688
1 year0.52813
2 year0.87103
3 year1.22855
5 year1.72565
10 year2.38720
30 year3.00833

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year0.003880.08888
3 year0.064380.15438
5 year0.314310.41931
10 year1.113881.21388
30 year1.736251.78875

OIS

 Anl Mny / SONIA
3 month0.00500
6 month-0.01395
1 year-0.02500
2 year-0.01862

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.93000
3 year*3.16000
5 year3.64858
10 year4.33690
30 year4.79875

* Quoted Qtly Mny / 3M Bills

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.52875
3 year0.68333
5 year1.02958
10 year1.72250

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year0.61913
3 year0.76558
5 year1.16897
10 year2.00523

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.69167
3 year1.15167
5 year1.89167
10 year2.74167

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year3.20000
3 year3.48000
5 year4.00250
10 year4.83500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.98563
3 year2.14625
5 year2.51875
10 year3.13550

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NZD

IRS

 Sml Mny / 3M Bills
2 year4.06000
3 year4.31300
5 year4.60500
10 year4.99500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year3.00417
3 year3.23167
5 year3.58333
10 year3.98833

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.97255
3 year1.19880
5 year1.66550
10 year2.38688
30 year2.82625

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.62375
3 year1.03875
5 year1.76250
10 year2.72500

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.88383
3 year7.26750
5 year7.75375
10 year8.42438

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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.Clearnet, and LCH.Clearnet 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