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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 year0.462460.537460.62546
3 year0.913440.989441.07744
5 year1.760001.837001.92500
10 year2.782002.845002.94300
30 year3.480003.525003.62600

OIS

 Anl Mny / FEDFUND
3 month0.08650
6 month0.09350
1 year0.12180
2 year0.37600
3 year0.81314
5 year1.62700
10 year2.58870
30 year3.26000

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year0.235920.339920.46592
3 year0.337080.454080.58608
5 year0.662080.797080.93608
10 year1.477651.612651.73965
30 year2.262822.350322.41782

OIS

 Anl Mny / EONIA
3 month0.17780
6 month0.15460
1 year0.14600
2 year0.18400
3 year0.28608
5 year0.61008
10 year1.42565
30 year2.23632

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JPY

IRS

 Sml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.140000.19250
3 year0.155310.21281
5 year0.249750.31975
10 year0.678440.78094
30 year1.647921.78792

OIS

 Anl Mny / TONA
3 month0.06625
6 month0.06390
1 year0.06125
2 year0.06458
3 year0.07688
5 year0.15600
10 year0.52019
30 year1.45838

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GBP

IRS

 Sml Bnd / 1M LIBORSml Bnd / 3M LIBORSml Bnd / 6M LIBOR
2 year0.950381.000381.08288
3 year1.320681.375681.46693
5 year1.827051.888302.00955
10 year2.504832.574832.73733
30 year3.098733.152483.26123

OIS

 Anl Mny / SONIA
3 month0.42330
6 month0.43563
1 year0.51975
2 year0.84744
3 year1.19443
5 year1.67830
10 year2.33858
30 year2.98498

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CHF

IRS

 Anl Bnd / 3M LIBORAnl Bnd / 6M LIBOR
2 year-0.000810.08919
3 year0.059190.15169
5 year0.302500.41000
10 year1.095191.19769
30 year1.708331.76333

OIS

 Anl Mny / SONIA
3 month0.01000
6 month-0.01588
1 year-0.03108
2 year-0.02588

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AUD

IRS

 Sml Mny / 6M Bills
2 year*2.91000
3 year*3.13000
5 year3.61042
10 year4.29600
30 year4.75500

* Quoted Qtly Mny / 3M Bills

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year0.52750
3 year0.68083
5 year1.01667
10 year1.71125

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year0.59378
3 year0.73117
5 year1.11618
10 year1.95813

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year0.68167
3 year1.11250
5 year1.83250
10 year2.70000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year3.19250
3 year3.48000
5 year3.99500
10 year4.83500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year1.96900
3 year2.12150
5 year2.47250
10 year3.09250

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NZD

IRS

 Sml Mny / 3M Bills
2 year4.03100
3 year4.28250
5 year4.57750
10 year4.97250

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year3.00000
3 year3.22000
5 year3.56750
10 year3.96792

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year0.95230
3 year1.17508
5 year1.62658
10 year2.34725
30 year2.78525

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SGD

IRS

 Sml Bnd / 6M SOR
2 year0.59000
3 year1.00325
5 year1.71875
10 year2.67750

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year6.81100
3 year7.18438
5 year7.65750
10 year8.32563

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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