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.
Updated May 22, 2012
USD
IRS
| | Anl Mny / 1M LIBOR | Anl Mny / 3M LIBOR | Anl Mny / 6M LIBOR |
| 2 year | 0.42950 | 0.61650 | 0.80350 |
| 3 year | 0.56940 | 0.73140 | 0.89540 |
| 5 year | 0.96615 | 1.09415 | 1.23415 |
| 10 year | 1.82235 | 1.90235 | 2.02635 |
| 30 year | 2.54550 | 2.58150 | 2.69650 |
OIS
| | Anl Mny / FEDFUND |
| 3 month | 0.15900 |
| 6 month | 0.16500 |
| 1 year | 0.17300 |
| 2 year | 0.21500 |
| 3 year | 0.31510 |
| 5 year | 0.68665 |
| 10 year | 1.55735 |
| 30 year | 2.33650 |
Back to top
EUR
IRS
| | Anl Bnd / 1MEURIBOR | Anl Bnd / 3MEURIBOR | Anl Bnd / 6MEURIBOR |
| 2 year | 0.43835 | 0.68035 | 0.95335 |
| 3 year | 0.56520 | 0.78920 | 1.04420 |
| 5 year | 0.92400 | 1.12700 | 1.34900 |
| 10 year | 1.65965 | 1.81165 | 1.97265 |
| 30 year | 1.99665 | 2.09665 | 2.18365 |
OIS
| | Anl Mny / EONIA |
| 3 month | 0.29550 |
| 6 month | 0.26850 |
| 1 year | 0.26150 |
| 2 year | 0.30450 |
| 3 year | 0.43820 |
| 5 year | 0.78400 |
| 10 year | 1.51765 |
| 30 year | 1.89365 |
Back to top
JPY
IRS
| | Sml Bnd / 3M LIBOR | Sml Bnd / 6M LIBOR |
| 2 year | 0.21042 | 0.34792 |
| 3 year | 0.21750 | 0.35750 |
| 5 year | 0.28292 | 0.43042 |
| 10 year | 0.71208 | 0.87958 |
| 30 year | 1.42625 | 1.65875 |
OIS
| | Anl Mny / TONA |
| 3 month | 0.06750 |
| 6 month | 0.06563 |
| 1 year | 0.06472 |
| 2 year | 0.07005 |
| 3 year | 0.08000 |
| 5 year | 0.11491 |
| 10 year | 0.52249 |
| 30 year | 1.23741 |
Back to top
GBP
IRS
| | Sml Bnd / 1M LIBOR | Sml Bnd / 3M LIBOR | Sml Bnd / 6M LIBOR |
| 2 year | 0.71125 | 1.01125 | 1.27375 |
| 3 year | 0.77860 | 1.06860 | 1.30610 |
| 5 year | 1.01465 | 1.27965 | 1.49215 |
| 10 year | 1.88230 | 2.08480 | 2.24230 |
| 30 year | 2.83375 | 2.93375 | 3.02375 |
OIS
| | Anl Mny / SONIA |
| 3 month | 0.46050 |
| 6 month | 0.44955 |
| 1 year | 0.44300 |
| 2 year | 0.46050 |
| 3 year | 0.52860 |
| 5 year | 0.77715 |
| 10 year | 1.70230 |
| 30 year | 2.71125 |
Back to top
CHF
IRS
| | Anl Bnd / 3M LIBOR | Anl Bnd / 6M LIBOR |
| 2 year | -0.03975 | 0.10525 |
| 3 year | 0.01550 | 0.16800 |
| 5 year | 0.22525 | 0.39275 |
| 10 year | 0.81025 | 0.97775 |
| 30 year | 1.22500 | 1.34000 |
OIS
| | Anl Mny / SONIA |
| 3 month | 0.00650 |
| 6 month | -0.03750 |
| 1 year | -0.09550 |
| 2 year | -0.11650 |
Back to top
AUD
IRS
| | Sml Mny / 6M Bills |
| 2 year* | 3.18750 |
| 3 year* | 3.32500 |
| 5 year | 3.67000 |
| 10 year | 4.07500 |
| 30 year | 4.01125 |
* Quoted Qtly Mny / 3M Bills
Back to top
CAD
IRS
| | Sml Bnd / 3M BAs |
| 2 year | 1.44900 |
| 3 year | 1.55400 |
| 5 year | 1.76000 |
| 10 year | 2.27200 |
| 30 year | 2.59900 |
Back to top
CZK
IRS
| | Anl Mny / 6M PRIBOR |
| 2 year | 1.24500 |
| 3 year | 1.28000 |
| 5 year | 1.40750 |
| 10 year | 1.84500 |
Back to top
DKK
IRS
| | Anl Bnd / 6M CIBOR |
| 2 year | 1.03917 |
| 3 year | 1.12167 |
| 5 year | 1.41083 |
| 10 year | 2.01583 |
Back to top
HKD
IRS
| | Qtl Mny / 3M HIBOR |
| 2 year | 0.55000 |
| 3 year | 0.65000 |
| 5 year | 0.97000 |
| 10 year | 1.61000 |
Back to top
HUF
IRS
| | Anl Bnd / 6M BUBOR |
| 2 year | 7.04500 |
| 3 year | 6.86500 |
| 5 year | 6.81000 |
| 10 year | 7.03000 |
Back to top
NOK
IRS
| | Anl Bnd / 6M NIBOR |
| 2 year | 2.72688 |
| 3 year | 2.81625 |
| 5 year | 3.03688 |
| 10 year | 3.44000 |
Back to top
NZD
IRS
| | Sml Mny / 3M Bills |
| 2 year | 2.45000 |
| 3 year | 2.61500 |
| 5 year | 3.03500 |
| 10 year | 3.78000 |
Back to top
PLN
IRS
| | Anl Bnd / 6M WIBOR |
| 2 year | 4.91000 |
| 3 year | 4.84750 |
| 5 year | 4.83000 |
| 10 year | 4.87000 |
Back to top
SEK
IRS
| | Anl Bnd / 3M STIBOR |
| 2 year | 1.80750 |
| 3 year | 1.84219 |
| 5 year | 1.97625 |
| 10 year | 2.31500 |
| 30 year | 2.26250 |
Back to top
SGD
IRS
| | Sml Bnd / 6M SOR |
| 2 year | 0.59000 |
| 3 year | 0.71500 |
| 5 year | 1.13500 |
| 10 year | 1.96000 |
Back to top
ZAR
IRS
| | Qtl Bnd / 3M JIBAR |
| 2 year | 5.74767 |
| 3 year | 6.03375 |
| 5 year | 6.60000 |
| 10 year | 7.40250 |
Back to top
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"
