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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For Business Date Apr 25, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year5.23900
2 year4.91000
3 year4.69200
5 year4.45150
10 year4.29800
30 year4.00900

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.223683.294843.37250
3 year3.039143.104263.17900
5 year2.868502.921502.98900
10 year2.867962.889632.91863
30 year2.739332.692502.61450

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JPY

OIS

 Anl Mny / TONA
3 month0.09750
6 month0.14344
1 year0.23500
2 year0.37875
3 year0.47813
5 year0.62750
10 year0.99750
30 year1.67125

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GBP

OIS

 Anl Mny / SONIA
3 month5.18747
3 year4.50590
5 year4.23320
10 year4.08600
30 year4.08900

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CHF

OIS

 Anl Mny / SONIA
3 month1.35240
6 month1.28457
1 year1.18185
2 year1.10626

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.29519
3 year*4.23125
5 year4.40917
10 year4.61450
30 year4.55938

OIS

 Qtly Mny / AONIA
3 month4.35600
6 month4.38773
1 year4.39693
2 year4.25598
3 year4.11500
5 year4.12537
10 year4.35455
30 year4.24438

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.713254.74200
3 year4.460754.48950
5 year4.196004.22350
10 year4.165754.19200
30 year4.042984.06900

OIS

 Sml Mny / CORRA
3 month4.96140
6 month4.86467
1 year4.73000
2 year4.39510
10 year3.86763
30 year3.74800

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year4.46500
3 year4.31000
5 year4.21750
10 year4.22750

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.48880
3 year3.32090
5 year3.15250
10 year3.07250

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.41000
3 year4.25500
5 year4.10000
10 year4.06000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year7.02000
3 year6.95000
5 year6.92500
10 year6.99000

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.50000
3 year10.11000
5 year9.72500
10 year9.56000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.70460
3 year4.51282
5 year4.27378
10 year4.08450

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NZD

IRS

 Sml Mny / 3M Bills
2 year5.13000
3 year4.87750
5 year4.70000
10 year4.75500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.62000
3 year5.43500
5 year5.33000
10 year5.44500

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.42667
3 year3.23033
5 year3.03967
10 year2.98575
30 year2.73300

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.51220
3 year8.63333
5 year9.07918
10 year10.25543

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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 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