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 Oct 4, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year4.06213
2 year3.68575
3 year3.54250
5 year3.42923
10 year3.44045
30 year3.37113

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year2.286372.374362.42486
3 year2.225182.305382.35450
5 year2.233792.300702.34313
10 year2.394382.422002.43388
30 year2.393562.350062.29006

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JPY

OIS

 Anl Mny / TONA
3 month0.24000
6 month0.28751
1 year0.34313
2 year0.43271
3 year0.49625
5 year0.58625
10 year0.86000
30 year1.56750

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GBP

OIS

 Anl Mny / SONIA
3 month4.79467
3 year3.92270
5 year3.78800
10 year3.76510
30 year3.89510

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CHF

OIS

 Anl Mny / SONIA
3 month0.85160
6 month0.72423
1 year0.56598
2 year0.45817

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AUD

IRS

 Sml Mny / 6M Bills
2 year*3.72546
3 year*3.65296
5 year3.87292
10 year4.16100
30 year4.24996

OIS

 Qtly Mny / AONIA
3 month4.29850
6 month4.21753
1 year3.98493
2 year3.67513
3 year3.54296
5 year3.57872
10 year3.89704
30 year3.93261

* Quoted Qtly Mny / 3M Bills

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CAD

OIS

 Sml Mny / CORRA
3 month3.97538
6 month3.75461
1 year3.43286
2 year3.10440
10 year3.08205
30 year3.16972

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year3.40400
3 year3.35910
5 year3.36000
10 year3.50330

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year2.48060
3 year2.42438
5 year2.45172
10 year2.56060

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year3.31000
3 year3.17000
5 year3.09333
10 year3.15333

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year5.83667
3 year5.74500
5 year5.82833
10 year6.20167

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MXN

IRS

 28D Mny / 28D TIIE
2 year9.23255
3 year8.96500
5 year8.81000
10 year8.87750

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year3.98808
3 year3.83082
5 year3.70026
10 year3.62400

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NZD

IRS

 Sml Mny / 3M Bills
2 year3.55760
3 year3.45008
5 year3.54010
10 year3.91270

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.03550
3 year4.73642
5 year4.64267
10 year4.73067

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year2.11300
3 year2.09367
5 year2.15500
10 year2.35500
30 year2.29267

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.31600
3 year7.34625
5 year7.65500
10 year8.66250

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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