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.

Jump to a currency

For Business Date Nov 28, 2023

USD

OIS

 Anl Mny / FEDFUND
1 year5.16130
2 year4.55600
3 year4.21400
5 year3.96975
10 year3.92300
30 year3.77150

Back to top

EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.243233.319173.41668
3 year2.996673.068503.15900
5 year2.845082.906502.98300
10 year2.927082.959002.98700
30 year2.906042.851372.78038

Back to top

JPY

OIS

 Anl Mny / TONA
3 month-0.01125
6 month0.01250
1 year0.08063
2 year0.23625
3 year0.36813
5 year0.57313
10 year0.98875
30 year1.56750

Back to top

GBP

OIS

 Anl Mny / SONIA
3 month5.23700
3 year4.49350
5 year4.18780
10 year3.98620
30 year3.90920

Back to top

CHF

OIS

 Anl Mny / SONIA
3 month1.69000
6 month1.67200
1 year1.59600
2 year1.34750

Back to top

AUD

IRS

 Sml Mny / 6M Bills
2 year*4.43281
3 year*4.36000
5 year4.54842
10 year4.80167
30 year4.71938

OIS

 Qtly Mny / AONIA
3 month4.39050
6 month4.46600
1 year4.53900
2 year4.39700
3 year4.22250
5 year4.25217
10 year4.51417
30 year4.36525

* Quoted Qtly Mny / 3M Bills

Back to top

CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.645334.67700
3 year4.318674.34700
5 year3.966823.99400
10 year3.914003.94150
30 year3.722983.74900

OIS

 Sml Mny / CORRA
3 month5.02756
6 month4.98500
1 year4.81000
2 year4.30220
3 year3.99333
5 year3.65340
10 year3.61025
30 year3.42473

Back to top

CZK

IRS

 Anl Mny / 6M PRIBOR
2 year4.99375
3 year4.50875
5 year4.14750
10 year4.08375

Back to top

DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.56005
3 year3.33000
5 year3.16760
10 year3.16250

Back to top

HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.58000
3 year4.31000
5 year4.11000
10 year4.05000

Back to top

HUF

IRS

 Anl Bnd / 6M BUBOR
2 year7.76333
3 year7.18667
5 year6.80500
10 year6.77167

Back to top

MXN

IRS

 28D Mny / 28D TIIE
2 year9.92250
3 year9.34625
5 year8.83500
10 year8.81750

Back to top

NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.42917
3 year4.15367
5 year3.87667
10 year3.72450

Back to top

NZD

IRS

 Sml Mny / 3M Bills
2 year5.16500
3 year4.92750
5 year4.74250
10 year4.80000

Back to top

PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.21000
3 year4.94375
5 year4.76875
10 year4.88250

Back to top

SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.59000
3 year3.30067
5 year3.04000
10 year2.95100
30 year2.67567

Back to top

ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.79675
3 year7.73750
5 year8.08325
10 year9.23450

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, 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