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 May 27, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year5.21700
2 year4.83100
3 year4.55300
5 year4.24400
10 year4.05300
30 year3.78200

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.208153.295093.36700
3 year3.011973.090013.15850
5 year2.799502.864002.92600
10 year2.727502.774502.80200
30 year2.618882.583882.50588

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JPY

OIS

 Anl Mny / TONA
3 month0.12063
6 month0.17563
1 year0.28375
2 year0.43375
3 year0.53813
5 year0.68750
10 year1.05125
30 year1.73438

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GBP

OIS

 Anl Mny / SONIA
3 month5.20113
3 year4.47565
5 year4.14700
10 year3.96320
30 year3.96340

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CHF

OIS

 Anl Mny / SONIA
3 month1.35000
6 month1.30000
1 year1.24000
2 year1.20250

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.20188
3 year*4.11750
5 year4.26000
10 year4.46500
30 year4.43623

OIS

 Qtly Mny / AONIA
3 month4.34700
6 month4.37530
1 year4.36893
2 year4.20125
3 year4.03250
5 year4.01375
10 year4.22625
30 year4.13943

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.569004.59900
3 year4.285504.31300
5 year3.954823.98200
10 year3.898753.92500
30 year3.778983.80500

OIS

 Sml Mny / CORRA
3 month4.85400
6 month4.77467
1 year4.64300
2 year4.25700
10 year3.60575
30 year3.48650

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year4.40500
3 year4.24500
5 year4.12000
10 year4.14000

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.47450
3 year3.28800
5 year3.07750
10 year2.95200

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.44000
3 year4.23000
5 year4.01500
10 year3.93500

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year6.74000
3 year6.65000
5 year6.64000
10 year6.83000

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.20000
3 year9.76000
5 year9.35500
10 year9.21000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.57203
3 year4.35497
5 year4.09595
10 year3.88367

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NZD

IRS

 Sml Mny / 3M Bills
2 year5.13250
3 year4.84250
5 year4.60800
10 year4.61500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.56000
3 year5.36500
5 year5.28000
10 year5.39000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.22783
3 year3.02250
5 year2.81233
10 year2.72950
30 year2.47700

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.23558
3 year8.29883
5 year8.66368
10 year9.76625

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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