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 10, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year5.16855
2 year4.77200
3 year4.52030
5 year4.25415
10 year4.09720
30 year3.84155

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.168233.232833.31300
3 year2.969293.029403.10500
5 year2.771172.828172.89100
10 year2.733172.767502.79500
30 year2.639172.590502.51100

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JPY

OIS

 Anl Mny / TONA
3 month0.11375
6 month0.15438
1 year0.24125
2 year0.38375
3 year0.47813
5 year0.61750
10 year0.98125
30 year1.67313

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GBP

OIS

 Anl Mny / SONIA
3 month5.13620
3 year4.28400
5 year3.99700
10 year3.87300
30 year3.90920

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CHF

OIS

 Anl Mny / SONIA
3 month1.33000
6 month1.26825
1 year1.19501
2 year1.13246

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.25563
3 year*4.17125
5 year4.32958
10 year4.54700
30 year4.52000

OIS

 Qtly Mny / AONIA
3 month4.34500
6 month4.39178
1 year4.41480
2 year4.23800
3 year4.07625
5 year4.07083
10 year4.30200
30 year4.21625

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.603504.63100
3 year4.323004.35050
5 year4.024004.05150
10 year3.971753.99800
30 year3.822483.84850

OIS

 Sml Mny / CORRA
3 month4.92650
6 month4.83500
1 year4.68500
2 year4.29600
10 year3.67728
30 year3.53400

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year4.21875
3 year4.04625
5 year3.90125
10 year3.89625

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.39500
3 year3.20200
5 year2.99900
10 year2.89600

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.35500
3 year4.18000
5 year3.99000
10 year3.94000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year6.55480
3 year6.42917
5 year6.41000
10 year6.56333

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.29000
3 year9.86500
5 year9.44500
10 year9.29000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.58383
3 year4.35583
5 year4.09130
10 year3.88817

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NZD

IRS

 Sml Mny / 3M Bills
2 year5.00250
3 year4.73800
5 year4.53000
10 year4.59500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.43500
3 year5.18625
5 year5.02875
10 year5.12875

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.26433
3 year3.03583
5 year2.81150
10 year2.75100
30 year2.50700

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.28100
3 year8.32375
5 year8.68125
10 year9.82083

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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