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 2, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year5.19100
2 year4.80100
3 year4.56100
5 year4.31200
10 year4.16500
30 year3.90700

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.205253.278153.36170
3 year3.014433.079613.15775
5 year2.814582.868752.93575
10 year2.773582.800752.83025
30 year2.635082.583252.50625

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JPY

OIS

 Anl Mny / TONA
3 month0.10250
6 month0.14188
1 year0.22688
2 year0.37125
3 year0.46688
5 year0.61125
10 year0.97688
30 year1.67063

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GBP

OIS

 Anl Mny / SONIA
3 month5.17747
3 year4.46150
5 year4.17500
10 year4.02000
30 year4.02910

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CHF

OIS

 Anl Mny / SONIA
3 month1.36250
6 month1.29440
1 year1.20399
2 year1.14368

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.33506
3 year*4.26063
5 year4.44125
10 year4.66417
30 year4.61813

OIS

 Qtly Mny / AONIA
3 month4.36300
6 month4.42123
1 year4.46033
2 year4.31450
3 year4.15438
5 year4.17000
10 year4.41307
30 year4.31063

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.598504.62850
3 year4.341504.36900
5 year4.046824.07400
10 year4.020754.04700
30 year3.916483.94250

OIS

 Sml Mny / CORRA
3 month4.91802
6 month4.81750
1 year4.66500
2 year4.29500
10 year3.72308
30 year3.62050

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year4.46438
3 year4.28500
5 year4.15500
10 year4.13250

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.48300
3 year3.30400
5 year3.09300
10 year2.98450

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.51000
3 year4.34000
5 year4.17000
10 year4.11000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year6.89583
3 year6.81833
5 year6.82000
10 year6.92333

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.27500
3 year9.86000
5 year9.46000
10 year9.31500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.67140
3 year4.46960
5 year4.21464
10 year4.01550

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NZD

IRS

 Sml Mny / 3M Bills
2 year5.03500
3 year4.79400
5 year4.62250
10 year4.71250

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.55500
3 year5.34375
5 year5.21500
10 year5.31250

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.40433
3 year3.19350
5 year2.96500
10 year2.87550
30 year2.61933

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.35950
3 year8.43500
5 year8.81625
10 year9.98125

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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