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 Mar 27, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year4.99500
2 year4.48100
3 year4.19200
5 year3.92900
10 year3.79700
30 year3.58400

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year2.983163.054003.13850
3 year2.748132.812002.89050
5 year2.552672.602502.66600
10 year2.541752.562252.58525
30 year2.468672.408002.32800

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JPY

OIS

 Anl Mny / TONA
3 month0.07750
6 month0.10813
1 year0.18438
2 year0.30250
3 year0.38563
5 year0.51938
10 year0.86000
30 year1.48438

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GBP

OIS

 Anl Mny / SONIA
3 month5.17973
3 year4.11640
5 year3.81600
10 year3.66500
30 year3.68900

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CHF

OIS

 Anl Mny / SONIA
3 month1.41000
6 month1.32258
1 year1.17124
2 year1.05046

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AUD

IRS

 Sml Mny / 6M Bills
2 year*3.93406
3 year*3.82438
5 year3.99542
10 year4.24458
30 year4.21063

OIS

 Qtly Mny / AONIA
3 month4.32000
6 month4.28397
1 year4.16310
2 year3.88630
3 year3.70563
5 year3.70792
10 year3.97748
30 year3.89063

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.449584.48000
3 year4.136084.16400
5 year3.807823.83500
10 year3.758753.78500
30 year3.665983.69200

OIS

 Sml Mny / CORRA
3 month4.97368
6 month4.87567
1 year4.64500
2 year4.15090
3 year3.84275
5 year3.51375
10 year3.46375
30 year3.37075

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year3.91250
3 year3.71500
5 year3.61250
10 year3.70000

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.24910
3 year3.02400
5 year2.81600
10 year2.72875

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.26000
3 year4.05000
5 year3.88000
10 year3.85000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year6.72500
3 year6.52167
5 year6.40000
10 year6.52000

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MXN

IRS

 28D Mny / 28D TIIE
2 year9.76000
3 year9.23375
5 year8.82625
10 year8.73875

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.39283
3 year4.14533
5 year3.87983
10 year3.70067

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NZD

IRS

 Sml Mny / 3M Bills
2 year4.85000
3 year4.55000
5 year4.33000
10 year4.38500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.46000
3 year5.16875
5 year4.96375
10 year5.01125

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.18967
3 year2.93567
5 year2.70133
10 year2.63700
30 year2.43600

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.13375
3 year8.18343
5 year8.57875
10 year9.76125

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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