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 Jun 27, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year5.02600
2 year4.55300
3 year4.26870
5 year3.98600
10 year3.82900
30 year3.58100

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.046933.134813.19725
3 year2.878052.960623.01813
5 year2.730502.808002.85450
10 year2.742002.789502.80600
30 year2.614002.574002.51500

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JPY

OIS

 Anl Mny / TONA
3 month0.12500
6 month0.18469
1 year0.28500
2 year0.43500
3 year0.53938
5 year0.69063
10 year1.04688
30 year1.71188

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GBP

OIS

 Anl Mny / SONIA
3 month5.12887
3 year4.27200
5 year3.97800
10 year3.84300
30 year3.89200

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CHF

OIS

 Anl Mny / SONIA
3 month1.18390
6 month1.10438
1 year1.01548
2 year0.91428

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.41194
3 year*4.32063
5 year4.44267
10 year4.59350
30 year4.51063

OIS

 Qtly Mny / AONIA
3 month4.42000
6 month4.49383
1 year4.54200
2 year4.38515
3 year4.22688
5 year4.18767
10 year4.35095
30 year4.20438

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.259504.29200
3 year3.998004.02550
5 year3.710503.73800
10 year3.699253.72550
30 year3.619083.64500

OIS

 Sml Mny / CORRA
3 month4.69650
6 month4.60549
1 year4.41571
2 year3.96960
10 year3.40045
30 year3.32100

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year4.10000
3 year3.96000
5 year3.85250
10 year3.88250

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.30040
3 year3.14500
5 year3.00500
10 year2.95680

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.25500
3 year4.04000
5 year3.83000
10 year3.74000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year6.40000
3 year6.30333
5 year6.28167
10 year6.48000

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.38000
3 year9.98500
5 year9.59500
10 year9.44500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.44258
3 year4.19252
5 year3.95094
10 year3.78600

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NZD

IRS

 Sml Mny / 3M Bills
2 year4.96000
3 year4.67500
5 year4.45500
10 year4.50000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.34500
3 year5.09625
5 year4.95750
10 year5.09750

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year2.92467
3 year2.72733
5 year2.58333
10 year2.58925
30 year2.33033

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.93033
3 year7.95083
5 year8.25915
10 year9.29915

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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