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 Apr 18, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year5.22135
2 year4.88300
3 year4.65600
5 year4.40090
10 year4.22600
30 year3.92900

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.157363.228673.30850
3 year2.959613.023503.09950
5 year2.767502.825502.88950
10 year2.746002.772002.79750
30 year2.627002.574002.49400

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JPY

OIS

 Anl Mny / TONA
3 month0.09500
6 month0.14094
1 year0.23125
2 year0.37625
3 year0.47125
5 year0.61125
10 year0.96625
30 year1.63438

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GBP

OIS

 Anl Mny / SONIA
3 month5.19647
3 year4.48210
5 year4.17500
10 year3.99400
30 year3.97760

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CHF

OIS

 Anl Mny / SONIA
3 month1.37440
6 month1.29250
1 year1.17285
2 year1.08634

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.16290
3 year*4.08500
5 year4.27867
10 year4.52250
30 year4.47750

OIS

 Qtly Mny / AONIA
3 month4.31500
6 month4.31050
1 year4.27800
2 year4.11915
3 year3.97250
5 year3.99367
10 year4.26125
30 year4.16125

* Quoted Qtly Mny / 3M Bills

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CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year4.633584.66400
3 year4.382084.41000
5 year4.100824.12800
10 year4.068754.09500
30 year3.979984.00600

OIS

 Sml Mny / CORRA
3 month4.96133
6 month4.85250
1 year4.69500
2 year4.32940
10 year3.77343
30 year3.68400

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year4.25500
3 year4.13500
5 year4.07750
10 year4.10500

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.41565
3 year3.22650
5 year3.03900
10 year2.94050

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.41000
3 year4.26000
5 year4.10000
10 year4.04000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year7.10620
3 year7.03833
5 year6.98000
10 year7.08000

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.36000
3 year9.95500
5 year9.58500
10 year9.44500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.69956
3 year4.49096
5 year4.21756
10 year4.00375

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NZD

IRS

 Sml Mny / 3M Bills
2 year5.12250
3 year4.88500
5 year4.68750
10 year4.73500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.54000
3 year5.36375
5 year5.28125
10 year5.40000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year3.39533
3 year3.17967
5 year2.96317
10 year2.88200
30 year2.65333

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.37850
3 year8.47333
5 year8.91208
10 year10.09200

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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