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.

Jump to a currency

For Business Date Sep 26, 2023

USD

OIS

 Anl Mny / FEDFUND
1 year5.46200
2 year5.00270
3 year4.65900
5 year4.36000
10 year4.21700
30 year3.94150

Back to top

EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year3.651973.717533.80403
3 year3.433963.495253.57425
5 year3.269923.319003.38150
10 year3.308543.323003.34100
30 year3.220213.148503.06550

Back to top

JPY

OIS

 Anl Mny / TONA
3 month-0.04000
6 month-0.00844
1 year0.06000
2 year0.21875
3 year0.35125
5 year0.54688
10 year0.93000
30 year1.48313

Back to top

GBP

OIS

 Anl Mny / SONIA
3 month5.27970
3 year4.80700
5 year4.48000
10 year4.23400
30 year4.11500

Back to top

CHF

OIS

 Anl Mny / SONIA
3 month1.70325
6 month1.74250
1 year1.77400
2 year1.70900

Back to top

AUD

IRS

 Sml Mny / 6M Bills
2 year*4.30336
3 year*4.22500
5 year4.40083
10 year4.65750
30 year4.52250

OIS

 Qtly Mny / AONIA
3 month4.16250
6 month4.23900
1 year4.33350
2 year4.25653
3 year4.07125
5 year4.08333
10 year4.34438
30 year4.14375

* Quoted Qtly Mny / 3M Bills

Back to top

CAD

IRS

 Sml Mny / 1M CADORSml Mny / 3M CADOR
2 year5.398175.42900
3 year5.106295.13500
5 year4.687494.71500
10 year4.477274.50400
30 year4.184824.21100

OIS

 Sml Mny / CORRA
3 month5.12916
6 month5.23317
1 year5.34200
2 year5.05130
3 year4.77633
5 year4.37140
10 year4.17025
30 year3.88623

Back to top

CZK

IRS

 Anl Mny / 6M PRIBOR
2 year5.35500
3 year4.89625
5 year4.56250
10 year4.44250

Back to top

DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.94000
3 year3.71500
5 year3.53400
10 year3.49100

Back to top

HKD

IRS

 Qtl Mny / 3M HIBOR
2 year4.95000
3 year4.72000
5 year4.58000
10 year4.48000

Back to top

HUF

IRS

 Anl Bnd / 6M BUBOR
2 year8.84375
3 year7.97375
5 year7.30625
10 year7.10625

Back to top

MXN

IRS

 28D Mny / 28D TIIE
2 year10.63000
3 year10.10250
5 year9.61250
10 year9.52000

Back to top

NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.94367
3 year4.72767
5 year4.46000
10 year4.24633

Back to top

NZD

IRS

 Sml Mny / 3M Bills
2 year5.70000
3 year5.44500
5 year5.17500
10 year5.09250

Back to top

PLN

IRS

 Anl Bnd / 6M WIBOR
2 year4.54625
3 year4.41000
5 year4.44500
10 year4.84500

Back to top

SEK

IRS

 Anl Bnd / 3M STIBOR
2 year4.06967
3 year3.85733
5 year3.60300
10 year3.45450
30 year3.08317

Back to top

ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year8.41100
3 year8.45458
5 year8.82450
10 year9.85900

Back to top

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