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 Sep 17, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year3.83163
2 year3.34438
3 year3.17800
5 year3.07273
10 year3.11328
30 year3.07195

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year2.334432.424562.47133
3 year2.222542.308662.35714
5 year2.209382.276382.31838
10 year2.356562.383562.40006
30 year2.374182.315512.26201

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JPY

OIS

 Anl Mny / TONA
3 month0.23751
6 month0.29001
1 year0.35625
2 year0.44650
3 year0.50438
5 year0.58500
10 year0.85000
30 year1.53313

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GBP

OIS

 Anl Mny / SONIA
3 month4.79797
3 year3.59540
5 year3.44100
10 year3.43200
30 year3.58900

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CHF

OIS

 Anl Mny / SONIA
3 month0.88000
6 month0.76142
1 year0.63140
2 year0.54120

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AUD

IRS

 Sml Mny / 6M Bills
2 year*3.55219
3 year*3.43892
5 year3.63058
10 year3.90333
30 year3.97817

OIS

 Qtly Mny / AONIA
3 month4.30065
6 month4.20607
1 year3.89240
2 year3.50350
3 year3.33267
5 year3.33783
10 year3.64389
30 year3.67197

* Quoted Qtly Mny / 3M Bills

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CAD

OIS

 Sml Mny / CORRA
3 month4.04846
6 month3.73385
1 year3.24871
2 year2.84324
10 year2.77850
30 year2.88512

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year3.22775
3 year3.11113
5 year3.08050
10 year3.24725

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year2.55224
3 year2.45763
5 year2.44276
10 year2.53489

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year2.98000
3 year2.83167
5 year2.74500
10 year2.85167

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year5.55500
3 year5.43833
5 year5.47833
10 year5.83333

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MXN

IRS

 28D Mny / 28D TIIE
2 year9.06500
3 year8.72500
5 year8.52640
10 year8.59000

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year3.75112
3 year3.54982
5 year3.42196
10 year3.38850

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NZD

IRS

 Sml Mny / 3M Bills
2 year3.62000
3 year3.46500
5 year3.49000
10 year3.78000

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year4.77233
3 year4.43204
5 year4.27817
10 year4.40200

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year2.11417
3 year2.03017
5 year2.03150
10 year2.18742
30 year2.10133

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.15000
3 year7.12165
5 year7.39000
10 year8.44875

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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