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 Jul 25, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year4.73600
2 year4.23400
3 year3.98700
5 year3.79100
10 year3.74600
30 year3.60900

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year2.799782.910082.97513
3 year2.646112.744592.80450
5 year2.550582.631082.68125
10 year2.617502.665502.69200
30 year2.549232.522332.47950

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JPY

OIS

 Anl Mny / TONA
3 month0.16500
6 month0.22875
1 year0.32688
2 year0.46375
3 year0.55688
5 year0.67813
10 year0.98250
30 year1.63875

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GBP

OIS

 Anl Mny / SONIA
3 month5.06993
3 year4.12300
5 year3.88800
10 year3.82830
30 year3.94900

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CHF

OIS

 Anl Mny / SONIA
3 month1.12000
6 month1.00995
1 year0.88125
2 year0.79843

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AUD

IRS

 Sml Mny / 6M Bills
2 year*4.12440
3 year*3.99813
5 year4.16950
10 year4.39925
30 year4.41000

OIS

 Qtly Mny / AONIA
3 month4.40500
6 month4.42017
1 year4.36937
2 year4.12965
3 year3.89438
5 year3.85777
10 year4.11947
30 year4.08215

* Quoted Qtly Mny / 3M Bills

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CAD

OIS

 Sml Mny / CORRA
3 month4.44415
6 month4.31501
1 year4.07100
2 year3.61840
10 year3.29803
30 year3.34550

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year3.69938
3 year3.55000
5 year3.46250
10 year3.55625

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year3.05550
3 year2.91200
5 year2.81710
10 year2.83450

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year3.80000
3 year3.59000
5 year3.43000
10 year3.48000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year5.95000
3 year5.80833
5 year5.81000
10 year6.07000

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MXN

IRS

 28D Mny / 28D TIIE
2 year10.21000
3 year9.81300
5 year9.46500
10 year9.39500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.25095
3 year3.98873
5 year3.76663
10 year3.68067

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NZD

IRS

 Sml Mny / 3M Bills
2 year4.21400
3 year3.97625
5 year3.91000
10 year4.14500

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.33000
3 year5.03625
5 year4.88000
10 year4.97000

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year2.63767
3 year2.45800
5 year2.35200
10 year2.43850
30 year2.23467

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.56000
3 year7.54968
5 year7.84655
10 year8.91000

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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