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 Aug 1, 2024

USD

OIS

 Anl Mny / FEDFUND
1 year4.51300
2 year3.94700
3 year3.69500
5 year3.50500
10 year3.48500
30 year3.40100

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EUR

IRS

 Anl Bnd / 1MEURIBORAnl Bnd / 3MEURIBORAnl Bnd / 6MEURIBOR
2 year2.643252.753712.82100
3 year2.485362.583562.64550
5 year2.393002.476002.52800
10 year2.469002.519002.54500
30 year2.441922.395252.34725

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JPY

OIS

 Anl Mny / TONA
3 month0.23375
6 month0.29406
1 year0.39750
2 year0.54250
3 year0.63063
5 year0.73375
10 year0.99813
30 year1.60625

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GBP

OIS

 Anl Mny / SONIA
3 month4.95013
3 year3.87770
5 year3.64600
10 year3.60110
30 year3.75710

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CHF

OIS

 Anl Mny / SONIA
3 month1.11250
6 month1.00475
1 year0.88040
2 year0.78062

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AUD

IRS

 Sml Mny / 6M Bills
2 year*3.93008
3 year*3.79375
5 year3.96075
10 year4.18308
30 year4.20875

OIS

 Qtly Mny / AONIA
3 month4.34400
6 month4.30923
1 year4.19287
2 year3.90735
3 year3.70000
5 year3.66871
10 year3.91931
30 year3.89401

* Quoted Qtly Mny / 3M Bills

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CAD

OIS

 Sml Mny / CORRA
3 month4.36550
6 month4.18008
1 year3.84500
2 year3.34940
10 year3.02833
30 year3.09400

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CZK

IRS

 Anl Mny / 6M PRIBOR
2 year3.52000
3 year3.37750
5 year3.27500
10 year3.36313

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DKK

IRS

 Anl Bnd / 6M CIBOR
2 year2.90100
3 year2.75000
5 year2.66200
10 year2.68000

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HKD

IRS

 Qtl Mny / 3M HIBOR
2 year3.66500
3 year3.44500
5 year3.27000
10 year3.30000

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HUF

IRS

 Anl Bnd / 6M BUBOR
2 year5.60583
3 year5.45000
5 year5.50167
10 year5.80167

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MXN

IRS

 28D Mny / 28D TIIE
2 year9.97500
3 year9.56500
5 year9.23250
10 year9.17500

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NOK

IRS

 Anl Bnd / 6M NIBOR
2 year4.09060
3 year3.81890
5 year3.59552
10 year3.53000

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NZD

IRS

 Sml Mny / 3M Bills
2 year4.19000
3 year3.93775
5 year3.83275
10 year4.01275

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PLN

IRS

 Anl Bnd / 6M WIBOR
2 year5.17250
3 year4.80500
5 year4.58250
10 year4.64125

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SEK

IRS

 Anl Bnd / 3M STIBOR
2 year2.51767
3 year2.33733
5 year2.22900
10 year2.30750
30 year2.11417

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ZAR

IRS

 Qtl Bnd / 3M JIBAR
2 year7.42838
3 year7.35000
5 year7.59905
10 year8.65375

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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
Europa 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