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 Nov 28, 2023

USD

OIS

	Anl Mny / FEDFUND
1 year	5.16130
2 year	4.55600
3 year	4.21400
5 year	3.96975
10 year	3.92300
30 year	3.77150

EUR

IRS

	Anl Bnd / 1MEURIBOR	Anl Bnd / 3MEURIBOR	Anl Bnd / 6MEURIBOR
2 year	3.24323	3.31917	3.41668
3 year	2.99667	3.06850	3.15900
5 year	2.84508	2.90650	2.98300
10 year	2.92708	2.95900	2.98700
30 year	2.90604	2.85137	2.78038

JPY

OIS

	Anl Mny / TONA
3 month	-0.01125
6 month	0.01250
1 year	0.08063
2 year	0.23625
3 year	0.36813
5 year	0.57313
10 year	0.98875
30 year	1.56750

GBP

OIS

	Anl Mny / SONIA
3 month	5.23700
3 year	4.49350
5 year	4.18780
10 year	3.98620
30 year	3.90920

CHF

OIS

	Anl Mny / SONIA
3 month	1.69000
6 month	1.67200
1 year	1.59600
2 year	1.34750

AUD

IRS

	Sml Mny / 6M Bills
2 year*	4.43281
3 year*	4.36000
5 year	4.54842
10 year	4.80167
30 year	4.71938

OIS

	Qtly Mny / AONIA
3 month	4.39050
6 month	4.46600
1 year	4.53900
2 year	4.39700
3 year	4.22250
5 year	4.25217
10 year	4.51417
30 year	4.36525

* Quoted Qtly Mny / 3M Bills

CAD

IRS

	Sml Mny / 1M CADOR	Sml Mny / 3M CADOR
2 year	4.64533	4.67700
3 year	4.31867	4.34700
5 year	3.96682	3.99400
10 year	3.91400	3.94150
30 year	3.72298	3.74900

OIS

	Sml Mny / CORRA
3 month	5.02756
6 month	4.98500
1 year	4.81000
2 year	4.30220
3 year	3.99333
5 year	3.65340
10 year	3.61025
30 year	3.42473

CZK

IRS

	Anl Mny / 6M PRIBOR
2 year	4.99375
3 year	4.50875
5 year	4.14750
10 year	4.08375

DKK

IRS

	Anl Bnd / 6M CIBOR
2 year	3.56005
3 year	3.33000
5 year	3.16760
10 year	3.16250

HKD

IRS

	Qtl Mny / 3M HIBOR
2 year	4.58000
3 year	4.31000
5 year	4.11000
10 year	4.05000

HUF

IRS

	Anl Bnd / 6M BUBOR
2 year	7.76333
3 year	7.18667
5 year	6.80500
10 year	6.77167

MXN

IRS

	28D Mny / 28D TIIE
2 year	9.92250
3 year	9.34625
5 year	8.83500
10 year	8.81750

NOK

IRS

	Anl Bnd / 6M NIBOR
2 year	4.42917
3 year	4.15367
5 year	3.87667
10 year	3.72450

NZD

IRS

	Sml Mny / 3M Bills
2 year	5.16500
3 year	4.92750
5 year	4.74250
10 year	4.80000

PLN

IRS

	Anl Bnd / 6M WIBOR
2 year	5.21000
3 year	4.94375
5 year	4.76875
10 year	4.88250

SEK

IRS

	Anl Bnd / 3M STIBOR
2 year	3.59000
3 year	3.30067
5 year	3.04000
10 year	2.95100
30 year	2.67567

ZAR

IRS

	Qtl Bnd / 3M JIBAR
2 year	7.79675
3 year	7.73750
5 year	8.08325
10 year	9.23450

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