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 26, 2023

USD

OIS

	Anl Mny / FEDFUND
1 year	5.46200
2 year	5.00270
3 year	4.65900
5 year	4.36000
10 year	4.21700
30 year	3.94150

EUR

IRS

	Anl Bnd / 1MEURIBOR	Anl Bnd / 3MEURIBOR	Anl Bnd / 6MEURIBOR
2 year	3.65197	3.71753	3.80403
3 year	3.43396	3.49525	3.57425
5 year	3.26992	3.31900	3.38150
10 year	3.30854	3.32300	3.34100
30 year	3.22021	3.14850	3.06550

JPY

OIS

	Anl Mny / TONA
3 month	-0.04000
6 month	-0.00844
1 year	0.06000
2 year	0.21875
3 year	0.35125
5 year	0.54688
10 year	0.93000
30 year	1.48313

GBP

OIS

	Anl Mny / SONIA
3 month	5.27970
3 year	4.80700
5 year	4.48000
10 year	4.23400
30 year	4.11500

CHF

OIS

	Anl Mny / SONIA
3 month	1.70325
6 month	1.74250
1 year	1.77400
2 year	1.70900

AUD

IRS

	Sml Mny / 6M Bills
2 year*	4.30336
3 year*	4.22500
5 year	4.40083
10 year	4.65750
30 year	4.52250

OIS

	Qtly Mny / AONIA
3 month	4.16250
6 month	4.23900
1 year	4.33350
2 year	4.25653
3 year	4.07125
5 year	4.08333
10 year	4.34438
30 year	4.14375

* Quoted Qtly Mny / 3M Bills

CAD

IRS

	Sml Mny / 1M CADOR	Sml Mny / 3M CADOR
2 year	5.39817	5.42900
3 year	5.10629	5.13500
5 year	4.68749	4.71500
10 year	4.47727	4.50400
30 year	4.18482	4.21100

OIS

	Sml Mny / CORRA
3 month	5.12916
6 month	5.23317
1 year	5.34200
2 year	5.05130
3 year	4.77633
5 year	4.37140
10 year	4.17025
30 year	3.88623

CZK

IRS

	Anl Mny / 6M PRIBOR
2 year	5.35500
3 year	4.89625
5 year	4.56250
10 year	4.44250

DKK

IRS

	Anl Bnd / 6M CIBOR
2 year	3.94000
3 year	3.71500
5 year	3.53400
10 year	3.49100

HKD

IRS

	Qtl Mny / 3M HIBOR
2 year	4.95000
3 year	4.72000
5 year	4.58000
10 year	4.48000

HUF

IRS

	Anl Bnd / 6M BUBOR
2 year	8.84375
3 year	7.97375
5 year	7.30625
10 year	7.10625

MXN

IRS

	28D Mny / 28D TIIE
2 year	10.63000
3 year	10.10250
5 year	9.61250
10 year	9.52000

NOK

IRS

	Anl Bnd / 6M NIBOR
2 year	4.94367
3 year	4.72767
5 year	4.46000
10 year	4.24633

NZD

IRS

	Sml Mny / 3M Bills
2 year	5.70000
3 year	5.44500
5 year	5.17500
10 year	5.09250

PLN

IRS

	Anl Bnd / 6M WIBOR
2 year	4.54625
3 year	4.41000
5 year	4.44500
10 year	4.84500

SEK

IRS

	Anl Bnd / 3M STIBOR
2 year	4.06967
3 year	3.85733
5 year	3.60300
10 year	3.45450
30 year	3.08317

ZAR

IRS

	Qtl Bnd / 3M JIBAR
2 year	8.41100
3 year	8.45458
5 year	8.82450
10 year	9.85900

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