SwapClear Monthly RFR Volumes
CAD Relative Registration DV01 Volumes (CORRA, CDOR)
Monthly Registration Volume (USD BN)
Month | Tenor Bucket | AONIA | CORRA | DESTR | €STR | HONIA | NOWA | NZONIA | SOFR | SWESTR | SHIR | WIRON |
Apr 2024 | 0-2 Yrs | 4,759 | 1,583 | 4 | 24,764 | 83 | 1,104 | 9,596 | 56 | |||
2-5 Yrs | 41 | 503 | 5 | 2,280 | 0.46 | 0.47 | 5,458 | |||||
5-10 Yrs | 2 | 184 | 0.39 | 2,929 | 0.07 | 4,461 | ||||||
10+ Yrs | 2 | 56 | 1,205 | 2,880 | ||||||||
Total | 4,804 | 2,326 | 9 | 31,178 | 84 | 1,104 | 22,395 | 56 | ||||
Mar 2024 | 0-2 Yrs | 3,217 | 1,617 | 2 | 19,023 | 0.03 | 60 | 731 | 7,861 | 62 | 2 | |
2-5 Yrs | 24 | 462 | 3 | 2,007 | 0.48 | 2 | 5,573 | |||||
5-10 Yrs | 2 | 259 | 0.66 | 1,490 | 3,529 | |||||||
10+ Yrs | 0.35 | 86 | 0.26 | 643 | 2,063 | |||||||
Total | 3,243 | 2,424 | 6 | 23,162 | 0.03 | 60 | 733 | 19,026 | 62 | 2 | ||
Feb 2024 | 0-2 Yrs | 2,703 | 1,594 | 9 | 21,264 | 0.15 | 46 | 1,240 | 10,055 | 12 | ||
2-5 Yrs | 27 | 294 | 4 | 2,519 | 7,237 | |||||||
5-10 Yrs | 2 | 216 | 0.07 | 3,142 | 0.07 | 5,801 | ||||||
10+ Yrs | 0.78 | 59 | 841 | 2,571 | ||||||||
Total | 2,733 | 2,163 | 13 | 27,767 | 0.15 | 46 | 1,240 | 25,664 | 12 | |||
Jan 2024 | 0-2 Yrs | 3,429 | 1,711 | 12 | 34,576 | 71 | 707 | 10,786 | 0.29 | 0.00 | ||
2-5 Yrs | 9 | 475 | 7 | 3,323 | 0.10 | 7,962 | ||||||
5-10 Yrs | 3 | 256 | 2 | 4,568 | 6,353 | |||||||
10+ Yrs | 1 | 80 | 0.02 | 1,482 | 2,834 | |||||||
Total | 3,441 | 2,521 | 22 | 43,948 | 71 | 707 | 27,935 | 0.29 | 0.00 | |||
Dec 2023 | 0-2 Yrs | 2,614 | 867 | 6 | 13,706 | 0.82 | 105 | 416 | 8,694 | 0.04 | ||
2-5 Yrs | 14 | 285 | 7 | 1,410 | 0.83 | 4,857 | 0.01 | |||||
5-10 Yrs | 5 | 202 | 0.07 | 875 | 3,133 | |||||||
10+ Yrs | 1 | 62 | 341 | 2,107 | ||||||||
Total | 2,635 | 1,415 | 13 | 16,333 | 0.82 | 105 | 417 | 18,791 | 0.04 | 0.01 | ||
Nov 2023 | 0-2 Yrs | 4,944 | 1,151 | 5 | 12,175 | 77 | 616 | 10,042 | 12 | 0.01 | ||
2-5 Yrs | 19 | 423 | 3 | 2,714 | 0.40 | 7,775 | ||||||
5-10 Yrs | 3 | 278 | 0.22 | 4,303 | 0.04 | 6,343 | ||||||
10+ Yrs | 0.62 | 90 | 0.46 | 1,010 | 0.01 | 2,650 | ||||||
Total | 4,966 | 1,940 | 9 | 20,202 | 77 | 616 | 26,810 | 12 | 0.01 | |||
Oct 2023 | 0-2 Yrs | 4,637 | 1,940 | 3 | 16,460 | 50 | 483 | 9,262 | 12 | |||
2-5 Yrs | 20 | 455 | 2 | 2,484 | 0.31 | 0.07 | 5,451 | |||||
5-10 Yrs | 9 | 259 | 2,782 | 0.03 | 0.06 | 5,723 | ||||||
10+ Yrs | 2 | 89 | 1 | 901 | 0.02 | 3,051 | ||||||
Total | 4,667 | 2,742 | 7 | 22,626 | 51 | 483 | 23,487 | 12 | ||||
Sep 2023 | 0-2 Yrs | 3,312 | 1,159 | 2 | 27,195 | 73 | 271 | 7,587 | 24 | |||
2-5 Yrs | 9 | 457 | 2 | 1,791 | 0.52 | 0.46 | 4,192 | |||||
5-10 Yrs | 0.88 | 220 | 0.22 | 1,661 | 0.05 | 3,343 | ||||||
10+ Yrs | 1 | 74 | 0.87 | 545 | 0.03 | 2,138 | ||||||
Total | 3,324 | 1,910 | 5 | 31,191 | 73 | 271 | 17,259 | 24 | ||||
Aug 2023 | 0-2 Yrs | 2,811 | 812 | 2 | 15,159 | 0.52 | 104 | 680 | 9,532 | 4 | ||
2-5 Yrs | 41 | 362 | 2 | 2,061 | 7 | 6,797 | ||||||
5-10 Yrs | 2 | 160 | 2,216 | 7 | 5,133 | |||||||
10+ Yrs | 0.76 | 53 | 2 | 765 | 2,554 | |||||||
Total | 2,855 | 1,387 | 6 | 20,200 | 0.52 | 104 | 695 | 24,016 | 4 | |||
Jul 2023 | 0-2 Yrs | 3,791 | 1,356 | 3 | 14,587 | 30 | 660 | 7,603 | 0.00 | |||
2-5 Yrs | 12 | 396 | 0.56 | 1,008 | 10 | 4,272 | ||||||
5-10 Yrs | 7 | 174 | 734 | 5 | 3,390 | |||||||
10+ Yrs | 0.39 | 51 | 0.43 | 348 | 2,186 | |||||||
Total | 3,811 | 1,976 | 4 | 16,678 | 30 | 675 | 17,452 | 0.00 | ||||
Jun 2023 | 0-2 Yrs | 5,538 | 1,900 | 2 | 17,109 | 88 | 1,270 | 9,698 | 17 | |||
2-5 Yrs | 18 | 338 | 0.51 | 1,901 | 0.46 | 0.87 | 4,564 | |||||
5-10 Yrs | 6 | 176 | 0.47 | 1,665 | 0.09 | 3,178 | ||||||
10+ Yrs | 12 | 62 | 0.06 | 412 | 1,981 | |||||||
Total | 5,574 | 2,476 | 3 | 21,086 | 88 | 1,271 | 19,421 | 17 | ||||
May 2023 | 0-2 Yrs | 4,487 | 1,870 | 1 | 15,337 | 37 | 679 | 7,699 | 2 | |||
2-5 Yrs | 23 | 209 | 2 | 1,583 | 20 | 5,389 | ||||||
5-10 Yrs | 8 | 111 | 778 | 10 | 4,551 | |||||||
10+ Yrs | 0.53 | 43 | 0.56 | 395 | 2,125 | |||||||
Total | 4,519 | 2,233 | 4 | 18,093 | 37 | 708 | 19,764 | 2 |
Figures are rounded to the nearest billion and include OIS and Basis Swaps only.
Notional amounts outstanding at month end (USD BN)
Month | Tenor Bucket | AONIA | CORRA | DESTR | €STR | HONIA | NOWA | NZONIA | SOFR | SWESTR | SHIR | WIRON |
Apr 2024 | 0-2 Yrs | 9,525 | 5,806 | 51 | 38,727 | 0.39 | 246 | 2,572 | 49,009 | 78 | 2 | |
2-5 Yrs | 179 | 2,601 | 23 | 4,898 | 0.52 | 13 | 29,214 | |||||
5-10 Yrs | 60 | 1,087 | 7 | 4,625 | 0.02 | 0.16 | 9 | 19,792 | ||||
10+ Yrs | 24 | 194 | 0.02 | 2,456 | 0.01 | 0.02 | 11,187 | |||||
Total | 9,788 | 9,688 | 80 | 50,706 | 0.41 | 246 | 2,594 | 109,203 | 78 | 2 | ||
Mar 2024 | 0-2 Yrs | 6,934 | 5,461 | 50 | 37,501 | 0.39 | 206 | 2,559 | 46,778 | 58 | 2 | |
2-5 Yrs | 164 | 2,409 | 25 | 4,461 | 0.19 | 13 | 28,202 | |||||
5-10 Yrs | 60 | 1,033 | 7 | 3,572 | 0.02 | 0.17 | 9 | 18,817 | ||||
10+ Yrs | 24 | 171 | 0.02 | 2,025 | 0.01 | 0.02 | 10,631 | |||||
Total | 7,182 | 9,073 | 82 | 47,559 | 0.41 | 206 | 2,581 | 104,428 | 58 | 2 | ||
Feb 2024 | 0-2 Yrs | 8,195 | 5,607 | 50 | 39,910 | 0.36 | 207 | 2,900 | 48,549 | 15 | 0.01 | |
2-5 Yrs | 162 | 2,303 | 22 | 5,025 | 0.16 | 13 | 29,787 | |||||
5-10 Yrs | 60 | 991 | 6 | 3,635 | 0.02 | 0.17 | 9 | 20,293 | ||||
10+ Yrs | 24 | 193 | 0.02 | 2,049 | 0.01 | 0.02 | 11,087 | |||||
Total | 8,440 | 9,094 | 78 | 50,619 | 0.38 | 208 | 2,922 | 109,715 | 15 | 0.01 | ||
Jan 2024 | 0-2 Yrs | 8,459 | 4,578 | 41 | 40,536 | 0.29 | 181 | 2,116 | 48,387 | 10 | 0.01 | |
2-5 Yrs | 151 | 2,158 | 19 | 4,662 | 0.16 | 13 | 28,537 | |||||
5-10 Yrs | 62 | 898 | 6 | 3,888 | 0.02 | 0.11 | 10 | 19,758 | ||||
10+ Yrs | 24 | 173 | 0.02 | 2,068 | 0.01 | 0.02 | 11,213 | |||||
Total | 8,696 | 7,806 | 66 | 51,154 | 0.30 | 181 | 2,139 | 107,895 | 10 | 0.01 | ||
Dec 2023 | 0-2 Yrs | 6,403 | 4,366 | 27 | 27,310 | 1 | 225 | 1,650 | 46,255 | 10 | 0.01 | |
2-5 Yrs | 150 | 2,022 | 18 | 4,162 | 0.16 | 14 | 28,140 | |||||
5-10 Yrs | 63 | 858 | 5 | 3,081 | 0.02 | 0.11 | 10 | 19,015 | ||||
10+ Yrs | 24 | 154 | 1,868 | 0.01 | 0.03 | 10,922 | ||||||
Total | 6,640 | 7,400 | 50 | 36,421 | 1 | 226 | 1,674 | 104,332 | 10 | 0.01 | ||
Nov 2023 | 0-2 Yrs | 10,021 | 5,316 | 19 | 32,209 | 0.29 | 227 | 1,981 | 47,955 | 40 | 0.01 | |
2-5 Yrs | 161 | 1,889 | 14 | 4,657 | 0.40 | 21 | 29,009 | |||||
5-10 Yrs | 68 | 798 | 6 | 4,109 | 0.02 | 0.10 | 12 | 20,128 | ||||
10+ Yrs | 26 | 176 | 2,058 | 0.01 | 0.02 | 11,282 | ||||||
Total | 10,276 | 8,179 | 39 | 43,033 | 0.30 | 227 | 2,014 | 108,373 | 40 | 0.01 | ||
Oct 2023 | 0-2 Yrs | 9,001 | 4,480 | 13 | 35,868 | 0.29 | 197 | 1,589 | 46,820 | 26 | ||
2-5 Yrs | 144 | 1,606 | 13 | 4,455 | 0.39 | 20 | 27,187 | |||||
5-10 Yrs | 65 | 614 | 3 | 3,190 | 0.02 | 0.08 | 11 | 19,239 | ||||
10+ Yrs | 25 | 141 | 2 | 1,856 | 0.02 | 11,077 | ||||||
Total | 9,236 | 6,841 | 31 | 45,370 | 0.30 | 198 | 1,621 | 104,322 | 26 | |||
Sep 2023 | 0-2 Yrs | 7,766 | 4,284 | 12 | 33,550 | 0.26 | 178 | 1,801 | 45,602 | 16 | ||
2-5 Yrs | 140 | 1,470 | 11 | 3,853 | 0.03 | 0.19 | 26 | 27,153 | ||||
5-10 Yrs | 64 | 519 | 2 | 3,080 | 0.02 | 0.06 | 12 | 18,998 | ||||
10+ Yrs | 26 | 110 | 2 | 1,841 | 10,781 | |||||||
Total | 7,995 | 6,383 | 27 | 42,324 | 0.30 | 179 | 1,838 | 102,533 | 16 | |||
Aug 2023 | 0-2 Yrs | 9,217 | 4,490 | 10 | 33,925 | 0.26 | 209 | 1,937 | 46,609 | 15 | ||
2-5 Yrs | 143 | 1,220 | 10 | 4,130 | 0.03 | 0.04 | 30 | 28,227 | ||||
5-10 Yrs | 65 | 444 | 1 | 3,094 | 0.02 | 0.06 | 12 | 19,437 | ||||
10+ Yrs | 25 | 102 | 1 | 1,790 | 10,725 | |||||||
Total | 9,451 | 6,255 | 23 | 42,938 | 0.30 | 209 | 1,979 | 104,999 | 15 | |||
Jul 2023 | 0-2 Yrs | 10,316 | 4,007 | 9 | 34,928 | 187 | 2,071 | 45,433 | 17 | |||
2-5 Yrs | 114 | 1,002 | 8 | 4,005 | 0.03 | 0.04 | 19 | 27,075 | ||||
5-10 Yrs | 66 | 361 | 0.72 | 2,814 | 0.02 | 0.06 | 12 | 18,814 | ||||
10+ Yrs | 26 | 80 | 0.43 | 1,726 | 10,518 | |||||||
Total | 10,523 | 5,450 | 18 | 43,474 | 0.04 | 187 | 2,103 | 101,840 | 17 | |||
Jun 2023 | 0-2 Yrs | 9,875 | 4,693 | 7 | 29,752 | 163 | 1,885 | 47,540 | 31 | |||
2-5 Yrs | 106 | 808 | 7 | 4,148 | 0.03 | 0.04 | 12 | 27,496 | ||||
5-10 Yrs | 61 | 302 | 0.86 | 3,073 | 0.02 | 0.06 | 7 | 18,976 | ||||
10+ Yrs | 26 | 71 | 1,655 | 10,324 | ||||||||
Total | 10,069 | 5,874 | 15 | 38,628 | 0.04 | 164 | 1,904 | 104,335 | 31 | |||
May 2023 | 0-2 Yrs | 9,862 | 4,757 | 5 | 34,148 | 160 | 1,230 | 45,418 | 21 | |||
2-5 Yrs | 111 | 565 | 7 | 4,574 | 0.03 | 0.04 | 25 | 28,571 | ||||
5-10 Yrs | 63 | 223 | 0.75 | 3,174 | 0.02 | 0.05 | 13 | 19,544 | ||||
10+ Yrs | 18 | 57 | 0.11 | 1,674 | 10,400 | |||||||
Total | 10,054 | 5,602 | 12 | 43,571 | 0.04 | 160 | 1,268 | 103,933 | 21 |
Figures are rounded to the nearest billion and include OIS and Basis Swaps only.