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
May 2024 0-2 Yrs 6,076 1,889 13 17,101   107 1,416 12,384 17    
2-5 Yrs 40 464 6 1,387   0.47 0.19 8,156      
5-10 Yrs 3 209 0.09 1,534       4,495      
10+ Yrs 1 96 0.02 917       2,726      
Total 6,121 2,658 19 20,940   108 1,416 27,762 17    
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    

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
May 2024 0-2 Yrs 11,972 6,974 69 40,298 0.39 318 3,076 49,515 71 2  
2-5 Yrs 200 2,761 22 4,841   0.99 13 30,159      
5-10 Yrs 61 1,171 7 3,564 0.02 0.17 8 19,930      
10+ Yrs 25 231 0.02 2,370   0.01 0.02 11,329      
Total 12,258 11,137 98 51,073 0.41 319 3,097 110,932 71 2  
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    

Figures are rounded to the nearest billion and include OIS and Basis Swaps only.