SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR
19/04/2024 0-2 Yrs 861 325 1 6,913   29 298 2,148 0.73  
2-5 Yrs 8 141   1,057   0.27   1,216    
5-10 Yrs 0.03 42 0.04 756       1,013    
10+ Yrs   12   180       702    
Total 869 520 1 8,905   29 298 5,079 0.73  
12/04/2024 0-2 Yrs 780 428 0.89 6,869   10 325 2,060 9  
2-5 Yrs 10 103 2 321       1,166    
5-10 Yrs 0.90 43 0.28 232   0.03   936    
10+ Yrs 0.63 14   111       685    
Total 791 588 3 7,533   10 325 4,848 9  
05/04/2024 0-2 Yrs 608 450 1 2,945   24 141 1,683 5  
2-5 Yrs 15 102 0.29 200   0.19   818    
5-10 Yrs 0.07 39   130       785    
10+ Yrs 1 14   121       584    
Total 624 606 1 3,396   24 141 3,870 5  
29/03/2024 0-2 Yrs 798 244 0.29 2,920   3 165 1,464 29 2
2-5 Yrs 4 99 0.72 199     0.68 833    
5-10 Yrs 0.34 48 0.14 224       553    
10+ Yrs   9 0.13 67       291    
Total 802 400 1 3,410   3 166 3,141 29 2
22/03/2024 0-2 Yrs 1,172 436 0.14 4,505   13 187 2,306 22  
2-5 Yrs 11 109 1 361     1 1,421    
5-10 Yrs 0.27 63 0.47 271       964    
10+ Yrs 0.14 22 0.13 109       522    
Total 1,183 630 2 5,246   13 188 5,213 22  
15/03/2024 0-2 Yrs 544 265 0.83 4,132 0.03 40 191 1,865 2 0.21
2-5 Yrs 8 104 0.15 439   0.26 0.41 1,154    
5-10 Yrs 0.15 74 0.06 320       847    
10+ Yrs 0.16 31   110       552    
Total 552 475 1 5,001 0.03 40 192 4,419 2 0.21
08/03/2024 0-2 Yrs 661 575 0.30 6,070   4 108 1,833 0.79  
2-5 Yrs 2 140 0.95 891   0.22 0.03 1,811    
5-10 Yrs 1 68   603       1,003    
10+ Yrs 0.04 21   337       589    
Total 664 805 1 7,902   5 108 5,237 0.79  
01/03/2024 0-2 Yrs 378 459 0.03 5,851 0.15 6 368 2,506 16  
2-5 Yrs 0.14 65 0.68 794       2,757    
5-10 Yrs   44   601   0.07   1,960    
10+ Yrs 0.01 11   141       669    
Total 378 579 0.71 7,388 0.15 6 368 7,892 16  
23/02/2024 0-2 Yrs 646 381 2 4,303   9 289 2,157 0.97  
2-5 Yrs 9 58 0.75 744       1,790    
5-10 Yrs 0.78 37 0.07 1,163       1,440    
10+ Yrs 0.06 13   267       495    
Total 656 488 3 6,478   9 289 5,882 0.97  
16/02/2024 0-2 Yrs 561 266 6 5,042   19 238 2,088 0.76  
2-5 Yrs 3 67 0.36 231       970    
5-10 Yrs 0.72 75   177       799    
10+ Yrs 0.23 20   145       581    
Total 565 428 6 5,596   19 238 4,438 0.76  
09/02/2024 0-2 Yrs 749 401 2 4,692   7 317 1,785 0.02  
2-5 Yrs 14 65 2 669       1,480    
5-10 Yrs 0.24 46   847       1,356    
10+ Yrs 0.03 12   230       654    
Total 764 524 3 6,438   7 317 5,275 0.02  
02/02/2024 0-2 Yrs 1,313 375 1 8,765   11 367 3,428 2  
2-5 Yrs 2 107 1 550       1,512    
5-10 Yrs 1 53   977       1,065    
10+ Yrs 0.61 19   292       650    
Total 1,317 555 2 10,584   11 367 6,654 2  

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

 

 

Notional amounts outstanding at week end (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR
19/04/2024 0-2 Yrs 7,744 5,504 53 35,424 0.39 244 2,434 48,918 52 2
2-5 Yrs 172 2,528 22 4,555   0.49 12 28,867    
5-10 Yrs 59 1,063 7 3,547 0.02 0.16 9 19,660    
10+ Yrs 24 187 0.02 2,077   0.01 0.02 11,230    
Total 8,000 9,281 82 45,602 0.41 245 2,455 108,675 52 2
12/04/2024 0-2 Yrs 7,801 5,351 54 41,808 0.39 229 2,922 48,014 59 2
2-5 Yrs 173 2,472 22 4,587   0.22 12 28,515    
5-10 Yrs 61 1,050 7 3,502 0.02 0.17 9 19,355    
10+ Yrs 24 182 0.02 2,069   0.01 0.02 11,096    
Total 8,059 9,055 83 51,965 0.41 229 2,944 106,980 59 2
05/04/2024 0-2 Yrs 7,448 5,751 53 38,400 0.39 232 2,691 47,150 57 2
2-5 Yrs 173 2,455 23 4,406   0.38 13 28,247    
5-10 Yrs 61 1,042 7 3,539 0.02 0.17 9 19,142    
10+ Yrs 24 178 0.02 2,065   0.01 0.02 10,857    
Total 7,706 9,426 82 48,411 0.41 233 2,713 105,396 57 2
29/03/2024 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
22/03/2024 0-2 Yrs 6,787 5,285 50 37,151 0.39 209 2,849 46,502 38 0.22
2-5 Yrs 171 2,329 24 4,412   0.19 13 28,185    
5-10 Yrs 60 1,005 6 3,519 0.02 0.17 9 18,801    
10+ Yrs 24 168 0.15 2,011   0.01 0.02 10,615    
Total 7,042 8,787 81 47,093 0.41 209 2,872 104,102 38 0.22
15/03/2024 0-2 Yrs 8,116 5,155 51 38,020 0.39 224 2,773 48,077 26 0.22
2-5 Yrs 167 2,421 23 4,974   0.41 13 28,350    
5-10 Yrs 61 1,057 6 3,737 0.02 0.17 10 18,864    
10+ Yrs 24 191 0.02 2,061   0.01 0.02 10,731    
Total 8,367 8,825 80 48,792 0.41 224 2,795 106,021 26 0.22
08/03/2024 0-2 Yrs 8,541 5,162 51 41,202 0.36 211 2,716 47,839 24 0.01
2-5 Yrs 165 2,410 23 4,975   0.38 13 28,714    
5-10 Yrs 61 1,032 6 3,696 0.02 0.17 10 19,454    
10+ Yrs 24 203 0.02 2,087   0.01 0.02 10,901    
Total 8,792 8,807 80 51,960 0.38 211 2,739 106,908 24 0.01
01/03/2024 0-2 Yrs 8,232 5,682 50 39,915 0.36 208 2,937 48,712 23 0.01
2-5 Yrs 162 2,309 22 4,826   0.16 13 29,713    
5-10 Yrs 60 991 6 3,570 0.02 0.17 10 20,125    
10+ Yrs 24 193 0.02 2,030   0.01 0.02 11,072    
Total 8,477 9,174 78 50,340 0.38 209 2,960 109,623 23 0.01
23/02/2024 0-2 Yrs 8,259 5,356 50 37,094 0.29 203 2,753 48,293 11 0.01
2-5 Yrs 165 2,271 21 4,503   0.16 13 28,526    
5-10 Yrs 61 972 6 3,499 0.02 0.10 10 19,465    
10+ Yrs 24 190 0.02 2,002   0.01 0.02 10,931    
Total 8,510 8,789 77 47,098 0.30 204 2,776 107,215 11 0.01
16/02/2024 0-2 Yrs 7,729 5,116 48 36,559 0.29 196 2,544 47,612 10 0.01
2-5 Yrs 156 2,248 21 4,431   0.16 13 27,885    
5-10 Yrs 61 974 6 3,320 0.02 0.11 10 19,055    
10+ Yrs 24 185 0.02 1,981   0.01 0.02 10,856    
Total 7,969 8,523 75 46,291 0.30 196 2,567 105,407 10 0.01
09/02/2024 0-2 Yrs 7,692 4,938 43 35,015 0.29 184 2,401 47,647 9 0.01
2-5 Yrs 155 2,206 20 4,560   0.16 13 28,839    
5-10 Yrs 61 912 6 3,393 0.02 0.10 10 20,047    
10+ Yrs 24 175 0.02 1,993   0.01 0.02 11,283    
Total 7,932 8,231 70 44,961 0.30 184 2,424 107,816 9 0.01
02/02/2024 0-2 Yrs 8,557 4,683 41 35,919 0.29 182 2,144 48,443 12 0.01
2-5 Yrs 150 2,173 19 4,596   0.16 13 28,743    
5-10 Yrs 62 896 6 3,571 0.02 0.10 9 19,871    
10+ Yrs 24 173 0.02 2,050   0.01 0.02 11,268    
Total 8,792 7,925 67 46,136 0.30 183 2,166 108,325 12 0.01

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