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
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
Apr 2023 0-2 Yrs 3,293 1,102 0.39 12,049   36 227 4,844 3
2-5 Yrs 20 154 1 1,577     0.37 2,903  
5-10 Yrs 8 104   1,365       2,576  
10+ Yrs 2 24 0.33 461       1,632  
Total 3,323 1,384 2 15,453   36 227 11,955 3
Mar 2023 0-2 Yrs 5,742 2,105 2 29,339   66 572 8,444 6
2-5 Yrs 38 105 1 2,428     18 6,150  
5-10 Yrs 3 88 0.01 2,358       4,304  
10+ Yrs 5 24   606     4 2,878  
Total 5,787 2,323 3 34,731   66 594 21,775 6
Feb 2023 0-2 Yrs 4,645 1,856 2 16,298   64 559 5,649 19
2-5 Yrs 14 79 2 1,127   0.39 0.27 5,080 0.02
5-10 Yrs 4 37   682       3,920  
10+ Yrs 14 16   385       2,738  
Total 4,677 1,988 4 18,491   65 559 17,387 19
Jan 2023 0-2 Yrs 3,653 1,921 0.29 15,635   99 317 5,765 6
2-5 Yrs 8 54 0.25 970   0.20   3,349 0.04
5-10 Yrs 2 37   799       2,486  
10+ Yrs 3 9   297       1,837  
Total 3,666 2,021 0.54 17,700   99 317 13,437 6
Dec 2022 0-2 Yrs 1,890 971 0.47 12,869   40 245 4,150 0.78
2-5 Yrs 7 1 0.36 653     0.25 3,233  
5-10 Yrs 4 0.72   427     0.04 2,322  
10+ Yrs 2 0.18   211       1,724  
Total 1,904 973 0.84 14,160   40 245 11,429 0.78
Nov 2022 0-2 Yrs 2,215 1,404   12,420   65 278 4,868  
2-5 Yrs 9 6   641     2 3,660  
5-10 Yrs 5 0.13   586     0.09 2,867  
10+ Yrs 0.80 0.34   274       1,952  
Total 2,230 1,411   13,922   65 280 13,347  
Oct 2022 0-2 Yrs 3,667 1,161   9,033   34 247 5,236  
2-5 Yrs 17 7   742 0.03   1 3,049  
5-10 Yrs 3 0.00   548 0.02     2,745  
10+ Yrs 2 0.52   330     0.01 2,006  
Total 3,688 1,168   10,653 0.04 34 248 13,036  
Sep 2022 0-2 Yrs 3,554 1,407   15,255   65 200 6,413  
2-5 Yrs 16 4   1,215       3,618  
5-10 Yrs 3 0.40   923   0.08 0.10 2,880  
10+ Yrs 1 0.33   408       2,005  
Total 3,574 1,412   17,800   65 200 14,916  

 

 

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
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
Apr 2023 0-2 Yrs 9,257 3,512 4 35,861   181 1,067 27,225 26
2-5 Yrs 110 397 5 4,607 0.03 0.04 13 15,855  
5-10 Yrs 57 156 0.25 3,548 0.02 0.06 2 10,730  
10+ Yrs 20 37 0.07 1,813     2 5,148  
Total 9,444 4,101 9 45,829 0.04 181 1,085 58,958 26
Mar 2023 0-2 Yrs 8,820 4,238 3 34,683   163 1,326 25,866 25
2-5 Yrs 108 242 4 4,429 0.03 0.04 21 15,146  
5-10 Yrs 47 101   3,214 0.02 0.06 0.33 10,342  
10+ Yrs 22 29   1,707     4 4,927  
Total 8,996 4,610 7 44,033 0.04 163 1,351 56,282 25
Feb 2023 0-2 Yrs 8,458 4,157 2 30,482   186 1,031 25,265 19
2-5 Yrs 85 148 3 3,821 0.03 0.04 3 15,498  
5-10 Yrs 47 50   2,727 0.02 0.06 0.37 10,683  
10+ Yrs 22 18   1,481       5,046  
Total 8,612 4,373 5 38,510 0.04 186 1,035 56,491 19
Jan 2023 0-2 Yrs 7,489 3,009 0.77 30,569   159 1,028 23,912 4
2-5 Yrs 86 104 0.62 3,622 0.03 0.24 3 13,815  
5-10 Yrs 47 30   2,737 0.02 0.06 0.38 9,473  
10+ Yrs 16 12   1,396       4,385  
Total 7,639 3,155 1 38,324 0.04 159 1,032 51,584 4
Dec 2022 0-2 Yrs 4,524 2,864 0.47 23,588   129 774 21,706 0.77
2-5 Yrs 81 49 0.37 3,104 0.03 0.04 4 13,005  
5-10 Yrs 44 8   2,452 0.02 0.06 0.38 8,957  
10+ Yrs 15 8   1,297       4,029  
Total 4,664 2,929 0.84 30,440 0.04 129 778 47,697 0.77
Nov 2022 0-2 Yrs 6,288 3,653   26,438   148 677 21,976  
2-5 Yrs 77 51   3,240 0.03 0.04 4 13,486  
5-10 Yrs 41 8   2,538 0.02 0.06 0.38 9,291  
10+ Yrs 15 8   1,326       4,168  
Total 6,422 3,720   33,541 0.04 148 682 48,921  
Oct 2022 0-2 Yrs 7,201 3,161   26,192   114 754 21,191  
2-5 Yrs 73 47   3,202 0.03 0.04 4 12,904  
5-10 Yrs 36 8   2,321 0.02 0.06 0.31 9,361  
10+ Yrs 15 7   1,228       3,876  
Total 7,325 3,223   32,943 0.04 114 758 47,333  
Sep 2022 0-2 Yrs 6,091 3,062   22,728   96 893 20,345  
2-5 Yrs 69 46   3,119   0.04 4 12,406  
5-10 Yrs 34 8   2,240   0.06 0.38 9,004  
10+ Yrs 14 7   1,121       3,709  
Total 6,208 3,123   29,208   96 897 45,464  

 

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