SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR NOWA NZONIA SOFR SORA SWESTR THOR
17/03/2023 0-2 Yrs 1,631 752 0.31 9,632 12 278 2,621 77 3 12
2-5 Yrs 19 19 0.05 302   15 1,922 30   12
5-10 Yrs 0.27 20 0.01 211     1,139 22   9
10+ Yrs 0.14 6   66     726 5   0.74
Total 1,650 797 0.38 10,212 12 293 6,408 134 3 34
10/03/2023 0-2 Yrs 1,587 645 0.07 6,132 20 74 1,849 34   4
2-5 Yrs 2 18 0.28 502   0.06 1,386 27   11
5-10 Yrs 0.54 22   901     842 25   8
10+ Yrs 0.03 4   94     673 3   0.45
Total 1,590 690 0.35 7,629 20 74 4,750 88   22
03/03/2023 0-2 Yrs 997 343 0.10 6,442 16 72 1,498 45   8
2-5 Yrs 3 13   734     1,236 22   8
5-10 Yrs 0.50 12   557     1,064 20   10
10+ Yrs 0.86 5   152     753 4   0.74
Total 1,002 374 0.10 7,885 16 72 4,551 92   28
24/02/2023 0-2 Yrs 739 275 0.04 3,188 15 193 1,161 28 6 5
2-5 Yrs 2 17   255   0.27 1,230 22 0.02 6
5-10 Yrs 0.13 8   149     1,085 16   2
10+ Yrs 0.64 2   104     702 2   0.31
Total 742 301 0.04 3,695 15 194 4,177 68 6 13
17/02/2023 0-2 Yrs 1,046 464 0.32 3,416 37 177 1,823 29 4 10
2-5 Yrs 3 25 1 265     1,296 18   7
5-10 Yrs 0.86 11   174     767 13   5
10+ Yrs 9 7   90     761 2   0.14
Total 1,058 508 1 3,945 37 177 4,648 62 4 23
10/02/2023 0-2 Yrs 1,822 740 0.55 3,589 6 63 1,225 36 9 6
2-5 Yrs 1 21 1 272 0.39   1,405 21   7
5-10 Yrs 2 10   154     1,192 14   3
10+ Yrs 2 5   106     687 2   0.39
Total 1,826 776 2 4,121 6 63 4,509 73 9 16
03/02/2023 0-2 Yrs 1,071 301 0.65 5,858 2 115 1,308 59   5
2-5 Yrs 7 15   271     920 26   6
5-10 Yrs 2 7   178     648 12   2
10+ Yrs 2 2   79     480 3   0.25
Total 1,081 325 0.65 6,387 2 115 3,355 99   14
27/01/2023 0-2 Yrs 1,589 1,038 0.03 3,040 6 104 1,498 16 4 10
2-5 Yrs 3 21   232 0.10   735 13 0.02 9
5-10 Yrs 0.05 15   213     472 6   4
10+ Yrs 0.20 4   70     432 3   0.24
Total 1,592 1,078 0.03 3,556 6 104 3,137 38 4 23
20/01/2023 0-2 Yrs 642 341 0.17 3,291 34 75 1,001 43 0.77 10
2-5 Yrs 2 14   200 0.10   686 14   9
5-10 Yrs 0.14 11   170     596 10   5
10+ Yrs 0.12 3   65     389 2   0.34
Total 645 368 0.17 3,726 34 75 2,672 70 0.77 24
13/01/2023 0-2 Yrs 605 174   3,980 43 87 1,608 44 0.86 4
2-5 Yrs 2 14 0.25 253     951 19 0.02 7
5-10 Yrs 1 8   195     791 14   5
10+ Yrs 2 2   72     491 2   0.28
Total 610 198 0.25 4,500 43 87 3,842 80 0.88 16
06/01/2023 0-2 Yrs 425 227 0.06 3,140 14 30 1,114 28   8
2-5 Yrs 0.29     176     635 14   6
5-10 Yrs 0.49 0.61   155     457 13   7
10+ Yrs 0.33 0.15   62     378 3   0.31
Total 426 227 0.06 3,533 14 30 2,584 58   21
30/12/2022 0-2 Yrs 172 118 0.03 1,612 5 5 745 13    
2-5 Yrs 0.36 0.08   36   0.25 383 3   3
5-10 Yrs   0.30   39     288 2   1
10+ Yrs 0.24     11     180 0.44   0.04
Total 173 119 0.03 1,698 5 5 1,596 18   4

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 NOWA NZONIA SOFR SORA SWESTR THOR
17/03/2023 0-2 Yrs 8,804 3,966 2 38,262 156 1,317 26,930 1,169 22 233
2-5 Yrs 98 188 3 4,191 0.04 18 16,226 470   84
5-10 Yrs 47 76   2,959 0.06 0.34 10,707 137   19
10+ Yrs 21 24   1,514     5,046 13   1
Total 8,970 4,255 5 46,926 156 1,335 58,909 1,789 22 337
10/03/2023 0-2 Yrs 7,801 3,688 2 34,433 186 1,089 25,830 1,096 18 204
2-5 Yrs 80 171 3 4,129 0.04 3 15,663 453   79
5-10 Yrs 46 66   3,448 0.06 0.33 10,543 151   27
10+ Yrs 21 22   1,529     5,094 15   2
Total 7,948 3,948 5 43,540 186 1,093 57,130 1,715 18 312
03/03/2023 0-2 Yrs 8,944 4,129 2 32,240 184 1,039 24,600 1,122 19 222
2-5 Yrs 86 155 3 4,235 0.04 3 14,975 452   85
5-10 Yrs 47 54   3,070 0.06 0.37 10,325 143   29
10+ Yrs 22 20   1,560     4,929 16   2
Total 9,098 4,358 5 41,105 184 1,043 54,829 1,733 19 338
24/02/2023 0-2 Yrs 8,189 4,031 2 28,967 180 1,314 25,012 1,087 19 211
2-5 Yrs 84 146 3 3,792 0.04 3 15,303 437   79
5-10 Yrs 47 47   2,734 0.06 0.37 10,557 131   22
10+ Yrs 21 18   1,477     5,020 14   1
Total 8,341 4,242 5 36,970 180 1,317 55,892 1,668 19 313
17/02/2023 0-2 Yrs 8,083 3,896 2 28,715 179 1,228 25,591 1,199 16 212
2-5 Yrs 87 138 3 3,722 0.04 3 15,311 482   82
5-10 Yrs 48 43   2,730 0.06 0.37 10,505 145   25
10+ Yrs 25 17   1,445     4,980 14   1
Total 8,243 4,093 5 36,612 179 1,232 56,388 1,840 16 320
10/02/2023 0-2 Yrs 7,821 3,696 2 28,972 160 1,110 24,320 1,204 12 209
2-5 Yrs 87 115 2 3,636 0.24 3 14,801 478   82
5-10 Yrs 48 36   2,653 0.06 0.38 10,292 140   23
10+ Yrs 17 14   1,423     4,645 14   1
Total 7,973 3,862 4 36,684 160 1,114 54,059 1,836 12 315
03/02/2023 0-2 Yrs 7,651 3,084 1 32,511 154 1,066 23,942 1,181 4 204
2-5 Yrs 87 110 0.62 3,670 0.24 3 13,965 472   78
5-10 Yrs 47 30   2,753 0.06 0.38 9,606 133   22
10+ Yrs 17 11   1,411     4,515 13   1
Total 7,802 3,236 2 40,344 155 1,070 52,029 1,799 4 306
27/01/2023 0-2 Yrs 7,315 3,215 0.75 28,871 159 1,013 23,468 1,146 4 203
2-5 Yrs 87 102 0.62 3,549 0.24 3 13,634 462   77
5-10 Yrs 48 29   2,743 0.06 0.39 9,414 129   22
10+ Yrs 17 11   1,384     4,313 13   1
Total 7,467 3,357 1 36,546 159 1,017 50,828 1,750 4 304
20/01/2023 0-2 Yrs 5,938 3,241 0.71 28,656 181 943 23,232 1,138 2 194
2-5 Yrs 84 78 0.62 3,496 0.14 3 13,592 453   74
5-10 Yrs 47 21   2,699 0.06 0.39 9,500 127   21
10+ Yrs 16 9   1,387     4,296 12   1
Total 6,085 3,350 1 36,238 181 947 50,620 1,730 2 290
13/01/2023 0-2 Yrs 5,418 3,143 0.54 28,048 169 871 23,425 1,114 1 186
2-5 Yrs 85 65 0.62 3,419 0.04 3 13,793 448   67
5-10 Yrs 47 15   2,678 0.06 0.38 9,594 124   19
10+ Yrs 17 8   1,374     4,333 11   1
Total 5,566 3,231 1 35,519 169 875 51,145 1,697 1 274
06/01/2023 0-2 Yrs 4,929 3,046 0.53 25,540 133 802 22,308 1,075 0.76 181
2-5 Yrs 82 50 0.37 3,222 0.04 3 13,296 432   62
5-10 Yrs 44 9   2,543 0.06 0.38 9,183 120   18
10+ Yrs 16 8   1,330     4,229 11   0.97
Total 5,071 3,113 0.89 32,635 133 806 49,016 1,638 0.76 262
30/12/2022 0-2 Yrs 4,524 2,864 0.47 23,588 129 774 21,706 1,052 0.77 168
2-5 Yrs 81 49 0.37 3,104 0.04 4 13,005 419   56
5-10 Yrs 44 8   2,452 0.06 0.38 8,957 110   14
10+ Yrs 15 8   1,297     4,029 10   0.70
Total 4,664 2,929 0.84 30,440 129 778 47,697 1,591 0.77 238

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