SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR
12/07/2024 0-2 Yrs 921 429 2 3,795   17 577 2,362 2 0.10
2-5 Yrs   144 0.06 220     0.35 1,528    
5-10 Yrs 5 58   173       867    
10+ Yrs 2 12   81       587    
Total 928 643 2 4,269   17 577 5,343 2 0.10
05/07/2024 0-2 Yrs 650 325 5 4,323   24 325 1,315 30  
2-5 Yrs 2 75 0.52 303     0.39 958    
5-10 Yrs 0.07 36   282     0.04 625    
10+ Yrs 0.12 12 0.23 144       456    
Total 651 449 6 5,052   24 325 3,354 30  
28/06/2024 0-2 Yrs 1,498 507 3 4,486   7 178 2,460 110  
2-5 Yrs 1 120 2 404     0.59 1,123    
5-10 Yrs 1 58 0.05 360       751    
10+ Yrs 0.02 19 0.11 218       511    
Total 1,500 703 6 5,468   7 179 4,845 110  
21/06/2024 0-2 Yrs 1,216 231 4 4,300   41 238 2,418 19  
2-5 Yrs 0.82 72 1 407       974    
5-10 Yrs 2 55 0.00 189       645    
10+ Yrs 0.02 15   110       459    
Total 1,219 373 6 5,005   41 238 4,497 19  
14/06/2024 0-2 Yrs 843 424 1 5,241   40 198 2,727 24  
2-5 Yrs 8 239 0.25 673   0.33   1,868    
5-10 Yrs 0.48 123 0.14 300       929    
10+ Yrs   39   183       825    
Total 852 825 2 6,397   40 198 6,350 24  
07/06/2024 0-2 Yrs 774 933 0.36 8,810   22 103 2,478    
2-5 Yrs 4 137 0.32 633   2 0.31 1,262    
5-10 Yrs 0.71 71   480       804    
10+ Yrs 0.28 43   218       580    
Total 780 1,184 0.68 10,141   24 103 5,124    
31/05/2024 0-2 Yrs 988 436 6 3,784   7 349 2,282    
2-5 Yrs 2 102 1 245   0.10 0.12 1,445    
5-10 Yrs 0.59 48   362       888    
10+ Yrs 0.05 25   158       605    
Total 990 610 7 4,548   7 349 5,220    
24/05/2024 0-2 Yrs 892 569   4,351   15 376 2,188 0.84  
2-5 Yrs 9 98 0.10 256   0.37 0.07 1,421    
5-10 Yrs 0.27 48 0.00 164       894    
10+ Yrs 0.33 20 0.00 125       448    
Total 902 735 0.10 4,896   16 376 4,952 0.84  
17/05/2024 0-2 Yrs 1,131 365 6 3,522   24 162 2,331 10  
2-5 Yrs 7 75 1 309       1,183    
5-10 Yrs 2 44 0.02 159       842    
10+ Yrs 0.82 26 0.02 123       651    
Total 1,141 509 8 4,113   24 162 5,007 10  
10/05/2024 0-2 Yrs 1,897 335 0.18 2,369   46 256 4,190 7  
2-5 Yrs 20 108 0.58 221       3,279    
5-10 Yrs 0.51 43 0.07 107       1,325    
10+ Yrs 0.04 14   72       652    
Total 1,918 501 0.83 2,769   46 256 9,447 7  
03/05/2024 0-2 Yrs 1,914 345 0.12 6,996   24 366 2,265 15  
2-5 Yrs 8 131 4 661       1,232    
5-10 Yrs 1 46   1,404       852    
10+ Yrs 0.12 18   609       562    
Total 1,923 540 4 9,670   24 366 4,912 15  
26/04/2024 0-2 Yrs 1,763 218 0.14 4,114   11 247 2,832 26  
2-5 Yrs 4 107 2 399     0.47 1,854    
5-10 Yrs 0.49 41 0.07 1,149   0.04   1,420    
10+ Yrs 0.18 10   624       716    
Total 1,767 375 2 6,286   11 248 6,822 26  

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
12/07/2024 0-2 Yrs 11,508 10,344 79 39,180 0.39 354 4,054 50,545 160 0.33
2-5 Yrs 168 5,182 20 4,964   3 2 29,853    
5-10 Yrs 52 2,422 7 3,707 0.02 0.17 0.33 19,676    
10+ Yrs 21 528 0.02 2,435   0.01 0.02 11,418    
Total 11,749 18,476 106 50,287 0.41 357 4,057 111,492 160 0.33
05/07/2024 0-2 Yrs 10,921 10,095 78 38,669 0.39 359 3,623 49,880 159 0.22
2-5 Yrs 163 5,125 20 5,030   3 2 29,188    
5-10 Yrs 51 2,393 7 3,781 0.02 0.17 0.33 19,381    
10+ Yrs 20 524 0.02 2,448   0.01 0.02 11,273    
Total 11,155 18,138 105 49,929 0.41 362 3,625 109,721 159 0.22
28/06/2024 0-2 Yrs 10,587 9,961 75 36,980 0.39 344 3,351 50,400 200 2
2-5 Yrs 161 5,087 22 4,873   3 3 29,318    
5-10 Yrs 50 2,374 7 3,643 0.02 0.17 0.28 19,471    
10+ Yrs 20 518 0.14 2,398   0.01 0.02 11,201    
Total 10,819 17,939 104 47,895 0.41 347 3,353 110,390 200 2
21/06/2024 0-2 Yrs 9,959 9,620 74 36,388 0.39 355 3,325 51,640 112 2
2-5 Yrs 161 5,053 22 4,817   3 2 29,321    
5-10 Yrs 50 2,353 7 3,514 0.02 0.17 0.28 19,349    
10+ Yrs 20 510 0.02 2,332   0.01 0.02 11,115    
Total 10,190 17,536 104 47,052 0.41 358 3,327 111,424 112 2
14/06/2024 0-2 Yrs 11,919 9,553 69 37,600 0.39 352 3,235 50,346 94 2
2-5 Yrs 196 5,118 22 5,205   3 6 30,147    
5-10 Yrs 52 2,396 7 3,581 0.02 0.17 0.37 19,759    
10+ Yrs 20 549 0.02 2,388   0.01 0.02 11,561    
Total 12,188 17,616 98 48,774 0.41 355 3,241 111,814 94 2
07/06/2024 0-2 Yrs 12,235 6,678 69 45,025 0.39 319 3,136 49,504 71 2
2-5 Yrs 199 2,775 22 5,144   3 6 29,465    
5-10 Yrs 52 1,198 7 3,752 0.02 0.17 0.37 19,403    
10+ Yrs 20 244 0.02 2,445   0.01 0.02 11,283    
Total 12,506 10,896 98 56,366 0.41 323 3,143 109,656 71 2
31/05/2024 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
24/05/2024 0-2 Yrs 11,355 6,615 63 39,315 0.39 310 3,338 48,581 70 2
2-5 Yrs 200 2,707 21 4,808   0.89 13 29,352    
5-10 Yrs 62 1,142 7 3,432 0.02 0.17 10 19,665    
10+ Yrs 25 219 0.03 2,353   0.01 0.02 11,121    
Total 11,643 10,683 91 49,909 0.41 311 3,361 108,719 70 2
17/05/2024 0-2 Yrs 11,089 6,239 63 37,687 0.39 312 3,074 48,547 69 2
2-5 Yrs 198 2,663 21 4,776   0.54 13 29,936    
5-10 Yrs 63 1,113 7 3,407 0.02 0.17 10 19,732    
10+ Yrs 26 212 0.02 2,329   0.01 0.02 11,209    
Total 11,376 10,226 92 48,199 0.41 313 3,097 109,424 69 2
10/05/2024 0-2 Yrs 10,129 6,234 54 37,813 0.39 281 2,895 48,342 73 2
2-5 Yrs 196 2,736 22 4,751   0.54 13 30,086    
5-10 Yrs 61 1,128 7 3,754 0.02 0.17 9 19,689    
10+ Yrs 25 208 0.02 2,380   0.01 0.02 11,031    
Total 10,412 10,306 84 48,699 0.41 281 2,917 109,148 73 2
03/05/2024 0-2 Yrs 10,371 5,989 51 38,786 0.39 263 2,820 48,550 69 2
2-5 Yrs 184 2,664 25 4,885   0.54 13 29,314    
5-10 Yrs 61 1,105 7 4,527 0.02 0.17 9 19,869    
10+ Yrs 25 203 0.02 2,647   0.01 0.02 11,253    
Total 10,641 9,960 83 50,845 0.41 263 2,843 108,986 69 2
26/04/2024 0-2 Yrs 9,216 5,700 49 36,888 0.39 247 2,518 48,710 66 2
2-5 Yrs 176 2,589 23 4,744   0.53 13 29,187    
5-10 Yrs 60 1,083 7 4,298 0.02 0.16 9 19,878    
10+ Yrs 24 191 0.02 2,398   0.01 0.02 11,166    
Total 9,477 9,562 79 48,328 0.41 248 2,540 108,942 66 2

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