SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket €STR SARON SOFR SONIA SORA THOR TONA
05/08/2022 0-2 Yrs 1,602.36 60.08 1,028.43 2,042.93 39.54 7.40 20.07
2-5 Yrs 128.17 19.28 829.30 180.39 15.81 8.56 55.21
5-10 Yrs 167.82 12.15 612.55 184.26 9.22 1.95 48.82
10+ Yrs 60.77 23.17 425.30 147.22 2.42 0.05 24.85
Total 1,959.11 114.68 2,895.58 2,554.80 66.99 17.96 148.95
29/07/2022 0-2 Yrs 1,732.63 24.64 1,019.23 1,053.44 16.14 5.97 15.05
2-5 Yrs 169.72 20.14 727.79 179.47 10.86 1.78 26.56
5-10 Yrs 226.69 13.94 566.48 200.75 11.22 2.24 25.91
10+ Yrs 84.31 9.05 532.80 108.62 2.86 0.09 26.35
Total 2,213.36 67.77 2,846.30 1,542.28 41.08 10.08 93.87
22/07/2022 0-2 Yrs 3,617.20 41.40 1,074.24 1,021.11 33.14 10.60 63.33
2-5 Yrs 140.01 11.94 667.90 144.22 13.64 4.94 56.40
5-10 Yrs 136.97 6.68 481.66 163.04 8.39 3.02 14.01
10+ Yrs 67.33 5.01 427.13 108.27 1.40 0.18 9.33
Total 3,961.51 65.03 2,650.94 1,436.64 56.57 18.75 143.07
15/07/2022 0-2 Yrs 2,837.07 61.95 1,853.70 909.43 25.32 6.55 54.78
2-5 Yrs 189.04 22.45 547.09 157.09 15.22 4.13 41.70
5-10 Yrs 75.56 10.26 641.74 127.43 11.74 1.19 18.12
10+ Yrs 43.17 4.25 385.59 58.23 1.37 0.12 14.49
Total 3,144.84 98.91 3,428.12 1,252.19 53.65 11.98 129.10
08/07/2022 0-2 Yrs 2,221.40 47.79 845.48 1,186.01 24.24 3.32 69.59
2-5 Yrs 190.10 24.81 503.81 183.20 14.91 4.00 45.21
5-10 Yrs 114.30 22.05 511.74 167.62 10.86 1.05 44.84
10+ Yrs 39.01 8.23 307.53 75.35 1.48 0.20 17.89
Total 2,564.82 102.88 2,168.57 1,612.18 51.50 8.57 177.52
01/07/2022 0-2 Yrs 3,312.35 63.16 786.15 1,396.35 18.44 6.87 28.27
2-5 Yrs 277.11 19.45 865.34 223.48 12.32 3.22 29.39
5-10 Yrs 92.11 23.06 520.90 153.15 7.68 2.69 19.17
10+ Yrs 77.27 12.50 375.82 75.73 0.98 0.24 15.73
Total 3,758.84 118.17 2,548.21 1,848.71 39.41 13.02 92.56
24/06/2022 0-2 Yrs 2,640.77 57.12 813.21 1,924.86 30.69 6.43 28.03
2-5 Yrs 248.43 22.17 674.73 237.71 15.19 4.01 38.84
5-10 Yrs 119.15 17.68 475.23 181.53 10.62 3.08 33.19
10+ Yrs 101.91 16.29 418.81 95.12 1.47 0.32 27.47
Total 3,110.26 113.26 2,381.98 2,439.22 57.98 13.84 127.53
17/06/2022 0-2 Yrs 4,805.80 187.45 1,620.09 4,561.15 26.39 6.85 66.41
2-5 Yrs 289.65 71.26 1,433.63 331.51 23.11 5.31 64.23
5-10 Yrs 133.89 112.19 837.76 263.07 12.71 3.86 59.49
10+ Yrs 85.61 15.82 686.66 121.49 2.01 0.31 27.85
Total 5,314.95 386.71 4,578.13 5,277.23 64.21 16.33 217.98
10/06/2022 0-2 Yrs 6,019.47 163.52 966.56 1,792.51 21.47 6.62 89.99
2-5 Yrs 458.33 52.36 965.81 300.76 31.43 4.39 43.16
5-10 Yrs 211.34 11.59 726.84 162.31 19.36 3.15 50.38
10+ Yrs 97.15 22.91 541.76 106.58 3.97 0.18 25.64
Total 6,786.29 250.37 3,200.97 2,362.16 76.23 14.35 209.17
03/06/2022 0-2 Yrs 3,079.83 26.88 795.91 823.63 36.51 1.72 12.61
2-5 Yrs 369.25 23.18 581.88 144.96 23.65 1.47 27.44
5-10 Yrs 158.38 12.79 404.36 79.68 11.26 1.08 27.60
10+ Yrs 56.71 8.47 291.80 51.68 2.16 0.03 17.27
Total 3,664.16 71.32 2,073.95 1,099.94 73.58 4.30 84.93
27/05/2022 0-2 Yrs 2,577.90 82.44 1,284.76 2,112.86 46.30 3.15 17.17
2-5 Yrs 216.72 14.82 992.95 286.10 21.04 2.26 41.39
5-10 Yrs 190.82 16.00 955.37 284.74 8.69 2.61 54.39
10+ Yrs 69.70 13.97 445.74 190.93 2.84 0.11 27.54
Total 3,055.14 127.24 3,678.82 2,874.63 78.87 8.13 140.47
20/05/2022 0-2 Yrs 3,177.26 54.38 843.66 1,935.77 25.04 2.72 17.29
2-5 Yrs 321.01 13.34 643.09 168.30 22.67 0.61 36.50
5-10 Yrs 125.90 9.53 525.75 138.93 9.73 0.65 52.53
10+ Yrs 98.13 6.23 539.37 78.67 2.05 0.06 44.80
Total 3,722.30 83.47 2,551.88 2,321.67 59.49 4.03 151.11

 

Figures include OIS and Basis Swaps only.


 

Notional amounts outstanding at week end (USD BN)

Week End Tenor Bucket €STR SARON SOFR SONIA SORA THOR TONA
05/08/2022 0-2 Yrs 23,466.14 1,298.80 17,275.49 18,044.02 807.96 73.32 2,189.95
2-5 Yrs 3,231.18 662.41 11,657.20 6,523.31 395.77 31.84 1,209.83
5-10 Yrs 2,202.51 549.64 8,352.11 4,744.80 110.71 9.97 1,206.49
10+ Yrs 1,136.69 169.06 3,536.39 3,657.42 12.88 0.32 750.38
Total 30,036.53 2,679.91 40,821.18 32,969.55 1,327.32 115.45 5,356.64
29/07/2022 0-2 Yrs 24,059.59 1,292.24 16,648.42 18,738.92 778.54 66.38 2,214.33
2-5 Yrs 3,332.98 663.32 11,129.07 6,492.24 385.42 25.93 1,206.15
5-10 Yrs 2,268.49 547.89 8,109.53 4,695.29 109.23 9.42 1,214.28
10+ Yrs 1,156.86 156.78 3,393.88 3,594.38 12.94 0.32 750.19
Total 30,817.91 2,660.23 39,280.90 33,520.83 1,286.13 102.04 5,384.96
22/07/2022 0-2 Yrs 27,225.07 1,269.94 16,560.74 18,615.00 769.51 60.39 2,148.38
2-5 Yrs 3,266.86 645.12 11,035.43 6,436.26 376.96 24.86 1,202.64
5-10 Yrs 2,179.69 533.98 8,154.09 4,631.46 105.66 8.35 1,187.69
10+ Yrs 1,142.32 149.57 3,351.99 3,520.80 11.61 0.34 726.56
Total 33,813.94 2,598.61 39,102.24 33,203.52 1,263.75 93.94 5,265.27
15/07/2022 0-2 Yrs 25,018.30 1,296.06 17,067.18 17,999.77 747.45 47.71 2,069.86
2-5 Yrs 3,195.82 645.00 10,742.54 6,271.33 371.27 23.16 1,152.95
5-10 Yrs 2,082.18 527.72 8,013.22 4,503.70 103.11 6.45 1,158.35
10+ Yrs 1,108.65 146.17 3,220.56 3,433.11 11.07 0.33 711.54
Total 31,404.94 2,614.94 39,043.50 32,207.91 1,232.90 77.65 5,092.70
08/07/2022 0-2 Yrs 24,553.72 1,315.80 15,826.41 17,855.49 732.56 41.84 2,103.04
2-5 Yrs 3,185.48 630.43 10,811.86 6,303.22 362.02 21.64 1,156.04
5-10 Yrs 2,102.74 526.96 7,932.06 4,509.77 97.81 6.07 1,165.17
10+ Yrs 1,118.13 146.93 3,213.23 3,451.04 10.11 0.27 721.34
Total 30,960.08 2,620.12 37,783.57 32,119.52 1,202.50 69.83 5,145.59
01/07/2022 0-2 Yrs 25,621.93 1,333.77 15,417.65 18,283.51 717.40 38.49 2,104.71
2-5 Yrs 3,401.39 628.05 10,507.90 6,374.15 354.36 19.45 1,131.03
5-10 Yrs 2,191.28 528.10 7,681.24 4,533.44 93.78 5.78 1,136.51
10+ Yrs 1,172.18 147.35 3,140.70 3,533.74 9.98 0.20 715.36
Total 32,386.79 2,637.26 36,747.48 32,724.83 1,175.53 63.92 5,087.60
24/06/2022 0-2 Yrs 25,211.35 1,461.08 15,297.52 19,278.09 712.64 30.84 2,114.35
2-5 Yrs 3,334.76 840.71 10,659.92 6,720.53 350.59 16.11 1,125.81
5-10 Yrs 2,198.63 728.45 7,745.46 4,857.18 93.96 5.49 1,134.57
10+ Yrs 1,199.94 166.73 3,214.98 3,638.58 10.03 0.24 709.69
Total 31,944.69 3,196.98 36,917.87 34,494.39 1,167.22 52.68 5,084.41
17/06/2022 0-2 Yrs 25,344.65 1,429.69 15,159.78 19,035.68 689.58 23.51 2,212.79
2-5 Yrs 3,650.75 842.26 10,966.45 6,669.77 347.26 13.76 1,142.52
5-10 Yrs 2,285.24 735.81 7,710.79 4,763.23 89.72 4.19 1,119.89
10+ Yrs 1,192.91 158.19 3,134.04 3,573.71 9.77 0.12 698.43
Total 32,473.55 3,165.95 36,971.07 34,042.39 1,136.32 41.58 5,173.63
10/06/2022 0-2 Yrs 25,726.89 1,323.55 14,836.19 18,944.14 641.74 16.55 2,293.92
2-5 Yrs 3,803.38 777.76 10,748.07 6,523.22 339.94 8.17 1,090.22
5-10 Yrs 2,397.35 625.56 7,975.05 4,631.70 100.70 3.58 1,103.77
10+ Yrs 1,226.53 176.75 3,301.12 3,618.89 16.30 0.09 719.53
Total 33,154.16 2,903.63 36,860.43 33,717.95 1,098.67 28.40 5,207.44
03/06/2022 0-2 Yrs 22,603.57 1,245.22 14,410.90 19,361.39 717.84 9.45 2,348.43
2-5 Yrs 3,589.40 782.37 10,043.15 6,609.43 379.13 4.27 1,110.46
5-10 Yrs 2,315.70 639.30 7,512.12 4,627.94 110.56 1.91 1,097.24
10+ Yrs 1,190.46 171.28 3,021.45 3,838.04 17.35 0.03 725.23
Total 29,699.13 2,838.16 34,987.62 34,436.81 1,224.88 15.65 5,281.36
27/05/2022 0-2 Yrs 21,159.46 1,274.28 13,997.95 19,713.99 690.23 6.67 2,438.66
2-5 Yrs 3,410.17 776.53 9,819.99 6,628.14 365.07 3.05 1,133.00
5-10 Yrs 2,285.77 638.11 7,427.68 4,687.05 105.37 1.98 1,129.70
10+ Yrs 1,175.44 171.16 2,951.91 3,875.56 16.42 0.04 746.60
Total 28,030.84 2,860.08 34,197.52 34,904.74 1,177.08 11.73 5,447.96
20/05/2022 0-2 Yrs 20,640.69 1,205.94 13,318.78 18,916.43 648.36 2.91 2,601.33
2-5 Yrs 3,390.59 758.91 9,283.68 6,646.55 356.62 0.66 1,272.76
5-10 Yrs 2,185.17 622.66 6,873.26 4,709.19 102.97 0.65 1,345.37
10+ Yrs 1,174.43 163.43 2,909.75 3,940.12 15.22 0.06 867.57
Total 27,390.89 2,750.94 32,385.47 34,212.29 1,123.18 4.28 6,087.02

 

Figures include OIS and Basis Swaps only.