SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA €STR NOWA NZONIA SARON SOFR SONIA SORA THOR TONA
25/11/2022 0-2 Yrs 403 184 2,479 6 135 46 922 1,021 38 4 17
2-5 Yrs 0.91 2 163   0.58 15 840 153 19 8 23
5-10 Yrs 0.22 0.05 121     8 741 122 8 2 24
10+ Yrs 0.13   43     6 396 112 1 0.21 14
Total 404 185 2,806 6 135 75 2,899 1,409 66 15 78
18/11/2022 0-2 Yrs 513 265 2,956 22 22 86 1,193 1,476 39 8 24
2-5 Yrs 4 3 160   0.15 33 683 218 26 9 36
5-10 Yrs 3   124     17 480 146 17 10 57
10+ Yrs 0.07 0.34 67     8 458 90 3 0.68 30
Total 520 269 3,307 22 22 144 2,814 1,930 86 27 147
11/11/2022 0-2 Yrs 419 263 2,901 8 49 38 1,010 1,410 25 8 28
2-5 Yrs 2 0.91 165   0.65 20 921 224 17 8 34
5-10 Yrs 2 0.07 121   0.09 14 588 168 10 4 29
10+ Yrs 0.28   57     9 440 110 2 0.28 13
Total 424 264 3,244 8 50 81 2,959 1,911 53 20 104
04/11/2022 0-2 Yrs 679 565 2,579 25 39 95 1,155 3,761 31 4 9
2-5 Yrs 2 0.20 99     21 742 226 12 4 28
5-10 Yrs 0.02   74     12 704 184 6 3 23
10+ Yrs 0.27 0.37 59     33 444 101 1 0.12 13
Total 682 566 2,811 25 39 161 3,045 4,272 50 12 73
28/10/2022 0-2 Yrs 1,170 393 2,880 11 59 57 1,235 2,506 34 6 29
2-5 Yrs 4 4 202     22 857 137 21 3 30
5-10 Yrs 0.50 0.00 112     11 863 150 9 2 27
10+ Yrs 0.86 0.08 89     4 542 105 2 0.09 19
Total 1,176 397 3,282 11 59 95 3,497 2,898 65 11 105
21/10/2022 0-2 Yrs 1,117 322 1,829 12 70 23 1,289 1,562 28 4 49
2-5 Yrs 4 0.47 206   0.46 23 787 288 15 3 53
5-10 Yrs 1   175     17 559 232 14 3 29
10+ Yrs 0.35   84   0.01 5 509 135 3 0.09 34
Total 1,122 323 2,293 12 71 68 3,145 2,217 61 10 165
14/10/2022 0-2 Yrs 665 146 1,876 3 11 58 1,244 1,727 51 1 19
2-5 Yrs 7 0.26 164   0.53 22 611 278 12 2 18
5-10 Yrs 0.77   133     16 535 287 6 1 19
10+ Yrs 0.33 0.07 79     5 394 256 2 0.09 12
Total 674 146 2,252 3 11 102 2,784 2,547 71 4 68
07/10/2022 0-2 Yrs 569 239 1,772 9 106 73 1,230 1,062 41 13 21
2-5 Yrs 0.30 2 154   0.45 26 663 237 12 9 18
5-10 Yrs 0.07   123     18 678 212 8 3 20
10+ Yrs 0.01   69     9 478 173 1 0.28 14
Total 570 241 2,118 9 107 126 3,049 1,684 62 25 73
30/09/2022 0-2 Yrs 891 176 2,878 22 70 90 2,008 1,994 42 13 37
2-5 Yrs 2 1 257     36 1,098 327 15 12 38
5-10 Yrs 1 0.33 198     28 901 217 11 5 29
10+ Yrs 0.34 0.32 77     40 603 179 2 0.42 26
Total 895 178 3,410 22 70 194 4,611 2,716 70 30 130
23/09/2022 0-2 Yrs 469 451 3,409 15 54 129 1,624 2,456 47 12 43
2-5 Yrs 3 2 128     21 793 195 15 13 14
5-10 Yrs   0.07 200     17 638 142 9 4 28
10+ Yrs 0.10   80     7 415 75 3 0.23 29
Total 473 453 3,816 15 54 174 3,470 2,868 74 28 114
16/09/2022 0-2 Yrs 931 396 2,831 9 67 141 1,674 1,428 40 2 39
2-5 Yrs 4 0.64 219     33 786 214 17 11 38
5-10 Yrs 0.62   196     20 536 153 12 6 30
10+ Yrs 0.05 0.01 100     16 449 145 2 0.43 24
Total 936 397 3,346 9 67 209 3,445 1,940 72 20 131
09/09/2022 0-2 Yrs 1,107 312 4,769 13 6 134 692 1,522 27 5 26
2-5 Yrs 2   436     18 606 238 22 8 32
5-10 Yrs 2   241 0.08 0.10 16 505 154 13 6 56
10+ Yrs 0.50   113     10 381 102 4 0.22 24
Total 1,111 312 5,560 13 6 177 2,183 2,016 66 18 138

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 €STR NOWA NZONIA SARON SOFR SONIA SORA THOR TONA
25/11/2022 0-2 Yrs 6,046 3,605 25,213 151 912 1,805 21,454 19,498 1,046 130 1,939
2-5 Yrs 76 51 3,220 0.04 4 783 13,105 6,888 453 52 1,075
5-10 Yrs 40 8 2,419 0.06 0.37 648 9,097 4,834 132 18 1,061
10+ Yrs 16 8 1,282     180 4,040 3,682 15 1 669
Total 6,178 3,672 32,133 151 916 3,417 47,697 34,902 1,646 201 4,743
18/11/2022 0-2 Yrs 6,387 3,823 25,401 151 831 1,795 21,372 19,296 1,029 155 1,924
2-5 Yrs 78 50 3,242 0.04 4 776 12,638 6,887 449 70 1,059
5-10 Yrs 40 8 2,392 0.06 0.37 643 8,783 4,820 132 26 1,051
10+ Yrs 15 8 1,304     179 3,871 3,643 15 2 662
Total 6,520 3,889 32,340 151 836 3,393 46,665 34,646 1,625 253 4,696
11/11/2022 0-2 Yrs 6,659 3,688 24,447 141 851 1,796 21,020 19,059 1,010 149 2,087
2-5 Yrs 77 48 3,213 0.04 4 776 12,931 6,741 442 65 1,204
5-10 Yrs 39 8 2,358 0.06 0.36 650 9,129 4,768 127 22 1,213
10+ Yrs 16 7 1,286     179 3,927 3,600 15 2 735
Total 6,791 3,752 31,304 141 855 3,401 47,007 34,169 1,594 237 5,239
04/11/2022 0-2 Yrs 6,121 3,521 22,891 133 785 1,715 20,773 18,981 976 137 1,963
2-5 Yrs 72 47 3,079 0.04 4 728 12,710 6,462 424 58 1,131
5-10 Yrs 36 8 2,260 0.06 0.32 610 9,053 4,603 120 18 1,134
10+ Yrs 15 7 1,220     194 3,846 3,457 13 1 693
Total 6,245 3,583 29,450 133 789 3,248 46,382 33,503 1,533 214 4,921
28/10/2022 0-2 Yrs 7,137 3,132 25,886 115 755 1,661 21,013 19,156 948 133 1,955
2-5 Yrs 72 48 3,230 0.04 4 714 12,819 6,496 423 54 1,111
5-10 Yrs 36 8 2,337 0.06 0.31 607 9,376 4,624 118 16 1,110
10+ Yrs 15 7 1,241     165 3,853 3,489 13 1 686
Total 7,259 3,194 32,695 115 759 3,147 47,062 33,765 1,502 205 4,863
21/10/2022 0-2 Yrs 6,300 3,382 23,758 115 697 1,658 21,538 17,935 923 132 1,952
2-5 Yrs 70 45 3,136 0.04 4 700 13,041 6,606 409 55 1,103
5-10 Yrs 35 8 2,301 0.06 0.38 602 9,418 4,730 116 16 1,097
10+ Yrs 14 7 1,193   0.01 164 3,902 3,563 13 1 684
Total 6,420 3,442 30,387 115 701 3,124 47,899 32,834 1,461 204 4,836
14/10/2022 0-2 Yrs 5,251 3,186 22,986 106 631 1,674 20,655 17,290 932 130 1,915
2-5 Yrs 70 44 2,998 0.04 4 686 12,506 6,684 404 55 1,075
5-10 Yrs 33 8 2,247 0.06 0.37 592 9,106 4,790 110 15 1,073
10+ Yrs 14 7 1,142     162 3,637 3,593 12 1 660
Total 5,367 3,245 29,374 106 635 3,113 45,905 32,356 1,458 201 4,722
07/10/2022 0-2 Yrs 5,126 3,199 23,115 104 979 1,663 20,239 17,242 891 133 1,986
2-5 Yrs 67 46 3,062 0.04 4 683 12,371 6,350 393 56 1,089
5-10 Yrs 34 8 2,218 0.06 0.38 590 8,967 4,519 107 15 1,095
10+ Yrs 14 7 1,128     162 3,615 3,415 11 1 670
Total 5,241 3,259 29,523 104 983 3,099 45,191 31,526 1,403 204 4,839
30/09/2022 0-2 Yrs 6,091 3,062 22,728 96 893 1,681 20,345 17,125 854 122 1,990
2-5 Yrs 69 46 3,119 0.04 4 684 12,406 6,343 386 54 1,094
5-10 Yrs 34 8 2,240 0.06 0.38 623 9,004 4,509 105 14 1,097
10+ Yrs 14 7 1,121     162 3,709 3,383 11 1 672
Total 6,208 3,123 29,208 96 897 3,151 45,464 31,360 1,356 191 4,853
23/09/2022 0-2 Yrs 5,619 2,977 23,004 89 853 1,656 19,367 16,418 831 116 2,040
2-5 Yrs 69 46 3,051 0.04 4 677 12,146 6,155 387 51 1,095
5-10 Yrs 34 8 2,206 0.06 0.38 581 8,678 4,417 100 13 1,123
10+ Yrs 14 6 1,133     160 3,619 3,294 11 0.81 690
Total 5,737 3,037 29,395 90 857 3,073 43,810 30,284 1,328 181 4,948
16/09/2022 0-2 Yrs 5,868 2,904 23,650 87 928 1,651 19,278 16,204 868 94 1,975
2-5 Yrs 73 46 3,370 0.04 4 700 12,596 6,525 446 50 1,130
5-10 Yrs 36 8 2,244 0.06 0.40 593 8,633 4,591 132 20 1,124
10+ Yrs 15 7 1,226     173 3,682 3,478 17 1 690
Total 5,992 2,964 30,490 87 932 3,117 44,188 30,798 1,463 166 4,918
09/09/2022 0-2 Yrs 5,697 2,662 28,062 85 895 1,586 17,848 18,909 850 94 1,973
2-5 Yrs 75 47 3,575   4 697 12,102 6,785 437 44 1,107
5-10 Yrs 37 8 2,277 0.14 0.41 587 8,509 4,832 134 19 1,121
10+ Yrs 15 7 1,235     181 3,620 3,558 18 0.94 692
Total 5,823 2,723 35,148 85 899 3,050 42,079 34,085 1,439 158 4,893

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