SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR
23/02/2024 0-2 Yrs 646 381 2 4,303   9 289 2,157 0.97  
2-5 Yrs 9 58 0.75 744       1,790    
5-10 Yrs 0.78 37 0.07 1,163       1,440    
10+ Yrs 0.06 13   267       495    
Total 656 488 3 6,478   9 289 5,882 0.97  
16/02/2024 0-2 Yrs 561 266 6 5,042   19 238 2,088 0.76  
2-5 Yrs 3 67 0.36 231       970    
5-10 Yrs 0.72 75   177       799    
10+ Yrs 0.23 20   145       581    
Total 565 428 6 5,596   19 238 4,438 0.76  
09/02/2024 0-2 Yrs 749 401 2 4,692   7 317 1,785 0.02  
2-5 Yrs 14 65 2 669       1,480    
5-10 Yrs 0.24 46   847       1,356    
10+ Yrs 0.03 12   230       654    
Total 764 524 3 6,438   7 317 5,275 0.02  
02/02/2024 0-2 Yrs 1,313 375 1 8,765   11 367 3,428 2  
2-5 Yrs 2 107 1 550       1,512    
5-10 Yrs 1 53   977       1,065    
10+ Yrs 0.61 19   292       650    
Total 1,317 555 2 10,584   11 367 6,654 2  
26/01/2024 0-2 Yrs 502 482   9,522   11 143 1,799    
2-5 Yrs 1 154 0.58 1,049       1,943    
5-10 Yrs 0.02 62 0.29 1,271       1,522    
10+ Yrs 0.02 18 0.02 423       570    
Total 503 715 0.90 12,265   11 143 5,833    
19/01/2024 0-2 Yrs 766 475 6 7,147   10 195 2,919    
2-5 Yrs 3 87 0.37 243   0.10   1,380    
5-10 Yrs 0.70 53 0.98 238       1,257    
10+ Yrs 0.14 18   116       722    
Total 770 633 7 7,745   11 195 6,278    
12/01/2024 0-2 Yrs 910 248 2 7,799   28 70 2,131    
2-5 Yrs 3 111 2 1,103       2,867    
5-10 Yrs 0.24 64 1 2,192       2,020    
10+ Yrs 0.51 12   590       592    
Total 913 435 6 11,685   28 70 7,609    
05/01/2024 0-2 Yrs 349 315 3 4,112   14 39 2,422   0.00
2-5 Yrs 0.90 65 3 576       855    
5-10 Yrs 1 44   314       895    
10+ Yrs 0.29 16   138       582    
Total 351 439 6 5,139   14 39 4,754   0.00
29/12/2023 0-2 Yrs 30 87 0.30 956   16 13 1,212    
2-5 Yrs 0.39 15 2 54       635    
5-10 Yrs 0.11 24   50       381    
10+ Yrs 0.15 9   18       260    
Total 31 134 2 1,078   16 13 2,489    
22/12/2023 0-2 Yrs 338 198 0.91 2,736   23 64 1,884    
2-5 Yrs 1 92 0.91 236     0.38 1,083    
5-10 Yrs 2 40 0.07 135       672    
10+ Yrs 0.32 13   70       471    
Total 342 344 2 3,177   23 64 4,110    
15/12/2023 0-2 Yrs 660 286 2 4,688 0.82 51 268 2,109    
2-5 Yrs 7 93 2 306       1,634   0.01
5-10 Yrs 2 71   196       985    
10+ Yrs   22   97       707    
Total 669 472 4 5,288 0.82 51 268 5,434   0.01
08/12/2023 0-2 Yrs 1,508 225 2 3,942   11 56 3,100 0.04  
2-5 Yrs 5 78 2 731       1,231    
5-10 Yrs 0.48 57   453       957    
10+ Yrs 0.54 15   126       565    
Total 1,514 374 4 5,252   11 56 5,854 0.04  

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
23/02/2024 0-2 Yrs 8,259 5,356 50 37,094 0.29 203 2,753 48,293 11 0.01
2-5 Yrs 165 2,271 21 4,503   0.16 13 28,526    
5-10 Yrs 61 972 6 3,499 0.02 0.10 10 19,465    
10+ Yrs 24 190 0.02 2,002   0.01 0.02 10,931    
Total 8,510 8,789 77 47,098 0.30 204 2,776 107,215 11 0.01
16/02/2024 0-2 Yrs 7,729 5,116 48 36,559 0.29 196 2,544 47,612 10 0.01
2-5 Yrs 156 2,248 21 4,431   0.16 13 27,885    
5-10 Yrs 61 974 6 3,320 0.02 0.11 10 19,055    
10+ Yrs 24 185 0.02 1,981   0.01 0.02 10,856    
Total 7,969 8,523 75 46,291 0.30 196 2,567 105,407 10 0.01
09/02/2024 0-2 Yrs 7,692 4,938 43 35,015 0.29 184 2,401 47,647 9 0.01
2-5 Yrs 155 2,206 20 4,560   0.16 13 28,839    
5-10 Yrs 61 912 6 3,393 0.02 0.10 10 20,047    
10+ Yrs 24 175 0.02 1,993   0.01 0.02 11,283    
Total 7,932 8,231 70 44,961 0.30 184 2,424 107,816 9 0.01
02/02/2024 0-2 Yrs 8,557 4,683 41 35,919 0.29 182 2,144 48,443 12 0.01
2-5 Yrs 150 2,173 19 4,596   0.16 13 28,743    
5-10 Yrs 62 896 6 3,571 0.02 0.10 9 19,871    
10+ Yrs 24 173 0.02 2,050   0.01 0.02 11,268    
Total 8,792 7,925 67 46,136 0.30 183 2,166 108,325 12 0.01
26/01/2024 0-2 Yrs 7,741 4,675 42 38,994 0.29 258 1,863 47,742 10 0.01
2-5 Yrs 150 2,265 18 4,628   0.16 13 28,447    
5-10 Yrs 62 965 6 4,131 0.02 0.11 10 19,864    
10+ Yrs 24 178 0.02 2,106   0.01 0.02 11,079    
Total 7,977 8,083 66 49,859 0.30 258 1,886 107,132 10 0.01
19/01/2024 0-2 Yrs 7,415 4,953 41 34,790 0.29 252 1,783 47,634 10 0.01
2-5 Yrs 150 2,161 18 4,507   0.16 13 28,042    
5-10 Yrs 62 922 6 3,715 0.02 0.11 10 19,681    
10+ Yrs 24 168   1,995   0.01 0.02 11,146    
Total 7,651 8,205 66 45,007 0.30 252 1,806 106,503 10 0.01
12/01/2024 0-2 Yrs 7,034 4,701 36 33,660 0.29 255 1,680 48,088 10 0.01
2-5 Yrs 151 2,123 17 5,020   0.16 14 28,629    
5-10 Yrs 63 893 6 4,148 0.02 0.11 10 19,891    
10+ Yrs 24 161   2,135   0.01 0.02 11,173    
Total 7,271 7,878 60 44,964 0.30 255 1,704 107,782 10 0.01
05/01/2024 0-2 Yrs 6,560 4,598 30 29,813 1 230 1,643 47,222 10 0.01
2-5 Yrs 149 2,047 20 4,496   0.16 14 27,882    
5-10 Yrs 63 876 5 3,227 0.02 0.11 10 19,218    
10+ Yrs 24 159   1,932   0.01 0.02 11,081    
Total 6,796 7,679 55 39,467 1 231 1,667 105,403 10 0.01
29/12/2023 0-2 Yrs 6,403 4,366 27 27,310 1 225 1,650 46,255 10 0.01
2-5 Yrs 150 2,022 18 4,162   0.16 14 28,140    
5-10 Yrs 63 858 5 3,081 0.02 0.11 10 19,015    
10+ Yrs 24 154   1,868   0.01 0.03 10,922    
Total 6,640 7,400 50 36,421 1 226 1,674 104,332 10 0.01
22/12/2023 0-2 Yrs 6,500 4,329 27 27,671 1 218 1,676 46,659 10 0.01
2-5 Yrs 149 2,022 17 4,214   0.16 14 27,905    
5-10 Yrs 63 840 5 3,108 0.02 0.11 10 18,905    
10+ Yrs 24 151   1,875   0.01 0.03 10,864    
Total 6,736 7,343 49 36,867 1 219 1,699 104,333 10 0.01
15/12/2023 0-2 Yrs 7,039 4,298 27 33,368 1 280 1,792 47,051 28 0.01
2-5 Yrs 164 2,007 15 4,391   0.42 21 28,323    
5-10 Yrs 69 859 6 3,131 0.02 0.11 12 19,421    
10+ Yrs 26 187   1,917   0.01 0.02 11,179    
Total 7,299 7,351 47 42,807 1 281 1,826 105,974 28 0.01
08/12/2023 0-2 Yrs 7,384 4,184 23 31,439 0.29 232 1,617 48,329 28  
2-5 Yrs 159 1,930 15 4,710   0.40 21 28,119    
5-10 Yrs 67 826 6 3,441 0.02 0.10 12 19,471    
10+ Yrs 26 174   1,964   0.01 0.02 11,002    
Total 7,636 7,115 43 41,553 0.30 232 1,650 106,921 28  

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