SwapClear Weekly RFR Volumes
Weekly Registration Volume (USD BN)
Week End | Tenor Bucket | AONIA | CORRA | DESTR | €STR | HONIA | NOWA | NZONIA | SOFR | SWESTR |
15/09/2023 | 0-2 Yrs | 560 | 161 | 0.75 | 13,741 | 11 | 55 | 2,034 | 5 | |
2-5 Yrs | 2 | 118 | 0.10 | 362 | 877 | |||||
5-10 Yrs | 0.14 | 62 | 204 | 612 | ||||||
10+ Yrs | 0.47 | 16 | 0.22 | 73 | 552 | |||||
Total | 562 | 357 | 1 | 14,380 | 11 | 55 | 4,075 | 5 | ||
08/09/2023 | 0-2 Yrs | 938 | 387 | 0.51 | 4,647 | 11 | 60 | 1,370 | 10 | |
2-5 Yrs | 0.46 | 93 | 0.79 | 733 | 0.21 | 856 | ||||
5-10 Yrs | 64 | 785 | 0.05 | 1,021 | ||||||
10+ Yrs | 0.16 | 16 | 0.28 | 118 | 0.03 | 369 | ||||
Total | 938 | 559 | 2 | 6,283 | 11 | 61 | 3,616 | 10 | ||
01/09/2023 | 0-2 Yrs | 863 | 229 | 5,208 | 0.01 | 17 | 63 | 2,308 | ||
2-5 Yrs | 4 | 94 | 0.40 | 406 | 1,697 | |||||
5-10 Yrs | 0.15 | 38 | 417 | 1,144 | ||||||
10+ Yrs | 11 | 0.48 | 95 | 457 | ||||||
Total | 867 | 372 | 0.88 | 6,126 | 0.01 | 17 | 63 | 5,605 | ||
25/08/2023 | 0-2 Yrs | 334 | 121 | 0.60 | 2,530 | 10 | 135 | 1,854 | 1 | |
2-5 Yrs | 2 | 64 | 0.43 | 1,030 | 0.00 | 2,060 | ||||
5-10 Yrs | 0.07 | 41 | 779 | 1,437 | ||||||
10+ Yrs | 0.12 | 13 | 0.79 | 410 | 528 | |||||
Total | 336 | 239 | 2 | 4,749 | 10 | 135 | 5,879 | 1 | ||
18/08/2023 | 0-2 Yrs | 456 | 204 | 0.40 | 3,871 | 34 | 253 | 2,178 | ||
2-5 Yrs | 1 | 84 | 0.56 | 429 | 1,274 | |||||
5-10 Yrs | 0.45 | 38 | 814 | 1,020 | ||||||
10+ Yrs | 0.51 | 13 | 0.14 | 156 | 583 | |||||
Total | 458 | 339 | 1 | 5,270 | 34 | 253 | 5,055 | |||
11/08/2023 | 0-2 Yrs | 545 | 168 | 0.62 | 2,964 | 37 | 124 | 1,937 | 3 | |
2-5 Yrs | 30 | 63 | 0.92 | 196 | 7 | 1,139 | ||||
5-10 Yrs | 23 | 176 | 7 | 757 | ||||||
10+ Yrs | 0.04 | 9 | 0.34 | 56 | 505 | |||||
Total | 574 | 263 | 2 | 3,393 | 37 | 139 | 4,338 | 3 | ||
04/08/2023 | 0-2 Yrs | 1,027 | 218 | 0.94 | 3,367 | 0.51 | 9 | 127 | 1,698 | |
2-5 Yrs | 6 | 91 | 0.14 | 199 | 0.16 | 937 | ||||
5-10 Yrs | 1 | 33 | 130 | 993 | ||||||
10+ Yrs | 0.09 | 12 | 0.07 | 86 | 641 | |||||
Total | 1,033 | 354 | 1 | 3,782 | 0.51 | 9 | 127 | 4,269 | ||
28/07/2023 | 0-2 Yrs | 1,404 | 217 | 0.59 | 5,678 | 7 | 141 | 1,401 | ||
2-5 Yrs | 10 | 90 | 0.22 | 261 | 10 | 1,134 | ||||
5-10 Yrs | 1 | 47 | 174 | 642 | ||||||
10+ Yrs | 0.01 | 9 | 0.07 | 85 | 427 | |||||
Total | 1,414 | 362 | 0.89 | 6,198 | 7 | 151 | 3,603 | |||
21/07/2023 | 0-2 Yrs | 562 | 241 | 0.96 | 3,652 | 2 | 160 | 2,633 | ||
2-5 Yrs | 88 | 201 | 846 | |||||||
5-10 Yrs | 35 | 168 | 682 | |||||||
10+ Yrs | 16 | 78 | 568 | |||||||
Total | 562 | 379 | 0.96 | 4,099 | 2 | 160 | 4,730 | |||
14/07/2023 | 0-2 Yrs | 577 | 619 | 0.06 | 2,493 | 11 | 276 | 2,033 | ||
2-5 Yrs | 0.98 | 139 | 281 | 969 | ||||||
5-10 Yrs | 6 | 50 | 216 | 5 | 844 | |||||
10+ Yrs | 11 | 91 | 741 | |||||||
Total | 583 | 820 | 0.06 | 3,081 | 11 | 281 | 4,587 | |||
07/07/2023 | 0-2 Yrs | 999 | 183 | 0.91 | 1,864 | 10 | 79 | 1,320 | 0.00 | |
2-5 Yrs | 1 | 63 | 0.34 | 220 | 1,199 | |||||
5-10 Yrs | 0.24 | 37 | 149 | 0.01 | 1,144 | |||||
10+ Yrs | 0.38 | 13 | 0.36 | 79 | 385 | |||||
Total | 1,001 | 296 | 2 | 2,311 | 10 | 79 | 4,048 | 0.00 | ||
30/06/2023 | 0-2 Yrs | 981 | 367 | 2 | 3,662 | 15 | 100 | 2,236 | 9 | |
2-5 Yrs | 11 | 86 | 0.29 | 730 | 0.46 | 0.15 | 1,057 | |||
5-10 Yrs | 2 | 34 | 0.15 | 753 | 895 | |||||
10+ Yrs | 5 | 17 | 122 | 484 | ||||||
Total | 1,000 | 504 | 2 | 5,268 | 16 | 100 | 4,672 | 9 |
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 |
15/09/2023 | 0-2 Yrs | 7,344 | 4,064 | 11 | 43,080 | 0.26 | 213 | 1,921 | 46,806 | 23 |
2-5 Yrs | 143 | 1,360 | 11 | 4,319 | 0.03 | 0.04 | 30 | 27,035 | ||
5-10 Yrs | 64 | 509 | 2 | 3,230 | 0.02 | 0.06 | 12 | 18,895 | ||
10+ Yrs | 25 | 120 | 2 | 1,786 | 10,686 | |||||
Total | 7,576 | 6,052 | 25 | 52,414 | 0.30 | 213 | 1,963 | 103,422 | 23 | |
08/09/2023 | 0-2 Yrs | 7,517 | 3,943 | 11 | 35,228 | 0.26 | 213 | 1,941 | 46,205 | 21 |
2-5 Yrs | 142 | 1,264 | 11 | 4,260 | 0.03 | 0.04 | 30 | 27,738 | ||
5-10 Yrs | 63 | 490 | 2 | 3,195 | 0.02 | 0.06 | 12 | 19,392 | ||
10+ Yrs | 25 | 112 | 1 | 1,786 | 10,757 | |||||
Total | 7,747 | 5,809 | 24 | 44,468 | 0.30 | 213 | 1,983 | 104,092 | 21 | |
01/09/2023 | 0-2 Yrs | 9,268 | 4,486 | 10 | 34,887 | 0.26 | 210 | 1,935 | 46,416 | 15 |
2-5 Yrs | 143 | 1,224 | 10 | 4,151 | 0.03 | 0.04 | 30 | 28,105 | ||
5-10 Yrs | 64 | 447 | 1 | 2,974 | 0.02 | 0.06 | 12 | 19,410 | ||
10+ Yrs | 25 | 103 | 1 | 1,794 | 10,738 | |||||
Total | 9,500 | 6,259 | 23 | 43,806 | 0.30 | 210 | 1,977 | 104,670 | 15 | |
25/08/2023 | 0-2 Yrs | 8,529 | 4,277 | 10 | 31,579 | 0.25 | 200 | 1,893 | 45,844 | 16 |
2-5 Yrs | 140 | 1,154 | 10 | 4,052 | 0.03 | 0.04 | 30 | 27,848 | ||
5-10 Yrs | 64 | 426 | 0.88 | 3,050 | 0.02 | 0.06 | 12 | 19,413 | ||
10+ Yrs | 25 | 98 | 1 | 1,809 | 10,698 | |||||
Total | 8,758 | 5,954 | 22 | 40,491 | 0.30 | 200 | 1,935 | 103,803 | 16 | |
18/08/2023 | 0-2 Yrs | 8,689 | 4,203 | 10 | 31,732 | 0.26 | 230 | 2,339 | 45,651 | 17 |
2-5 Yrs | 140 | 1,118 | 9 | 4,097 | 0.03 | 0.04 | 25 | 26,953 | ||
5-10 Yrs | 64 | 395 | 0.89 | 3,000 | 0.02 | 0.06 | 19 | 18,961 | ||
10+ Yrs | 25 | 92 | 0.71 | 1,744 | 10,633 | |||||
Total | 8,918 | 5,809 | 21 | 40,574 | 0.30 | 230 | 2,383 | 102,198 | 17 | |
11/08/2023 | 0-2 Yrs | 8,593 | 4,097 | 10 | 32,225 | 0.26 | 211 | 2,160 | 45,830 | 17 |
2-5 Yrs | 142 | 1,069 | 9 | 4,092 | 0.03 | 0.04 | 25 | 27,080 | ||
5-10 Yrs | 64 | 375 | 0.90 | 2,892 | 0.02 | 0.06 | 19 | 18,952 | ||
10+ Yrs | 25 | 86 | 0.57 | 1,748 | 10,644 | |||||
Total | 8,825 | 5,627 | 20 | 40,958 | 0.30 | 212 | 2,204 | 102,505 | 17 | |
04/08/2023 | 0-2 Yrs | 8,534 | 3,978 | 10 | 30,955 | 0.26 | 194 | 2,111 | 45,254 | 17 |
2-5 Yrs | 115 | 1,038 | 8 | 4,039 | 0.03 | 0.04 | 19 | 26,960 | ||
5-10 Yrs | 66 | 363 | 0.80 | 2,830 | 0.02 | 0.06 | 12 | 18,849 | ||
10+ Yrs | 26 | 83 | 0.43 | 1,759 | 10,587 | |||||
Total | 8,740 | 5,462 | 19 | 39,583 | 0.30 | 195 | 2,141 | 101,651 | 17 | |
28/07/2023 | 0-2 Yrs | 10,041 | 3,954 | 9 | 34,701 | 185 | 2,050 | 45,325 | 17 | |
2-5 Yrs | 112 | 990 | 8 | 3,988 | 0.03 | 0.04 | 19 | 27,228 | ||
5-10 Yrs | 66 | 359 | 0.73 | 2,810 | 0.02 | 0.06 | 12 | 18,864 | ||
10+ Yrs | 26 | 79 | 0.44 | 1,723 | 10,503 | |||||
Total | 10,245 | 5,382 | 18 | 43,222 | 0.04 | 185 | 2,081 | 101,920 | 17 | |
21/07/2023 | 0-2 Yrs | 9,645 | 3,965 | 8 | 32,443 | 186 | 1,953 | 48,369 | 17 | |
2-5 Yrs | 107 | 921 | 8 | 3,992 | 0.03 | 0.04 | 11 | 26,917 | ||
5-10 Yrs | 68 | 333 | 0.73 | 2,868 | 0.02 | 0.06 | 12 | 18,781 | ||
10+ Yrs | 26 | 82 | 0.36 | 1,718 | 10,520 | |||||
Total | 9,846 | 5,301 | 17 | 41,021 | 0.04 | 186 | 1,976 | 104,587 | 17 | |
14/07/2023 | 0-2 Yrs | 9,495 | 4,112 | 7 | 32,143 | 189 | 2,241 | 47,951 | 18 | |
2-5 Yrs | 110 | 946 | 8 | 4,101 | 0.03 | 0.04 | 12 | 27,723 | ||
5-10 Yrs | 69 | 347 | 0.74 | 2,983 | 0.02 | 0.06 | 12 | 19,155 | ||
10+ Yrs | 27 | 80 | 0.37 | 1,746 | 10,630 | |||||
Total | 9,701 | 5,486 | 16 | 40,972 | 0.04 | 189 | 2,265 | 105,459 | 18 | |
07/07/2023 | 0-2 Yrs | 9,007 | 4,797 | 7 | 29,969 | 170 | 1,953 | 47,351 | 17 | |
2-5 Yrs | 107 | 858 | 8 | 3,908 | 0.03 | 0.04 | 11 | 27,897 | ||
5-10 Yrs | 61 | 325 | 0.72 | 2,901 | 0.02 | 0.06 | 7 | 19,464 | ||
10+ Yrs | 27 | 78 | 0.36 | 1,672 | 10,358 | |||||
Total | 9,202 | 6,057 | 16 | 38,449 | 0.04 | 170 | 1,971 | 105,070 | 17 | |
30/06/2023 | 0-2 Yrs | 9,875 | 4,693 | 7 | 29,752 | 163 | 1,885 | 47,540 | 31 | |
2-5 Yrs | 106 | 808 | 7 | 4,148 | 0.03 | 0.04 | 12 | 27,496 | ||
5-10 Yrs | 61 | 302 | 0.86 | 3,073 | 0.02 | 0.06 | 7 | 18,976 | ||
10+ Yrs | 26 | 71 | 1,655 | 10,324 | ||||||
Total | 10,069 | 5,874 | 15 | 38,628 | 0.04 | 164 | 1,904 | 104,335 | 31 |
Figures are rounded to the nearest billion and include OIS and Basis Swaps only.