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.