SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR
14/06/2024 0-2 Yrs 843 424 1 5,241   40 198 2,727 24  
2-5 Yrs 8 239 0.25 673   0.33   1,868    
5-10 Yrs 0.48 123 0.14 300       929    
10+ Yrs   39   183       825    
Total 852 825 2 6,397   40 198 6,350 24  
07/06/2024 0-2 Yrs 774 933 0.36 8,810   22 103 2,478    
2-5 Yrs 4 137 0.32 633   2 0.31 1,262    
5-10 Yrs 0.71 71   480       804    
10+ Yrs 0.28 43   218       580    
Total 780 1,184 0.68 10,141   24 103 5,124    
31/05/2024 0-2 Yrs 988 436 6 3,784   7 349 2,282    
2-5 Yrs 2 102 1 245   0.10 0.12 1,445    
5-10 Yrs 0.59 48   362       888    
10+ Yrs 0.05 25   158       605    
Total 990 610 7 4,548   7 349 5,220    
24/05/2024 0-2 Yrs 892 569   4,351   15 376 2,188 0.84  
2-5 Yrs 9 98 0.10 256   0.37 0.07 1,421    
5-10 Yrs 0.27 48 0.00 164       894    
10+ Yrs 0.33 20 0.00 125       448    
Total 902 735 0.10 4,896   16 376 4,952 0.84  
17/05/2024 0-2 Yrs 1,131 365 6 3,522   24 162 2,331 10  
2-5 Yrs 7 75 1 309       1,183    
5-10 Yrs 2 44 0.02 159       842    
10+ Yrs 0.82 26 0.02 123       651    
Total 1,141 509 8 4,113   24 162 5,007 10  
10/05/2024 0-2 Yrs 1,897 335 0.18 2,369   46 256 4,190 7  
2-5 Yrs 20 108 0.58 221       3,279    
5-10 Yrs 0.51 43 0.07 107       1,325    
10+ Yrs 0.04 14   72       652    
Total 1,918 501 0.83 2,769   46 256 9,447 7  
03/05/2024 0-2 Yrs 1,914 345 0.12 6,996   24 366 2,265 15  
2-5 Yrs 8 131 4 661       1,232    
5-10 Yrs 1 46   1,404       852    
10+ Yrs 0.12 18   609       562    
Total 1,923 540 4 9,670   24 366 4,912 15  
26/04/2024 0-2 Yrs 1,763 218 0.14 4,114   11 247 2,832 26  
2-5 Yrs 4 107 2 399     0.47 1,854    
5-10 Yrs 0.49 41 0.07 1,149   0.04   1,420    
10+ Yrs 0.18 10   624       716    
Total 1,767 375 2 6,286   11 248 6,822 26  
19/04/2024 0-2 Yrs 861 325 1 6,913   29 298 2,148 0.73  
2-5 Yrs 8 141   1,057   0.27   1,216    
5-10 Yrs 0.03 42 0.04 756       1,013    
10+ Yrs   12   180       702    
Total 869 520 1 8,905   29 298 5,079 0.73  
12/04/2024 0-2 Yrs 780 428 0.89 6,869   10 325 2,060 9  
2-5 Yrs 10 103 2 321       1,166    
5-10 Yrs 0.90 43 0.28 232   0.03   936    
10+ Yrs 0.63 14   111       685    
Total 791 588 3 7,533   10 325 4,848 9  
05/04/2024 0-2 Yrs 608 450 1 2,945   24 141 1,683 5  
2-5 Yrs 15 102 0.29 200   0.19   818    
5-10 Yrs 0.07 39   130       785    
10+ Yrs 1 14   121       584    
Total 624 606 1 3,396   24 141 3,870 5  
29/03/2024 0-2 Yrs 798 244 0.29 2,920   3 165 1,464 29 2
2-5 Yrs 4 99 0.72 199     0.68 833    
5-10 Yrs 0.34 48 0.14 224       553    
10+ Yrs   9 0.13 67       291    
Total 802 400 1 3,410   3 166 3,141 29 2

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
14/06/2024 0-2 Yrs 11,919 9,553 69 37,600 0.39 352 3,235 50,346 94 2
2-5 Yrs 196 5,118 22 5,205   3 6 30,147    
5-10 Yrs 52 2,396 7 3,581 0.02 0.17 0.37 19,759    
10+ Yrs 20 549 0.02 2,388   0.01 0.02 11,561    
Total 12,188 17,616 98 48,774 0.41 355 3,241 111,814 94 2
07/06/2024 0-2 Yrs 12,235 6,678 69 45,025 0.39 319 3,136 49,504 71 2
2-5 Yrs 199 2,775 22 5,144   3 6 29,465    
5-10 Yrs 52 1,198 7 3,752 0.02 0.17 0.37 19,403    
10+ Yrs 20 244 0.02 2,445   0.01 0.02 11,283    
Total 12,506 10,896 98 56,366 0.41 323 3,143 109,656 71 2
31/05/2024 0-2 Yrs 11,972 6,974 69 40,298 0.39 318 3,076 49,515 71 2
2-5 Yrs 200 2,761 22 4,841   0.99 13 30,159    
5-10 Yrs 61 1,171 7 3,564 0.02 0.17 8 19,930    
10+ Yrs 25 231 0.02 2,370   0.01 0.02 11,329    
Total 12,258 11,137 98 51,073 0.41 319 3,097 110,932 71 2
24/05/2024 0-2 Yrs 11,355 6,615 63 39,315 0.39 310 3,338 48,581 70 2
2-5 Yrs 200 2,707 21 4,808   0.89 13 29,352    
5-10 Yrs 62 1,142 7 3,432 0.02 0.17 10 19,665    
10+ Yrs 25 219 0.03 2,353   0.01 0.02 11,121    
Total 11,643 10,683 91 49,909 0.41 311 3,361 108,719 70 2
17/05/2024 0-2 Yrs 11,089 6,239 63 37,687 0.39 312 3,074 48,547 69 2
2-5 Yrs 198 2,663 21 4,776   0.54 13 29,936    
5-10 Yrs 63 1,113 7 3,407 0.02 0.17 10 19,732    
10+ Yrs 26 212 0.02 2,329   0.01 0.02 11,209    
Total 11,376 10,226 92 48,199 0.41 313 3,097 109,424 69 2
10/05/2024 0-2 Yrs 10,129 6,234 54 37,813 0.39 281 2,895 48,342 73 2
2-5 Yrs 196 2,736 22 4,751   0.54 13 30,086    
5-10 Yrs 61 1,128 7 3,754 0.02 0.17 9 19,689    
10+ Yrs 25 208 0.02 2,380   0.01 0.02 11,031    
Total 10,412 10,306 84 48,699 0.41 281 2,917 109,148 73 2
03/05/2024 0-2 Yrs 10,371 5,989 51 38,786 0.39 263 2,820 48,550 69 2
2-5 Yrs 184 2,664 25 4,885   0.54 13 29,314    
5-10 Yrs 61 1,105 7 4,527 0.02 0.17 9 19,869    
10+ Yrs 25 203 0.02 2,647   0.01 0.02 11,253    
Total 10,641 9,960 83 50,845 0.41 263 2,843 108,986 69 2
26/04/2024 0-2 Yrs 9,216 5,700 49 36,888 0.39 247 2,518 48,710 66 2
2-5 Yrs 176 2,589 23 4,744   0.53 13 29,187    
5-10 Yrs 60 1,083 7 4,298 0.02 0.16 9 19,878    
10+ Yrs 24 191 0.02 2,398   0.01 0.02 11,166    
Total 9,477 9,562 79 48,328 0.41 248 2,540 108,942 66 2
19/04/2024 0-2 Yrs 7,744 5,504 53 35,424 0.39 244 2,434 48,918 52 2
2-5 Yrs 172 2,528 22 4,555   0.49 12 28,867    
5-10 Yrs 59 1,063 7 3,547 0.02 0.16 9 19,660    
10+ Yrs 24 187 0.02 2,077   0.01 0.02 11,230    
Total 8,000 9,281 82 45,602 0.41 245 2,455 108,675 52 2
12/04/2024 0-2 Yrs 7,801 5,351 54 41,808 0.39 229 2,922 48,014 59 2
2-5 Yrs 173 2,472 22 4,587   0.22 12 28,515    
5-10 Yrs 61 1,050 7 3,502 0.02 0.17 9 19,355    
10+ Yrs 24 182 0.02 2,069   0.01 0.02 11,096    
Total 8,059 9,055 83 51,965 0.41 229 2,944 106,980 59 2
05/04/2024 0-2 Yrs 7,448 5,751 53 38,400 0.39 232 2,691 47,150 57 2
2-5 Yrs 173 2,455 23 4,406   0.38 13 28,247    
5-10 Yrs 61 1,042 7 3,539 0.02 0.17 9 19,142    
10+ Yrs 24 178 0.02 2,065   0.01 0.02 10,857    
Total 7,706 9,426 82 48,411 0.41 233 2,713 105,396 57 2
29/03/2024 0-2 Yrs 6,934 5,461 50 37,501 0.39 206 2,559 46,778 58 2
2-5 Yrs 164 2,409 25 4,461   0.19 13 28,202    
5-10 Yrs 60 1,033 7 3,572 0.02 0.17 9 18,817    
10+ Yrs 24 171 0.02 2,025   0.01 0.02 10,631    
Total 7,182 9,073 82 47,559 0.41 206 2,581 104,428 58 2

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