SwapClear Weekly RFR Volumes
Weekly Registration Volume (USD BN)
Week End | Tenor Bucket | AONIA | CORRA | DESTR | €STR | NOWA | NZONIA | SOFR | SORA | SWESTR | THOR |
17/03/2023 | 0-2 Yrs | 1,631 | 752 | 0.31 | 9,632 | 12 | 278 | 2,621 | 77 | 3 | 12 |
2-5 Yrs | 19 | 19 | 0.05 | 302 | 15 | 1,922 | 30 | 12 | |||
5-10 Yrs | 0.27 | 20 | 0.01 | 211 | 1,139 | 22 | 9 | ||||
10+ Yrs | 0.14 | 6 | 66 | 726 | 5 | 0.74 | |||||
Total | 1,650 | 797 | 0.38 | 10,212 | 12 | 293 | 6,408 | 134 | 3 | 34 | |
10/03/2023 | 0-2 Yrs | 1,587 | 645 | 0.07 | 6,132 | 20 | 74 | 1,849 | 34 | 4 | |
2-5 Yrs | 2 | 18 | 0.28 | 502 | 0.06 | 1,386 | 27 | 11 | |||
5-10 Yrs | 0.54 | 22 | 901 | 842 | 25 | 8 | |||||
10+ Yrs | 0.03 | 4 | 94 | 673 | 3 | 0.45 | |||||
Total | 1,590 | 690 | 0.35 | 7,629 | 20 | 74 | 4,750 | 88 | 22 | ||
03/03/2023 | 0-2 Yrs | 997 | 343 | 0.10 | 6,442 | 16 | 72 | 1,498 | 45 | 8 | |
2-5 Yrs | 3 | 13 | 734 | 1,236 | 22 | 8 | |||||
5-10 Yrs | 0.50 | 12 | 557 | 1,064 | 20 | 10 | |||||
10+ Yrs | 0.86 | 5 | 152 | 753 | 4 | 0.74 | |||||
Total | 1,002 | 374 | 0.10 | 7,885 | 16 | 72 | 4,551 | 92 | 28 | ||
24/02/2023 | 0-2 Yrs | 739 | 275 | 0.04 | 3,188 | 15 | 193 | 1,161 | 28 | 6 | 5 |
2-5 Yrs | 2 | 17 | 255 | 0.27 | 1,230 | 22 | 0.02 | 6 | |||
5-10 Yrs | 0.13 | 8 | 149 | 1,085 | 16 | 2 | |||||
10+ Yrs | 0.64 | 2 | 104 | 702 | 2 | 0.31 | |||||
Total | 742 | 301 | 0.04 | 3,695 | 15 | 194 | 4,177 | 68 | 6 | 13 | |
17/02/2023 | 0-2 Yrs | 1,046 | 464 | 0.32 | 3,416 | 37 | 177 | 1,823 | 29 | 4 | 10 |
2-5 Yrs | 3 | 25 | 1 | 265 | 1,296 | 18 | 7 | ||||
5-10 Yrs | 0.86 | 11 | 174 | 767 | 13 | 5 | |||||
10+ Yrs | 9 | 7 | 90 | 761 | 2 | 0.14 | |||||
Total | 1,058 | 508 | 1 | 3,945 | 37 | 177 | 4,648 | 62 | 4 | 23 | |
10/02/2023 | 0-2 Yrs | 1,822 | 740 | 0.55 | 3,589 | 6 | 63 | 1,225 | 36 | 9 | 6 |
2-5 Yrs | 1 | 21 | 1 | 272 | 0.39 | 1,405 | 21 | 7 | |||
5-10 Yrs | 2 | 10 | 154 | 1,192 | 14 | 3 | |||||
10+ Yrs | 2 | 5 | 106 | 687 | 2 | 0.39 | |||||
Total | 1,826 | 776 | 2 | 4,121 | 6 | 63 | 4,509 | 73 | 9 | 16 | |
03/02/2023 | 0-2 Yrs | 1,071 | 301 | 0.65 | 5,858 | 2 | 115 | 1,308 | 59 | 5 | |
2-5 Yrs | 7 | 15 | 271 | 920 | 26 | 6 | |||||
5-10 Yrs | 2 | 7 | 178 | 648 | 12 | 2 | |||||
10+ Yrs | 2 | 2 | 79 | 480 | 3 | 0.25 | |||||
Total | 1,081 | 325 | 0.65 | 6,387 | 2 | 115 | 3,355 | 99 | 14 | ||
27/01/2023 | 0-2 Yrs | 1,589 | 1,038 | 0.03 | 3,040 | 6 | 104 | 1,498 | 16 | 4 | 10 |
2-5 Yrs | 3 | 21 | 232 | 0.10 | 735 | 13 | 0.02 | 9 | |||
5-10 Yrs | 0.05 | 15 | 213 | 472 | 6 | 4 | |||||
10+ Yrs | 0.20 | 4 | 70 | 432 | 3 | 0.24 | |||||
Total | 1,592 | 1,078 | 0.03 | 3,556 | 6 | 104 | 3,137 | 38 | 4 | 23 | |
20/01/2023 | 0-2 Yrs | 642 | 341 | 0.17 | 3,291 | 34 | 75 | 1,001 | 43 | 0.77 | 10 |
2-5 Yrs | 2 | 14 | 200 | 0.10 | 686 | 14 | 9 | ||||
5-10 Yrs | 0.14 | 11 | 170 | 596 | 10 | 5 | |||||
10+ Yrs | 0.12 | 3 | 65 | 389 | 2 | 0.34 | |||||
Total | 645 | 368 | 0.17 | 3,726 | 34 | 75 | 2,672 | 70 | 0.77 | 24 | |
13/01/2023 | 0-2 Yrs | 605 | 174 | 3,980 | 43 | 87 | 1,608 | 44 | 0.86 | 4 | |
2-5 Yrs | 2 | 14 | 0.25 | 253 | 951 | 19 | 0.02 | 7 | |||
5-10 Yrs | 1 | 8 | 195 | 791 | 14 | 5 | |||||
10+ Yrs | 2 | 2 | 72 | 491 | 2 | 0.28 | |||||
Total | 610 | 198 | 0.25 | 4,500 | 43 | 87 | 3,842 | 80 | 0.88 | 16 | |
06/01/2023 | 0-2 Yrs | 425 | 227 | 0.06 | 3,140 | 14 | 30 | 1,114 | 28 | 8 | |
2-5 Yrs | 0.29 | 176 | 635 | 14 | 6 | ||||||
5-10 Yrs | 0.49 | 0.61 | 155 | 457 | 13 | 7 | |||||
10+ Yrs | 0.33 | 0.15 | 62 | 378 | 3 | 0.31 | |||||
Total | 426 | 227 | 0.06 | 3,533 | 14 | 30 | 2,584 | 58 | 21 | ||
30/12/2022 | 0-2 Yrs | 172 | 118 | 0.03 | 1,612 | 5 | 5 | 745 | 13 | ||
2-5 Yrs | 0.36 | 0.08 | 36 | 0.25 | 383 | 3 | 3 | ||||
5-10 Yrs | 0.30 | 39 | 288 | 2 | 1 | ||||||
10+ Yrs | 0.24 | 11 | 180 | 0.44 | 0.04 | ||||||
Total | 173 | 119 | 0.03 | 1,698 | 5 | 5 | 1,596 | 18 | 4 |
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 | NOWA | NZONIA | SOFR | SORA | SWESTR | THOR |
17/03/2023 | 0-2 Yrs | 8,804 | 3,966 | 2 | 38,262 | 156 | 1,317 | 26,930 | 1,169 | 22 | 233 |
2-5 Yrs | 98 | 188 | 3 | 4,191 | 0.04 | 18 | 16,226 | 470 | 84 | ||
5-10 Yrs | 47 | 76 | 2,959 | 0.06 | 0.34 | 10,707 | 137 | 19 | |||
10+ Yrs | 21 | 24 | 1,514 | 5,046 | 13 | 1 | |||||
Total | 8,970 | 4,255 | 5 | 46,926 | 156 | 1,335 | 58,909 | 1,789 | 22 | 337 | |
10/03/2023 | 0-2 Yrs | 7,801 | 3,688 | 2 | 34,433 | 186 | 1,089 | 25,830 | 1,096 | 18 | 204 |
2-5 Yrs | 80 | 171 | 3 | 4,129 | 0.04 | 3 | 15,663 | 453 | 79 | ||
5-10 Yrs | 46 | 66 | 3,448 | 0.06 | 0.33 | 10,543 | 151 | 27 | |||
10+ Yrs | 21 | 22 | 1,529 | 5,094 | 15 | 2 | |||||
Total | 7,948 | 3,948 | 5 | 43,540 | 186 | 1,093 | 57,130 | 1,715 | 18 | 312 | |
03/03/2023 | 0-2 Yrs | 8,944 | 4,129 | 2 | 32,240 | 184 | 1,039 | 24,600 | 1,122 | 19 | 222 |
2-5 Yrs | 86 | 155 | 3 | 4,235 | 0.04 | 3 | 14,975 | 452 | 85 | ||
5-10 Yrs | 47 | 54 | 3,070 | 0.06 | 0.37 | 10,325 | 143 | 29 | |||
10+ Yrs | 22 | 20 | 1,560 | 4,929 | 16 | 2 | |||||
Total | 9,098 | 4,358 | 5 | 41,105 | 184 | 1,043 | 54,829 | 1,733 | 19 | 338 | |
24/02/2023 | 0-2 Yrs | 8,189 | 4,031 | 2 | 28,967 | 180 | 1,314 | 25,012 | 1,087 | 19 | 211 |
2-5 Yrs | 84 | 146 | 3 | 3,792 | 0.04 | 3 | 15,303 | 437 | 79 | ||
5-10 Yrs | 47 | 47 | 2,734 | 0.06 | 0.37 | 10,557 | 131 | 22 | |||
10+ Yrs | 21 | 18 | 1,477 | 5,020 | 14 | 1 | |||||
Total | 8,341 | 4,242 | 5 | 36,970 | 180 | 1,317 | 55,892 | 1,668 | 19 | 313 | |
17/02/2023 | 0-2 Yrs | 8,083 | 3,896 | 2 | 28,715 | 179 | 1,228 | 25,591 | 1,199 | 16 | 212 |
2-5 Yrs | 87 | 138 | 3 | 3,722 | 0.04 | 3 | 15,311 | 482 | 82 | ||
5-10 Yrs | 48 | 43 | 2,730 | 0.06 | 0.37 | 10,505 | 145 | 25 | |||
10+ Yrs | 25 | 17 | 1,445 | 4,980 | 14 | 1 | |||||
Total | 8,243 | 4,093 | 5 | 36,612 | 179 | 1,232 | 56,388 | 1,840 | 16 | 320 | |
10/02/2023 | 0-2 Yrs | 7,821 | 3,696 | 2 | 28,972 | 160 | 1,110 | 24,320 | 1,204 | 12 | 209 |
2-5 Yrs | 87 | 115 | 2 | 3,636 | 0.24 | 3 | 14,801 | 478 | 82 | ||
5-10 Yrs | 48 | 36 | 2,653 | 0.06 | 0.38 | 10,292 | 140 | 23 | |||
10+ Yrs | 17 | 14 | 1,423 | 4,645 | 14 | 1 | |||||
Total | 7,973 | 3,862 | 4 | 36,684 | 160 | 1,114 | 54,059 | 1,836 | 12 | 315 | |
03/02/2023 | 0-2 Yrs | 7,651 | 3,084 | 1 | 32,511 | 154 | 1,066 | 23,942 | 1,181 | 4 | 204 |
2-5 Yrs | 87 | 110 | 0.62 | 3,670 | 0.24 | 3 | 13,965 | 472 | 78 | ||
5-10 Yrs | 47 | 30 | 2,753 | 0.06 | 0.38 | 9,606 | 133 | 22 | |||
10+ Yrs | 17 | 11 | 1,411 | 4,515 | 13 | 1 | |||||
Total | 7,802 | 3,236 | 2 | 40,344 | 155 | 1,070 | 52,029 | 1,799 | 4 | 306 | |
27/01/2023 | 0-2 Yrs | 7,315 | 3,215 | 0.75 | 28,871 | 159 | 1,013 | 23,468 | 1,146 | 4 | 203 |
2-5 Yrs | 87 | 102 | 0.62 | 3,549 | 0.24 | 3 | 13,634 | 462 | 77 | ||
5-10 Yrs | 48 | 29 | 2,743 | 0.06 | 0.39 | 9,414 | 129 | 22 | |||
10+ Yrs | 17 | 11 | 1,384 | 4,313 | 13 | 1 | |||||
Total | 7,467 | 3,357 | 1 | 36,546 | 159 | 1,017 | 50,828 | 1,750 | 4 | 304 | |
20/01/2023 | 0-2 Yrs | 5,938 | 3,241 | 0.71 | 28,656 | 181 | 943 | 23,232 | 1,138 | 2 | 194 |
2-5 Yrs | 84 | 78 | 0.62 | 3,496 | 0.14 | 3 | 13,592 | 453 | 74 | ||
5-10 Yrs | 47 | 21 | 2,699 | 0.06 | 0.39 | 9,500 | 127 | 21 | |||
10+ Yrs | 16 | 9 | 1,387 | 4,296 | 12 | 1 | |||||
Total | 6,085 | 3,350 | 1 | 36,238 | 181 | 947 | 50,620 | 1,730 | 2 | 290 | |
13/01/2023 | 0-2 Yrs | 5,418 | 3,143 | 0.54 | 28,048 | 169 | 871 | 23,425 | 1,114 | 1 | 186 |
2-5 Yrs | 85 | 65 | 0.62 | 3,419 | 0.04 | 3 | 13,793 | 448 | 67 | ||
5-10 Yrs | 47 | 15 | 2,678 | 0.06 | 0.38 | 9,594 | 124 | 19 | |||
10+ Yrs | 17 | 8 | 1,374 | 4,333 | 11 | 1 | |||||
Total | 5,566 | 3,231 | 1 | 35,519 | 169 | 875 | 51,145 | 1,697 | 1 | 274 | |
06/01/2023 | 0-2 Yrs | 4,929 | 3,046 | 0.53 | 25,540 | 133 | 802 | 22,308 | 1,075 | 0.76 | 181 |
2-5 Yrs | 82 | 50 | 0.37 | 3,222 | 0.04 | 3 | 13,296 | 432 | 62 | ||
5-10 Yrs | 44 | 9 | 2,543 | 0.06 | 0.38 | 9,183 | 120 | 18 | |||
10+ Yrs | 16 | 8 | 1,330 | 4,229 | 11 | 0.97 | |||||
Total | 5,071 | 3,113 | 0.89 | 32,635 | 133 | 806 | 49,016 | 1,638 | 0.76 | 262 | |
30/12/2022 | 0-2 Yrs | 4,524 | 2,864 | 0.47 | 23,588 | 129 | 774 | 21,706 | 1,052 | 0.77 | 168 |
2-5 Yrs | 81 | 49 | 0.37 | 3,104 | 0.04 | 4 | 13,005 | 419 | 56 | ||
5-10 Yrs | 44 | 8 | 2,452 | 0.06 | 0.38 | 8,957 | 110 | 14 | |||
10+ Yrs | 15 | 8 | 1,297 | 4,029 | 10 | 0.70 | |||||
Total | 4,664 | 2,929 | 0.84 | 30,440 | 129 | 778 | 47,697 | 1,591 | 0.77 | 238 |
Figures are rounded to the nearest billion and include OIS and Basis Swaps only.