SwapClear Monthly RFR Volumes

 

CAD Relative Registration DV01 Volumes (CORRA, CDOR)


Monthly Registration Volume (USD BN)

Month Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR WIRON
Feb 2024 0-2 Yrs 2,703 1,594 9 21,264 0.15 46 1,240 10,055 12    
2-5 Yrs 27 294 4 2,519       7,237      
5-10 Yrs 2 216 0.07 3,142   0.07   5,801      
10+ Yrs 0.78 59   841       2,571      
Total 2,733 2,163 13 27,767 0.15 46 1,240 25,664 12    
Jan 2024 0-2 Yrs 3,429 1,711 12 34,576   71 707 10,786 0.29 0.00  
2-5 Yrs 9 475 7 3,323   0.10   7,962      
5-10 Yrs 3 256 2 4,568       6,353      
10+ Yrs 1 80 0.02 1,482       2,834      
Total 3,441 2,521 22 43,948   71 707 27,935 0.29 0.00  
Dec 2023 0-2 Yrs 2,614 867 6 13,706 0.82 105 416 8,694 0.04    
2-5 Yrs 14 285 7 1,410     0.83 4,857   0.01  
5-10 Yrs 5 202 0.07 875       3,133      
10+ Yrs 1 62   341       2,107      
Total 2,635 1,415 13 16,333 0.82 105 417 18,791 0.04 0.01  
Nov 2023 0-2 Yrs 4,944 1,151 5 12,175   77 616 10,042 12   0.01
2-5 Yrs 19 423 3 2,714     0.40 7,775      
5-10 Yrs 3 278 0.22 4,303   0.04   6,343      
10+ Yrs 0.62 90 0.46 1,010   0.01   2,650      
Total 4,966 1,940 9 20,202   77 616 26,810 12   0.01
Oct 2023 0-2 Yrs 4,637 1,940 3 16,460   50 483 9,262 12    
2-5 Yrs 20 455 2 2,484   0.31 0.07 5,451      
5-10 Yrs 9 259   2,782   0.03 0.06 5,723      
10+ Yrs 2 89 1 901     0.02 3,051      
Total 4,667 2,742 7 22,626   51 483 23,487 12    
Sep 2023 0-2 Yrs 3,312 1,159 2 27,195   73 271 7,587 24    
2-5 Yrs 9 457 2 1,791   0.52 0.46 4,192      
5-10 Yrs 0.88 220 0.22 1,661     0.05 3,343      
10+ Yrs 1 74 0.87 545     0.03 2,138      
Total 3,324 1,910 5 31,191   73 271 17,259 24    
Aug 2023 0-2 Yrs 2,811 812 2 15,159 0.52 104 680 9,532 4    
2-5 Yrs 41 362 2 2,061     7 6,797      
5-10 Yrs 2 160   2,216     7 5,133      
10+ Yrs 0.76 53 2 765       2,554      
Total 2,855 1,387 6 20,200 0.52 104 695 24,016 4    
Jul 2023 0-2 Yrs 3,791 1,356 3 14,587   30 660 7,603 0.00    
2-5 Yrs 12 396 0.56 1,008     10 4,272      
5-10 Yrs 7 174   734     5 3,390      
10+ Yrs 0.39 51 0.43 348       2,186      
Total 3,811 1,976 4 16,678   30 675 17,452 0.00    
Jun 2023 0-2 Yrs 5,538 1,900 2 17,109   88 1,270 9,698 17    
2-5 Yrs 18 338 0.51 1,901   0.46 0.87 4,564      
5-10 Yrs 6 176 0.47 1,665     0.09 3,178      
10+ Yrs 12 62 0.06 412       1,981      
Total 5,574 2,476 3 21,086   88 1,271 19,421 17    
May 2023 0-2 Yrs 4,487 1,870 1 15,337   37 679 7,699 2    
2-5 Yrs 23 209 2 1,583     20 5,389      
5-10 Yrs 8 111   778     10 4,551      
10+ Yrs 0.53 43 0.56 395       2,125      
Total 4,519 2,233 4 18,093   37 708 19,764 2    
Apr 2023 0-2 Yrs 3,293 1,102 0.39 12,049   36 227 4,844 3    
2-5 Yrs 20 154 1 1,577     0.37 2,903      
5-10 Yrs 8 104   1,365       2,576      
10+ Yrs 2 24 0.33 461       1,632      
Total 3,323 1,384 2 15,453   36 227 11,955 3    
Mar 2023 0-2 Yrs 5,742 2,105 2 29,339   66 572 8,444 6    
2-5 Yrs 38 105 1 2,428     18 6,150      
5-10 Yrs 3 88 0.01 2,358       4,304      
10+ Yrs 5 24   606     4 2,878      
Total 5,787 2,323 3 34,731   66 594 21,775 6    

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


Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR WIRON
Feb 2024 0-2 Yrs 8,195 5,607 50 39,910 0.36 207 2,900 48,549 15 0.01  
2-5 Yrs 162 2,303 22 5,025   0.16 13 29,787      
5-10 Yrs 60 991 6 3,635 0.02 0.17 9 20,293      
10+ Yrs 24 193 0.02 2,049   0.01 0.02 11,087      
Total 8,440 9,094 78 50,619 0.38 208 2,922 109,715 15 0.01  
Jan 2024 0-2 Yrs 8,459 4,578 41 40,536 0.29 181 2,116 48,387 10 0.01  
2-5 Yrs 151 2,158 19 4,662   0.16 13 28,537      
5-10 Yrs 62 898 6 3,888 0.02 0.11 10 19,758      
10+ Yrs 24 173 0.02 2,068   0.01 0.02 11,213      
Total 8,696 7,806 66 51,154 0.30 181 2,139 107,895 10 0.01  
Dec 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  
Nov 2023 0-2 Yrs 10,021 5,316 19 32,209 0.29 227 1,981 47,955 40   0.01
2-5 Yrs 161 1,889 14 4,657   0.40 21 29,009      
5-10 Yrs 68 798 6 4,109 0.02 0.10 12 20,128      
10+ Yrs 26 176   2,058   0.01 0.02 11,282      
Total 10,276 8,179 39 43,033 0.30 227 2,014 108,373 40   0.01
Oct 2023 0-2 Yrs 9,001 4,480 13 35,868 0.29 197 1,589 46,820 26    
2-5 Yrs 144 1,606 13 4,455   0.39 20 27,187      
5-10 Yrs 65 614 3 3,190 0.02 0.08 11 19,239      
10+ Yrs 25 141 2 1,856     0.02 11,077      
Total 9,236 6,841 31 45,370 0.30 198 1,621 104,322 26    
Sep 2023 0-2 Yrs 7,766 4,284 12 33,550 0.26 178 1,801 45,602 16    
2-5 Yrs 140 1,470 11 3,853 0.03 0.19 26 27,153      
5-10 Yrs 64 519 2 3,080 0.02 0.06 12 18,998      
10+ Yrs 26 110 2 1,841       10,781      
Total 7,995 6,383 27 42,324 0.30 179 1,838 102,533 16    
Aug 2023 0-2 Yrs 9,217 4,490 10 33,925 0.26 209 1,937 46,609 15    
2-5 Yrs 143 1,220 10 4,130 0.03 0.04 30 28,227      
5-10 Yrs 65 444 1 3,094 0.02 0.06 12 19,437      
10+ Yrs 25 102 1 1,790       10,725      
Total 9,451 6,255 23 42,938 0.30 209 1,979 104,999 15    
Jul 2023 0-2 Yrs 10,316 4,007 9 34,928   187 2,071 45,433 17    
2-5 Yrs 114 1,002 8 4,005 0.03 0.04 19 27,075      
5-10 Yrs 66 361 0.72 2,814 0.02 0.06 12 18,814      
10+ Yrs 26 80 0.43 1,726       10,518      
Total 10,523 5,450 18 43,474 0.04 187 2,103 101,840 17    
Jun 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    
May 2023 0-2 Yrs 9,862 4,757 5 34,148   160 1,230 45,418 21    
2-5 Yrs 111 565 7 4,574 0.03 0.04 25 28,571      
5-10 Yrs 63 223 0.75 3,174 0.02 0.05 13 19,544      
10+ Yrs 18 57 0.11 1,674       10,400      
Total 10,054 5,602 12 43,571 0.04 160 1,268 103,933 21    
Apr 2023 0-2 Yrs 9,257 3,512 4 35,861   181 1,067 27,225 26    
2-5 Yrs 110 397 5 4,607 0.03 0.04 13 15,855      
5-10 Yrs 57 156 0.25 3,548 0.02 0.06 2 10,730      
10+ Yrs 20 37 0.07 1,813     2 5,148      
Total 9,444 4,101 9 45,829 0.04 181 1,085 58,958 26    
Mar 2023 0-2 Yrs 8,820 4,238 3 34,683   163 1,326 25,866 25    
2-5 Yrs 108 242 4 4,429 0.03 0.04 21 15,146      
5-10 Yrs 47 101   3,214 0.02 0.06 0.33 10,342      
10+ Yrs 22 29   1,707     4 4,927      
Total 8,996 4,610 7 44,033 0.04 163 1,351 56,282 25    

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