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 |
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 | ||
Feb 2023 | 0-2 Yrs | 4,645 | 1,856 | 2 | 16,298 | 64 | 559 | 5,649 | 19 | |
2-5 Yrs | 14 | 79 | 2 | 1,127 | 0.39 | 0.27 | 5,080 | 0.02 | ||
5-10 Yrs | 4 | 37 | 682 | 3,920 | ||||||
10+ Yrs | 14 | 16 | 385 | 2,738 | ||||||
Total | 4,677 | 1,988 | 4 | 18,491 | 65 | 559 | 17,387 | 19 | ||
Jan 2023 | 0-2 Yrs | 3,653 | 1,921 | 0.29 | 15,635 | 99 | 317 | 5,765 | 6 | |
2-5 Yrs | 8 | 54 | 0.25 | 970 | 0.20 | 3,349 | 0.04 | |||
5-10 Yrs | 2 | 37 | 799 | 2,486 | ||||||
10+ Yrs | 3 | 9 | 297 | 1,837 | ||||||
Total | 3,666 | 2,021 | 0.54 | 17,700 | 99 | 317 | 13,437 | 6 | ||
Dec 2022 | 0-2 Yrs | 1,890 | 971 | 0.47 | 12,869 | 40 | 245 | 4,150 | 0.78 | |
2-5 Yrs | 7 | 1 | 0.36 | 653 | 0.25 | 3,233 | ||||
5-10 Yrs | 4 | 0.72 | 427 | 0.04 | 2,322 | |||||
10+ Yrs | 2 | 0.18 | 211 | 1,724 | ||||||
Total | 1,904 | 973 | 0.84 | 14,160 | 40 | 245 | 11,429 | 0.78 | ||
Nov 2022 | 0-2 Yrs | 2,215 | 1,404 | 12,420 | 65 | 278 | 4,868 | |||
2-5 Yrs | 9 | 6 | 641 | 2 | 3,660 | |||||
5-10 Yrs | 5 | 0.13 | 586 | 0.09 | 2,867 | |||||
10+ Yrs | 0.80 | 0.34 | 274 | 1,952 | ||||||
Total | 2,230 | 1,411 | 13,922 | 65 | 280 | 13,347 | ||||
Oct 2022 | 0-2 Yrs | 3,667 | 1,161 | 9,033 | 34 | 247 | 5,236 | |||
2-5 Yrs | 17 | 7 | 742 | 0.03 | 1 | 3,049 | ||||
5-10 Yrs | 3 | 0.00 | 548 | 0.02 | 2,745 | |||||
10+ Yrs | 2 | 0.52 | 330 | 0.01 | 2,006 | |||||
Total | 3,688 | 1,168 | 10,653 | 0.04 | 34 | 248 | 13,036 |
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 |
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 | |
Feb 2023 | 0-2 Yrs | 8,458 | 4,157 | 2 | 30,482 | 186 | 1,031 | 25,265 | 19 | |
2-5 Yrs | 85 | 148 | 3 | 3,821 | 0.03 | 0.04 | 3 | 15,498 | ||
5-10 Yrs | 47 | 50 | 2,727 | 0.02 | 0.06 | 0.37 | 10,683 | |||
10+ Yrs | 22 | 18 | 1,481 | 5,046 | ||||||
Total | 8,612 | 4,373 | 5 | 38,510 | 0.04 | 186 | 1,035 | 56,491 | 19 | |
Jan 2023 | 0-2 Yrs | 7,489 | 3,009 | 0.77 | 30,569 | 159 | 1,028 | 23,912 | 4 | |
2-5 Yrs | 86 | 104 | 0.62 | 3,622 | 0.03 | 0.24 | 3 | 13,815 | ||
5-10 Yrs | 47 | 30 | 2,737 | 0.02 | 0.06 | 0.38 | 9,473 | |||
10+ Yrs | 16 | 12 | 1,396 | 4,385 | ||||||
Total | 7,639 | 3,155 | 1 | 38,324 | 0.04 | 159 | 1,032 | 51,584 | 4 | |
Dec 2022 | 0-2 Yrs | 4,524 | 2,864 | 0.47 | 23,588 | 129 | 774 | 21,706 | 0.77 | |
2-5 Yrs | 81 | 49 | 0.37 | 3,104 | 0.03 | 0.04 | 4 | 13,005 | ||
5-10 Yrs | 44 | 8 | 2,452 | 0.02 | 0.06 | 0.38 | 8,957 | |||
10+ Yrs | 15 | 8 | 1,297 | 4,029 | ||||||
Total | 4,664 | 2,929 | 0.84 | 30,440 | 0.04 | 129 | 778 | 47,697 | 0.77 | |
Nov 2022 | 0-2 Yrs | 6,288 | 3,653 | 26,438 | 148 | 677 | 21,976 | |||
2-5 Yrs | 77 | 51 | 3,240 | 0.03 | 0.04 | 4 | 13,486 | |||
5-10 Yrs | 41 | 8 | 2,538 | 0.02 | 0.06 | 0.38 | 9,291 | |||
10+ Yrs | 15 | 8 | 1,326 | 4,168 | ||||||
Total | 6,422 | 3,720 | 33,541 | 0.04 | 148 | 682 | 48,921 | |||
Oct 2022 | 0-2 Yrs | 7,201 | 3,161 | 26,192 | 114 | 754 | 21,191 | |||
2-5 Yrs | 73 | 47 | 3,202 | 0.03 | 0.04 | 4 | 12,904 | |||
5-10 Yrs | 36 | 8 | 2,321 | 0.02 | 0.06 | 0.31 | 9,361 | |||
10+ Yrs | 15 | 7 | 1,228 | 3,876 | ||||||
Total | 7,325 | 3,223 | 32,943 | 0.04 | 114 | 758 | 47,333 |
Figures are rounded to the nearest billion and include OIS and Basis Swaps only.