SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR NOWA NZONIA SOFR SORA SWESTR THOR
26/05/2023 0-2 Yrs 1,270 319 0.23 2,418 10 202 1,689 48 1 10
2-5 Yrs 4 49 0.01 123   0.42 1,155 26   9
5-10 Yrs 0.71 32   135     944 23   6
10+ Yrs 0.08 9   69     420 4   0.79
Total 1,275 410 0.24 2,745 10 203 4,208 101 1 25
19/05/2023 0-2 Yrs 911 685 0.07 2,794 1 200 1,314 40 0.77 6
2-5 Yrs 2 50   177     1,095 16   10
5-10 Yrs 0.96 22   107     889 10   4
10+ Yrs 0.04 12   54     473 2   0.47
Total 914 768 0.07 3,132 1 200 3,771 68 0.77 21
12/05/2023 0-2 Yrs 557 233 0.58 2,787 0.94 71 1,733 36   3
2-5 Yrs 2 43 2 543     959 11   5
5-10 Yrs 0.41 23   306     1,213 14   7
10+ Yrs 0.00 9   187     634 4   0.49
Total 559 308 2 3,824 0.94 71 4,539 65   15
05/05/2023 0-2 Yrs 1,026 360   5,852 21 55 2,106 50   3
2-5 Yrs 1 21   655   0.12 1,770 12   2
5-10 Yrs 0.42 15   147     1,161 15   2
10+ Yrs 0.41 7 0.45 52     419 4   0.19
Total 1,028 403 0.45 6,706 21 56 5,456 80   6
28/04/2023 0-2 Yrs 1,164 221 0.03 3,519 10 32 1,559 47 0.97 16
2-5 Yrs 14 37   561   0.37 782 11   12
5-10 Yrs 5 25   614     629 9   4
10+ Yrs 0.48 7 0.20 200     546 3   0.34
Total 1,184 290 0.23 4,893 10 32 3,515 69 0.97 32
21/04/2023 0-2 Yrs 550 265 0.06 3,850 18 100 1,117 46 0.97 9
2-5 Yrs 3 48 0.82 367     693 29   19
5-10 Yrs 1 35   184     596 17   6
10+ Yrs 0.45 8   67     397 2   0.82
Total 555 356 0.88 4,469 18 100 2,803 94 0.97 35
14/04/2023 0-2 Yrs 476 490 0.08 2,724 7 30 1,134 59 0.58 2
2-5 Yrs 2 46 0.29 206     662 16   2
5-10 Yrs 1 26   112     565 11   6
10+ Yrs 1 6 0.13 42     349 3   0.16
Total 480 568 0.50 3,085 7 30 2,710 89 0.58 10
07/04/2023 0-2 Yrs 1,103 126 0.22 1,956 1 66 1,035 39   6
2-5 Yrs 0.91 22   444     766 8   5
5-10 Yrs 0.01 18   455     786 10   2
10+ Yrs 0.33 4   151     340 2   0.15
Total 1,104 170 0.22 3,006 1 66 2,926 59   13
31/03/2023 0-2 Yrs 1,021 135 0.93 4,584 7 103 1,296 36 3 6
2-5 Yrs 4 30 0.58 757   3 826 13   6
5-10 Yrs 0.10 19   555     828 8   3
10+ Yrs 4 5   178   4 481 2   0.28
Total 1,030 189 2 6,075 7 110 3,431 59 3 17
24/03/2023 0-2 Yrs 865 448 0.14 4,981 17 77 1,857 51   14
2-5 Yrs 11 31 0.50 305   0.48 1,350 19   9
5-10 Yrs 1 19   225     828 14   4
10+ Yrs 0.31 4   149     500 3   0.26
Total 878 502 0.63 5,660 17 78 4,535 86   27
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

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
26/05/2023 0-2 Yrs 9,222 4,541 4 33,553 158 1,386 44,661 1,212 21 254
2-5 Yrs 106 519 7 4,554 0.04 5 28,393 489   91
5-10 Yrs 58 213 0.75 3,166 0.05 4 19,508 168   27
10+ Yrs 18 54   1,674     10,346 21   3
Total 9,404 5,326 12 42,947 159 1,396 102,908 1,890 21 374
19/05/2023 0-2 Yrs 8,349 4,367 4 33,126 157 1,321 28,891 1,305 23 250
2-5 Yrs 105 487 7 4,598 0.04 6 17,269 527   86
5-10 Yrs 59 194 0.75 3,150 0.06 4 12,019 183   25
10+ Yrs 18 49   1,674     5,507 20   2
Total 8,532 5,097 12 42,548 157 1,330 63,686 2,035 23 363
12/05/2023 0-2 Yrs 7,692 3,883 4 32,287 158 1,140 28,105 1,290 23 246
2-5 Yrs 103 440 7 4,514 0.04 5 16,626 517   80
5-10 Yrs 57 182 0.76 3,104 0.06 2 11,587 178   24
10+ Yrs 20 44   1,662   2 5,393 19   2
Total 7,872 4,548 12 41,568 159 1,149 61,711 2,004 23 352
05/05/2023 0-2 Yrs 7,567 3,755 4 38,738 197 1,125 27,994 1,307 24 244
2-5 Yrs 104 413 5 4,634 0.04 6 16,583 520   77
5-10 Yrs 58 167 0.33 3,141 0.06 2 11,390 175   22
10+ Yrs 20 40 0.44 1,675   2 5,215 19   2
Total 7,749 4,375 10 48,189 197 1,135 61,181 2,021 24 345
28/04/2023 0-2 Yrs 9,257 3,512 4 35,861 181 1,067 27,225 1,281 26 240
2-5 Yrs 110 397 5 4,607 0.04 13 15,855 506   78
5-10 Yrs 57 156 0.25 3,548 0.06 2 10,730 164   21
10+ Yrs 20 37 0.07 1,813   2 5,148 17   2
Total 9,444 4,101 9 45,829 181 1,085 58,958 1,968 26 341
21/04/2023 0-2 Yrs 8,448 3,371 4 34,824 182 1,055 26,557 1,256 27 262
2-5 Yrs 100 370 5 4,278 0.04 13 15,836 505   101
5-10 Yrs 52 147 0.13 3,041 0.06 2 10,825 163   28
10+ Yrs 19 35   1,671   2 5,065 16   2
Total 8,620 3,923 9 43,814 182 1,072 58,282 1,940 27 393
14/04/2023 0-2 Yrs 8,289 3,519 4 34,515 168 985 26,184 1,232 26 256
2-5 Yrs 101 321 4 4,229 0.04 13 15,427 491   92
5-10 Yrs 49 125   3,021 0.06 0.33 10,555 153   26
10+ Yrs 21 33 0.13 1,682   4 4,955 15   2
Total 8,460 3,998 8 43,447 168 1,002 57,121 1,892 26 376
07/04/2023 0-2 Yrs 9,654 4,318 3 33,198 163 1,389 26,085 1,214 25 255
2-5 Yrs 100 269 4 4,365 0.04 13 15,474 483   93
5-10 Yrs 47 107   3,277 0.06 0.33 10,616 151   21
10+ Yrs 22 30   1,739   4 4,955 14   1
Total 9,822 4,723 8 42,579 163 1,406 57,130 1,862 25 370
31/03/2023 0-2 Yrs 8,820 4,238 3 34,683 163 1,326 25,866 1,188 25 249
2-5 Yrs 108 242 4 4,429 0.04 21 15,146 480   91
5-10 Yrs 47 101   3,214 0.06 0.33 10,342 144   21
10+ Yrs 22 29   1,707   4 4,927 13   1
Total 8,996 4,610 7 44,033 163 1,351 56,282 1,825 25 362
24/03/2023 0-2 Yrs 7,995 4,148 2 33,265 170 1,234 26,792 1,195 22 247
2-5 Yrs 104 213 3 4,013 0.04 18 15,966 473   87
5-10 Yrs 47 89   2,940 0.06 0.33 10,632 142   20
10+ Yrs 18 26   1,612     5,022 14   1
Total 8,165 4,476 6 41,831 170 1,253 58,412 1,823 22 355
17/03/2023 0-2 Yrs 8,804 3,966 2 38,262 156 1,317 26,983 1,169 22 233
2-5 Yrs 98 188 3 4,191 0.04 18 16,207 470   84
5-10 Yrs 47 76   2,959 0.06 0.34 10,690 137   19
10+ Yrs 21 24   1,514     5,029 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 25,883 1,096 18 204
2-5 Yrs 80 171 3 4,129 0.04 3 15,644 453   79
5-10 Yrs 46 66   3,448 0.06 0.33 10,525 151   27
10+ Yrs 21 22   1,529     5,078 15   2
Total 7,948 3,948 5 43,540 186 1,093 57,130 1,715 18 312

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