SwapClear Weekly RFR Volumes

 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket AONIA CORRA DESTR €STR HONIA NOWA NZONIA SOFR SWESTR SHIR
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
22/03/2024 0-2 Yrs 1,172 436 0.14 4,505   13 187 2,306 22  
2-5 Yrs 11 109 1 361     1 1,421    
5-10 Yrs 0.27 63 0.47 271       964    
10+ Yrs 0.14 22 0.13 109       522    
Total 1,183 630 2 5,246   13 188 5,213 22  
15/03/2024 0-2 Yrs 544 265 0.83 4,132 0.03 40 191 1,865 2 0.21
2-5 Yrs 8 104 0.15 439   0.26 0.41 1,154    
5-10 Yrs 0.15 74 0.06 320       847    
10+ Yrs 0.16 31   110       552    
Total 552 475 1 5,001 0.03 40 192 4,419 2 0.21
08/03/2024 0-2 Yrs 661 575 0.30 6,070   4 108 1,833 0.79  
2-5 Yrs 2 140 0.95 891   0.22 0.03 1,811    
5-10 Yrs 1 68   603       1,003    
10+ Yrs 0.04 21   337       589    
Total 664 805 1 7,902   5 108 5,237 0.79  
01/03/2024 0-2 Yrs 378 459 0.03 5,851 0.15 6 368 2,506 16  
2-5 Yrs 0.14 65 0.68 794       2,757    
5-10 Yrs   44   601   0.07   1,960    
10+ Yrs 0.01 11   141       669    
Total 378 579 0.71 7,388 0.15 6 368 7,892 16  

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
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
22/03/2024 0-2 Yrs 6,787 5,285 50 37,151 0.39 209 2,849 46,502 38 0.22
2-5 Yrs 171 2,329 24 4,412   0.19 13 28,185    
5-10 Yrs 60 1,005 6 3,519 0.02 0.17 9 18,801    
10+ Yrs 24 168 0.15 2,011   0.01 0.02 10,615    
Total 7,042 8,787 81 47,093 0.41 209 2,872 104,102 38 0.22
15/03/2024 0-2 Yrs 8,116 5,155 51 38,020 0.39 224 2,773 48,077 26 0.22
2-5 Yrs 167 2,421 23 4,974   0.41 13 28,350    
5-10 Yrs 61 1,057 6 3,737 0.02 0.17 10 18,864    
10+ Yrs 24 191 0.02 2,061   0.01 0.02 10,731    
Total 8,367 8,825 80 48,792 0.41 224 2,795 106,021 26 0.22
08/03/2024 0-2 Yrs 8,541 5,162 51 41,202 0.36 211 2,716 47,839 24 0.01
2-5 Yrs 165 2,410 23 4,975   0.38 13 28,714    
5-10 Yrs 61 1,032 6 3,696 0.02 0.17 10 19,454    
10+ Yrs 24 203 0.02 2,087   0.01 0.02 10,901    
Total 8,792 8,807 80 51,960 0.38 211 2,739 106,908 24 0.01
01/03/2024 0-2 Yrs 8,232 5,682 50 39,915 0.36 208 2,937 48,712 23 0.01
2-5 Yrs 162 2,309 22 4,826   0.16 13 29,713    
5-10 Yrs 60 991 6 3,570 0.02 0.17 10 20,125    
10+ Yrs 24 193 0.02 2,030   0.01 0.02 11,072    
Total 8,477 9,174 78 50,340 0.38 209 2,960 109,623 23 0.01

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