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.