SwapClear Weekly RFR Volumes
Weekly Registration Volume (USD BN)
Week End | Tenor Bucket | AONIA | CORRA | DESTR | €STR | HONIA | NOWA | NZONIA | SOFR | SWESTR |
24/11/2023 | 0-2 Yrs | 660 | 265 | 4 | 2,373 | 13 | 152 | 1,877 | ||
2-5 Yrs | 1 | 65 | 0.17 | 367 | 1,370 | |||||
5-10 Yrs | 0.19 | 46 | 303 | 1,398 | ||||||
10+ Yrs | 0.23 | 10 | 125 | 391 | ||||||
Total | 661 | 387 | 4 | 3,167 | 13 | 152 | 5,036 | |||
17/11/2023 | 0-2 Yrs | 748 | 118 | 0.53 | 2,754 | 5 | 140 | 1,631 | ||
2-5 Yrs | 5 | 79 | 0.53 | 961 | 2,152 | |||||
5-10 Yrs | 0.32 | 68 | 1,853 | 0.03 | 1,434 | |||||
10+ Yrs | 0.08 | 29 | 355 | 596 | ||||||
Total | 753 | 294 | 1 | 5,924 | 5 | 140 | 5,813 | |||
10/11/2023 | 0-2 Yrs | 1,855 | 286 | 1,845 | 6 | 122 | 2,857 | 12 | ||
2-5 Yrs | 3 | 123 | 2 | 684 | 0.19 | 1,631 | ||||
5-10 Yrs | 0.59 | 58 | 789 | 1,540 | ||||||
10+ Yrs | 0.06 | 18 | 358 | 686 | ||||||
Total | 1,858 | 486 | 2 | 3,675 | 6 | 122 | 6,714 | 12 | ||
03/11/2023 | 0-2 Yrs | 1,382 | 319 | 0.53 | 3,588 | 13 | 135 | 1,829 | ||
2-5 Yrs | 3 | 101 | 0.79 | 330 | 0.12 | 0.21 | 1,118 | |||
5-10 Yrs | 2 | 51 | 369 | 0.03 | 973 | |||||
10+ Yrs | 0.19 | 23 | 0.46 | 76 | 0.01 | 0.02 | 627 | |||
Total | 1,387 | 494 | 2 | 4,363 | 13 | 136 | 4,547 | |||
27/10/2023 | 0-2 Yrs | 1,754 | 659 | 0.86 | 5,697 | 12 | 96 | 2,445 | ||
2-5 Yrs | 3 | 150 | 0.62 | 1,253 | 1,159 | |||||
5-10 Yrs | 4 | 70 | 1,384 | 1,102 | ||||||
10+ Yrs | 0.11 | 24 | 339 | 747 | ||||||
Total | 1,761 | 903 | 1 | 8,674 | 12 | 96 | 5,453 | |||
20/10/2023 | 0-2 Yrs | 708 | 611 | 0.83 | 3,075 | 6 | 127 | 2,967 | 12 | |
2-5 Yrs | 6 | 111 | 0.31 | 593 | 0.09 | 1,824 | ||||
5-10 Yrs | 2 | 82 | 661 | 0.06 | 1,752 | |||||
10+ Yrs | 0.73 | 20 | 0.13 | 259 | 782 | |||||
Total | 717 | 824 | 1 | 4,588 | 6 | 128 | 7,324 | 12 | ||
13/10/2023 | 0-2 Yrs | 700 | 270 | 0.59 | 2,668 | 18 | 87 | 1,485 | ||
2-5 Yrs | 5 | 82 | 293 | 0.10 | 909 | |||||
5-10 Yrs | 0.14 | 51 | 287 | 1,529 | ||||||
10+ Yrs | 17 | 0.72 | 90 | 564 | ||||||
Total | 706 | 420 | 1 | 3,338 | 18 | 87 | 4,488 | |||
06/10/2023 | 0-2 Yrs | 971 | 325 | 0.60 | 3,274 | 11 | 136 | 1,618 | ||
2-5 Yrs | 4 | 70 | 1 | 226 | 0.07 | 1,223 | ||||
5-10 Yrs | 2 | 41 | 271 | 1,023 | ||||||
10+ Yrs | 1 | 16 | 0.41 | 178 | 743 | |||||
Total | 978 | 453 | 2 | 3,949 | 11 | 136 | 4,606 | |||
29/09/2023 | 0-2 Yrs | 1,011 | 202 | 1 | 3,281 | 25 | 46 | 1,738 | ||
2-5 Yrs | 5 | 115 | 0.49 | 281 | 0.52 | 0.03 | 1,205 | |||
5-10 Yrs | 0.59 | 55 | 330 | 795 | ||||||
10+ Yrs | 0.36 | 21 | 0.37 | 203 | 627 | |||||
Total | 1,017 | 394 | 2 | 4,095 | 25 | 46 | 4,364 | |||
22/09/2023 | 0-2 Yrs | 640 | 376 | 0.03 | 3,645 | 24 | 90 | 2,218 | 9 | |
2-5 Yrs | 1 | 113 | 0.19 | 262 | 0.21 | 1,068 | ||||
5-10 Yrs | 32 | 0.22 | 269 | 774 | ||||||
10+ Yrs | 0.25 | 17 | 127 | 496 | ||||||
Total | 642 | 538 | 0.44 | 4,303 | 24 | 90 | 4,556 | 9 | ||
15/09/2023 | 0-2 Yrs | 560 | 161 | 0.75 | 13,741 | 11 | 55 | 2,034 | 5 | |
2-5 Yrs | 2 | 118 | 0.10 | 362 | 877 | |||||
5-10 Yrs | 0.14 | 62 | 204 | 612 | ||||||
10+ Yrs | 0.47 | 16 | 0.22 | 73 | 552 | |||||
Total | 562 | 357 | 1 | 14,380 | 11 | 55 | 4,075 | 5 | ||
08/09/2023 | 0-2 Yrs | 938 | 387 | 0.51 | 4,647 | 11 | 60 | 1,370 | 10 | |
2-5 Yrs | 0.46 | 93 | 0.79 | 733 | 0.21 | 856 | ||||
5-10 Yrs | 64 | 785 | 0.05 | 1,021 | ||||||
10+ Yrs | 0.16 | 16 | 0.28 | 118 | 0.03 | 369 | ||||
Total | 938 | 559 | 2 | 6,283 | 11 | 61 | 3,616 | 10 |
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 |
24/11/2023 | 0-2 Yrs | 9,446 | 5,116 | 18 | 30,098 | 0.29 | 194 | 1,886 | 46,535 | 40 |
2-5 Yrs | 154 | 1,815 | 14 | 4,423 | 0.41 | 21 | 27,968 | |||
5-10 Yrs | 67 | 759 | 6 | 3,326 | 0.02 | 0.10 | 12 | 19,721 | ||
10+ Yrs | 26 | 166 | 1,995 | 0.01 | 0.02 | 11,065 | ||||
Total | 9,694 | 7,855 | 38 | 39,842 | 0.31 | 194 | 1,919 | 105,288 | 40 | |
17/11/2023 | 0-2 Yrs | 9,027 | 4,922 | 15 | 29,488 | 0.29 | 186 | 1,745 | 46,453 | 40 |
2-5 Yrs | 154 | 1,769 | 14 | 4,460 | 0.40 | 21 | 28,070 | |||
5-10 Yrs | 67 | 732 | 5 | 3,645 | 0.02 | 0.10 | 12 | 19,711 | ||
10+ Yrs | 26 | 162 | 2,056 | 0.01 | 0.02 | 11,152 | ||||
Total | 9,273 | 7,585 | 34 | 39,650 | 0.31 | 186 | 1,778 | 105,387 | 40 | |
10/11/2023 | 0-2 Yrs | 8,779 | 4,819 | 13 | 28,581 | 0.29 | 179 | 1,727 | 46,801 | 38 |
2-5 Yrs | 146 | 1,691 | 14 | 4,436 | 0.39 | 20 | 27,684 | |||
5-10 Yrs | 66 | 680 | 3 | 3,316 | 0.02 | 0.07 | 12 | 19,396 | ||
10+ Yrs | 26 | 147 | 2 | 2,017 | 0.01 | 0.02 | 11,152 | |||
Total | 9,016 | 7,336 | 33 | 38,349 | 0.30 | 180 | 1,759 | 105,032 | 38 | |
03/11/2023 | 0-2 Yrs | 9,898 | 4,738 | 13 | 28,890 | 0.29 | 208 | 1,690 | 45,664 | 26 |
2-5 Yrs | 150 | 1,643 | 14 | 4,322 | 0.39 | 21 | 27,220 | |||
5-10 Yrs | 67 | 648 | 3 | 3,068 | 0.02 | 0.07 | 12 | 19,104 | ||
10+ Yrs | 26 | 143 | 3 | 1,826 | 0.01 | 0.02 | 11,070 | |||
Total | 10,141 | 7,172 | 32 | 38,106 | 0.30 | 208 | 1,723 | 103,058 | 26 | |
27/10/2023 | 0-2 Yrs | 8,803 | 4,512 | 13 | 35,093 | 0.29 | 196 | 1,556 | 46,528 | 26 |
2-5 Yrs | 144 | 1,580 | 13 | 4,620 | 0.28 | 20 | 26,982 | |||
5-10 Yrs | 65 | 611 | 3 | 3,380 | 0.02 | 0.05 | 11 | 19,091 | ||
10+ Yrs | 25 | 135 | 2 | 1,918 | 11,024 | |||||
Total | 9,037 | 6,838 | 30 | 45,012 | 0.30 | 196 | 1,588 | 103,624 | 26 | |
20/10/2023 | 0-2 Yrs | 7,686 | 4,930 | 12 | 34,043 | 0.26 | 192 | 1,480 | 46,528 | 26 |
2-5 Yrs | 145 | 1,631 | 12 | 4,093 | 0.03 | 0.28 | 20 | 27,633 | ||
5-10 Yrs | 62 | 620 | 3 | 3,112 | 0.02 | 0.05 | 11 | 20,162 | ||
10+ Yrs | 26 | 135 | 2 | 1,883 | 11,181 | |||||
Total | 7,919 | 7,317 | 29 | 43,131 | 0.30 | 192 | 1,512 | 105,504 | 26 | |
13/10/2023 | 0-2 Yrs | 7,186 | 4,577 | 11 | 33,188 | 0.26 | 195 | 1,440 | 45,823 | 14 |
2-5 Yrs | 143 | 1,555 | 12 | 3,847 | 0.03 | 0.28 | 25 | 27,043 | ||
5-10 Yrs | 63 | 569 | 2 | 2,962 | 0.02 | 0.05 | 12 | 19,690 | ||
10+ Yrs | 25 | 126 | 3 | 1,765 | 10,957 | |||||
Total | 7,417 | 6,827 | 28 | 41,762 | 0.30 | 195 | 1,476 | 103,512 | 14 | |
06/10/2023 | 0-2 Yrs | 7,043 | 4,390 | 11 | 33,134 | 0.26 | 182 | 1,856 | 45,839 | 14 |
2-5 Yrs | 142 | 1,505 | 12 | 3,794 | 0.03 | 0.18 | 26 | 27,087 | ||
5-10 Yrs | 65 | 539 | 2 | 2,914 | 0.02 | 0.06 | 12 | 19,326 | ||
10+ Yrs | 26 | 119 | 2 | 1,823 | 10,991 | |||||
Total | 7,276 | 6,552 | 27 | 41,664 | 0.30 | 183 | 1,893 | 103,244 | 14 | |
29/09/2023 | 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 | |
22/09/2023 | 0-2 Yrs | 7,625 | 4,187 | 11 | 33,584 | 0.26 | 202 | 1,921 | 46,120 | 27 |
2-5 Yrs | 136 | 1,408 | 11 | 3,858 | 0.03 | 0.04 | 25 | 27,251 | ||
5-10 Yrs | 64 | 487 | 2 | 2,992 | 0.02 | 0.06 | 12 | 18,963 | ||
10+ Yrs | 26 | 104 | 2 | 1,783 | 10,661 | |||||
Total | 7,851 | 6,186 | 25 | 42,218 | 0.30 | 202 | 1,958 | 102,994 | 27 | |
15/09/2023 | 0-2 Yrs | 7,344 | 4,064 | 11 | 43,080 | 0.26 | 213 | 1,921 | 46,806 | 23 |
2-5 Yrs | 143 | 1,360 | 11 | 4,319 | 0.03 | 0.04 | 30 | 27,035 | ||
5-10 Yrs | 64 | 509 | 2 | 3,230 | 0.02 | 0.06 | 12 | 18,895 | ||
10+ Yrs | 25 | 120 | 2 | 1,786 | 10,686 | |||||
Total | 7,576 | 6,052 | 25 | 52,414 | 0.30 | 213 | 1,963 | 103,422 | 23 | |
08/09/2023 | 0-2 Yrs | 7,517 | 3,943 | 11 | 35,228 | 0.26 | 213 | 1,941 | 46,205 | 21 |
2-5 Yrs | 142 | 1,264 | 11 | 4,260 | 0.03 | 0.04 | 30 | 27,738 | ||
5-10 Yrs | 63 | 490 | 2 | 3,195 | 0.02 | 0.06 | 12 | 19,392 | ||
10+ Yrs | 25 | 112 | 1 | 1,786 | 10,757 | |||||
Total | 7,747 | 5,809 | 24 | 44,468 | 0.30 | 213 | 1,983 | 104,092 | 21 |
Figures are rounded to the nearest billion and include OIS and Basis Swaps only.