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.