SwapClear Weekly RFR Volumes
Weekly Registration Volume (USD BN)
Week End | Tenor Bucket | AONIA | CORRA | DESTR | €STR | HONIA | NOWA | NZONIA | SOFR | SWESTR | SHIR |
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 | ||
23/02/2024 | 0-2 Yrs | 646 | 381 | 2 | 4,303 | 9 | 289 | 2,157 | 0.97 | ||
2-5 Yrs | 9 | 58 | 0.75 | 744 | 1,790 | ||||||
5-10 Yrs | 0.78 | 37 | 0.07 | 1,163 | 1,440 | ||||||
10+ Yrs | 0.06 | 13 | 267 | 495 | |||||||
Total | 656 | 488 | 3 | 6,478 | 9 | 289 | 5,882 | 0.97 | |||
16/02/2024 | 0-2 Yrs | 561 | 266 | 6 | 5,042 | 19 | 238 | 2,088 | 0.76 | ||
2-5 Yrs | 3 | 67 | 0.36 | 231 | 970 | ||||||
5-10 Yrs | 0.72 | 75 | 177 | 799 | |||||||
10+ Yrs | 0.23 | 20 | 145 | 581 | |||||||
Total | 565 | 428 | 6 | 5,596 | 19 | 238 | 4,438 | 0.76 | |||
09/02/2024 | 0-2 Yrs | 749 | 401 | 2 | 4,692 | 7 | 317 | 1,785 | 0.02 | ||
2-5 Yrs | 14 | 65 | 2 | 669 | 1,480 | ||||||
5-10 Yrs | 0.24 | 46 | 847 | 1,356 | |||||||
10+ Yrs | 0.03 | 12 | 230 | 654 | |||||||
Total | 764 | 524 | 3 | 6,438 | 7 | 317 | 5,275 | 0.02 | |||
02/02/2024 | 0-2 Yrs | 1,313 | 375 | 1 | 8,765 | 11 | 367 | 3,428 | 2 | ||
2-5 Yrs | 2 | 107 | 1 | 550 | 1,512 | ||||||
5-10 Yrs | 1 | 53 | 977 | 1,065 | |||||||
10+ Yrs | 0.61 | 19 | 292 | 650 | |||||||
Total | 1,317 | 555 | 2 | 10,584 | 11 | 367 | 6,654 | 2 | |||
26/01/2024 | 0-2 Yrs | 502 | 482 | 9,522 | 11 | 143 | 1,799 | ||||
2-5 Yrs | 1 | 154 | 0.58 | 1,049 | 1,943 | ||||||
5-10 Yrs | 0.02 | 62 | 0.29 | 1,271 | 1,522 | ||||||
10+ Yrs | 0.02 | 18 | 0.02 | 423 | 570 | ||||||
Total | 503 | 715 | 0.90 | 12,265 | 11 | 143 | 5,833 | ||||
19/01/2024 | 0-2 Yrs | 766 | 475 | 6 | 7,147 | 10 | 195 | 2,919 | |||
2-5 Yrs | 3 | 87 | 0.37 | 243 | 0.10 | 1,380 | |||||
5-10 Yrs | 0.70 | 53 | 0.98 | 238 | 1,257 | ||||||
10+ Yrs | 0.14 | 18 | 116 | 722 | |||||||
Total | 770 | 633 | 7 | 7,745 | 11 | 195 | 6,278 | ||||
12/01/2024 | 0-2 Yrs | 910 | 248 | 2 | 7,799 | 28 | 70 | 2,131 | |||
2-5 Yrs | 3 | 111 | 2 | 1,103 | 2,867 | ||||||
5-10 Yrs | 0.24 | 64 | 1 | 2,192 | 2,020 | ||||||
10+ Yrs | 0.51 | 12 | 590 | 592 | |||||||
Total | 913 | 435 | 6 | 11,685 | 28 | 70 | 7,609 | ||||
05/01/2024 | 0-2 Yrs | 349 | 315 | 3 | 4,112 | 14 | 39 | 2,422 | 0.00 | ||
2-5 Yrs | 0.90 | 65 | 3 | 576 | 855 | ||||||
5-10 Yrs | 1 | 44 | 314 | 895 | |||||||
10+ Yrs | 0.29 | 16 | 138 | 582 | |||||||
Total | 351 | 439 | 6 | 5,139 | 14 | 39 | 4,754 | 0.00 | |||
29/12/2023 | 0-2 Yrs | 30 | 87 | 0.30 | 956 | 16 | 13 | 1,212 | |||
2-5 Yrs | 0.39 | 15 | 2 | 54 | 635 | ||||||
5-10 Yrs | 0.11 | 24 | 50 | 381 | |||||||
10+ Yrs | 0.15 | 9 | 18 | 260 | |||||||
Total | 31 | 134 | 2 | 1,078 | 16 | 13 | 2,489 |
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 |
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 | |
23/02/2024 | 0-2 Yrs | 8,259 | 5,356 | 50 | 37,094 | 0.29 | 203 | 2,753 | 48,293 | 11 | 0.01 |
2-5 Yrs | 165 | 2,271 | 21 | 4,503 | 0.16 | 13 | 28,526 | ||||
5-10 Yrs | 61 | 972 | 6 | 3,499 | 0.02 | 0.10 | 10 | 19,465 | |||
10+ Yrs | 24 | 190 | 0.02 | 2,002 | 0.01 | 0.02 | 10,931 | ||||
Total | 8,510 | 8,789 | 77 | 47,098 | 0.30 | 204 | 2,776 | 107,215 | 11 | 0.01 | |
16/02/2024 | 0-2 Yrs | 7,729 | 5,116 | 48 | 36,559 | 0.29 | 196 | 2,544 | 47,612 | 10 | 0.01 |
2-5 Yrs | 156 | 2,248 | 21 | 4,431 | 0.16 | 13 | 27,885 | ||||
5-10 Yrs | 61 | 974 | 6 | 3,320 | 0.02 | 0.11 | 10 | 19,055 | |||
10+ Yrs | 24 | 185 | 0.02 | 1,981 | 0.01 | 0.02 | 10,856 | ||||
Total | 7,969 | 8,523 | 75 | 46,291 | 0.30 | 196 | 2,567 | 105,407 | 10 | 0.01 | |
09/02/2024 | 0-2 Yrs | 7,692 | 4,938 | 43 | 35,015 | 0.29 | 184 | 2,401 | 47,647 | 9 | 0.01 |
2-5 Yrs | 155 | 2,206 | 20 | 4,560 | 0.16 | 13 | 28,839 | ||||
5-10 Yrs | 61 | 912 | 6 | 3,393 | 0.02 | 0.10 | 10 | 20,047 | |||
10+ Yrs | 24 | 175 | 0.02 | 1,993 | 0.01 | 0.02 | 11,283 | ||||
Total | 7,932 | 8,231 | 70 | 44,961 | 0.30 | 184 | 2,424 | 107,816 | 9 | 0.01 | |
02/02/2024 | 0-2 Yrs | 8,557 | 4,683 | 41 | 35,919 | 0.29 | 182 | 2,144 | 48,443 | 12 | 0.01 |
2-5 Yrs | 150 | 2,173 | 19 | 4,596 | 0.16 | 13 | 28,743 | ||||
5-10 Yrs | 62 | 896 | 6 | 3,571 | 0.02 | 0.10 | 9 | 19,871 | |||
10+ Yrs | 24 | 173 | 0.02 | 2,050 | 0.01 | 0.02 | 11,268 | ||||
Total | 8,792 | 7,925 | 67 | 46,136 | 0.30 | 183 | 2,166 | 108,325 | 12 | 0.01 | |
26/01/2024 | 0-2 Yrs | 7,741 | 4,675 | 42 | 38,994 | 0.29 | 258 | 1,863 | 47,742 | 10 | 0.01 |
2-5 Yrs | 150 | 2,265 | 18 | 4,628 | 0.16 | 13 | 28,447 | ||||
5-10 Yrs | 62 | 965 | 6 | 4,131 | 0.02 | 0.11 | 10 | 19,864 | |||
10+ Yrs | 24 | 178 | 0.02 | 2,106 | 0.01 | 0.02 | 11,079 | ||||
Total | 7,977 | 8,083 | 66 | 49,859 | 0.30 | 258 | 1,886 | 107,132 | 10 | 0.01 | |
19/01/2024 | 0-2 Yrs | 7,415 | 4,953 | 41 | 34,790 | 0.29 | 252 | 1,783 | 47,634 | 10 | 0.01 |
2-5 Yrs | 150 | 2,161 | 18 | 4,507 | 0.16 | 13 | 28,042 | ||||
5-10 Yrs | 62 | 922 | 6 | 3,715 | 0.02 | 0.11 | 10 | 19,681 | |||
10+ Yrs | 24 | 168 | 1,995 | 0.01 | 0.02 | 11,146 | |||||
Total | 7,651 | 8,205 | 66 | 45,007 | 0.30 | 252 | 1,806 | 106,503 | 10 | 0.01 | |
12/01/2024 | 0-2 Yrs | 7,034 | 4,701 | 36 | 33,660 | 0.29 | 255 | 1,680 | 48,088 | 10 | 0.01 |
2-5 Yrs | 151 | 2,123 | 17 | 5,020 | 0.16 | 14 | 28,629 | ||||
5-10 Yrs | 63 | 893 | 6 | 4,148 | 0.02 | 0.11 | 10 | 19,891 | |||
10+ Yrs | 24 | 161 | 2,135 | 0.01 | 0.02 | 11,173 | |||||
Total | 7,271 | 7,878 | 60 | 44,964 | 0.30 | 255 | 1,704 | 107,782 | 10 | 0.01 | |
05/01/2024 | 0-2 Yrs | 6,560 | 4,598 | 30 | 29,813 | 1 | 230 | 1,643 | 47,222 | 10 | 0.01 |
2-5 Yrs | 149 | 2,047 | 20 | 4,496 | 0.16 | 14 | 27,882 | ||||
5-10 Yrs | 63 | 876 | 5 | 3,227 | 0.02 | 0.11 | 10 | 19,218 | |||
10+ Yrs | 24 | 159 | 1,932 | 0.01 | 0.02 | 11,081 | |||||
Total | 6,796 | 7,679 | 55 | 39,467 | 1 | 231 | 1,667 | 105,403 | 10 | 0.01 | |
29/12/2023 | 0-2 Yrs | 6,403 | 4,366 | 27 | 27,310 | 1 | 225 | 1,650 | 46,255 | 10 | 0.01 |
2-5 Yrs | 150 | 2,022 | 18 | 4,162 | 0.16 | 14 | 28,140 | ||||
5-10 Yrs | 63 | 858 | 5 | 3,081 | 0.02 | 0.11 | 10 | 19,015 | |||
10+ Yrs | 24 | 154 | 1,868 | 0.01 | 0.03 | 10,922 | |||||
Total | 6,640 | 7,400 | 50 | 36,421 | 1 | 226 | 1,674 | 104,332 | 10 | 0.01 |
Figures are rounded to the nearest billion and include OIS and Basis Swaps only.