SwapClear Monthly RFR Volumes

USD Relative Registration DV01 Volumes (SOFR, FEDFUND, LIBOR)

Monthly Registration Volume (USD BN)

Month	Tenor Bucket	AONIA	CORRA	DESTR	€STR	NOWA	NZONIA	SOFR	SORA	SWESTR	THOR
Feb 2023	0-2 Yrs	4,645	1,856	2	16,298	64	559	5,649	148	19	26
	2-5 Yrs	14	79	2	1,127	0.39	0.27	5,080	85	0.02	29
	5-10 Yrs	4	37		682			3,920	57		14
	10+ Yrs	14	16		385			2,738	9		1
	Total	4,677	1,988	4	18,491	65	559	17,387	299	19	70
Jan 2023	0-2 Yrs	3,653	1,921	0.29	15,635	99	317	5,765	144	6	33
	2-5 Yrs	8	54	0.25	970	0.20		3,349	70	0.04	33
	5-10 Yrs	2	37		799			2,486	49		21
	10+ Yrs	3	9		297			1,837	10		1
	Total	3,666	2,021	0.54	17,700	99	317	13,437	274	6	89
Dec 2022	0-2 Yrs	1,890	971	0.47	12,869	40	245	4,150	136	0.78	12
	2-5 Yrs	7	1	0.36	653		0.25	3,233	49		24
	5-10 Yrs	4	0.72		427		0.04	2,322	43		16
	10+ Yrs	2	0.18		211			1,724	7		1
	Total	1,904	973	0.84	14,160	40	245	11,429	235	0.78	54
Nov 2022	0-2 Yrs	2,215	1,404		12,420	65	278	4,868	148		33
	2-5 Yrs	9	6		641		2	3,660	80		34
	5-10 Yrs	5	0.13		586		0.09	2,867	44		21
	10+ Yrs	0.80	0.34		274			1,952	9		1
	Total	2,230	1,411		13,922	65	280	13,347	281		89
Oct 2022	0-2 Yrs	3,667	1,161		9,033	34	247	5,236	158		24
	2-5 Yrs	17	7		742		1	3,049	60		17
	5-10 Yrs	3	0.00		548			2,745	38		9
	10+ Yrs	2	0.52		330		0.01	2,006	8		0.61
	Total	3,688	1,168		10,653	34	248	13,036	264		51
Sep 2022	0-2 Yrs	3,554	1,407		15,255	65	200	6,413	168		32
	2-5 Yrs	16	4		1,215			3,618	75		47
	5-10 Yrs	3	0.40		923	0.08	0.10	2,880	53		24
	10+ Yrs	1	0.33		408			2,005	12		1
	Total	3,574	1,412		17,800	65	200	14,916	308		105
Aug 2022	0-2 Yrs	2,051	678		9,372	49	251	4,217	117		31
	2-5 Yrs	16	8		704		0.37	3,402	67		28
	5-10 Yrs	3			600			2,872	49		15
	10+ Yrs	1			264			1,978	10		1
	Total	2,071	686		10,940	49	252	12,469	243		75
Jul 2022	0-2 Yrs	1,478	782		10,977	19	275	4,934	102		31
	2-5 Yrs	8	3		712		0.47	2,558	58		15
	5-10 Yrs	3	0.38		568			2,328	45		8
	10+ Yrs	1			240			1,730	8		0.60
	Total	1,490	785		12,497	19	275	11,550	212		54
Jun 2022	0-2 Yrs	2,189	968		18,076	21	325	4,657	112		24
	2-5 Yrs	15	2		1,520		0.67	4,271	96		18
	5-10 Yrs	2	0.86		640		0.04	2,717	54		13
	10+ Yrs	3	0.08		388			2,144	9		1
	Total	2,209	971		20,624	21	326	13,790	272		56
May 2022	0-2 Yrs	2,109	544		13,588	13	388	3,680	138		6
	2-5 Yrs	16	8		1,091		1	3,298	86		3
	5-10 Yrs	4	0.57		639	0.06	0.06	2,778	42		4
	10+ Yrs	2	0.95		338			2,004	10		0.17
	Total	2,132	553		15,657	13	389	11,759	275		14
Apr 2022	0-2 Yrs	1,968	822		14,442	10	508	3,519	133
	2-5 Yrs	11	7		839		0.10	3,073	76
	5-10 Yrs	1	0.06		470			2,642	44
	10+ Yrs	2	0.40		223			1,755	7
	Total	1,982	829		15,975	10	508	10,989	260
Mar 2022	0-2 Yrs	2,961	1,159		14,345		427	4,186	133
	2-5 Yrs	31	8		1,311		0.94	4,437	107
	5-10 Yrs	5	0.75		764			3,357	62
	10+ Yrs	2	0.09		328			2,296	12
	Total	2,998	1,167		16,748		427	14,276	315

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

Notional amounts outstanding at month end (USD BN)

Month	Tenor Bucket	AONIA	CORRA	DESTR	€STR	NOWA	NZONIA	SOFR	SORA	SWESTR	THOR
Feb 2023	0-2 Yrs	8,458	4,157	2	30,482	186	1,031	25,265	1,098	19	212
	2-5 Yrs	85	148	3	3,821	0.04	3	15,498	439		81
	5-10 Yrs	47	50		2,727	0.06	0.37	10,683	135		24
	10+ Yrs	22	18		1,481			5,046	14		2
	Total	8,612	4,373	5	38,510	186	1,035	56,491	1,687	19	319
Jan 2023	0-2 Yrs	7,489	3,009	0.77	30,569	159	1,028	23,912	1,154	4	206
	2-5 Yrs	86	104	0.62	3,622	0.24	3	13,815	466		79
	5-10 Yrs	47	30		2,737	0.06	0.38	9,473	133		22
	10+ Yrs	16	12		1,396			4,385	13		1
	Total	7,639	3,155	1	38,324	159	1,032	51,584	1,765	4	308
Dec 2022	0-2 Yrs	4,524	2,864	0.47	23,588	129	774	21,706	1,052	0.77	168
	2-5 Yrs	81	49	0.37	3,104	0.04	4	13,005	419		56
	5-10 Yrs	44	8		2,452	0.06	0.38	8,957	110		14
	10+ Yrs	15	8		1,297			4,029	10		0.70
	Total	4,664	2,929	0.84	30,440	129	778	47,697	1,591	0.77	238
Nov 2022	0-2 Yrs	6,288	3,653		26,438	148	677	21,976	1,061		142
	2-5 Yrs	77	51		3,240	0.04	4	13,486	460		51
	5-10 Yrs	41	8		2,538	0.06	0.38	9,291	135		20
	10+ Yrs	15	8		1,326			4,168	16		2
	Total	6,422	3,720		33,541	148	682	48,921	1,672		214
Oct 2022	0-2 Yrs	7,201	3,161		26,192	114	754	21,191	947		132
	2-5 Yrs	73	47		3,202	0.04	4	12,904	422		54
	5-10 Yrs	36	8		2,321	0.06	0.31	9,361	117		16
	10+ Yrs	15	7		1,228			3,876	13		1
	Total	7,325	3,223		32,943	114	758	47,333	1,499		204
Sep 2022	0-2 Yrs	6,091	3,062		22,728	96	893	20,345	854		122
	2-5 Yrs	69	46		3,119	0.04	4	12,406	386		54
	5-10 Yrs	34	8		2,240	0.06	0.38	9,004	105		14
	10+ Yrs	14	7		1,121			3,709	11		1
	Total	6,208	3,123		29,208	96	897	45,464	1,356		191
Aug 2022	0-2 Yrs	5,803	3,030		25,847	73	897	17,823	836		88
	2-5 Yrs	75	49		3,341		4	12,116	419		38
	5-10 Yrs	36	8		2,217	0.06	0.31	8,574	129		15
	10+ Yrs	15	7		1,168			3,550	15		0.76
	Total	5,929	3,093		32,573	73	901	42,063	1,399		141
Jul 2022	0-2 Yrs	5,816	2,604		24,060	46	1,021	16,649	779		66
	2-5 Yrs	76	46		3,335		4	11,131	385		26
	5-10 Yrs	35	8		2,271	0.06	0.32	8,111	109		9
	10+ Yrs	15	7		1,152			3,389	13		0.32
	Total	5,942	2,665		30,818	46	1,026	39,281	1,286		102
Jun 2022	0-2 Yrs	5,992	2,672		25,746	32	1,143	15,312	720		34
	2-5 Yrs	75	46		3,441		4	10,444	354		19
	5-10 Yrs	33	8		2,215	0.06	0.32	7,638	93		6
	10+ Yrs	14	7		1,202			3,173	10		0.27
	Total	6,114	2,733		32,605	32	1,148	36,567	1,177		60
May 2022	0-2 Yrs	6,671	3,084		21,836	17	1,107	14,022	705		7
	2-5 Yrs	76	46		3,429		4	9,766	369		3
	5-10 Yrs	32	8		2,281	0.06	0.29	7,390	108		2
	10+ Yrs	15	7		1,182			2,976	17		0.04
	Total	6,793	3,145		28,729	17	1,111	34,155	1,199		13
Apr 2022	0-2 Yrs	6,830	2,777		19,884	8	1,238	12,900	596
	2-5 Yrs	69	38		3,280		4	8,603	319
	5-10 Yrs	28	7		2,113		0.22	6,567	91
	10+ Yrs	14	6		1,113			2,552	12
	Total	6,940	2,828		26,390	8	1,242	30,622	1,018
Mar 2022	0-2 Yrs	7,225	2,992		18,870		1,634	11,354	484
	2-5 Yrs	76	39		3,324		4	7,583	287
	5-10 Yrs	29	8		2,215		0.26	5,985	80
	10+ Yrs	13	5		1,162			2,282	10
	Total	7,344	3,045		25,572		1,638	27,204	860

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