SwapClear Monthly RFR Volumes

 

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


Monthly Registration Volume (USD BN)

Month Tenor Bucket AONIA CORRA €STR NOWA NZONIA SARON SOFR SORA SONIA THOR TONA
Nov 2022 0-2 Yrs 2,215 1,404 12,420 65 278 286 4,868 148 7,837 33 92
2-5 Yrs 9 6 641   2 99 3,660 80 893 34 144
5-10 Yrs 5 0.13 586   0.09 54 2,867 44 690 21 142
10+ Yrs 0.80 0.34 274     58 1,952 9 446 1 81
Total 2,230 1,411 13,922 65 280 497 13,347 281 9,867 89 459
Oct 2022 0-2 Yrs 3,667 1,161 9,033 34 247 231 5,236 158 7,237 24 119
2-5 Yrs 17 7 742   1 96 3,049 60 972 17 129
5-10 Yrs 3 0.00 548     65 2,745 38 910 9 100
10+ Yrs 2 0.52 330   0.01 26 2,006 8 690 0.61 81
Total 3,688 1,168 10,653 34 248 418 13,036 264 9,809 51 428
Sep 2022 0-2 Yrs 3,554 1,407 15,255 65 200 554 6,413 168 7,858 32 149
2-5 Yrs 16 4 1,215     117 3,618 75 1,071 47 129
5-10 Yrs 3 0.40 923 0.08 0.10 87 2,880 53 721 24 151
10+ Yrs 1 0.33 408     75 2,005 12 530 1 111
Total 3,574 1,412 17,800 65 200 833 14,916 308 10,180 105 539
Aug 2022 0-2 Yrs 2,051 678 9,372 49 251 267 4,217 117 6,933 31 100
2-5 Yrs 16 8 704   0.37 82 3,402 67 964 28 151
5-10 Yrs 3   600     56 2,872 49 872 15 145
10+ Yrs 1   264     43 1,978 10 418 1 84
Total 2,071 686 10,940 49 252 448 12,469 243 9,187 75 479
Jul 2022 0-2 Yrs 1,478 782 10,977 19 275 189 4,934 102 4,523 31 207
2-5 Yrs 8 3 712   0.47 82 2,558 58 704 15 175
5-10 Yrs 3 0.38 568     56 2,328 45 682 8 107
10+ Yrs 1   240     27 1,730 8 365 0.60 70
Total 1,490 785 12,497 19 275 355 11,550 212 6,273 54 560
Jun 2022 0-2 Yrs 2,189 968 18,076 21 325 464 4,657 112 9,532 24 212
2-5 Yrs 15 2 1,520   0.67 175 4,271 96 1,095 18 195
5-10 Yrs 2 0.86 640   0.04 169 2,717 54 763 13 179
10+ Yrs 3 0.08 388     71 2,144 9 406 1 108
Total 2,209 971 20,624 21 326 878 13,790 272 11,796 56 694
May 2022 0-2 Yrs 2,109 544 13,588 13 388 207 3,680 138 7,858 6 94
2-5 Yrs 16 8 1,091   1 106 3,298 86 870 3 144
5-10 Yrs 4 0.57 639 0.06 0.06 66 2,778 42 754 4 159
10+ Yrs 2 0.95 338     40 2,004 10 524 0.17 113
Total 2,132 553 15,657 13 389 419 11,759 275 10,006 14 510
Apr 2022 0-2 Yrs 1,968 822 14,442 10 508 61 3,519 133 4,017   112
2-5 Yrs 11 7 839   0.10 69 3,073 76 715   115
5-10 Yrs 1 0.06 470     55 2,642 44 581   174
10+ Yrs 2 0.40 223     40 1,755 7 364   108
Total 1,982 829 15,975 10 508 225 10,989 260 5,677   509
Mar 2022 0-2 Yrs 2,961 1,159 14,345   427 72 4,186 133 7,260   201
2-5 Yrs 31 8 1,311   0.94 139 4,437 107 1,447   221
5-10 Yrs 5 0.75 764     83 3,357 62 899   148
10+ Yrs 2 0.09 328     63 2,296 12 507   113
Total 2,998 1,167 16,748   427 357 14,276 315 10,113   684
Feb 2022 0-2 Yrs 2,065 742 14,011   377 107 3,500 67 8,170   126
2-5 Yrs 14 57 1,168   0.07 101 2,847 85 1,171   162
5-10 Yrs 2 1 764   0.11 79 2,793 42 965   136
10+ Yrs 0.96 0.17 277     47 1,719 7 523   96
Total 2,082 800 16,221   377 333 10,859 201 10,829   520
Jan 2022 0-2 Yrs 1,652 1,225 5,688   240 112 3,048 126 6,369   139
2-5 Yrs 4 5 838     86 2,325 103 1,206   92
5-10 Yrs 0.86 0.08 573     64 2,520 54 842   131
10+ Yrs 0.35   241     32 1,435 6 491   87
Total 1,657 1,231 7,340   240 294 9,327 288 8,908   448
Dec 2021 0-2 Yrs 588 642 3,113   156 106 1,229 28 5,929   121
2-5 Yrs 3 2 618   0.10 63 1,676 30 703   100
5-10 Yrs 0.23 0.76 472     44 1,521 35 722   149
10+ Yrs 0.69 0.47 183     38 972 7 597   79
Total 592 645 4,387   157 250 5,398 100 7,951   449

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 €STR NOWA NZONIA SARON SOFR SORA SONIA THOR TONA
Nov 2022 0-2 Yrs 6,288 3,653 26,438 148 677 1,839 21,976 1,061 19,634 142 1,966
2-5 Yrs 77 51 3,240 0.04 4 791 13,486 460 6,929 51 1,100
5-10 Yrs 41 8 2,538 0.06 0.38 649 9,291 135 4,859 20 1,079
10+ Yrs 15 8 1,326     182 4,168 16 3,692 2 685
Total 6,422 3,720 33,541 148 682 3,461 48,921 1,672 35,115 214 4,829
Oct 2022 0-2 Yrs 7,201 3,161 26,192 114 754 1,675 21,191 947 19,090 132 1,938
2-5 Yrs 73 47 3,202 0.04 4 710 12,904 422 6,427 54 1,105
5-10 Yrs 36 8 2,321 0.06 0.31 604 9,361 117 4,573 16 1,108
10+ Yrs 15 7 1,228     165 3,876 13 3,456 1 679
Total 7,325 3,223 32,943 114 758 3,153 47,333 1,499 33,546 204 4,829
Sep 2022 0-2 Yrs 6,091 3,062 22,728 96 893 1,681 20,345 854 17,125 122 1,990
2-5 Yrs 69 46 3,119 0.04 4 684 12,406 386 6,343 54 1,094
5-10 Yrs 34 8 2,240 0.06 0.38 623 9,004 105 4,509 14 1,097
10+ Yrs 14 7 1,121     162 3,709 11 3,383 1 672
Total 6,208 3,123 29,208 96 897 3,151 45,464 1,356 31,360 191 4,853
Aug 2022 0-2 Yrs 5,803 3,030 25,847 73 897 1,403 17,823 836 18,045 88 2,033
2-5 Yrs 75 49 3,341   4 681 12,116 419 6,668 38 1,120
5-10 Yrs 36 8 2,217 0.06 0.31 565 8,574 129 4,800 15 1,100
10+ Yrs 15 7 1,168     174 3,550 15 3,530 0.76 696
Total 5,929 3,093 32,573 73 901 2,823 42,063 1,399 33,042 141 4,950
Jul 2022 0-2 Yrs 5,816 2,604 24,060 46 1,021 1,292 16,649 779 18,743 66 2,214
2-5 Yrs 76 46 3,335   4 663 11,131 385 6,503 26 1,206
5-10 Yrs 35 8 2,271 0.06 0.32 548 8,111 109 4,717 9 1,214
10+ Yrs 15 7 1,152     157 3,389 13 3,557 0.32 750
Total 5,942 2,665 30,818 46 1,026 2,660 39,281 1,286 33,521 102 5,385
Jun 2022 0-2 Yrs 5,992 2,672 25,746 32 1,143 1,336 15,312 720 18,363 34 2,104
2-5 Yrs 75 46 3,441   4 632 10,444 354 6,414 19 1,132
5-10 Yrs 33 8 2,215 0.06 0.32 532 7,638 93 4,603 6 1,133
10+ Yrs 14 7 1,202     149 3,173 10 3,526 0.27 714
Total 6,114 2,733 32,605 32 1,148 2,648 36,567 1,177 32,906 60 5,083
May 2022 0-2 Yrs 6,671 3,084 21,836 17 1,107 1,266 14,022 705 19,608 7 2,407
2-5 Yrs 76 46 3,429   4 779 9,766 369 6,655 3 1,113
5-10 Yrs 32 8 2,281 0.06 0.29 639 7,390 108 4,665 2 1,104
10+ Yrs 15 7 1,182     171 2,976 17 3,846 0.04 731
Total 6,793 3,145 28,729 17 1,111 2,855 34,155 1,199 34,774 13 5,356
Apr 2022 0-2 Yrs 6,830 2,777 19,884 8 1,238 1,218 12,900 596 20,814   2,734
2-5 Yrs 69 38 3,280   4 734 8,603 319 7,096   1,201
5-10 Yrs 28 7 2,113   0.22 614 6,567 91 5,025   1,283
10+ Yrs 14 6 1,113     159 2,552 12 4,257   843
Total 6,940 2,828 26,390 8 1,242 2,725 30,622 1,018 37,191   6,061
Mar 2022 0-2 Yrs 7,225 2,992 18,870   1,634 1,372 11,354 484 20,984   3,137
2-5 Yrs 76 39 3,324   4 756 7,583 287 7,230   1,246
5-10 Yrs 29 8 2,215   0.26 619 5,985 80 5,011   1,321
10+ Yrs 13 5 1,162     155 2,282 10 4,290   842
Total 7,344 3,045 25,572   1,638 2,902 27,204 860 37,515   6,545
Feb 2022 0-2 Yrs 5,900 3,213 17,506   1,351 1,776 9,556 441 26,020   4,051
2-5 Yrs 76 41 3,428   5 725 6,970 320 7,485   1,414
5-10 Yrs 26 7 2,352   0.29 591 5,720 91 5,128   1,322
10+ Yrs 13 5 1,162     163 2,179 11 4,519   882
Total 6,015 3,266 24,448   1,356 3,254 24,424 863 43,153   7,668
Jan 2022 0-2 Yrs 4,613 2,884 12,831   1,443 1,875 7,269 420 28,032   4,447
2-5 Yrs 73 40 3,110   5 668 5,548 325 7,484   1,397
5-10 Yrs 25 6 2,129   0.29 552 4,596 92 4,926   1,352
10+ Yrs 12 5 1,064     145 1,670 11 4,411   897
Total 4,723 2,936 19,134   1,449 3,239 19,084 848 44,853   8,093
Dec 2021 0-2 Yrs 3,590 2,320 11,034   1,327 2,258 5,780 285 28,633   4,765
2-5 Yrs 79 49 2,962   6 740 4,130 248 7,362   1,370
5-10 Yrs 24 6 1,976   0.30 599 3,369 69 4,978   1,270
10+ Yrs 12 5 1,014     158 1,218 9 4,443   848
Total 3,705 2,380 16,986   1,333 3,755 14,497 610 45,416   8,253

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