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.