SwapClear Monthly RFR Volumes

 

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

 


Monthly Registration Volume (USD BN)

Month Tenor Bucket €STR SARON SOFR SORA SONIA THOR TONA
Jul 2022 0-2 Yrs 10,977.07 189.12 4,933.68 102.44 4,522.79 31.02 207.41
2-5 Yrs 711.78 81.81 2,558.33 57.51 703.56 15.30 175.01
5-10 Yrs 568.21 56.28 2,327.63 44.78 681.83 7.52 106.94
10+ Yrs 239.88 27.35 1,730.08 7.59 365.09 0.60 70.26
Total 12,496.94 354.56 11,549.71 212.32 6,273.27 54.43 559.62
Jun 2022 0-2 Yrs 18,075.64 464.23 4,656.96 111.98 9,531.62 23.91 212.06
2-5 Yrs 1,519.90 174.59 4,271.44 96.49 1,095.06 17.55 195.32
5-10 Yrs 640.46 168.53 2,717.41 54.30 762.72 13.31 178.57
10+ Yrs 388.40 71.04 2,143.72 9.21 406.20 1.08 107.93
Total 20,624.41 878.39 13,789.53 271.97 11,795.60 55.85 693.89
May 2022 0-2 Yrs 13,587.62 206.66 3,679.78 137.61 7,857.51 6.10 93.70
2-5 Yrs 1,091.49 105.97 3,297.81 85.57 870.40 3.37 144.26
5-10 Yrs 639.36 66.30 2,777.59 41.55 753.95 3.88 159.18
10+ Yrs 338.05 39.95 2,004.03 10.48 524.19 0.17 113.31
Total 15,656.52 418.87 11,759.21 275.21 10,006.05 13.52 510.44
Apr 2022 0-2 Yrs 14,442.32 60.90 3,518.66 133.29 4,016.55   111.57
2-5 Yrs 839.12 69.41 3,073.31 76.25 714.94   115.30
5-10 Yrs 469.92 55.38 2,641.74 43.51 581.21   173.82
10+ Yrs 223.25 39.53 1,755.10 7.20 364.44   108.09
Total 15,974.62 225.22 10,988.81 260.25 5,677.15   508.78
Mar 2022 0-2 Yrs 14,345.22 71.52 4,186.24 133.29 7,260.16   201.25
2-5 Yrs 1,311.40 139.47 4,436.68 107.00 1,447.44   221.44
5-10 Yrs 764.10 82.95 3,356.88 62.46 898.50   148.47
10+ Yrs 327.59 62.59 2,296.05 11.99 507.32   112.67
Total 16,748.32 356.54 14,275.85 314.74 10,113.42   683.83
Feb 2022 0-2 Yrs 14,010.75 106.74 3,500.23 66.64 8,169.93   126.14
2-5 Yrs 1,168.27 101.19 2,847.25 84.64 1,170.93   161.56
5-10 Yrs 764.49 78.68 2,792.89 42.06 964.93   136.34
10+ Yrs 277.45 46.64 1,718.56 7.41 522.83   96.45
Total 16,220.96 333.26 10,858.93 200.75 10,828.61   520.49
Jan 2022 0-2 Yrs 5,687.58 111.73 3,048.03 125.73 6,369.28   138.77
2-5 Yrs 837.90 86.38 2,324.75 102.84 1,205.53   91.90
5-10 Yrs 573.14 63.65 2,519.68 53.92 841.66   130.62
10+ Yrs 241.44 31.93 1,434.83 5.56 491.42   87.20
Total 7,340.07 293.69 9,327.28 288.05 8,907.89   448.48
Dec 2021 0-2 Yrs 3,112.89 105.52 1,228.94 28.01 5,928.78   121.00
2-5 Yrs 618.41 62.93 1,676.07 29.98 702.90   99.90
5-10 Yrs 472.31 43.58 1,520.63 34.65 722.47   149.10
10+ Yrs 183.14 37.62 972.00 6.87 596.54   79.36
Total 4,386.75 249.64 5,397.64 99.51 7,950.69   449.35
Nov 2021 0-2 Yrs 5,804.78 132.90 2,137.34 58.09 9,875.75   108.26
2-5 Yrs 1,096.35 121.98 1,336.04 61.08 1,384.37   140.42
5-10 Yrs 344.33 123.45 1,805.61 32.65 1,080.86   192.35
10+ Yrs 160.32 52.06 824.89 7.32 643.15   101.84
Total 7,405.78 430.40 6,103.87 159.15 12,984.13   542.87
Oct 2021 0-2 Yrs 3,788.65 133.93 1,251.69 50.15 19,010.58   167.86
2-5 Yrs 1,069.13 115.63 1,258.79 102.21 1,689.40   137.39
5-10 Yrs 168.19 55.83 1,494.55 49.91 990.27   95.75
10+ Yrs 116.54 39.15 727.30 14.20 518.56   85.25
Total 5,142.52 344.53 4,732.32 216.47 22,208.82   486.24
Sep 2021 0-2 Yrs 551.04 135.27 1,041.09 46.64 11,383.77   144.73
2-5 Yrs 180.33 107.64 912.23 69.51 1,245.78   39.96
5-10 Yrs 76.67 76.32 940.55 76.67 883.97   77.65
10+ Yrs 44.25 37.31 530.85 15.58 448.41   55.77
Total 852.29 356.54 3,424.72 208.39 13,961.93   318.11
Aug 2021 0-2 Yrs 478.86 110.20 672.80 19.86 4,367.55   40.69
2-5 Yrs 40.82 30.77 468.93 55.63 1,115.34   23.06
5-10 Yrs 50.47 37.78 757.61 51.66 654.38   35.55
10+ Yrs 30.76 17.48 353.76 17.67 391.41   27.06
Total 600.90 196.22 2,253.10 144.82 6,528.68   126.35

Figures include OIS and Basis Swaps only.


 

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket €STR SARON SOFR SORA SONIA THOR TONA
Jul 2022 0-2 Yrs 24,059.59 1,292.24 16,648.42 778.54 18,738.92 66.38 2,214.33
2-5 Yrs 3,332.98 663.32 11,129.07 385.42 6,492.24 25.93 1,206.15
5-10 Yrs 2,268.49 547.89 8,109.53 109.23 4,695.29 9.42 1,214.28
10+ Yrs 1,156.86 156.78 3,393.88 12.94 3,594.38 0.32 750.19
Total 30,817.91 2,660.23 39,280.90 1,286.13 33,520.83 102.04 5,384.96
Jun 2022 0-2 Yrs 25,746.06 1,335.61 15,311.52 720.15 18,359.71 34.42 2,104.00
2-5 Yrs 3,439.72 631.52 10,442.18 354.03 6,404.78 18.79 1,131.94
5-10 Yrs 2,212.95 531.60 7,636.09 92.76 4,584.65 6.44 1,133.09
10+ Yrs 1,205.88 149.42 3,176.74 9.66 3,556.66 0.27 713.55
Total 32,604.61 2,648.14 36,566.53 1,176.60 32,905.79 59.92 5,082.57
May 2022 0-2 Yrs 21,836.48 1,265.57 14,021.55 705.46 19,605.67 7.50 2,407.39
2-5 Yrs 3,427.22 779.21 9,764.58 368.91 6,650.15 3.08 1,113.15
5-10 Yrs 2,279.59 638.58 7,388.89 108.28 4,656.74 1.94 1,104.44
10+ Yrs 1,185.27 171.17 2,979.87 16.68 3,861.53 0.04 730.56
Total 28,728.56 2,854.54 34,154.88 1,199.33 34,774.10 12.55 5,355.54
Apr 2022 0-2 Yrs 19,884.36 1,218.04 12,899.02 596.20 20,813.97   2,734.19
2-5 Yrs 3,278.93 733.72 8,602.70 319.29 7,094.91   1,200.75
5-10 Yrs 2,111.69 614.07 6,566.13 90.98 5,022.63   1,283.06
10+ Yrs 1,115.47 159.23 2,553.97 11.62 4,259.76   842.62
Total 26,390.45 2,725.07 30,621.81 1,018.07 37,191.28   6,060.61
Mar 2022 0-2 Yrs 18,870.37 1,372.24 11,353.59 484.00 20,983.82   3,137.12
2-5 Yrs 3,324.19 755.57 7,583.04 286.69 7,229.50   1,245.53
5-10 Yrs 2,215.29 618.79 5,984.83 79.67 5,008.70   1,321.19
10+ Yrs 1,162.03 155.20 2,282.28 10.05 4,292.88   841.61
Total 25,571.89 2,901.80 27,203.74 860.41 37,514.90   6,545.45
Feb 2022 0-2 Yrs 17,506.06 1,775.72 9,555.86 440.74 26,020.29   4,050.70
2-5 Yrs 3,427.99 724.53 6,969.54 319.54 7,484.04   1,413.74
5-10 Yrs 2,351.95 590.74 5,719.60 91.40 5,126.23   1,322.11
10+ Yrs 1,162.47 162.72 2,179.31 11.34 4,522.04   881.60
Total 24,448.47 3,253.71 24,424.31 863.02 43,152.60   7,668.15
Jan 2022 0-2 Yrs 12,831.01 1,874.70 7,269.17 420.15 28,031.82   4,447.30
2-5 Yrs 3,110.08 667.53 5,548.33 325.50 7,482.69   1,397.37
5-10 Yrs 2,128.96 551.84 4,595.75 91.84 4,924.34   1,351.77
10+ Yrs 1,064.20 144.73 1,670.82 10.63 4,414.07   896.79
Total 19,134.25 3,238.80 19,084.06 848.12 44,852.92   8,093.22
Dec 2021 0-2 Yrs 11,034.39 2,257.63 5,779.59 284.59 28,632.81   4,765.16
2-5 Yrs 2,962.18 740.29 4,129.93 248.36 7,361.59   1,369.74
5-10 Yrs 1,975.94 599.00 3,369.49 68.79 4,975.98   1,270.08
10+ Yrs 1,013.96 157.99 1,218.12 8.57 4,445.86   848.40
Total 16,986.47 3,754.91 14,497.13 610.30 45,416.24   8,253.37
Nov 2021 0-2 Yrs 11,974.67 521.13 5,733.38 242.80 18,471.76   544.49
2-5 Yrs 3,191.12 222.39 3,768.25 233.01 4,206.60   293.44
5-10 Yrs 1,819.41 207.36 3,245.37 79.85 2,492.93   251.96
10+ Yrs 1,038.33 53.49 1,036.00 15.64 1,964.62   163.96
Total 18,023.52 1,004.36 13,783.01 571.29 27,135.90   1,253.86
Oct 2021 0-2 Yrs 12,684.59 508.40 4,619.41 178.86 20,610.94   512.53
2-5 Yrs 3,457.70 191.51 3,064.75 199.64 4,784.99   229.99
5-10 Yrs 1,861.42 141.22 2,580.37 73.88 2,500.60   195.08
10+ Yrs 1,072.07 47.75 803.80 14.59 1,898.75   136.25
Total 19,075.77 888.89 11,068.33 466.97 29,795.27   1,073.85
Sep 2021 0-2 Yrs 1,463.66 434.28 4,107.87 112.11 16,470.61   415.70
2-5 Yrs 366.48 144.31 2,225.61 135.28 4,368.06   126.30
5-10 Yrs 312.01 113.89 1,692.65 56.79 2,460.63   143.15
10+ Yrs 187.56 33.24 569.58 9.18 1,790.11   91.70
Total 2,329.71 725.71 8,595.71 313.37 25,089.41   776.84
Aug 2021 0-2 Yrs 1,270.22 415.10 3,463.41 53.21 14,254.27   340.27
2-5 Yrs 237.55 95.47 2,119.31 86.43 4,439.05   98.42
5-10 Yrs 284.69 98.85 1,300.48 40.60 2,497.44   89.51
10+ Yrs 166.95 24.31 409.25 12.63 1,850.54   65.65
Total 1,959.42 633.74 7,292.45 192.87 23,041.30   593.83

Figures include OIS and Basis Swaps only.