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.