RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket €STR SARON SOFR SORA
Apr 2021 <1 Yr 399.63 54.45 763.50 0.30
1-2 Yrs 53.78 0.26 391.59 1.37
2+ Yrs 100.91 20.44 621.53 3.67
Total 554.32 75.15 1776.61 5.34
Mar 2021 <1 Yr 404.85 51.02 450.07 1.63
1-2 Yrs 39.91   144.73 1.26
2+ Yrs 111.96 14.16 585.99 3.78
Total 556.72 65.18 1180.80 6.67
Feb 2021 <1 Yr 142.45 40.44 439.12 0.36
1-2 Yrs 27.21 2.79 320.05 1.56
2+ Yrs 80.47 30.31 550.55 1.27
Total 250.13 73.54 1309.72 3.19
Jan 2021 <1 Yr 140.04 18.09 280.09 0.60
1-2 Yrs 20.04 2.14 122.50 0.12
2+ Yrs 58.83 30.66 391.79 1.24
Total 218.91 50.89 794.39 1.95
Dec 2020 <1 Yr 193.10 77.36 176.32  
1-2 Yrs 25.98 0.23 186.63 0.33
2+ Yrs 56.27 2.35 319.99 0.06
Total 275.34 79.93 682.95 0.39
Nov 2020 <1 Yr 96.25 55.60 170.76 0.10
1-2 Yrs 6.26 2.22 338.13 0.07
2+ Yrs 39.15 3.91 386.90 0.47
Total 141.65 61.73 895.79 0.64
Oct 2020 <1 Yr 96.58 61.48 117.53  
1-2 Yrs 10.55 1.31 172.84 0.05
2+ Yrs 37.79 3.33 337.64 1.14
Total 144.92 66.12 628.01 1.19
Sep 2020 <1 Yr 41.56 89.48 64.17 0.03
1-2 Yrs 3.29   150.43 0.01
2+ Yrs 23.63 5.95 167.04 0.33
Total 68.48 95.43 381.64 0.38
Aug 2020 <1 Yr 41.38 83.51 63.37 0.16
1-2 Yrs 6.04 0.88 7.42  
2+ Yrs 17.68 7.22 45.13 0.02
Total 65.11 91.60 115.92 0.18
Jul 2020 <1 Yr 51.75 93.71 56.90 0.03
1-2 Yrs 6.17   11.69 0.01
2+ Yrs 18.04 5.08 84.22  
Total 75.96 98.79 152.80 0.04
Jun 2020 <1 Yr 54.10 91.86 121.32 0.17
1-2 Yrs 4.73 1.07 21.40 0.01
2+ Yrs 13.03 8.30 65.56 0.01
Total 71.87 101.23 208.28 0.19
May 2020 <1 Yr 6.64 69.57 179.27 0.15
1-2 Yrs 0.14 1.33 34.67 0.28
2+ Yrs 2.68 7.11 43.79  
Total 9.45 78.01 257.73 0.43

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket €STR SARON SOFR SORA
Apr 2021 <1 Yr 867.40 190.26 1703.22 4.58
1-2 Yrs 101.12 33.26 1215.61 1.81
2+ Yrs 425.98 119.69 2121.01 8.55
Total 1394.51 343.22 5039.84 14.93
Mar 2021 <1 Yr 640.78 160.78 1392.42 4.71
1-2 Yrs 76.71 30.63 1090.64 0.98
2+ Yrs 337.07 101.35 1719.64 6.50
Total 1054.56 292.77 4202.70 12.19
Feb 2021 <1 Yr 441.57 159.33 1226.29 2.39
1-2 Yrs 63.43 35.53 1005.78 1.32
2+ Yrs 280.18 109.06 1598.06 3.92
Total 785.18 303.92 3830.13 7.63
Jan 2021 <1 Yr 382.54 163.77 943.91 1.52
1-2 Yrs 57.41 27.37 884.63 0.28
2+ Yrs 209.56 98.99 1327.01 2.90
Total 649.51 290.14 3155.55 4.69
Dec 2020 <1 Yr 415.32 208.52 773.62 0.75
1-2 Yrs 53.91 19.79 797.82 0.26
2+ Yrs 164.22 79.99 1073.64 1.79
Total 633.45 308.29 2645.09 2.81
Nov 2020 <1 Yr 305.36 204.15 760.08 0.75
1-2 Yrs 25.00 20.43 727.15 0.16
2+ Yrs 141.58 77.41 1106.04 1.71
Total 471.94 302.00 2593.27 2.61
Oct 2020 <1 Yr 230.16 249.89 674.84 0.89
1-2 Yrs 19.36 21.45 594.93  
2+ Yrs 110.81 74.25 847.85 1.43
Total 360.33 345.59 2117.62 2.32
Sep 2020 <1 Yr 187.17 290.33 612.38 0.84
1-2 Yrs 15.24 20.11 327.68 0.01
2+ Yrs 83.01 72.13 512.29 0.36
Total 285.42 382.57 1452.35 1.22
Aug 2020 <1 Yr 200.05 320.42 625.51 0.83
1-2 Yrs 12.66 20.15 199.54  
2+ Yrs 68.07 69.78 397.47 0.03
Total 280.77 410.34 1222.52 0.86
Jul 2020 <1 Yr 175.19 277.37 618.52 0.67
1-2 Yrs 12.18 17.73 215.78  
2+ Yrs 51.57 64.32 357.66 0.01
Total 238.94 359.42 1191.96 0.68
Jun 2020 <1 Yr 148.78 271.57 650.40 0.61
1-2 Yrs 13.00 17.22 225.74 0.01
2+ Yrs 39.92 59.85 279.39 0.01
Total 201.71 348.65 1155.53 0.63
May 2020 <1 Yr 117.22 284.39 642.43 0.44
1-2 Yrs 7.84 15.44 236.03  
2+ Yrs 30.46 53.63 258.95  
Total 155.52 353.46 1137.41 0.44