RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket €STR SARON SOFR SONIA SORA TONA
Aug 2021 0-2 Yrs 478.86 110.20 672.80 4367.55 19.86 40.69
2-5 Yrs 40.82 30.77 468.93 1115.34 55.63 23.06
5-10 Yrs 50.47 37.78 757.61 654.38 51.66 35.55
10+ Yrs 30.76 17.48 353.76 391.41 17.67 27.06
Total 600.90 196.22 2253.10 6528.68 144.82 126.35
Jul 2021 0-2 Yrs 420.48 139.94 1607.26 3987.17 6.86 41.83
2-5 Yrs 29.27 18.54 592.65 1308.42 24.84 23.31
5-10 Yrs 37.04 31.92 277.38 818.38 21.34 21.67
10+ Yrs 34.58 17.58 119.09 412.32 3.11 20.01
Total 521.36 207.98 2596.37 6526.29 56.15 106.82
Jun 2021 0-2 Yrs 480.63 103.88 1230.86 5017.71 9.15 63.05
2-5 Yrs 45.38 6.56 628.61 1184.21 11.79 13.33
5-10 Yrs 50.33 13.37 250.37 785.54 9.31 3.08
10+ Yrs 38.48 9.38 69.48 470.64 1.07 2.11
Total 614.82 133.19 2179.32 7458.11 31.32 81.58
May 2021 0-2 Yrs 410.07 72.22 804.50 2986.23 1.07 46.94
2-5 Yrs 13.81 13.91 228.40 927.86 4.33 4.93
5-10 Yrs 62.41 4.64 221.52 564.36 2.80 0.28
10+ Yrs 26.34 5.31 29.04 234.66   1.57
Total 512.62 96.08 1283.46 4713.10 8.20 53.71
Apr 2021 0-2 Yrs 453.41 54.71 1155.09 1989.86 1.67 39.59
2-5 Yrs 41.75 3.72 401.81 874.39 1.86 4.94
5-10 Yrs 32.18 9.84 163.44 514.92 1.81 0.90
10+ Yrs 26.98 6.88 56.28 262.67 0.00 0.94
Total 554.32 75.15 1776.61 3641.85 5.34 46.37
Mar 2021 0-2 Yrs 444.76 51.02 594.80 4016.01 2.89 99.20
2-5 Yrs 17.55 6.14 361.13 1454.22 1.46 7.39
5-10 Yrs 62.29 4.06 163.44 812.24 2.32 1.05
10+ Yrs 32.11 3.95 61.42 413.16 0.00 0.05
Total 556.72 65.18 1180.80 6695.63 6.67 107.69
Feb 2021 0-2 Yrs 169.66 43.23 759.17 10334.54 1.92 115.63
2-5 Yrs 19.44 16.29 335.99 1231.64 0.95 5.09
5-10 Yrs 25.97 10.72 151.97 897.63 0.32 3.00
10+ Yrs 35.06 3.31 62.59 349.45   0.36
Total 250.13 73.54 1309.72 12813.25 3.19 124.08
Jan 2021 0-2 Yrs 160.08 20.23 402.59 11246.94 0.71 69.10
2-5 Yrs 17.40 21.87 158.38 704.58 0.51 11.91
5-10 Yrs 22.70 6.85 182.25 396.96 0.73 1.32
10+ Yrs 18.74 1.95 51.16 143.11   1.44
Total 218.91 50.89 794.39 12491.59 1.95 83.77
Dec 2020 0-2 Yrs 219.07 77.58 362.96 9603.72 0.33 48.06
2-5 Yrs 15.66 1.21 184.87 392.20 0.03 2.18
5-10 Yrs 30.45 0.32 90.34 221.40 0.03 1.98
10+ Yrs 10.17 0.81 44.77 129.18   0.12
Total 275.34 79.93 682.95 10346.50 0.39 52.34
Nov 2020 0-2 Yrs 102.50 57.82 508.89 5785.74 0.17 26.63
2-5 Yrs 14.25 0.00 265.95 529.56 0.33 2.29
5-10 Yrs 12.91 1.90 89.47 263.99 0.14 1.40
10+ Yrs 11.98 2.01 31.48 163.10   0.74
Total 141.65 61.73 895.79 6742.38 0.64 31.06
Oct 2020 0-2 Yrs 107.13 62.80 290.37 10078.69 0.05 41.99
2-5 Yrs 13.46 0.44 172.42 406.73 0.28 5.99
5-10 Yrs 12.39 1.35 81.73 155.16 0.85 1.00
10+ Yrs 11.94 1.55 83.49 165.00   0.13
Total 144.92 66.12 628.01 10805.58 1.19 49.11
Sep 2020 0-2 Yrs 44.84 89.48 214.60 14402.46 0.04 91.15
2-5 Yrs 6.56 2.11 79.30 332.11 0.16 1.37
5-10 Yrs 8.01 1.58 69.10 136.71 0.18 0.79
10+ Yrs 9.07 2.26 18.63 129.03   0.93
Total 68.48 95.43 381.64 15000.31 0.38 94.23

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket €STR SARON SOFR SONIA SORA TONA
Aug 2021 0-2 Yrs 1270.22 415.10 3463.41 14254.27 53.21 340.27
2-5 Yrs 237.55 95.47 2119.31 4439.05 86.43 98.42
5-10 Yrs 284.69 98.85 1300.48 2497.44 40.60 89.51
10+ Yrs 166.95 24.31 409.25 1850.54 12.63 65.65
Total 1959.42 633.74 7292.45 23041.30 192.87 593.83
Jul 2021 0-2 Yrs 1199.71 388.09 3640.69 14154.17 25.46 369.23
2-5 Yrs 201.11 82.36 1772.22 4133.33 43.68 80.76
5-10 Yrs 251.86 84.19 949.47 2394.13 16.04 59.00
10+ Yrs 147.96 19.62 300.53 1784.83 2.19 45.70
Total 1800.64 574.27 6662.91 22466.46 87.38 554.69
Jun 2021 0-2 Yrs 1188.08 302.55 3241.91 13252.63 16.83 387.86
2-5 Yrs 190.28 62.45 1602.02 3616.80 25.25 62.26
5-10 Yrs 228.95 55.00 810.05 2213.92 4.01 38.69
10+ Yrs 128.75 13.56 246.05 1663.53 0.43 31.45
Total 1736.06 433.55 5900.04 20746.88 46.52 520.26
May 2021 0-2 Yrs 1135.09 271.25 3234.82 16102.55 6.90 405.71
2-5 Yrs 159.74 68.92 1378.74 3859.07 13.71 56.13
5-10 Yrs 200.85 56.05 746.57 2216.76 0.86 39.25
10+ Yrs 109.06 12.81 216.21 1639.72 0.00 30.60
Total 1604.75 409.03 5576.33 23818.09 21.48 531.69
Apr 2021 0-2 Yrs 968.53 223.52 2918.83 15844.78 6.39 398.14
2-5 Yrs 157.53 56.74 1259.26 3558.12 7.92 55.43
5-10 Yrs 175.68 51.35 655.67 2083.75 0.62 39.63
10+ Yrs 92.77 11.61 206.08 1556.46 0.00 30.21
Total 1394.51 343.22 5039.84 23043.11 14.93 523.41
Mar 2021 0-2 Yrs 717.50 191.42 2483.06 16268.55 5.69 417.46
2-5 Yrs 108.87 49.63 965.62 3459.02 6.06 50.08
5-10 Yrs 137.06 41.86 561.05 2088.32 0.44 39.05
10+ Yrs 91.14 9.86 192.96 1508.67 0.00 29.45
Total 1054.56 292.77 4202.70 23324.56 12.19 536.04
Feb 2021 0-2 Yrs 505.00 194.86 2232.07 21687.11 3.71 498.54
2-5 Yrs 97.40 52.86 943.09 3563.18 3.85 54.29
5-10 Yrs 104.07 45.87 480.58 2123.38 0.07 43.80
10+ Yrs 78.70 10.33 174.38 1534.39   31.48
Total 785.18 303.92 3830.13 28908.06 7.63 628.11
Jan 2021 0-2 Yrs 439.95 191.15 1828.54 21437.06 1.79 462.41
2-5 Yrs 76.97 47.65 769.76 2868.90 2.65 56.53
5-10 Yrs 79.77 42.47 398.66 1546.22 0.25 42.59
10+ Yrs 52.82 8.87 158.59 1284.68   32.48
Total 649.51 290.14 3155.55 27136.86 4.69 594.01
Dec 2020 0-2 Yrs 469.23 228.30 1571.44 17774.58 1.01 446.78
2-5 Yrs 67.47 31.73 660.35 2536.57 1.77 47.72
5-10 Yrs 59.57 40.70 280.96 1394.76 0.02 42.56
10+ Yrs 37.18 7.56 132.34 1224.89   32.57
Total 633.45 308.29 2645.09 22930.80 2.81 569.63
Nov 2020 0-2 Yrs 330.36 224.58 1487.23 18439.48 0.91 478.34
2-5 Yrs 58.77 29.69 738.05 2542.63 1.71 49.72
5-10 Yrs 51.03 40.26 243.29 1329.29   41.36
10+ Yrs 31.78 7.46 124.70 1267.42   32.42
Total 471.94 302.00 2593.27 23578.82 2.61 601.85
Oct 2020 0-2 Yrs 249.52 271.35 1269.77 18778.31 0.89 500.68
2-5 Yrs 43.60 29.31 531.48 2302.07 1.35 49.84
5-10 Yrs 37.82 38.84 197.65 1259.00 0.08 44.03
10+ Yrs 29.39 6.09 118.72 1207.63   33.72
Total 360.33 345.59 2117.62 23547.01 2.32 628.27
Sep 2020 0-2 Yrs 202.41 310.44 940.06 16825.84 0.85 494.55
2-5 Yrs 32.29 28.58 368.54 2154.21 0.36 48.53
5-10 Yrs 28.18 38.28 108.28 1202.69   43.69
10+ Yrs 22.54 5.28 35.47 1168.16   33.34
Total 285.42 382.57 1452.35 21350.89 1.22 620.11