RFR Volumes
SwapClear RFR Statistics
Monthly Registration Volume (USD BN)
Month | Tenor Bucket | €STR | SARON | SOFR | SORA |
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 | |
Apr 2020 | <1 Yr | 33.16 | 89.01 | 127.59 | |
1-2 Yrs | 3.40 | 1.96 | 39.04 | ||
2+ Yrs | 6.30 | 6.25 | 40.72 | ||
Total | 42.87 | 97.22 | 207.36 | ||
Mar 2020 | <1 Yr | 32.46 | 103.01 | 85.99 | |
1-2 Yrs | 5.50 | 6.96 | 52.73 | ||
2+ Yrs | 12.61 | 6.18 | 87.75 | ||
Total | 50.57 | 116.14 | 226.46 |
Notional amounts outstanding at month end (USD BN)
Month | Tenor Bucket | €STR | SARON | SOFR | SORA |
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 | |
Apr 2020 | <1 Yr | 121.09 | 293.54 | 542.74 | |
1-2 Yrs | 8.17 | 15.32 | 229.61 | ||
2+ Yrs | 27.88 | 48.14 | 245.25 | ||
Total | 157.15 | 356.99 | 1017.61 | ||
Mar 2020 | <1 Yr | 143.38 | 297.17 | 516.91 | |
1-2 Yrs | 6.90 | 15.36 | 220.83 | ||
2+ Yrs | 25.77 | 42.80 | 229.88 | ||
Total | 176.05 | 355.33 | 967.62 |