RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket SARON SOFR
May 2018 <1 Yr 8.40  
1-2 Yrs 0.15  
2+ Yrs 2.73  
Total 11.28  
Jun 2018 <1 Yr 7.35  
1-2 Yrs 0.51  
2+ Yrs 0.75  
Total 8.61  
Jul 2018 <1 Yr 28.54  
1-2 Yrs 0.10 0.90
2+ Yrs 0.67 0.10
Total 29.31 1.00
Aug 2018 <1 Yr 8.04 0.27
1-2 Yrs   0.20
2+ Yrs 0.45 0.05
Total 8.50 0.52
Sep 2018 <1 Yr 21.73 0.20
1-2 Yrs 0.04  
2+ Yrs 1.30  
Total 23.07 0.20
Oct 2018 <1 Yr 46.47  
1-2 Yrs 0.20 0.30
2+ Yrs 0.35 1.20
Total 47.02 1.50
Nov 2018 <1 Yr 25.08 4.65
1-2 Yrs 0.20 0.57
2+ Yrs 0.87 2.29
Total 26.15 7.51
Dec 2018 <1 Yr 3.02  
1-2 Yrs 3.94 0.35
2+ Yrs 0.54  
Total 7.50 0.35
Jan 2019 <1 Yr 23.29 8.03
1-2 Yrs   0.50
2+ Yrs 3.79 4.28
Total 27.08 12.81
Feb 2019 <1 Yr 9.02 23.42
1-2 Yrs 1.40 1.47
2+ Yrs 1.16 4.31
Total 11.57 29.20
Mar 2019 <1 Yr 28.94 2.50
1-2 Yrs 1.20 3.24
2+ Yrs 2.55 3.60
Total 32.69 9.34
Apr 2019 <1 Yr 30.98 31.23
1-2 Yrs   1.07
2+ Yrs 1.31 5.29
Total 32.29 37.59

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket SARON SOFR
May 2018 <1 Yr 56.75  
1-2 Yrs 2.22  
2+ Yrs 12.49  
Total 71.46  
Jun 2018 <1 Yr 44.93  
1-2 Yrs 2.64  
2+ Yrs 12.38  
Total 59.94  
Jul 2018 <1 Yr 39.69 0.60
1-2 Yrs 2.48  
2+ Yrs 12.72 0.10
Total 54.89 0.70
Aug 2018 <1 Yr 47.74 0.97
1-2 Yrs 2.53 0.15
2+ Yrs 13.36  
Total 63.64 1.12
Sep 2018 <1 Yr 68.86 1.17
1-2 Yrs 2.73 0.15
2+ Yrs 13.68  
Total 85.27 1.32
Oct 2018 <1 Yr 84.85 1.37
1-2 Yrs 3.13 0.25
2+ Yrs 12.63 1.10
Total 100.61 2.72
Nov 2018 <1 Yr 100.69 6.39
1-2 Yrs 2.59 1.85
2+ Yrs 12.26 1.99
Total 115.54 10.23
Dec 2018 <1 Yr 76.20 6.49
1-2 Yrs 4.47 2.10
2+ Yrs 12.01 1.97
Total 92.68 10.56
Jan 2019 <1 Yr 38.39 13.70
1-2 Yrs 4.64 3.10
2+ Yrs 14.85 5.40
Total 57.88 22.20
Feb 2019 <1 Yr 32.91 26.60
1-2 Yrs 5.63 3.90
2+ Yrs 15.16 9.60
Total 53.70 40.10
Mar 2019 <1 Yr 63.15 31.30
1-2 Yrs 4.41 5.32
2+ Yrs 16.63 12.30
Total 84.19 48.92
Apr 2019 <1 Yr 83.63 41.54
1-2 Yrs 4.12 6.65
2+ Yrs 17.18 16.12
Total 104.92 64.31