RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket €STR SARON SOFR SONIA SORA TONA
Dec 2021 0-2 Yrs 3112.89 105.52 1228.94 5928.78 28.01 121.00
2-5 Yrs 618.41 62.93 1676.07 702.90 29.98 99.90
5-10 Yrs 472.31 43.58 1520.63 722.47 34.65 149.10
10+ Yrs 183.14 37.62 972.00 596.54 6.87 79.36
Total 4386.75 249.64 5397.64 7950.69 99.51 449.35
Nov 2021 0-2 Yrs 5804.78 132.90 2137.34 9875.75 58.09 108.26
2-5 Yrs 1096.35 121.98 1336.04 1384.37 61.08 140.42
5-10 Yrs 344.33 123.45 1805.61 1080.86 32.65 192.35
10+ Yrs 160.32 52.06 824.89 643.15 7.32 101.84
Total 7405.78 430.40 6103.87 12984.13 159.15 542.87
Oct 2021 0-2 Yrs 3788.65 133.93 1251.69 19010.58 50.15 167.86
2-5 Yrs 1069.13 115.63 1258.79 1689.40 102.21 137.39
5-10 Yrs 168.19 55.83 1494.55 990.27 49.91 95.75
10+ Yrs 116.54 39.15 727.30 518.56 14.20 85.25
Total 5142.52 344.53 4732.32 22208.82 216.47 486.24
Sep 2021 0-2 Yrs 551.04 135.27 1041.09 11383.77 46.64 144.73
2-5 Yrs 180.33 107.64 912.23 1245.78 69.51 39.96
5-10 Yrs 76.67 76.32 940.55 883.97 76.67 77.65
10+ Yrs 44.25 37.31 530.85 448.41 15.58 55.77
Total 852.29 356.54 3424.72 13961.93 208.39 318.11
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

Figures include OIS and Basis Swaps only.

 

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket €STR SARON SOFR SONIA SORA TONA
Dec 2021 0-2 Yrs 11034.39 2257.63 5779.59 28632.81 284.59 4765.16
2-5 Yrs 2962.18 740.29 4129.93 7361.59 248.36 1369.74
5-10 Yrs 1975.94 599.00 3369.49 4975.98 68.79 1270.08
10+ Yrs 1013.96 157.99 1218.12 4445.86 8.57 848.40
Total 16986.47 3754.91 14497.13 45416.24 610.30 8253.37
Nov 2021 0-2 Yrs 11974.67 521.13 5733.38 18471.76 242.80 544.49
2-5 Yrs 3191.12 222.39 3768.25 4206.60 233.01 293.44
5-10 Yrs 1819.41 207.36 3245.37 2492.93 79.85 251.96
10+ Yrs 1038.33 53.49 1036.00 1964.62 15.64 163.96
Total 18023.52 1004.36 13783.01 27135.90 571.29 1253.86
Oct 2021 0-2 Yrs 12684.59 508.40 4619.41 20610.94 178.86 512.53
2-5 Yrs 3457.70 191.51 3064.75 4784.99 199.64 229.99
5-10 Yrs 1861.42 141.22 2580.37 2500.60 73.88 195.08
10+ Yrs 1072.07 47.75 803.80 1898.75 14.59 136.25
Total 19075.77 888.89 11068.33 29795.27 466.97 1073.85
Sep 2021 0-2 Yrs 1463.66 434.28 4107.87 16470.61 112.11 415.70
2-5 Yrs 366.48 144.31 2225.61 4368.06 135.28 126.30
5-10 Yrs 312.01 113.89 1692.65 2460.63 56.79 143.15
10+ Yrs 187.56 33.24 569.58 1790.11 9.18 91.70
Total 2329.71 725.71 8595.71 25089.41 313.37 776.84
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

Figures include OIS and Basis Swaps only.