RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket SARON SOFR
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
May 2019 <1 Yr 107.58 169.09
1-2 Yrs 0.50 3.46
2+ Yrs 1.32 9.74
Total 109.40 182.29
Jun 2019 <1 Yr 16.21 60.26
1-2 Yrs 0.42 1.54
2+ Yrs 0.93 6.23
Total 17.56 68.04
Jul 2019 <1 Yr 35.74 147.52
1-2 Yrs 0.41 8.55
2+ Yrs 3.99 17.02
Total 40.14 173.10
Aug 2019 <1 Yr 44.91 13.06
1-2 Yrs 1.17 21.28
2+ Yrs 3.16 21.95
Total 49.24 56.29

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket SARON SOFR
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
May 2019 <1 Yr 96.74 204.15
1-2 Yrs 4.14 11.83
2+ Yrs 18.62 19.89
Total 119.51 235.87
Jun 2019 <1 Yr 94.73 209.41
1-2 Yrs 4.05 16.62
2+ Yrs 19.68 21.59
Total 118.45 247.62
Jul 2019 <1 Yr 94.19 179.80
1-2 Yrs 4.89 26.71
2+ Yrs 21.41 36.14
Total 120.49 242.65
Aug 2019 <1 Yr 104.64 111.83
1-2 Yrs 5.04 49.05
2+ Yrs 24.45 44.72
Total 134.12 205.60