RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket €STR SARON SOFR SORA
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  
Feb 2020 <1 Yr 188.21 124.25 165.02  
1-2 Yrs 1.67 0.72 35.50  
2+ Yrs 8.22 5.09 97.15  
Total 198.10 130.06 297.67  
Jan 2020 <1 Yr 179.98 78.32 95.79  
1-2 Yrs 2.97 4.12 64.72  
2+ Yrs 8.81 8.34 48.56  
Total 191.76 90.78 209.06  
Dec 2019 <1 Yr 93.20 45.49 134.84  
1-2 Yrs   0.70 36.54  
2+ Yrs 3.05 4.41 20.63  
Total 96.25 50.60 192.01  
Nov 2019 <1 Yr 43.63 65.20 202.50  
1-2 Yrs 1.92 2.92 26.91  
2+ Yrs 1.09 3.54 14.63  
Total 46.64 71.65 244.04  
Oct 2019 <1 Yr 27.11 83.90 140.66  
1-2 Yrs 2.08 3.71 31.47  
2+ Yrs 0.48 1.01 43.79  
Total 29.66 88.62 215.92  
Sep 2019 <1 Yr   56.84 40.12  
1-2 Yrs   0.20 17.52  
2+ Yrs   2.08 33.41  
Total   59.11 91.05  

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket €STR SARON SOFR SORA
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  
Feb 2020 <1 Yr 285.65 297.23 473.48  
1-2 Yrs 5.11 11.99 196.01  
2+ Yrs 17.27 40.28 179.92  
Total 308.03 349.50 849.41  
Jan 2020 <1 Yr 225.75 208.79 314.90  
1-2 Yrs 4.62 12.27 163.98  
2+ Yrs 9.62 36.02 123.44  
Total 239.99 257.08 602.32  
Dec 2019 <1 Yr 142.14 164.82 412.27  
1-2 Yrs 2.62 9.16 139.96  
2+ Yrs 3.03 31.09 87.23  
Total 147.80 205.07 639.46  
Nov 2019 <1 Yr 63.36 196.64 450.15  
1-2 Yrs 2.31 7.93 118.58  
2+ Yrs 0.85 27.57 85.26  
Total 66.53 232.13 654.00  
Oct 2019 <1 Yr 22.47 170.56 270.27  
1-2 Yrs 2.11 4.80 100.11  
2+ Yrs 0.38 26.09 78.61  
Total 24.96 201.46 449.00  
Sep 2019 <1 Yr   135.47 125.40  
1-2 Yrs   5.20 77.35  
2+ Yrs   25.12 58.20  
Total   165.79 260.95