RFR Volumes | LCH Group

RFR Volumes

SwapClear RFR Statistics

Monthly Registration Volume (USD BN)

Month	Tenor Bucket	SARON	SOFR
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
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

Notional amounts outstanding at month end (USD BN)

Month	Tenor Bucket	SARON	SOFR
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
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

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