Weekly RFR Volumes

SwapClear RFR Statistics
 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket €STR SARON SOFR SONIA SORA TONA
30/07/2021 0-2 Yrs 99.19 24.91 553.71 617.12 1.93 6.88
10+ Yrs 6.75 2.10 65.13 112.95 0.97 9.10
2-5 Yrs 2.97 3.73 65.29 242.06 9.46 4.48
5-10 Yrs 11.55 7.33 104.83 128.85 7.32 2.65
Total 120.46 38.07 788.97 1,100.98 19.68 23.11
23/07/2021 0-2 Yrs 42.03 3.93 169.08 1,456.96 0.82 4.09
10+ Yrs 6.59 5.15 13.62 110.30 1.00 2.46
2-5 Yrs 10.22 2.08 81.47 416.22 7.33 5.64
5-10 Yrs 2.90 6.29 54.61 194.32 8.63 7.50
Total 61.74 17.45 318.78 2,177.81 17.78 19.69
16/07/2021 0-2 Yrs 94.82 96.75 438.50 1,282.97 2.15 6.70
10+ Yrs 16.60 2.62 16.74 104.65 0.58 1.85
2-5 Yrs 6.55 6.79 327.13 299.82 3.44 6.90
5-10 Yrs 12.35 4.63 54.85 210.89 2.68 5.66
Total 130.31 110.79 837.21 1,898.34 8.85 21.11
09/07/2021 0-2 Yrs 76.33 8.41 385.80 525.48 1.27 20.76
10+ Yrs 2.81 6.03 19.52 64.65 0.28 6.22
2-5 Yrs 7.31 5.74 114.27 230.28 2.35 5.90
5-10 Yrs 7.94 11.01 49.66 202.04 1.80 5.69
Total 94.40 31.18 569.25 1,022.45 5.69 38.57
02/07/2021 0-2 Yrs 222.64 43.93 150.27 549.27 2.87 15.09
10+ Yrs 12.34 2.86 17.64 61.13 0.56 0.56
2-5 Yrs 17.33 0.39 52.31 251.66 4.45 2.49
5-10 Yrs 12.96 5.26 51.21 196.78 2.90 0.76
Total 265.27 52.44 271.44 1,058.85 10.78 18.90
25/06/2021 0-2 Yrs 65.61 15.00 329.90 1,816.43 2.88 4.98
10+ Yrs 3.32 1.72 19.03 128.13 0.33 0.12
2-5 Yrs 5.96 1.70 93.27 271.53 3.93 1.03
5-10 Yrs 5.11 2.86 34.92 161.50 3.65 0.15
Total 79.99 21.28 477.12 2,377.60 10.79 6.28
18/06/2021 0-2 Yrs 101.86 30.51 208.24 1,310.80 2.47 18.39
10+ Yrs 6.62 2.35 14.62 108.62 0.13 0.62
2-5 Yrs 5.19 1.19 178.80 328.21 1.48 5.12
5-10 Yrs 4.28 3.04 49.90 201.32 1.74 0.82
Total 117.95 37.09 451.56 1,948.95 5.82 24.95
11/06/2021 0-2 Yrs 116.71 14.82 266.61 925.76 1.28 21.98
10+ Yrs 14.43 2.06 15.11 111.31 0.32 1.19
2-5 Yrs 8.99 1.58 172.83 312.53 3.50 5.09
5-10 Yrs 27.28 1.89 103.44 186.64 1.56 1.53
Total 167.42 20.35 558.00 1,536.25 6.66 29.79
04/06/2021 0-2 Yrs 103.36 5.57 336.01 520.08 0.39 6.01
10+ Yrs 3.75 2.23 7.16 81.22 0.01  
2-5 Yrs 10.13 2.02 135.89 140.81 0.69  
5-10 Yrs 3.00 2.99 24.32 121.62 0.40 0.00
Total 120.24 12.82 503.37 863.72 1.50 6.01
28/05/2021 0-2 Yrs 118.23 26.98 249.34 1,309.91 0.32 17.26
10+ Yrs 2.52 3.16 6.29 80.28    
2-5 Yrs 6.12 9.15 93.66 331.63 0.47 2.96
5-10 Yrs 12.27 2.55 113.66 174.35 0.02  
Total 139.14 41.85 462.95 1,896.18 0.81 20.22
21/05/2021 0-2 Yrs 93.20 33.11 255.66 462.77 0.40 11.87
10+ Yrs 1.66 0.31 8.40 48.53    
2-5 Yrs 2.22 2.10 67.86 181.11 2.91 1.38
5-10 Yrs 18.94 0.47 68.14 129.01 1.43 0.08
Total 116.02 35.99 400.07 821.42 4.74 13.33
14/05/2021 0-2 Yrs 62.89 12.13 88.54 564.53 0.08 17.80
10+ Yrs 2.54 0.46 8.87 70.73   1.20
2-5 Yrs 4.81 0.99 19.64 226.67 0.47 0.04
5-10 Yrs 14.84 0.20 11.82 158.54 1.05 0.14
Total 85.08 13.77 128.87 1,020.47 1.59 19.18

Notional amounts outstanding at week end (USD BN)

 

Week End Tenor Bucket €STR SARON SOFR SONIA SORA TONA
30/07/2021 0-2 Yrs 1,199.71 388.09 3,640.69 14,154.17 25.46 369.23
10+ Yrs 147.96 19.62 300.53 1,784.83 2.19 45.70
2-5 Yrs 201.11 82.36 1,772.22 4,133.33 43.68 80.76
5-10 Yrs 251.86 84.19 949.47 2,394.13 16.04 59.00
Total 1,800.64 574.27 6,662.91 22,466.46 87.38 554.69
23/07/2021 0-2 Yrs 1,235.81 360.13 3,556.32 14,148.49 21.86 374.97
10+ Yrs 140.78 20.08 262.35 1,713.20 1.94 38.83
2-5 Yrs 208.15 78.35 1,748.37 4,047.05 38.36 75.61
5-10 Yrs 243.22 75.67 871.27 2,331.16 12.22 54.88
Total 1,827.96 534.23 6,438.31 22,239.90 74.37 544.30
16/07/2021 0-2 Yrs 1,283.80 373.93 3,516.86 13,728.82 21.80 376.14
10+ Yrs 138.77 17.29 258.29 1,678.80 1.14 36.93
2-5 Yrs 205.19 77.86 1,751.81 3,868.23 33.07 76.17
5-10 Yrs 247.60 69.55 861.95 2,318.04 5.06 48.97
Total 1,875.36 538.63 6,388.90 21,593.89 61.07 538.21
09/07/2021 0-2 Yrs 1,246.44 284.07 3,470.54 12,816.25 19.02 383.09
10+ Yrs 126.29 17.50 261.12 1,639.65 0.70 36.68
2-5 Yrs 198.36 72.22 1,701.82 3,708.77 29.85 69.31
5-10 Yrs 244.61 66.41 849.93 2,225.66 4.55 43.65
Total 1,815.70 440.20 6,283.41 20,390.33 54.12 532.74
02/07/2021 0-2 Yrs 1,223.60 305.98 3,221.55 13,077.94 17.38 383.29
10+ Yrs 125.65 14.61 248.39 1,671.37 0.69 31.62
2-5 Yrs 192.55 64.16 1,604.35 3,718.67 27.85 62.85
5-10 Yrs 236.02 57.00 818.25 2,269.03 3.96 38.83
Total 1,777.81 441.75 5,892.53 20,737.02 49.88 516.60
25/06/2021 0-2 Yrs 1,110.94 279.82 3,345.97 13,978.11 14.29 389.70
10+ Yrs 119.67 13.37 239.95 1,665.76 0.45 31.64
2-5 Yrs 176.97 61.86 1,652.42 3,643.10 21.99 60.75
5-10 Yrs 220.49 54.04 812.67 2,206.77 4.10 37.98
Total 1,628.08 409.09 6,051.01 21,493.74 40.83 520.08
18/06/2021 0-2 Yrs 1,098.65 268.93 3,313.12 15,294.73 12.04 409.68
10+ Yrs 116.63 13.18 231.14 1,699.93 0.17 32.07
2-5 Yrs 176.82 60.82 1,683.69 4,000.79 18.75 65.60
5-10 Yrs 218.80 50.81 812.34 2,343.65 2.54 38.44
Total 1,610.90 393.73 6,040.28 23,339.10 33.50 545.79
11/06/2021 0-2 Yrs 1,182.19 267.19 3,240.58 15,781.31 9.22 415.66
10+ Yrs 116.81 13.69 228.16 1,704.34 0.27 31.70
2-5 Yrs 169.23 61.25 1,589.80 3,926.54 17.10 58.46
5-10 Yrs 224.40 49.43 782.01 2,292.57 2.41 40.55
Total 1,692.64 391.55 5,840.54 23,704.75 29.00 546.37
04/06/2021 0-2 Yrs 1,145.80 274.96 3,084.72 15,424.48 7.17 405.74
10+ Yrs 111.53 14.31 220.77 1,662.91 0.01 30.60
2-5 Yrs 163.74 70.26 1,476.28 3,756.30 14.49 56.13
5-10 Yrs 202.18 58.72 741.60 2,199.02 1.02 39.25
Total 1,623.24 418.25 5,523.38 23,042.70 22.70 531.71
28/05/2021 0-2 Yrs 1,118.41 271.12 3,234.42 16,108.97 6.84 402.56
10+ Yrs 108.62 12.83 216.31 1,643.54 0.00 30.51
2-5 Yrs 159.45 68.33 1,379.11 3,858.18 13.70 57.93
5-10 Yrs 200.63 56.34 746.50 2,220.79 0.83 39.14
Total 1,587.10 408.61 5,576.33 23,831.48 21.38 530.14
21/05/2021 0-2 Yrs 1,037.28 246.04 3,173.89 15,011.97 6.74 389.71
10+ Yrs 106.80 11.06 217.25 1,582.64 0.00 30.76
2-5 Yrs 159.10 61.88 1,326.94 3,681.99 12.82 56.74
5-10 Yrs 203.95 54.94 708.53 2,113.69 1.26 39.53
Total 1,507.12 373.92 5,426.61 22,390.28 20.83 516.74
14/05/2021 0-2 Yrs 985.97 234.06 2,982.38 15,161.76 6.52 404.51
10+ Yrs 105.36 11.39 211.81 1,611.67 0.00 31.46
2-5 Yrs 155.79 59.42 1,284.73 3,809.05 8.50 55.97
5-10 Yrs 192.31 54.04 673.77 2,251.31 1.56 39.77
Total 1,439.43 358.90 5,152.68 22,833.79 16.58 531.71