Weekly RFR Volumes

SwapClear RFR Statistics
 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket €STR SARON SOFR SONIA SORA TONA
20/05/2022 0-2 Yrs 3,177.26 54.38 843.66 1,935.77 25.04 17.29
2-5 Yrs 321.01 13.34 643.09 168.30 22.67 36.50
5-10 Yrs 125.90 9.53 525.75 138.93 9.73 52.53
10+ Yrs 98.13 6.23 539.37 78.67 2.05 44.80
Total 3,722.30 83.47 2,551.88 2,321.67 59.49 151.11
13/05/2022 0-2 Yrs 3,077.13 22.07 651.89 1,119.78 31.17 42.65
2-5 Yrs 185.42 33.49 859.30 177.24 20.25 49.55
5-10 Yrs 132.34 11.25 662.94 141.66 10.62 31.09
10+ Yrs 87.89 6.36 532.21 134.71 3.05 28.76
Total 3,482.78 73.17 2,706.34 1,573.39 65.09 152.06
06/05/2022 0-2 Yrs 3,541.52 27.21 715.53 2,075.02 17.17 8.00
2-5 Yrs 268.40 32.95 664.25 135.00 15.28 14.22
5-10 Yrs 130.56 24.10 511.87 134.58 7.72 13.97
10+ Yrs 58.14 9.25 392.60 90.10 1.64 8.39
Total 3,998.61 93.51 2,284.24 2,434.70 41.81 44.58
29/04/2022 0-2 Yrs 3,133.49 17.13 893.46 1,152.22 22.14 11.14
2-5 Yrs 250.80 19.20 617.50 136.35 10.35 18.74
5-10 Yrs 116.11 12.35 508.17 151.42 9.18 18.16
10+ Yrs 44.30 8.08 381.61 93.54 0.91 17.89
Total 3,544.70 56.76 2,400.73 1,533.53 42.60 65.93
22/04/2022 0-2 Yrs 3,710.59 13.57 913.24 932.72 32.76 33.37
2-5 Yrs 224.21 13.92 860.65 136.20 17.22 42.16
5-10 Yrs 109.96 10.20 657.95 138.91 8.86 31.94
10+ Yrs 47.00 9.24 502.23 82.00 2.03 26.28
Total 4,091.76 46.93 2,934.08 1,289.83 60.88 133.74
15/04/2022 0-2 Yrs 3,077.99 22.89 709.09 786.40 26.00 30.42
2-5 Yrs 84.20 10.81 656.86 150.28 16.96 23.33
5-10 Yrs 64.15 11.56 619.11 94.01 8.12 46.65
10+ Yrs 33.18 10.03 353.18 69.91 0.82 28.58
Total 3,259.52 55.28 2,338.25 1,100.61 51.89 128.98
08/04/2022 0-2 Yrs 3,733.14 6.21 854.79 1,073.86 41.56 33.91
2-5 Yrs 252.72 21.64 763.23 226.14 26.82 30.43
5-10 Yrs 136.00 17.85 725.23 164.62 14.53 74.53
10+ Yrs 79.66 10.40 447.65 108.77 2.94 26.36
Total 4,201.52 56.10 2,790.90 1,573.39 85.86 165.22
01/04/2022 0-2 Yrs 3,926.83 12.27 850.03 734.40 25.85 77.85
2-5 Yrs 251.76 21.69 1,197.34 262.16 21.45 40.46
5-10 Yrs 178.74 18.00 742.87 184.88 12.99 43.73
10+ Yrs 64.70 11.87 393.62 81.85 2.63 37.14
Total 4,422.03 63.84 3,183.85 1,263.29 62.91 199.19
25/03/2022 0-2 Yrs 2,295.42 16.91 1,053.05 935.03 37.11 21.39
2-5 Yrs 172.14 26.09 795.64 226.94 18.33 34.46
5-10 Yrs 136.78 20.64 584.57 141.08 10.77 33.92
10+ Yrs 65.73 7.42 396.52 74.14 1.54 20.91
Total 2,670.07 71.06 2,829.78 1,377.19 67.74 110.67
18/03/2022 0-2 Yrs 2,567.64 10.40 963.69 2,196.25 22.41 28.07
2-5 Yrs 202.77 39.26 860.27 292.18 16.85 29.41
5-10 Yrs 181.28 18.18 705.74 155.66 12.95 13.53
10+ Yrs 75.96 12.81 480.75 88.50 2.72 9.17
Total 3,027.64 80.65 3,010.45 2,732.60 54.94 80.19
11/03/2022 0-2 Yrs 3,354.64 19.67 744.17 2,095.48 24.33 25.06
2-5 Yrs 323.56 37.97 900.52 410.35 28.70 41.73
5-10 Yrs 137.93 15.63 832.87 279.21 16.63 39.86
10+ Yrs 81.49 12.51 700.85 172.95 3.88 29.20
Total 3,897.62 85.77 3,178.41 2,958.00 73.54 135.86
04/03/2022 0-2 Yrs 3,610.62 16.64 933.21 1,789.71 37.37 53.45
2-5 Yrs 414.54 20.35 988.75 374.65 29.57 89.40
5-10 Yrs 195.79 18.41 730.84 218.90 13.35 28.09
10+ Yrs 71.95 22.54 491.24 121.08 1.84 28.10
Total 4,292.90 77.94 3,144.05 2,504.35 82.13 199.04

Figures include OIS and Basis Swaps only.


 

Notional amounts outstanding at week end (USD BN)

Week End Tenor Bucket €STR SARON SOFR SONIA SORA TONA
20/05/2022 0-2 Yrs 20,640.69 1,205.94 13,318.78 18,916.43 648.36 2,601.33
2-5 Yrs 3,390.59 758.91 9,283.68 6,646.55 356.62 1,272.76
5-10 Yrs 2,185.17 622.66 6,873.26 4,709.19 102.97 1,345.37
10+ Yrs 1,174.43 163.43 2,909.75 3,940.12 15.22 867.57
Total 27,390.89 2,750.94 32,385.47 34,212.29 1,123.18 6,087.02
13/05/2022 0-2 Yrs 19,474.09 1,144.31 13,232.72 18,408.55 626.44 2,635.81
2-5 Yrs 3,237.74 740.51 9,317.91 6,626.95 338.79 1,239.59
5-10 Yrs 2,114.14 604.12 6,972.40 4,726.70 96.30 1,295.69
10+ Yrs 1,134.01 157.58 2,863.61 4,097.03 14.11 854.44
Total 25,959.98 2,646.53 32,386.64 33,859.21 1,075.65 6,025.54
06/05/2022 0-2 Yrs 20,427.26 1,171.72 13,066.30 18,598.50 602.40 2,707.09
2-5 Yrs 3,307.31 744.05 9,155.20 6,617.07 328.37 1,201.97
5-10 Yrs 2,152.15 614.28 6,775.81 4,692.08 92.62 1,281.42
10+ Yrs 1,134.41 161.02 2,716.21 4,053.46 12.54 836.78
Total 27,021.12 2,691.07 31,713.53 33,961.11 1,035.93 6,027.27
29/04/2022 0-2 Yrs 19,884.36 1,218.04 12,899.02 20,813.97 596.20 2,734.19
2-5 Yrs 3,278.93 733.72 8,602.70 7,094.91 319.29 1,200.75
5-10 Yrs 2,111.69 614.07 6,566.13 5,022.63 90.98 1,283.06
10+ Yrs 1,115.47 159.23 2,553.97 4,259.76 11.62 842.62
Total 26,390.45 2,725.07 30,621.81 37,191.28 1,018.07 6,060.61
22/04/2022 0-2 Yrs 21,332.74 1,246.75 12,507.84 20,721.19 596.06 2,781.80
2-5 Yrs 3,342.04 735.62 8,490.52 7,165.33 319.43 1,200.49
5-10 Yrs 2,170.08 617.85 6,467.13 5,001.48 90.01 1,279.70
10+ Yrs 1,149.05 161.03 2,539.01 4,285.46 11.76 840.05
Total 27,993.91 2,761.25 30,004.50 37,173.45 1,017.25 6,102.04
15/04/2022 0-2 Yrs 20,508.11 1,287.86 12,456.26 20,820.89 569.81 2,901.51
2-5 Yrs 3,319.96 751.55 8,359.10 7,301.10 313.58 1,213.19
5-10 Yrs 2,162.56 623.15 6,627.08 5,020.47 88.63 1,305.81
10+ Yrs 1,150.72 160.55 2,501.37 4,344.67 10.87 848.58
Total 27,141.35 2,823.12 29,943.80 37,487.13 982.88 6,269.10
08/04/2022 0-2 Yrs 19,518.33 1,312.41 11,919.16 21,033.99 535.83 2,998.40
2-5 Yrs 3,400.19 763.18 7,898.45 7,341.81 303.92 1,227.42
5-10 Yrs 2,231.58 623.26 6,249.82 5,063.43 85.61 1,305.24
10+ Yrs 1,167.61 157.36 2,365.83 4,338.56 11.23 836.24
Total 26,317.71 2,856.21 28,433.27 37,777.79 936.59 6,367.30
01/04/2022 0-2 Yrs 18,316.86 1,363.63 11,473.33 20,724.88 493.53 3,104.28
2-5 Yrs 3,282.98 756.23 7,671.09 7,268.50 287.95 1,225.82
5-10 Yrs 2,200.97 618.84 6,053.59 5,014.39 79.33 1,306.68
10+ Yrs 1,154.01 156.20 2,312.38 4,289.08 10.00 839.59
Total 24,954.82 2,894.91 27,510.38 37,296.84 870.81 6,476.38
25/03/2022 0-2 Yrs 16,621.01 1,401.58 10,716.27 21,190.71 480.36 3,188.16
2-5 Yrs 3,136.21 742.02 7,066.99 7,188.29 285.71 1,241.40
5-10 Yrs 2,126.09 609.63 5,664.27 4,959.12 75.80 1,279.31
10+ Yrs 1,130.52 150.10 2,177.91 4,286.90 8.98 824.58
Total 23,013.83 2,903.33 25,625.45 37,625.02 850.86 6,533.45
18/03/2022 0-2 Yrs 16,559.36 1,442.80 10,211.55 22,408.43 502.37 3,425.23
2-5 Yrs 3,332.23 738.27 7,283.50 7,553.75 312.72 1,324.42
5-10 Yrs 2,222.95 601.26 5,887.15 5,196.05 80.46 1,290.36
10+ Yrs 1,137.93 147.45 2,202.32 4,381.23 10.15 830.12
Total 23,252.48 2,929.79 25,584.53 39,539.46 905.71 6,870.13
11/03/2022 0-2 Yrs 18,053.19 1,579.91 9,919.89 24,471.12 492.95 3,738.82
2-5 Yrs 3,468.32 730.86 7,082.95 7,440.28 336.58 1,416.81
5-10 Yrs 2,198.08 586.09 5,680.77 5,102.60 102.37 1,323.51
10+ Yrs 1,136.86 163.14 2,330.46 4,423.02 13.77 882.10
Total 24,856.46 3,060.00 25,014.07 41,437.02 945.67 7,361.25
04/03/2022 0-2 Yrs 17,312.24 1,692.78 9,824.10 25,336.99 465.00 3,960.71
2-5 Yrs 3,331.45 732.87 7,143.84 7,530.40 320.97 1,432.51
5-10 Yrs 2,160.29 592.70 5,757.09 5,132.08 94.41 1,334.10
10+ Yrs 1,101.47 168.38 2,232.49 4,496.87 11.58 890.04
Total 23,905.44 3,186.72 24,957.52 42,496.34 891.95 7,617.36

 

Figures include OIS and Basis Swaps only.