Weekly RFR Volumes

SwapClear RFR Statistics
 

Weekly Registration Volume (USD BN)

Week End Tenor Bucket €STR SARON SOFR SONIA SORA TONA
15/10/2021 0-2 Yrs 178.36 24.61 266.28 6,811.95 12.74 24.92
10+ Yrs 12.27 10.03 206.60 159.59 3.47 18.98
2-5 Yrs 165.65 33.89 315.95 411.91 27.03 38.80
5-10 Yrs 21.34 13.72 324.22 240.76 11.54 17.16
Total 377.62 82.26 1,113.06 7,624.22 54.78 99.86
08/10/2021 0-2 Yrs 173.19 36.51 218.74 4,919.07 8.65 31.67
10+ Yrs 7.54 8.98 108.64 70.10 3.67 27.13
2-5 Yrs 73.87 24.72 220.73 286.31 16.94 40.87
5-10 Yrs 10.63 17.20 229.07 159.79 13.50 28.90
Total 265.24 87.41 777.19 5,435.26 42.75 128.56
01/10/2021 0-2 Yrs 207.83 14.56 204.71 3,643.67 9.96 14.82
10+ Yrs 15.18 11.50 169.07 133.87 4.56 13.13
2-5 Yrs 63.07 20.48 232.98 323.27 15.41 16.60
5-10 Yrs 18.50 12.38 292.89 272.71 17.92 17.16
Total 304.59 58.91 899.65 4,373.51 47.86 61.71
24/09/2021 0-2 Yrs 70.84 39.07 422.75 4,021.80 9.30 65.41
10+ Yrs 12.92 6.54 125.52 92.25 2.49 6.92
2-5 Yrs 55.56 34.03 158.99 338.47 14.36 12.96
5-10 Yrs 8.36 15.54 226.78 173.26 12.96 12.78
Total 147.68 95.17 934.05 4,625.77 39.12 98.06
17/09/2021 0-2 Yrs 158.00 50.76 172.43 1,843.96 6.11 16.83
10+ Yrs 5.67 9.86 114.18 116.65 2.68 10.59
2-5 Yrs 42.01 31.39 218.96 351.11 15.93 2.41
5-10 Yrs 12.93 26.92 211.76 217.69 13.91 17.14
Total 218.62 118.93 717.33 2,529.42 38.63 46.97
10/09/2021 0-2 Yrs 98.16 26.34 124.24 2,067.82 10.91 45.48
10+ Yrs 6.66 8.77 81.56 58.71 3.69 17.46
2-5 Yrs 18.56 16.30 94.91 188.55 18.19 7.90
5-10 Yrs 24.98 16.99 155.14 167.13 18.18 24.47
Total 148.36 68.40 455.85 2,482.21 50.96 95.32
03/09/2021 0-2 Yrs 155.69 30.72 171.97 452.01 12.42 4.08
10+ Yrs 5.51 3.57 99.64 76.48 3.90 11.04
2-5 Yrs 7.60 9.52 292.31 141.10 11.25 2.57
5-10 Yrs 18.67 7.54 199.61 120.62 24.87 11.49
Total 187.46 51.35 763.54 790.21 52.43 29.18
27/08/2021 0-2 Yrs 92.97 33.14 136.57 729.93 10.32 21.32
10+ Yrs 8.00 7.98 80.44 134.13 10.98 6.45
2-5 Yrs 8.17 4.93 167.83 270.97 21.13 8.06
5-10 Yrs 19.46 10.82 233.20 153.97 15.44 9.74
Total 128.59 56.87 618.05 1,289.00 57.87 45.57
20/08/2021 0-2 Yrs 101.91 8.96 164.56 830.83 6.02 6.60
10+ Yrs 8.31 2.31 76.78 79.99 1.71 10.64
2-5 Yrs 3.36 7.57 60.32 199.53 8.78 6.73
5-10 Yrs 4.16 10.64 166.78 146.20 9.77 8.60
Total 117.75 29.48 468.43 1,256.55 26.27 32.57
13/08/2021 0-2 Yrs 97.67 35.75 185.51 1,190.84 1.01 7.37
10+ Yrs 6.76 3.95 94.05 98.11 2.21 4.80
2-5 Yrs 18.98 7.97 105.85 249.38 10.66 2.95
5-10 Yrs 17.15 8.08 133.89 178.99 7.96 7.75
Total 140.56 55.76 519.31 1,717.32 21.85 22.87
06/08/2021 0-2 Yrs 101.27 10.37 172.56 1,468.82 1.52 4.27
10+ Yrs 6.60 2.90 73.42 62.03 1.86 3.51
2-5 Yrs 9.45 10.09 87.86 344.25 11.95 3.29
5-10 Yrs 4.93 7.18 147.99 153.29 10.25 5.72
Total 122.26 30.54 481.82 2,028.40 25.57 16.79
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

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
15/10/2021 0-2 Yrs 1,668.41 476.61 4,321.48 22,122.01 136.05 436.87
10+ Yrs 196.24 39.50 710.47 1,901.80 12.96 118.39
2-5 Yrs 566.45 168.01 2,720.27 4,630.10 177.74 189.68
5-10 Yrs 337.23 124.65 2,139.79 2,540.98 66.01 166.55
Total 2,768.33 808.77 9,892.01 31,194.90 392.77 911.49
08/10/2021 0-2 Yrs 1,549.27 465.57 4,150.66 18,795.40 121.59 424.54
10+ Yrs 186.53 35.91 591.05 1,819.85 11.59 107.78
2-5 Yrs 434.04 166.45 2,419.03 4,431.33 154.32 154.96
5-10 Yrs 321.61 129.71 1,867.29 2,475.27 59.98 156.78
Total 2,491.46 797.64 9,028.03 27,521.86 347.48 844.06
01/10/2021 0-2 Yrs 1,455.45 440.18 4,141.40 16,659.42 112.81 415.78
10+ Yrs 187.68 34.09 574.50 1,807.58 9.35 92.46
2-5 Yrs 371.77 146.91 2,259.86 4,417.38 136.90 120.54
5-10 Yrs 313.38 116.02 1,764.52 2,509.09 55.02 144.32
Total 2,328.28 737.21 8,740.27 25,393.46 314.08 773.10
24/09/2021 0-2 Yrs 1,372.18 443.46 3,983.23 15,985.39 102.70 401.89
10+ Yrs 180.00 33.70 516.91 1,764.00 7.93 87.11
2-5 Yrs 329.16 174.25 2,121.68 4,348.98 129.97 121.45
5-10 Yrs 298.61 128.65 1,514.41 2,394.65 51.76 134.85
Total 2,179.95 780.06 8,136.23 24,493.02 292.35 745.31
17/09/2021 0-2 Yrs 1,348.59 444.97 3,612.08 15,073.74 91.87 354.71
10+ Yrs 170.04 30.57 467.62 1,784.75 7.25 83.20
2-5 Yrs 297.08 143.80 2,257.63 4,434.30 120.72 111.22
5-10 Yrs 293.40 122.25 1,438.22 2,458.53 46.17 125.43
Total 2,109.12 741.60 7,775.55 23,751.33 266.01 674.56
10/09/2021 0-2 Yrs 1,280.19 434.62 3,505.80 15,190.44 72.88 369.19
10+ Yrs 170.06 30.72 452.62 1,807.50 15.35 82.64
2-5 Yrs 260.39 112.81 2,191.96 4,294.34 109.23 105.95
5-10 Yrs 297.40 115.24 1,330.79 2,438.50 58.57 111.07
Total 2,008.03 693.38 7,481.17 23,730.78 256.03 668.85
03/09/2021 0-2 Yrs 1,268.85 425.49 3,523.12 13,753.62 64.23 331.15
10+ Yrs 171.26 26.47 440.68 1,830.78 14.40 72.87
2-5 Yrs 243.16 100.09 2,256.92 4,325.14 96.59 98.42
5-10 Yrs 295.96 104.23 1,347.57 2,440.03 52.27 93.55
Total 1,979.23 656.28 7,568.29 22,349.57 227.49 595.99
27/08/2021 0-2 Yrs 1,202.44 397.05 3,467.97 14,161.78 52.63 345.75
10+ Yrs 165.86 26.60 395.23 1,849.55 12.99 65.15
2-5 Yrs 231.59 94.56 2,052.87 4,435.74 86.49 96.92
5-10 Yrs 284.20 100.34 1,273.10 2,491.51 35.21 86.40
Total 1,884.09 618.55 7,189.17 22,938.58 187.31 594.22
20/08/2021 0-2 Yrs 1,175.80 413.56 3,502.67 13,864.42 39.47 334.90
10+ Yrs 159.07 21.26 378.82 1,727.25 4.74 59.30
2-5 Yrs 219.20 90.86 1,973.12 4,186.82 73.84 91.34
5-10 Yrs 269.26 91.19 1,185.82 2,367.29 29.84 77.58
Total 1,823.33 616.87 7,040.43 22,145.77 147.90 563.12
13/08/2021 0-2 Yrs 1,196.83 416.22 3,470.06 14,023.52 32.79 348.53
10+ Yrs 155.58 22.68 356.50 1,730.52 4.04 50.28
2-5 Yrs 224.10 95.19 1,941.03 4,179.68 65.33 83.97
5-10 Yrs 269.34 96.13 1,105.85 2,379.09 25.37 69.93
Total 1,845.84 630.22 6,873.45 22,312.82 127.52 552.72
06/08/2021 0-2 Yrs 1,132.18 381.16 3,452.65 14,217.76 29.89 364.94
10+ Yrs 148.91 20.61 322.07 1,745.96 3.43 47.31
2-5 Yrs 205.64 88.01 1,859.12 4,287.75 54.03 82.84
5-10 Yrs 254.70 89.10 1,043.66 2,443.45 22.25 63.20
Total 1,741.43 578.89 6,677.51 22,694.92 109.60 558.29
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

Figures include OIS and Basis Swaps only.