RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket €STR SARON SOFR
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
Aug 2019 <1 Yr   44.91 13.06
1-2 Yrs   1.17 21.28
2+ Yrs   3.16 21.95
Total   49.24 56.29
Jul 2019 <1 Yr   35.74 147.52
1-2 Yrs   0.41 8.55
2+ Yrs   3.99 17.02
Total   40.14 173.10
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
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
Apr 2019 <1 Yr   30.98 31.23
1-2 Yrs     1.07
2+ Yrs   1.31 5.29
Total   32.29 37.59

Notional amounts outstanding at month end (USD BN)

Month Tenor Bucket €STR SARON SOFR
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
Aug 2019 <1 Yr   104.64 111.83
1-2 Yrs   5.04 49.05
2+ Yrs   24.45 44.72
Total   134.12 205.60
Jul 2019 <1 Yr   94.19 179.80
1-2 Yrs   4.89 26.71
2+ Yrs   21.41 36.14
Total   120.49 242.65
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
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
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