RFR Volumes

SwapClear RFR Statistics
 

Monthly Registration Volume (USD BN)

Month Tenor Bucket €STR SARON SOFR SORA SONIA TONA
Apr 2022 0-2 Yrs 14442.32 60.90 3518.66 133.29 4016.55 111.57
2-5 Yrs 839.12 69.41 3073.31 76.25 714.94 115.30
5-10 Yrs 469.92 55.38 2641.74 43.51 581.21 173.82
10+ Yrs 223.25 39.53 1755.10 7.20 364.44 108.09
Total 15974.62 225.22 10988.81 260.25 5677.15 508.78
Mar 2022 0-2 Yrs 14345.22 71.52 4186.24 133.29 7260.16 201.25
2-5 Yrs 1311.40 139.47 4436.68 107.00 1447.44 221.44
5-10 Yrs 764.10 82.95 3356.88 62.46 898.50 148.47
10+ Yrs 327.59 62.59 2296.05 11.99 507.32 112.67
Total 16748.32 356.54 14275.85 314.74 10113.42 683.83
Feb 2022 0-2 Yrs 14010.75 106.74 3500.23 66.64 8169.93 126.14
2-5 Yrs 1168.27 101.19 2847.25 84.64 1170.93 161.56
5-10 Yrs 764.49 78.68 2792.89 42.06 964.93 136.34
10+ Yrs 277.45 46.64 1718.56 7.41 522.83 96.45
Total 16220.96 333.26 10858.93 200.75 10828.61 520.49
Jan 2022 0-2 Yrs 5687.58 111.73 3048.03 125.73 6369.28 138.77
2-5 Yrs 837.90 86.38 2324.75 102.84 1205.53 91.90
5-10 Yrs 573.14 63.65 2519.68 53.92 841.66 130.62
10+ Yrs 241.44 31.93 1434.83 5.56 491.42 87.20
Total 7340.07 293.69 9327.28 288.05 8907.89 448.48
Dec 2021 0-2 Yrs 3112.89 105.52 1228.94 28.01 5928.78 121.00
2-5 Yrs 618.41 62.93 1676.07 29.98 702.90 99.90
5-10 Yrs 472.31 43.58 1520.63 34.65 722.47 149.10
10+ Yrs 183.14 37.62 972.00 6.87 596.54 79.36
Total 4386.75 249.64 5397.64 99.51 7950.69 449.35
Nov 2021 0-2 Yrs 5804.78 132.90 2137.34 58.09 9875.75 108.26
2-5 Yrs 1096.35 121.98 1336.04 61.08 1384.37 140.42
5-10 Yrs 344.33 123.45 1805.61 32.65 1080.86 192.35
10+ Yrs 160.32 52.06 824.89 7.32 643.15 101.84
Total 7405.78 430.40 6103.87 159.15 12984.13 542.87
Oct 2021 0-2 Yrs 3788.65 133.93 1251.69 50.15 19010.58 167.86
2-5 Yrs 1069.13 115.63 1258.79 102.21 1689.40 137.39
5-10 Yrs 168.19 55.83 1494.55 49.91 990.27 95.75
10+ Yrs 116.54 39.15 727.30 14.20 518.56 85.25
Total 5142.52 344.53 4732.32 216.47 22208.82 486.24
Sep 2021 0-2 Yrs 551.04 135.27 1041.09 46.64 11383.77 144.73
2-5 Yrs 180.33 107.64 912.23 69.51 1245.78 39.96
5-10 Yrs 76.67 76.32 940.55 76.67 883.97 77.65
10+ Yrs 44.25 37.31 530.85 15.58 448.41 55.77
Total 852.29 356.54 3424.72 208.39 13961.93 318.11
Aug 2021 0-2 Yrs 478.86 110.20 672.80 19.86 4367.55 40.69
2-5 Yrs 40.82 30.77 468.93 55.63 1115.34 23.06
5-10 Yrs 50.47 37.78 757.61 51.66 654.38 35.55
10+ Yrs 30.76 17.48 353.76 17.67 391.41 27.06
Total 600.90 196.22 2253.10 144.82 6528.68 126.35
Jul 2021 0-2 Yrs 420.48 139.94 1607.26 6.86 3987.17 41.83
2-5 Yrs 29.27 18.54 592.65 24.84 1308.42 23.31
5-10 Yrs 37.04 31.92 277.38 21.34 818.38 21.67
10+ Yrs 34.58 17.58 119.09 3.11 412.32 20.01
Total 521.36 207.98 2596.37 56.15 6526.29 106.82
Jun 2021 0-2 Yrs 480.63 103.88 1230.86 9.15 5017.71 63.05
2-5 Yrs 45.38 6.56 628.61 11.79 1184.21 13.33
5-10 Yrs 50.33 13.37 250.37 9.31 785.54 3.08
10+ Yrs 38.48 9.38 69.48 1.07 470.64 2.11
Total 614.82 133.19 2179.32 31.32 7458.11 81.58
May 2021 0-2 Yrs 410.07 72.22 804.50 1.07 2986.23 46.94
2-5 Yrs 13.81 13.91 228.40 4.33 927.86 4.93
5-10 Yrs 62.41 4.64 221.52 2.80 564.36 0.28
10+ Yrs 26.34 5.31 29.04   234.66 1.57
Total 512.62 96.08 1283.46 8.20 4713.10 53.71

Figures include OIS and Basis Swaps only.

 

Notional amounts outstanding at month end (USD BN)

 

Month Tenor Bucket €STR SARON SOFR SORA SONIA TONA
Apr 2022 0-2 Yrs 19884.36 1218.04 12899.02 596.20 20813.97 2734.19
2-5 Yrs 3278.93 733.72 8602.70 319.29 7094.91 1200.75
5-10 Yrs 2111.69 614.07 6566.13 90.98 5022.63 1283.06
10+ Yrs 1115.47 159.23 2553.97 11.62 4259.76 842.62
Total 26390.45 2725.07 30621.81 1018.07 37191.28 6060.61
Mar 2022 0-2 Yrs 18870.37 1372.24 11353.59 484.00 20983.82 3137.12
2-5 Yrs 3324.19 755.57 7583.04 286.69 7229.50 1245.53
5-10 Yrs 2215.29 618.79 5984.83 79.67 5008.70 1321.19
10+ Yrs 1162.03 155.20 2282.28 10.05 4292.88 841.61
Total 25571.89 2901.80 27203.74 860.41 37514.90 6545.45
Feb 2022 0-2 Yrs 17506.06 1775.72 9555.86 440.74 26020.29 4050.70
2-5 Yrs 3427.99 724.53 6969.54 319.54 7484.04 1413.74
5-10 Yrs 2351.95 590.74 5719.60 91.40 5126.23 1322.11
10+ Yrs 1162.47 162.72 2179.31 11.34 4522.04 881.60
Total 24448.47 3253.71 24424.31 863.02 43152.60 7668.15
Jan 2022 0-2 Yrs 12831.01 1874.70 7269.17 420.15 28031.82 4447.30
2-5 Yrs 3110.08 667.53 5548.33 325.50 7482.69 1397.37
5-10 Yrs 2128.96 551.84 4595.75 91.84 4924.34 1351.77
10+ Yrs 1064.20 144.73 1670.82 10.63 4414.07 896.79
Total 19134.25 3238.80 19084.06 848.12 44852.92 8093.22
Dec 2021 0-2 Yrs 11034.39 2257.63 5779.59 284.59 28632.81 4765.16
2-5 Yrs 2962.18 740.29 4129.93 248.36 7361.59 1369.74
5-10 Yrs 1975.94 599.00 3369.49 68.79 4975.98 1270.08
10+ Yrs 1013.96 157.99 1218.12 8.57 4445.86 848.40
Total 16986.47 3754.91 14497.13 610.30 45416.24 8253.37
Nov 2021 0-2 Yrs 11974.67 521.13 5733.38 242.80 18471.76 544.49
2-5 Yrs 3191.12 222.39 3768.25 233.01 4206.60 293.44
5-10 Yrs 1819.41 207.36 3245.37 79.85 2492.93 251.96
10+ Yrs 1038.33 53.49 1036.00 15.64 1964.62 163.96
Total 18023.52 1004.36 13783.01 571.29 27135.90 1253.86
Oct 2021 0-2 Yrs 12684.59 508.40 4619.41 178.86 20610.94 512.53
2-5 Yrs 3457.70 191.51 3064.75 199.64 4784.99 229.99
5-10 Yrs 1861.42 141.22 2580.37 73.88 2500.60 195.08
10+ Yrs 1072.07 47.75 803.80 14.59 1898.75 136.25
Total 19075.77 888.89 11068.33 466.97 29795.27 1073.85
Sep 2021 0-2 Yrs 1463.66 434.28 4107.87 112.11 16470.61 415.70
2-5 Yrs 366.48 144.31 2225.61 135.28 4368.06 126.30
5-10 Yrs 312.01 113.89 1692.65 56.79 2460.63 143.15
10+ Yrs 187.56 33.24 569.58 9.18 1790.11 91.70
Total 2329.71 725.71 8595.71 313.37 25089.41 776.84
Aug 2021 0-2 Yrs 1270.22 415.10 3463.41 53.21 14254.27 340.27
2-5 Yrs 237.55 95.47 2119.31 86.43 4439.05 98.42
5-10 Yrs 284.69 98.85 1300.48 40.60 2497.44 89.51
10+ Yrs 166.95 24.31 409.25 12.63 1850.54 65.65
Total 1959.42 633.74 7292.45 192.87 23041.30 593.83
Jul 2021 0-2 Yrs 1199.71 388.09 3640.69 25.46 14154.17 369.23
2-5 Yrs 201.11 82.36 1772.22 43.68 4133.33 80.76
5-10 Yrs 251.86 84.19 949.47 16.04 2394.13 59.00
10+ Yrs 147.96 19.62 300.53 2.19 1784.83 45.70
Total 1800.64 574.27 6662.91 87.38 22466.46 554.69
Jun 2021 0-2 Yrs 1188.08 302.55 3241.91 16.83 13252.63 387.86
2-5 Yrs 190.28 62.45 1602.02 25.25 3616.80 62.26
5-10 Yrs 228.95 55.00 810.05 4.01 2213.92 38.69
10+ Yrs 128.75 13.56 246.05 0.43 1663.53 31.45
Total 1736.06 433.55 5900.04 46.52 20746.88 520.26
May 2021 0-2 Yrs 1135.09 271.25 3234.82 6.90 16102.55 405.71
2-5 Yrs 159.74 68.92 1378.74 13.71 3859.07 56.13
5-10 Yrs 200.85 56.05 746.57 0.86 2216.76 39.25
10+ Yrs 109.06 12.81 216.21 0.00 1639.72 30.60
Total 1604.75 409.03 5576.33 21.48 23818.09 531.69

 

Figures include OIS and Basis Swaps only.