Clearing volumes

Figures as of COB Jun 6, 2023.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

6,801,560,000 

Swap

14,136,759,239,214 

OIS

2,918,398,588,903 

FRA

17,086,496,617,923 

BasisSwap

92,951,103,242 

Total

34,241,407,109,282 


EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

6,801,560,000 

Swap

14,111,037,495,085 

OIS

2,594,271,782,527 

FRA

17,086,496,617,923

BasisSwap

92,951,103,242

Total

33,891,558,558,777 

CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

194,198,054,674 

200,245,467,802 

FRA

0

0

BasisSwap

0

0

Total

194,198,054,674

200,245,467,802 


GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

0

0

OIS

52,099,370,284 

60,508,194,005 

FRA

0

0

BasisSwap

0

0

Total

52,099,370,284

60,508,194,005 

JPY

Notional outstanding (JPY) by product and currency

Product

JPY

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


USD

Notional outstanding (USD) by product and currency

Product

USD

EUR Equivalent

Swap

25,120,677,101 

 23,514,628,008 

OIS

67,701,530,344 

63,373,144,570 

FRA

0

0

BasisSwap

0

0

Total

92,822,207,445 

86,887,772,578 


DKK

Notional outstanding (DKK) by product and currency

Product

DKK

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


NOK

Notional outstanding (NOK) by product and currency

Product

NOK

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


PLN

Notional outstanding (PLN) by product and currency

Product

PLN

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


SEK

Notional outstanding (SEK) by product and currency

Product

SEK

EUR Equivalent

Swap

25,650,000,000 

2,207,116,121 

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000 

2,207,116,121  


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

7,992,500,000

Swap

27,278,246,997,714 

OIS

9,757,050,975,610 

FRA

138,192,763,522,646 

BasisSwap

140,790,205,295 

Total

175,376,844,202,233 


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

7,992,500,000 

Swap

26,770,179,327,832 

OIS

9,532,855,201,324 

FRA

138,107,967,708,586 

BasisSwap

122,765,131,249 

Total

174,541,759,869,526 


CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125 

321,827,802,079 

OIS

79,270,316,674 

77,744,632,305 

FRA

93,800,000,000 

84,082,983,493 

BasisSwap

18,097,100,000 

16,488,495,691 

Total

546,065,610,799 

500,143,913,568 


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169 

110,524,149,187 

OIS

91,094,106,043 

105,913,688,085 

FRA

502,000,000 

712,830,567 

BasisSwap

890,000,000 

1,027,865,852 

Total

188,851,581,586 

218,178,534,122 


JPY

Notional value (JPY) by product and currency

Product

JPY

EUR Equivalent

Swap

0

0

OIS

200,000,000

1,696,065 

FRA

0

0

BasisSwap

0

0

Total

200,000,000

1,696,065 


USD

Notional value (USD) by product and currency

Product

USD

EUR Equivalent

Swap

81,380,685,050 

72,608,615,581 

OIS

45,484,668,132 

40,535,757,831 

FRA

0

0

BasisSwap

 626,400,000 

 508,712,503 

Total

127,491,753,182 

113,653,085,916 


DKK

Notional value (DKK) by product and currency

Product

DKK

EUR Equivalent

Swap

22,000,000 

2,946,659 

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

22,000,000

2,946,659 


NOK

Notional value (NOK) by product and currency

Product

NOK

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


PLN

Notional value (PLN) by product and currency

Product

PLN

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


SEK

Notional value (SEK) by product and currency

Product

SEK

EUR Equivalent

Swap

32,700,000,000 

3,104,156,377 

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

32,700,000,000 

3,104,156,377 


Notional Value (daily)

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

0

Swap

35,897,676,280 

OIS

26,324,523,824 

FRA

577,760,000,000 

BasisSwap

Total

639,982,200,104 


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

0

Swap

35,897,676,280 

OIS

26,206,920,000

FRA

577,760,000,000 

BasisSwap

0

Total

639,864,596,280 


CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

0

FRA

0

0

BasisSwap

0

0

Total

0

0


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

0

0

OIS

50,000,000 

58,069,986 

FRA

0

0

BasisSwap

0

0

Total

50,000,000 

58,069,986 

JPY

Notional value (JPY) by product and currency

Product

JPY

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


USD

Notional value (USD) by product and currency

Product

USD

EUR Equivalent

Swap

0

0

OIS

63,600,000 

59,533,838 

FRA

0

0

BasisSwap

0

0

Total

63,600,000

59,533,838 


DKK

Notional value (DKK) by product and currency

Product

DKK

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


NOK

Notional value (NOK) by product and currency

Product

NOK

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


PLN

Notional value (PLN) by product and currency

Product

PLN

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


SEK

Notional value (SEK) by product and currency

Product

SEK

EUR Equivalent

Swap

0

0

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


Explanatory notes:

  • The total notional outstanding is the aggregated double counted volume of all active trades.
  • The total notional value is the aggregated double counted volume of all cleared trades.
  • Total notional volumes expressed in euro are calculated by converting the notional volumes of swaps denominated in other currencies to euro using the same conversion methodology as used for margining and collateral.
  • The December compression cycle resulted in a reduction of 16 percent of total outstanding volume in OTC interest rate derivatives