Clear

Clearing volumes

Figures as of COB May 23, 2024.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

8,812,660,000

Swap

14,894,216,385,827

OIS

3,609,247,884,859

FRA

17,282,496,571,875

BasisSwap

138,372,618,780

Total

35,933,146,121,342

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

8,812,660,000

Swap

14,892,003,748,346

OIS

3,335,498,986,255

FRA

17,282,496,571,875

BasisSwap

138,372,618,780

Total

35,657,184,585,257

CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

177,525,768,468

179,192,256,453

FRA

0

0

BasisSwap

0

0

Total

177,525,768,468

179,192,256,453

GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

46,510,113,755

54,605,358,092

FRA

0

0

BasisSwap

0

0

Total

46,510,113,755

54,605,358,092

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

0

0

OIS

43,363,123,718

39,951,284,059

FRA

0

0

BasisSwap

0

0

Total

43,363,123,718

39,951,284,059


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

2,212,637,481

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000

2,212,637,481


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

12,796,700,000

Swap

32,402,556,556,731

OIS

13,801,918,503,651

FRA

177,038,414,694,160

BasisSwap

227,949,277,668

Total

223,483,635,733,178


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

12,796,700,000

Swap

31,894,420,186,256

OIS

13,488,108,600,426

FRA

176,953,618,880,100

BasisSwap

209,924,203,622

Total

222,558,868,570,940

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,079

OIS

129,166,790,468

129,641,573,681

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

595,962,084,593

552,040,854,944


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

111,703,121,054

129,866,450,363

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

209,460,596,597

242,131,296,400

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

60,378,962,318

54,300,183,117

FRA

0

0

BasisSwap

 626,400,000 

508,712,503 

Total

  142,386,047,368127,417,511,201

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

33,500,000,000 

3,172,856,969 

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

33,500,000,000 

3,172,856,969 


Notional Value (daily)

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

0

Swap

27,105,717,675

OIS

33,743,792,671

FRA

16,402,000,000

BasisSwap

0

Total

77,251,510,346

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

0

Swap

27,105,717,675

OIS

33,685,090,000

FRA

16,402,000,000

BasisSwap

0

Total

77,192,807,675

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

0

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

58,702,671

FRA

0

0

BasisSwap

0

0

Total

50,000,000

58,702,671

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

0

0

FRA

0

0

BasisSwap

0

0

Total

0

0


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