Clear

Clearing volumes

Figures as of COB March 25, 2024.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

8,614,660,000

Swap

14,560,196,276,936

OIS

3,547,503,490,545

FRA

15,256,074,046,938

BasisSwap

134,898,140,114

Total

33,521,190,307,895

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

8,614,660,000

Swap

14,557,957,470,966

OIS

3,266,942,329,537

FRA

15,256,074,046,938

BasisSwap

134,898,140,114

Total

33,224,486,647,554


CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

178,160,724,674

183,217,528,459

FRA

0

0

BasisSwap

0

0

Total

178,160,724,674

183,217,528,459

GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

47,588,986,949

55,531,035,671

FRA

0

0

BasisSwap

0

0

Total

47,588,986,949

55,531,035,671

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

45,303,948,718

41,812,596,879

FRA

0

0

BasisSwap

0

0

Total

45,303,948,718

41,812,596,879


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

2,238,805,970

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000

2,238,805,970


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

12,044,700,000

Swap

31,354,267,270,967

OIS

13,118,774,506,465

FRA

169,125,733,522,646

BasisSwap

206,903,218,689

Total

213,817,723,219,734


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

12,044,700,000

Swap

30,846,130,900,492

OIS

12,811,726,851,056

FRA

169,040,937,708,586

BasisSwap

188,878,144,642

Total

212,899,718,305,312

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,079

OIS

 125,381,746,674

 125,757,541,114

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

  592,177,040,799  548,156,822,377


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

109,600,612,178

127,413,033,302

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

207,358,087,721239,677,879,339

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

59,920,162,318

53,875,384,928

FRA

0

0

BasisSwap

 626,400,000 

508,712,503 

Total

  141,927,247,368126,992,713,013

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

166,000,000

Swap

17,522,747,036

OIS

10,638,702,800

FRA

0

BasisSwap

0

Total

28,327,449,836

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

166,000,000

Swap

17,522,747,036

OIS

10,638,702,800

FRA

0

BasisSwap

0

Total

28,327,449,836

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

160,000,000

164,456,779

FRA

0

0

BasisSwap

0

0

Total

160,000,000

164,456,779


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

0

0

OIS

19,616,920

22,890,756

FRA

0

0

BasisSwap

0

0

Total

19,616,920

22,890,756

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