Clearing volumes

Figures as of COB Dec 07, 2023.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

   8,763,660,000

Swap

 13,928,554,317,469

OIS

3,123,512,295,101

FRA

14,259,476,871,581

BasisSwap

  111,251,582,319

Total

  31,431,558,726,469

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

   8,763,660,000

Swap

  13,926,205,094,610 

OIS

  2,831,240,619,068

FRA

14,259,476,871,581 

BasisSwap

111,251,582,319

Total

   31,136,937,827,577


CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

  180,913,224,674

 191,523,633,998

FRA

0

0

BasisSwap

0

0

Total

180,913,224,674 191,523,633,998


GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

49,420,498,948 

 57,633,234,925   

FRA

0

0

BasisSwap

0

0

Total

49,420,498,948     57,633,234,925  

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

   75,803,577  

      70,377,474

OIS

   46,438,958,739 

     43,114,807,111 

FRA

0

0

BasisSwap

0

0

Total

  46,514,762,316  43,185,184,584


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 

    2,278,845,385 

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

 25,650,000,000     2,278,845,385


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

10,824,700,000

Swap

29,714,675,453,723

OIS

11,644,111,436,219

FRA

156,467,637,522,646

BasisSwap

169,582,987,709

Total

198,006,832,101,265


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

10,824,700,000

Swap

29,206,539,083,249

OIS

11,358,586,034,818

FRA

156,382,841,708,586

BasisSwap

151,557,913,663

Total

197,110,349,440,851

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,078

OIS

 116,903,586,674

116,795,053,774

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

  583,698,880,799 539,194,335,037 


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

103,622,461,163

120,443,323,257

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

 201,379,936,706

 232,708,169,294

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

53,844,422,318

 48,285,328,304

FRA

0

0

BasisSwap

 626,400,000 

 508,712,503 

Total

  135,851,507,368  121,402,656,389

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

70,680,316,635

OIS

27,337,982,796

FRA

3,764,000,000

BasisSwap

0

Total

101,782,299,430

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

0

Swap

70,680,316,635

OIS

27,221,800,000

FRA

3,764,000,000

BasisSwap

0

Total

101,666,116,635

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

 100,000,000

105,864,916

FRA

0

0

BasisSwap

0

0

Total

  100,000,000 105,864,916 


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

0

0

OIS

6,300,000

7,346,939

FRA

0

0

BasisSwap

0

0

Total

6,300,0007,346,939

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

3,200,000

2,970,940

FRA

0

0

BasisSwap

0

0

Total

 3,200,000 2,970,940


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