Clear

Clearing volumes

Figures as of COB June 18, 2024.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

8,755,660,000

Swap

15,213,008,730,360

OIS

3,652,427,027,913

FRA

18,034,967,263,642

BasisSwap

141,954,577,022

Total

37,051,113,258,937

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

8,755,660,000

Swap

15,210,729,743,243

OIS

3,367,613,579,711

FRA

18,034,967,263,642

BasisSwap

141,954,577,022

Total

36,764,020,823,619

CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

177,509,768,468

186,616,661,552

FRA

0

0

BasisSwap

0

0

Total

177,509,768,468

186,616,661,552

GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

46,818,617,441

55,380,432,270

FRA

0

0

BasisSwap

0

0

Total

46,818,617,441

55,380,432,270

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

45,877,723,718

42,816,354,380

FRA

0

0

BasisSwap

0

0

Total

45,877,723,718

42,816,354,380


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

2,278,987,117

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000

2,278,987,117


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

13,243,700,000

Swap

32,987,995,911,191

OIS

14,121,684,286,711

FRA

179,959,630,694,160

BasisSwap

244,301,235,910

Total

227,326,855,828,940


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

13,243,700,000

Swap

32,479,859,540,716

OIS

13,800,224,622,426

FRA

179,874,834,880,100

BasisSwap

226,276,161,864

Total

226,394,438,905,642

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,079 

OIS

131,576,790,468

132,133,083,416

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

598,372,084,593

554,532,364,679


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

113,314,124,740

131,760,759,973

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

211,071,600,283

244,025,606,010

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

63,892,962,318

57,564,124,831

FRA

0

0

BasisSwap

 626,400,000 

508,712,503 

Total

  145,900,047,368130,681,452,916

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

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

38,953,812,925

OIS

7,827,120,643

FRA

497,078,000,000

BasisSwap

0

Total

543,858,933,568

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

0

Swap

38,953,812,925

OIS

7,360,600,000

FRA

497,078,000,000

BasisSwap

0

Total

543,392,412,925

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

410,000,000

431,034,483

FRA

0

0

BasisSwap

0

0

Total

410,000,000

431,034,483


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

0

0

OIS

30,000,000

35,486,160

FRA

0

0

BasisSwap

0

0

Total

30,000,000

35,486,160

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