Clearing volumes

Figures as of COB Oct 03, 2023.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product	EUR
ZCIS	8,345,660,000
Swap	13,760,450,506,882
OIS	2,852,834,649,856
FRA	14,137,845,620,882
BasisSwap	108,480,413,692
Total	30,867,956,851,317

EUR

Notional outstanding (EUR) by product and currency

Product	EUR
ZCIS	8,345,660,000
Swap	13,758,053,587,751
OIS	2,560,264,032,932
FRA	14,137,845,620,886
BasisSwap	108,480,413,692
Total	30,572,989,315,261

CHF

Notional outstanding (CHF) by product and currency

Product	CHF	EUR Equivalent
Swap	0	0
OIS	184,804,924,674	191,309,445,833
FRA	0	0
BasisSwap	0	0
Total	184,804,924,674	191,309,445,833

GBP

Notional outstanding (GBP) by product and currency

Product	GBP	EUR Equivalent
Swap	0	0
OIS	48,480,930,805	55,869,698,421
FRA	0	0
BasisSwap	0	0
Total	48,480,930,805	55,869,698,421

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	201,881,577	192,837,498
OIS	47,520,332,739	45,391,472,671
FRA	0	0
BasisSwap	0	0
Total	47,722,214,316	45,584,310,169

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	2,204,081,633
OIS	0	0
FRA	0	0
BasisSwap	0	0
Total	25,650,000,000	2,204,081,633

Notional Value

Total

Notional value (total) by product and currency

Product	EUR
ZCIS	9,900,400,000
Swap	28,559,958,055,118
OIS	10,820,133,524,486
FRA	148,928,283,522,486
BasisSwap	162,358,508,508
Total	189,480,634,011,726

EUR

Notional value (EUR) by product and currency

Product	EUR
ZCIS	9,900,400,000
Swap	28,051,821,684,643
OIS	10,555,699,358,018
FRA	149,843,487,708,586
BasisSwap	144,333,434,462
Total	188,605,242,586,245

CHF

Notional value (CHF) by product and currency

Product	CHF	EUR Equivalent
Swap	354,898,194,125	321,827,802,079
OIS	104,119,586,674	103,461,828,000
FRA	93,800,000,000	84,082,983,493
BasisSwap	18,097,100,000	16,488,495,691
Total	570,914,880,799	525,861,109,263

GBP

Notional value (GBP) by product and currency

Product	GBP	EUR Equivalent
Swap	96,365,475,169	110,524,149,187
OIS	98,963,118,857	115,067,073,340
FRA	502,000,000	712,830,567
BasisSwap	890,000,000	1,027,865,852
Total	196,720,594,400	227,331,919,377

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	51,280,462,318	45,903,569,062
FRA	0	0
BasisSwap	626,400,000	508,712,503
Total	133,287,547,368	119,020,897,147

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	6,926,600,000
OIS	4,308,264,767
FRA	988,924,000,000
BasisSwap	0
Total	1,000,158,864,767

EUR

Notional value (EUR) by product and currency

Product	EUR
ZCIS	0
Swap	6,926,600,000
OIS	4,066,802,000
FRA	988,924,000,000
BasisSwap	0
Total	999,917,402,000

CHF

Notional value (CHF) by product and currency

Product	CHF	EUR Equivalent
Swap	0	0
OIS	50,000,000	51,759,834
FRA	0	0
BasisSwap	0	0
Total	50,000,000	51,759,834

GBP

Notional value (GBP) by product and currency

Product	GBP	EUR Equivalent
Swap	0	0
OIS	0	0
FRA	0	0
BasisSwap	0	0
Total	0	0

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	198,600,000	189,702,932
FRA	0	0
BasisSwap	0	0
Total	198,600,000	189,702,932

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

Share

Clearing volumes

Notional Outstanding

Total

EUR

CHF

GBP

JPY

USD

DKK

NOK

PLN

SEK

Notional Value

Total

EUR

CHF

GBP

JPY

USD

DKK

NOK

PLN

SEK

Notional Value (daily)

Total

EUR

CHF

GBP

JPY

USD

DKK

NOK

PLN

SEK

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