Clear

Clearing volumes

Figures as of COB April 18, 2024.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

8,635,060,000

Swap

14,804,537,136,154

OIS

3,544,731,531,879

FRA

16,556,146,141,650

BasisSwap

139,378,940,114

Total

35,053,428,809,796

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

8,635,060,000

Swap

14,802,332,959,820

OIS

3,266,590,013,513

FRA

16,556,146,141,650

BasisSwap

139,378,940,114

Total

34,773,083,115,096

CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

175,735,724,674

181,096,171,346

FRA

0

0

BasisSwap

0

0

Total

175,735,724,674

181,096,171,346

GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

47,168,268,687

55,085,099,135

FRA

0

0

BasisSwap

0

0

Total

47,168,268,687

55,085,099,135

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

44,809,348,718

41,960,247,886

FRA

0

0

BasisSwap

0

0

Total

44,809,348,718

41,960,247,886


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

2,204,176,334

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000

2,204,176,334


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

12,529,100,000

Swap

31,817,106,943,815

OIS

13,426,119,386,232

FRA

172,348,322,694,160

BasisSwap

212,384,018,689

Total

217,816,462,142,863


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

12,529,100,000

Swap

31,308,970,573,340

OIS

13,117,974,984,056

FRA

172,263,526,880,100

BasisSwap

194,358,944,642

Total

216,897,360,482,674

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,079

OIS

125,811,746,674

126,198,125,534

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

592,607,040,799

548,597,406,796


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

110,100,001,986

127,997,053,079

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

207,857,477,529

240,261,899,117

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

59,998,162,318

53,947,527,498

FRA

0

0

BasisSwap

 626,400,000 

508,712,503 

Total

  142,005,247,368127,064,855,583

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

28,003,678,543

OIS

8,891,184,229

FRA

33,912,000,000

BasisSwap

0

Total

70,806,862,772

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

0

Swap

28,003,678,543

OIS

8,774,400,000

FRA

33,912,000,000

BasisSwap

0

Total

70,690,078,543

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

100,000,000

116,784,229

FRA

0

0

BasisSwap

0

0

Total

100,000,000

116,784,229

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