Clear

Clearing volumes

Figures as of COB March 27, 2024.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

8,614,660,000

Swap

14,616,842,534,245

OIS

3,575,313,988,518

FRA

15,676,617,819,681

BasisSwap

138,178,140,114

Total

34,015,567,142,557

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

8,614,660,000

Swap

14,614,613,262,561

OIS

3,296,636,643,537

FRA

15,676,617,819,681

BasisSwap

138,178,140,114

Total

33,734,660,525,892


CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

177,958,724,674

181,386,937,799

FRA

0

0

BasisSwap

0

0

Total

177,958,724,674

181,386,937,799

GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

47,604,376,757

55,503,657,258

FRA

0

0

BasisSwap

0

0

Total

47,604,376,757

55,503,657,258

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

45,196,548,718

41,786,749,924

FRA

0

0

BasisSwap

0

0

Total

45,196,548,718

41,786,749,924


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

2,229,271,684

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000

2,229,271,684


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

12,044,700,000

Swap

31,431,476,214,300

OIS

13,168,438,449,334

FRA

170,110,841,522,646

BasisSwap

210,183,218,689

Total

214,932,984,105,936


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

12,044,700,000

Swap

30,923,339,843,825

OIS

12,861,302,459,056

FRA

170,026,045,708,586

BasisSwap

192,158,144,642

Total

214,014,890,856,645

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,078

OIS

 125,441,746,674

 125,818,703,194

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

  592,237,040,799  548,217,984,456


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

109,616,001,986

127,430,960,529

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

207,373,477,529239,695,806,567

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

59,930,162,318

53,884,630,490

FRA

0

0

BasisSwap

 626,400,000 

508,712,503 

Total

  141,927,247,368127,001,958,575

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

37,467,700,000

OIS

15,859,730,000

FRA

8,950,000,000

BasisSwap

1,640,000,000

Total

64,916,675,562

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

0

Swap

37,467,700,000

OIS

15,849,730,000

FRA

8,950,000,000

BasisSwap

1,640,000,000

Total

63,907,430,000

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

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

10,000,000

9,245,562

FRA

0

0

BasisSwap

0

0

Total

10,000,000

9,245,562


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