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Clear
Eurex Listed EurexOTC Clear Eurex NDF Clearing Eurex Repo Eurex/KRX Link Deutsche Börse Cash Market Clearing volumes

Clearing volumes

Figures as of COB May 02, 2024.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

8,902,660,000

Swap

14,679,316,196,485

OIS

3,546,784,162,892

FRA

15,750,423,579,290

BasisSwap

138,842,618,780

Total

34,124,269,217,448

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

8,902,660,000

Swap

14,677,120,510,815

OIS

3,269,761,935,724

FRA

15,750,423,579,290

BasisSwap

138,842,618,780

Total

33,845,051,304,610

CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

177,701,724,674

182,090,095,988

FRA

0

0

BasisSwap

0

0

Total

177,701,724,674

182,090,095,988

GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

46,604,113,755

54,483,520,488

FRA

0

0

BasisSwap

0

0

Total

46,604,113,755

54,483,520,488

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

43,271,923,718

40,448,610,692

FRA

0

0

BasisSwap

0

0

Total

43,271,923,718

40,448,610,692


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

2,195,685,670

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000

2,195,685,670


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

12,796,700,000

Swap

32,036,467,144,044

OIS

13,585,033,493,827

FRA

174,127,490,694,160

BasisSwap

222,659,277,668

Total

219,984,447,310,667


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

12,796,700,000

Swap

31,528,330,773,569

OIS

13,273,739,648,758

FRA

174,042,694,880,100

BasisSwap

204,634,203,622

Total

219,062,196,206,584

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,079

OIS

128,462,746,674

128,924,745,056

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

595,258,040,799

551,324,026,319


GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

110,422,521,054

128,373,229,434

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

208,179,996,597

240,638,075,472

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

60,048,162,318

53,994,174,514

FRA

0

0

BasisSwap

 626,400,000 

508,712,503 

Total

  142,055,247,368127,111,502,598

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

267,600,000

Swap

17,485,998,861

OIS

7,309,551,031

FRA

0

BasisSwap

0

Total

25,063,149,892

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

267,600,000

Swap

17,485,998,861

OIS

7,104,612,000

FRA

0

BasisSwap

0

Total

24,858,210,861

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

200,000,000

204,939,031

FRA

0

0

BasisSwap

0

0

Total

200,000,000

204,939,031


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

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 


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