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Risk parameters

Haircut and adjusted exchange rates

Securities margin groups and classes

Prices Rolling Spot Future

File services

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Transaction management

Listed derivatives

OTC derivatives

Listed securities

Cash management

Delivery management

CCP eligible instruments

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Cash collateral

Securities collateral

Margin settlement

Collateral valuation

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Cross-product margining

Margining process

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IBOR Reform

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U.S. Taxation

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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 January 20, 2025.

Notional Outstanding

Total

Notional outstanding (total) by product and currency

Product

EUR

ZCIS

8,457,660,000

Swap

16,048,808,620,345

OIS

4,318,156,978,958

FRA

16,365,424,058,674

BasisSwap

211,795,049,105

Total

36,952,642,367,082

EUR

Notional outstanding (EUR) by product and currency

Product

EUR

ZCIS

8,457,660,000

Swap

16,046,577,118,322

OIS

4,038,883,479,766

FRA

16,365,424,058,674

BasisSwap

211,795,049,105

Total

36,671,137,365,868

CHF

Notional outstanding (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

0

0

OIS

177,287,224,468

188,023,358,223

FRA

0

0

BasisSwap

0

0

Total

177,287,224,468

188,023,358,223


GBP

Notional outstanding (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

 0 

0

OIS

46,241,180,564

54,666,359,961

FRA

0

0

BasisSwap

0

0

Total

46,241,180,564

54,666,359,961

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

37,739,828,487

36,583,781,007

FRA

0

0

BasisSwap

0

0

Total

37,739,828,487

36,583,781,007


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

2,231,502,023

OIS

0

0

FRA

0

0

BasisSwap

0

0

Total

25,650,000,000

2,231,502,023


Notional Value

Total

Notional value (total) by product and currency

Product

EUR

ZCIS

15,745,700,000

Swap

36,879,626,945,898

OIS

17,495,959,157,611

FRA

203,169,092,694,160

BasisSwap

374,473,635,910

Total

257,934,898,134,547


EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

15,745,700,000

Swap

36,371,490,575,423

OIS

17,133,998,521,788

FRA

203,084,296,880,100

BasisSwap

356,448,561,864

Total

256,961,980,239,711

CHF

Notional value (CHF) by product and currency

Product

CHF

EUR Equivalent

Swap

354,898,194,125

321,827,802,079

OIS

151,641,186,468

153,496,982,912

FRA

93,800,000,000

84,082,983,493

BasisSwap

18,097,100,000

16,488,495,691

Total

618,436,480,593

575,896,264,175

GBP

Notional value (GBP) by product and currency

Product

GBP

EUR Equivalent

Swap

96,365,475,169

110,524,149,187

OIS

126,616,776,646

147,660,105,016

FRA

502,000,000

712,830,567

BasisSwap

890,000,000

1,027,865,852

Total

224,374,252,190

259,924,951,053

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

67,350,222,318

60,801,851,830

FRA

0

0

BasisSwap

626,400,000

508,712,503 

Total

  149,357,307,368133,919,179,914

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

22,175,438,000

OIS

13,545,660,000

FRA

0

BasisSwap

0

Total

35,721,098,000

EUR

Notional value (EUR) by product and currency

Product

EUR

ZCIS

0

Swap

22,175,438,000

OIS

13,545,660,000

FRA

0

BasisSwap

0

Total

35,721,098,000

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

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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Market-led solution to create an alternative liquidity pool for € short-term interest rate derivatives

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