CDSClear Volumes

1. Volumes

a. Daily volumes - updated daily

Single Name CDS cleared - 21/11/2017
Currency Notional Open Interest Number of Transactions
EUR 129,700,000.00 61,610,388,919.00 50
USD 0.00 0.00 0
Index CDS cleared - 21/11/2017
Currency Notional Open Interest Number of Transactions
EUR 2,144,400,000.00 64,372,705,919.00 84
Swaptions cleared - 21/11/2017
Currency Notional Open Interest Number of Transactions

b. Volumes since inception - updated daily

Single Name CDS cleared since launch - 21/11/2017
Currency Notional Number of Transactions
EUR 169,155,873,012.50 49,364
USD 16,000,000.00 4
Index CDS cleared since launch - 21/11/2017
Currency Notional Number of Transactions
EUR 1,288,174,163,684.58 40,003
USD 11,793,000.00 6
Swaptions cleared since launch - 21/11/2017
Currency Notional Number of Transactions
Definitions:
“Notional” is the sum of the notional for trades where both buyer and seller agree to clear the transaction. This figure is one sided. For example if A and B agree to clear 1 transaction for €2,000,000 notional and C and D agree to clear 1 transaction for €3,000,000 notional and A and C agree to clear 1 transaction for €8,000,000 notional the volume is €13,000,000 notional. Similarly the "Number of Transactions" figure represents one side and would be 3 in this example.

“Open Interest” is the sum of all clearing participants’ outstanding net long positions per contract against LCH SA, which results in single sided amounts.