CDSClear Volumes

1. Volumes

a. Daily volumes - updated daily

Single Name CDS cleared - 25/09/2017
Currency Notional Open Interest Number of Transactions
EUR 381,990,000.00 56,461,583,717.00 43
Index CDS cleared - 25/09/2017
Currency Notional Open Interest Number of Transactions
EUR 2,060,362,985.00 59,178,227,421.00 44
USD 0.00 0.00 0
Swaptions cleared - 25/09/2017
Currency Notional Open Interest Number of Transactions

b. Volumes since inception - updated daily

Single Name CDS cleared since launch - 25/09/2017
Currency Notional Number of Transactions
EUR 156,185,773,995.50 46,095
Index CDS cleared since launch - 25/09/2017
Currency Notional Number of Transactions
EUR 1,220,845,761,780.58 37,689
USD 11,793,000.00 6
Swaptions cleared since launch - 25/09/2017
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.