Volumes

Definitions:

• “Notional” refers to the sum of the notional amounts of cleared trades, counted on a single-sided basis. For each bilateral trade submitted and cleared, CDSClear creates two novated trades - one for each counterparty - but only one leg is counted for reporting purposes. Example: If A and B clear a trade with €2,000,000 notional, C and D clear a trade with €3,000,000, and A and C clear a trade with €8,000,000, the total reported notional is €13,000,000. The “Number of Transactions” is also counted one-sided 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. It is calculated on a single-sided basis, reflecting the net exposure of participants to the CCP, after offsetting long and short positions within each contract.