Notional principal amount

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Notional principal amount

In an interest rate swap, the predetermined dollar principal on which the exchanged interest payments are based.

Notional Principal Amount

In an interest rate swap, the arbitrary amount over which interest is calculated. Suppose the two legs of the swap are a fixed interest rate, say 3.5%, and a floating interest rate, say LIBOR + 0.5%, and the notional principal amount is $1 million. In such a swap, the only things traded are the two interest rates, which are calculated over the notional principal amount. That is, the $1 million is never exchanged, but the interest is calculated with reference to it. For example, the fixed interest is 3.5% of $1 million (or $35,000). It is also called the notional value.
References in periodicals archive ?
registered broker-dealer and member FINRA/NFA/SIPC, placed Series 2015-1 Notes with notional principal at $100,000,000 through a newly formed Bermuda domiciled catastrophe bond shelf program, Pelican III Re Ltd.
Peter Weibel, CEO of triReduce, TriOptima s compression service, said: Adding FX forwards to our compression catalogue underscores TriOptima s continually expanding role in the OTC derivatives post trade infrastructure, having already eliminated more than USD524 trillion notional principal across multiple asset classes in cleared and uncleared environments.
Total Consideration in Common Shares of Travelport Worldwide Limited for each 1,000 Notional Principal Amount of Notes Tendered Prior to the Early Tender Time[sup.
They provide special rules for certain partnership payments; govern the treatment of certain capital loss carryforwards; and deal with the treatment of income and deductions from common trust funds, related to residual interests in real estate mortgage investment conduits (REMICs), and from certain notional principal contracts.
0 percent of total income while notional principal contract income ($86.
Over 70% of the notional principal outstanding of subordinated debt-linked CDS and over 50% of the senior debt- linked CDS notional principal submitted to the cycles were compressed.
The 1 million trades in SwapClear have an aggregate notional principal amount of more than $314 trillion, with a further $136 trillion of cleared transactions removed through multilateral trade compression.
On each of the payment dates, t, the contract calls for the fixed-rate payer to pay the notional principal multiplied by a fixed proportion (1 + [pi]) H(t) to the floating-rate payer and to receive in return the notional principal multiplied by S(t).
The total return swap qualifies as a notional principal contract (NPC) for U.
a credit card agreement, a notional principal contract, a futures or forward contract (including a "take or pay" contract), or any derivative); (iv) an endowment contract, annuity contract, or an insurance contract that has cash value; and (v) nonfunctional currency.
Notional principal isn't actually money at risk, but rather a factor in determining the amount of protection a derivative provides.
3 trillion as of June 30 on a notional principal amount basis, up 8.