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 ?
As a result of the Offer, the EIB has accepted to purchase a total notional amount of DKK 2,775,846,000 at DKK midswaps vs 6 months + 0.
On the basis of the contracted settlement date, the profit or loss is adjusted between the two counterparties considering the difference between the contracted NDF rate and the prevailing spot forex rates on an agreed notional amount.
For example, as of December 2010, the notional amount outstanding (the gross nominal value of all deals) in the entire OTC market, excluding commodity contracts, was $598 trillion, nearly nine times the amount outstanding in the exchange-traded market (S68 trillion).
In addition, use of derivative products has soared; the notional amount of interest rate swaps and options has tripled in the past four years to nearly $300 trillion.
We are in a situation in which the notional amount of derivatives outstanding has reached some $70 trillion," he said.
The notional amount represents the principal balance underlying a derivative agreement.
This agreement sets forth the terms and conditions of the swap, including the notional amount, term, index on which floating-rate payments will be calculated (for example, three-month LIBOR or prime) and the agreed-upon fixed rate and payment dates.
20,375,000 original notional amount Tranche A notes 'BBBsf/LS1';
16,000,000 original notional amount (07ML66764A) downgraded to 'Dsf' from 'CCCsf' and subsequently withdrawn; --$4,000,000 original notional amount (07ML66763A) downgraded to 'Dsf' from 'CCCsf' and subsequently withdrawn; --$2,000,000 original notional amount (07ML66762) downgraded to 'Dsf' from 'CCCsf' and subsequently withdrawn; --$1,000,000 original notional amount (07ML66757A) downgraded to 'Dsf' from 'CCCsf' and subsequently withdrawn; --$17,000,000 original notional amount (07ML66756A) downgraded to 'Dsf' from 'CCCsf' and subsequently withdrawn.
16,000,000 notional amount downgrade to 'CCC' from 'BBB' (07ML66764A);
At March 31, 2010, the net notional amount of the single name exposure to Ambac Financial Group, Inc.
Crest G-Star 2001-2), notified Fitch Ratings of its intention to reduce the notional amount of the interest rate swap within the transaction up to an aggregate amount of $20 million pursuant to an option within the swap documents (Swap Notional Reduction).