Notional principal amount


Also found in: Acronyms.

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 ?
Exchange Consideration in Common Shares of Travelport Worldwide Limited for each 1,000 Notional Principal Amount of Notes Tendered Prior to the Exchange Offer Expiration Time[sup.
Thus, notional principal disclosures can vary from the disclosure of a single notional principal amount for a firm's portfolio of interest rate derivatives to the disclosure of detailed notional principal amounts for each type of interest rate derivative or each specific instrument.
This could be accomplished by taking the assets and liabilities that are rate sensitive and the notional principal amount of swaps and other unrecognized derivatives and group them according to expected repricing or maturity date.
A recent estimate places the notional principal amount of diff swaps outstanding at $40 billion to $50 billion.
The basis swap agreement provides that the Issuer will receive from AIG-FP scheduled monthly payments computed by reference to a notional principal amount (equal to the outstanding principal amount of the related SLNs) multiplied by an interest rate based on one month LIBOR plus a spread.
Meanwhile, there are currently over one million trades in SwapClear representing a total notional principal amount of more than 286 trillion, with afurther 99 trillion of cleared transactionstorn up through multilateral trade compressions.
The one million trades in SwapClear have an aggregate notional principal amount of more than $288 trillion, with a further $89 trillion of cleared transactions removed through multilateral trade compression.
The rating on the preference shares addresses the ultimate payment of the notional principal amount.
3 million in aggregate notional principal amount of its 6.
In the first quarter of 2004 the Company entered into interest rates swaps with a total notional principal amount of $500 million and an average interest rate of 3.
The basis swap agreement provides that the issuer will receive from AIG-FP, the basis swap counterparty (defined below), scheduled monthly payments computed by reference to a notional principal amount (equal to the outstanding principal amount of the related series of CCNs) multiplied by an interest rate based on one month LIBOR.