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 ?
To construct a measure of CDS insurance, we use the newly available (since 2008) weekly data on CDS net notional amounts for individual reference entities from the Depository Trust and Clearing Corporation (DTCC).
The refinancing notes generally have the same terms as the previously outstanding classes except that the interest rates and notional amounts have changed:
Also, the company said that in contemplation of the refinancing, the consolidated JV entity terminated forward-starting interest rate swap contracts with notional amounts totalling USD450.0m and paid about USD14.4m on 24 April 2017, which amount will increase the company's interest expense over the ten-year term of the financing, resulting in an effective GAAP interest rate of an estimated 3.64% per annum (including the amortisation of financing costs and additional mortgage recording tax).
The Bank for International Settlements estimates that gross notional amounts of outstanding CDS at end-2013 were approximately $21 trillion.
The SEC cites that five large commercial banks currently represent 97% of the total US banking industry notional amounts of derivatives outstanding, according to data from bank regulator the Office of the Comptroller of the Currency.
Notional amounts of credit derivatives outstanding have roughly doubled each year for the past five years.
The report also said the notional amounts of derivatives in commercial bank portfolios decreased by $778 billion in the fourth quarter to $16.86 trillion in holdings.
The survey shows a high level of demand for products that are used to trade and hedge exposures to underlying financial risks, particularly those related to changes in foreign exchange and interest rates (Table 1).(5) For issues related to price risk, the notional amounts in Table I can be roughly compared to the principal amounts of cash market securities with similar maturities.
Will Revenue Canada honor claims for refund or permit claims for notional amounts of ITC in respect of volume rebates paid during 1991 and 1992, even though, based on an examination of the invoice alone, the status of GST is unclear?
These requirements provide a methodology for translating market values and notional amounts of derivatives contracts into amounts that are comparable to credit exposures on balance sheet assets.
The notional amounts for the class B-R, C-R and D-R notes remain the same as their previously outstanding class balances.
It is an agreement with notional amounts. The closing Framework Agreement is concluded for a period of two years with the option to renew twice a year.