Transactions

How to calculate notional for reporting?

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Notes to the conversion table for OTC derivative transactions negotiated in non-monetary amounts:

  • Note 1: for transactions where the quantity unit of measure differs from the price unit of measure, the price or total quantity is converted to a unified unit of measure.
  • Note 2: if applicable to the transaction, the notional amount reflects any multipliers and option entitlements.
  • Note 3: for basket-type contracts, the notional amount of the transaction is the sum of the notional amounts of each constituent of the basket