Notional amount outstanding is a widely used metric in the derivatives market, but it is more a measure of traded volume or transaction size and less a measure of risk. A recent research paper published by the US Commodity Futures Trading Commission (CFTC) highlights this point, and introduces an alternate metric for the interest rate derivatives market.
However, many derivatives regulations employ notional amount as a trigger or threshold to determine whether and how certain requirements will apply. This paper highlights a number of areas where derivatives rules are based on notional amount and similar measures. In so doing, the intention is to contribute to the important policy discussion about the merits of a risk-based regulatory framework.
Documents (1) for Uses of Notional Amount in Derivatives Regulation
Latest
ISDA, IIF Response to PRA on Market Risk Framework
On September 12, ISDA and the Institute of International Finance (IIF) submitted a joint response to the Prudential Regulation Authority’s (PRA) consultation on adjustments to the market risk capital framework (CP 17/25). ISDA and the IIF strongly believe the market...
ISDA Response on Clearing Costs
On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...
ISDA Response on Margin Transparency
On September 8, ISDA responded to a consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard under the European Market Infrastructure Regulation (EMIR 3.0) on margin transparency requirements. ISDA’s members are supportive of margin...
Paper on Liquidity Assessment for Single-name CDS
On September 5, ISDA submitted a paper to the European Securities and Markets Authority (ESMA) and the European Commission in support of its earlier response to ESMA’s Markets in Financial Instruments Regulation (MIFIR) review consultation package 4 (CP4) on transparency...