Uses of Notional Amount in Derivatives Regulation

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

ISDA AGM Studio: Jacques Vigner, BNP Paribas

Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...

ISDA AGM Studio: Future Leaders in Derivatives

Following publication of the latest whitepaper from the ISDA Future Leaders in Derivatives (IFLD) program, Collateral and Liquidity Efficiency in the Derivatives Market: Navigating Risk in a Fragile Ecosystem, Joel Clark talks to IFLD participants Koen Ottenheijm, senior treasury and...