The gross nominal or notional value of all derivatives contracts that have been concluded, but still outstanding, i.e., not yet settled on the reporting date. This metric is widely used in the derivatives market, mainly as a measure of traded volume or transaction size (overall, market size) and in specific contexts as a measure of risk.

Under multiple derivatives regulations, notional amount is used as a trigger or threshold to determine whether and how certain regulatory requirements will apply to specific types of derivatives.

In addition to its use as a measure of market size, notional amount outstanding provides an approximate proxy of the potential transfer of price risk in derivatives markets. This measure is also comparable with measures of market size in related underlying cash markets and gives an indication about the relative size and growth of cash and derivatives markets. Notional amounts outstanding are reported on a consolidated basis, inter-firm transactions are not considered in calculations. For contracts with variable nominal or notional principal amounts (NPA), the nominal or notional principal amounts at the time of reporting are always used.

The notional amount or par value to be reported for a derivative contract with a multiplier is the contract’s effective notional amount or par value. For example, a swap contract with a stated notional amount of USD 5,00,000 that entails quarterly settlement of the difference between a given interest rate (e.g., 4%) and LIBOR multiplied by 8 has an effective notional amount of USD 4,000,000.