The nominal value that is used as a basis for calculation of swap payments over the swap term. Each counterparty’s payment is determined given into account a counterparty’s respective type of payment and the notional amount. Swap payments constitute the fixed and floating payments that are exchanged by the two counterparties to a swap. The fixed payment is made by the buyer of the swap (known as the fixed rate payer or the floating rate receiver), whilst the floating payment is made by the seller (known as the floating rate payer or the fixed rate receiver). Swap payments are calculated using the following formulae:

Fixed payment = notional amount × (fixed rate) × (fixed rate day count convention)

Floating payment = notional amount × (floating rate) × (floating rate day count convention)