In this act Article 5 of 9
Article 5 — Notional amount
Financial servicesLevel 2RTSEMIRIn forceOfficial source
5(1)Copy link
1.The notional amount of a derivative referred to in fields 55 and 64 in Table 2 of the Annex shall be specified as follows:
5(1)(a)
(a)in the case of swaps, futures, forwards and options traded in monetary units, the reference amount;
Copy link5(1)(b)
(b)in the case of options other than those referred to in point (a), calculated using the strike price;
Copy link5(1)(c)
(c)in the case of forwards other than those referred to in point (a), the product of the forward price and the total notional quantity of the underlying;
Copy link5(1)(d)
(d)in the case of equity dividend swaps, the product of the period fixed strike and the number of shares or index units;
Copy link5(1)(g)
(g)in the case of financial contracts for difference, the resulting amount of the initial price and the total notional quantity;
Copy link5(1)(h)
(h)in case of commodity fixed/float swaps, the product of the fixed price and the total notional quantity;
Copy link5(1)(i)
(i)in case of commodity basis swaps, the product of the last available spot price at the time of the transaction of the underlying asset of the leg with no spread and the total notional quantity of the leg with no spread;
Copy link5(1)(k)
(k)in the case of a derivative not referred to in subparagraphs (a) to (j), where the notional amount is calculated using the price of the underlying asset and such price is only available at the time of settlement, the end of day price of the underlying asset at the date of conclusion of the contract.
Copy link5(2)Copy link
2.The initial report of a derivative contract whose notional amount varies over time shall specify the notional amount as applicable at the date the derivative contract was concluded and the notional amount schedule.
When reporting the notional amount schedule, counterparties shall indicate all of the following:
5(2)(i)(iii)
(iii)the notional amount which becomes effective on the associated unadjusted effective date.
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