the nominal value used to calculate swap payments and on which many other risk management contract payments are based. In an interest rate swap agreement, each period's rates will be multiplied by the notional principal amount to determine the value of each counterparty's payment.
... PCEgross= the sum of the figures for potential future credit exposure for all contracts with a given counterparty which are included in a legally valid bilateral netting agreement and are calculated by multiplying their notional principal amounts by the percentages set out in Table 1 ...
