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Uncovering Industry Practices Regarding Calculation of Notional Value

Findings from our notional value calculation survey


The term “notional value” is used often in commodity trading and has a colloquial meaning.  The Commodities Futures Trading Commission (CFTC) incorporated the phrase into some of the rules they developed under the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), spurring industry participants to seek clarification from regulators.  They were unofficially directed to apply “industry practice,” despite the fact that there was no record of common industry practices.  

At the request of industry representatives, Deloitte & Touche LLP (Deloitte) agreed to develop a brief and high-level survey to shed light on actual industry practices regarding the calculation of notional values of swap transactions.  Download the summary to view the key survey results.

As used in this document, “Deloitte” means Deloitte & Touche LLP, a subsidiary of Deloitte LLP. Please see for a detailed description of the legal structure of Deloitte LLP and its subsidiaries. Certain services may not be available to attest clients under the rules and regulations of public accounting.

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