Trade Level Adjusted Notional – Interest Rate (di (IR)) And Credit Derivatives (di (Credit))
For interest rate and credit derivatives, the trade-level adjusted notional is the product of the trade notional amount, converted to the domestic currency, and the supervisory duration (SDi):
Trade-level adjusted notional = Trade notional amount * SDi
SDi is determined in accordance with the following formula:
where 𝑆𝑖 and 𝐸𝑖 are the start and end dates, respectively, of the time period referenced by the interest rate or credit derivative, floored by ten business days.