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Version date: 15 July 2019 - onwards

TR Question 52: Notional amount field for credit index derivatives [last update 15 July 2019]

Article 9 of EMIR

How should counterparties report the Notional (field 2.20) for credit derivatives trades following a change in the index factor (field 2.89) due to credit events?

TR Answer 50

To avoid double counting of the adjustment, counterparties should not modify the notional (field 2.20) when the index factor changes due to credit events. They should only update the index factor (field 2.89).