• Trade Level Adjusted Notional – Foreign Exchange Derivatives

    • A4.6.47 PRU A4.6.47

      The adjusted notional of foreign exchange derivatives is defined as the notional of the foreign currency leg of the contract, converted to the domestic currency.

      • Guidance

        If both legs of the foreign exchange derivative are denominated in currencies other than the domestic currency, the notional amount of each leg is converted to the domestic currency and the leg with the larger domestic currency value is the adjusted notional amount.