AcadiaSoft’s Guide to Calculating Average Aggregate Notional Amount (AANA)

By Mark Demo

 

U.S. Firms Must Calculate AANA to Gauge Initial Margin

 

By Mark Demo

 

Monday, June 3rd, marks the beginning of the three month period over which U.S. firms must begin measuring their Average Aggregate Notional Amount (AANA) to determine whether they are in-scope for Phase 5 of the Uncleared Margin Rules, which goes into effect on September 1, 2020.

 

A firm’s AANA is the total outstanding amount of non-cleared derivative positions during the prescribed observation period on a gross notional basis. Once a firm determines if they are in scope, they should begin the process of disclosing this to their counterparties.

 

AcadiaSoft has published a guide and factsheet to educate market participants on how to calculate their AANA. The guide also includes a comparison of the U.S. approach to in-scope determination with the EU rules, and the differences in AANA calculation for each. ISDA also recently published a helpful resource that summarizes and explains the requirements for calculating the AANA.

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AcadiaSoft is the industry's one-stop-shop for Uncleared Margin Rules compliance – contact us today for advice on identifying whether your firm is in-scope for Phase 5 or 6, and to learn how our unique Advisory Services and AcadiaSoft Hub applications can reduce your UMR burden.

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