A Guide to Calculating Average Aggregate Notional Amount (“AANA”)

Products to include in your calculation

‍On any date of calculation, all outstanding over-the-counter derivatives of the trading entity’s Consolidated Group, including:

• Uncleared swaps
• Uncleared security-based swaps
• Deliverable FX swaps
• Deliverable FX forwards
• FX swaps and deliverable FX forward even though they are exempt from calculating regulatory IM

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What not to include

• Do not include cleared derivatives

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Other items of note:

• This is Gross Notional calculation. Offsetting/netted positions must be counted.
• Security based swaps that are either exempt pursuant to the SEC clearing exemption for affiliates of end users or satisfy the criteria for the SECs end-user exception for clearing would not be included in the calculation
• Firms will need to calculate their AANA annually as it is possible to fall in and out of scope for the rules if you fall below the USD 8 BILLION threshold

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Products to include in your calculation

• Physically settled FX Swaps and Forwards
• Currency Swaps
• Covered Bond Swaps
• Derivatives with exempted counterparties
• Hedging trades

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What not to include

• OTC derivatives that are considered centrally cleared
• Exchange-traded derivatives on a non-EU equivalent market
• Exchange-traded derivatives trades on an EU regulated market

Other items of note:

• This is a Gross Notional calculation. Offsetting/netted positions must be counted.
• Deliverable FX forwards, FX swaps, currency swaps, single-stock equity options or index options and derivatives with counterparties in non-netting jurisdictions that are (or may be) exempt from the regulatory variation margin and/or initial margin requirements must be included in your AANA calculation.
• Intra-group transactions are included but only counted once.

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