UMR COMPASS
The first step in complying with the regulatory requirements for non-centrally cleared derivatives is determining if your firm is in scope for the rules. The way to do this is to calculate your “Average Aggregate Notional Amount” or AANA. To calculate your firm's AANA is to sum 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 to their counterparty group(s).
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CFTC/USPR - How do you calculate?
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:
What not to include
Other items of note:
EU/EMIR - How do you calculate?
Products to include in your calculation
What not to include
Other items of note:
APAC – How do you calculate?
JFSA Margin Rule Compliance Schedule – Upcoming Phases