Guide to Calculating AANA - UMR Compliance | Acadia

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 (AANA). To calculate your firm's AANA you need to sum the total outstanding amount of non-cleared derivative positions during the prescribed observation period on a gross notional basis. Once your firm determines if it is in scope, you should begin the process of disclosing to your counterparty group(s).

How do you calculate CFTC/USPR?
Products to include in your calculation
What not to include
Other considerations
What does Consolidated Group mean?

AANA is calculated on an average daily notional amount of uncleared swaps (non-cleared security based swaps, FX forwards including physically settled FX, FX swaps).
‍The calculation is inclusive of all affiliates within the counterparty group.
‍Calculation is at the principal level, for example, pension funds must look across all their portfolios across asset managers.
‍Summing up the AANA number calculated for each business day and dividing the number by the number of business days in the observation period.
‍Post Phase 6 for CFTC will be a month-end average calculation for AANA with a calculation period of March, April and May of 2026 for compliance date of 1 September 2026.
For firms under USPR there will be a daily average calculation for the periods of June, July and August of 2025, for compliance date 1 January 2026

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

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

Do not include cleared derivatives

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 US$8 billion threshold.

All entities that are (or that would be if US accounting rules applied) included in the same consolidated financial statements as the relevant trading entity.

The in-scope OTC derivatives of all such entities must be included in the relevant trading entities AANA calculation.

How do you calculate EMIR?
Products to include in your calculation
What not to include
Other considerations

AANA is calculated for each counterparty group as of the last business day of the previous March, April, and May for the compliance date of the following January.
Intra-group transactions, regardless of exemptions on the EMIR rules, are counted once.
‍Summing up the notional amount of all In-Scope OTC derivatives on the last business day of each month in the observation period and dividing by the number of months in the observation period.
‍For March, April and May of 2025 AANA calculation compliance date will be 1 January 2026.

Physically settled FX swaps and forwards
Currency swaps
Covered bond swaps
Derivatives with exempted counterparties
Hedging trades

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

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.

How do you calculate for APAC?
What does Consolidated Group mean?
Upcoming phases

The JFSA Margin Rule Compliance Schedule is outlined in the following tab. The remainder of the guidelines closely follow those in the EU jurisdiction.

An entity’s group, for purposes of the AANA calculation, includes its ultimate parent and each of that ultimate parent’s subsidiaries, including where the ultimate parent company and any affiliates are located outside of the EU.

The in-scope OTC derivatives of all such entities must be included in the relevant trading entity’s AANA calculation. It is a month-end average calculation that excludes intra-group transactions.