A guide to calculating Average Aggregate Notional Amount (AANA)

• 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.

• 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.