Average Aggregate Notional Amount Calculation Window for UMR opens in March

4 Feb 2020

By Phil Hermon 

The countdown has begun

New Year, another new phase for the uncleared margin rules (UMR) schedule, and this time with a materially lower notional threshold. For this next phase of UMR, the Average Aggregate Notional Amount (AANA) calculation begins this spring and will require the participation of a large number of both sell-side and buy-side firms.

The calculation of the AANA is arguably ‘Step 1’ in preparing for UMR: to see if/when your firm is directly impacted by UMR. It should be a key area of focus for any entity not already directly impacted by Phases 1-4, but actively trading OTC derivatives today. In short, the outcome of the AANA will determine whether an entity will be directly impacted by the UMR in Phase 5, which is scheduled to commence in September 2020.

Feedback from market participants suggests that the next threshold for UMR compliance is now broadly understood – with Phase 5 being 50bn in 2020, and Phase 6 being 8bn in 2021. The understanding of what is included and when the AANA calculation is performed, however, appears to be far less well understood – as well as the potential tools to help mitigate the impacts of the process.

Our goal is to help market participants understand, navigate, and develop the best solution for their business. As such, we’ve put together this simple guide to recap and clarify the measurement rules and share our experience of how market participants are managing their commitment to compliance.

Click below to download the full guide