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February 12, 2020

Get your AANA Under Control

The next AANA measurement period is coming up on March 1st for ESMA and the CFTC – what should you be doing?

There are two criteria which determine if you must begin exchanging IM on September 1st this year.

  1. Your Average Aggregate Notional
  2. Your actual amount of IM

AANA begins measurement on March 1st for firms regulated by ESMA or the CFTC. The specifics on how to apply the regulations are covered by a post from Margin Tonic, and a strategy to actively manage your AANA is explained in a paper from Cassini Systems.  Suffice to say that your firm has a few weeks to influence your AANA if it seems you could delay your UMR impact until September 2021.

Your actual amount of IM also needs investment to measure and control. Even if your AANA is over the threshold for Phase 5 or 6, the amount of IM may be under the 50m threshold meaning you can defer legal, custody and systems work. Two items from Cassini cover the IM topic, a paper on Taking Control of your IM and a replay of the IM webinar we ran last year.

Is your firm actively managing your AANA or just waiting to see the outcome at the end of May?

Resources

  • An explanation of the AANA calculations from AcadiaSoft: https://www.acadiasoft.com/umr_compass/calculating-aana/
  • AANA Calculations from Margin Tonic https://www.margintonic.com/news/2019/1/5/aana-calculations
  • An ISDA guide to AANA https://www.isda.org/2019/05/29/calculating-phase-five-aana-for-us-regulations/
  • Margin Tonic blog post on the 50m IM threshold https://www.margintonic.com/news/2019/3/6/bcbsiosco-update-mar-19-never-simple-is-it
  • Taking Control of your IM 50m and Replay of an IM webinar: https://cassinisystems.com/home/resources/
  • A Q&A on AANA and IM https://derivsource.com/2019/05/13/uncleared-margin-rules-umr-preparedness-your-initial-margin-questions-answered/
  • A long list of blog posts on the ISDA SIMM analytics from ClarusFT: https://www.clarusft.com/category/isda-simm/

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