ISDA summarized the U.S. requirements for calculating the average aggregate notional amount ("AANA") for Phase Five initial margin ("IM") between June 1, 2019 and August 31, 2019.
In the summary, ISDA notes that the requirements in the United States deviate from requirements in other jurisdictions. ISDA lists the following steps for calculating AANA:
identifying the legal entities that are part of a consolidated group;
identifying the uncleared transactions in all AANA-covered products for each entity in a consolidated group for each day of the AANA calculation period;
calculating the total notional amount of AANA-covered products;
calculating the AANA; and
ISDA advised firms on how to prepare for the implementation of initial margin "Phase Five."
CFTC Chair J. Christopher Giancarlo urged U.S. regulators to clarify obligations for dealers to exchange initial margin where requirements are below the $50 million threshold amount specified in the rules.