Article 3 — Average Notional Amount

1.For the calculation of the annual fee due to the EBA by each counterparty that is subject to the obligation to have its pro forma models validated, each counterparty using, or applying for validation to use, a pro forma model, as applicable, shall calculate the average notional amount by averaging the monthly notional amount of non-centrally cleared derivatives using a given pro forma model over the reference period concerned. Those counterparties shall calculate each monthly notional amount as of the last business day of the given month, using the equivalent portfolio notional method laid out in paragraph 4 or the alternative approaches laid out in paragraph 5 or 7, as applicable. A counterparty may exclude from the average notional amount calculations portfolios for which it does not collect initial margins as a result of the application of the derogation laid down in Article 29(1) of Commission Delegated Regulation (EU) 2016/2251. A counterparty that choses to exclude such portfolios shall provide the number of portfolios it excluded as part of the information referred to in Article 8(1) of this Regulation.

2.For the purposes of Article 4, the reference period shall be the period from 1 January to 31 December of the year preceding that of the billing date specified in accordance with Article 7.

3.For the purposes of Article 5, the reference period shall be the 12 months preceding the date on which the EBA has publicly announced that it has set up its central validation function (‘the EBA readiness date’).

4.For each month of the reference period referred to in paragraph 1, counterparties shall calculate the monthly notional amount by converting the initial margin amount calculated with the pro forma model for the relevant portfolio into an equivalent portfolio notional amount in accordance with the following formula:

where:

— m = the index denoting the month of the reference period;

— C = the index denoting the class or classes of derivatives contracts;

— IM(C) = the total initial margin amount for non-centrally cleared OTC derivatives transactions in class C, calculated on the last business day of the month for which the monthly notional amount is calculated, using the pro forma model, converted in euro.

5.Alternatively, for each month of the reference period referred to in paragraph 1, counterparties may decide to use the following formula to convert the total initial margin amount calculated by asset class for the relevant portfolio into an equivalent portfolio notional amount:

where:

— m = the index denoting the month of the reference period;

— C = the index denoting the class or classes of derivatives contracts;

— IM’(C) = the total initial margin amount for non-centrally cleared OTC derivatives transactions in class C, calculated on the last business day of the month for which the monthly notional amount is calculated, converted in euro.

Counterparties may choose to use that formula provided that they can justify the choice to their competent authority.

6.For the purposes of paragraphs 4 and 5, when converting amounts in euro, counterparties shall use the euro foreign exchange reference rate published by the European Central Bank on the last business day of the month for which the monthly notional amount is calculated.

7.By way of derogation from paragraphs 4 and 5, a counterparty with a 12-month average notional amount below EUR 3 000 billion may estimate each monthly notional amount to be one of those specified in the table below, as long as it can demonstrate to its competent authority that the actual notional amount is lower than the one selected: