Material swaps exposure definition
Material swaps exposure for an entity means that the entity and its affiliates have an average daily aggregate notional amount of non-cleared swaps, non-cleared security- based swaps, foreign exchange forwards, and foreign exchange swaps with all counterparties for June, July, and August of the previous calendar year that exceeds $8 billion, where such amount is calculated only for business days. See §_.2 of the Swap Margin Rule.