Along with the planned changes to EMIR trade reporting which came into force on 18 June 2020, entities that previously calculated (or could have calculated) their aggregate month-end average gross notional value of OTC derivative transactions (AANA) on 17 June 2019 should run this calculation again.
As a reminder, entities should be checking whether their AANA exceeds any of the following:
Gross notional value
Interest rate derivatives
Foreign exchange derivatives
Commodity derivatives and other
Should you have any questions on this complex area or on EMIR in general, please contact any member of the derivatives & trading team.
Every 12 months, a […] counterparty taking positions in OTC derivative contracts may calculate its aggregate month-end average position for the previous 12 months