Effective Date Set for CFTC Changes to Calculation Method of Average Aggregate Notional Amount

A CFTC final rule amending the period for the calculation of the average aggregate notional amount ("AANA") for purposes of scoping firms subject to initial margin requirements was published in the Federal Register. The rule amendments will go into effect on February 4, 2021.

See prior coverage for further information on how the final rule is amending CFTC Rule 23.154(a) ("Calculation of Initial Margin") and revising the definition of "material swap exposure" in CFTC Rule 23.151.