Blog post

Happy anniversary, EMIR Refit – a reminder to calculate the AANA of your OTC derivatives transactions

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1 minute read

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:

Asset class Gross notional value
Credit derivatives€1bn
Equity derivatives€1bn
Interest rate derivatives€3bn
Foreign exchange derivatives€3bn
Commodity derivatives and other€3bn

 

Please see our note on EMIR Refit and the ESMA Q&A on EMIR for more detail.

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

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