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

18 June 2020

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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