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.