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.
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