The second anniversary of EMIR Refit is this week, and with it comes the annual requirement for most financial counterparties and non-financial counterparties subject to UK EMIR or EU EMIR to calculate whether they exceed the threshold for clearing OTC derivatives and notify their regulator if they exceed the threshold. This means that entities that previously calculated (or could have calculated) their aggregate month-end average gross notional value of OTC derivative transactions (AANA) as of 17 June 2019 should run this calculation again.

As a reminder, entities should be checking whether their AANA calculated on volumes outstanding over the previous 12 month-ends exceeds any of the following (and bear in mind that UK EMIR still denominates the limits in euros):

Those subject to EU EMIR that exceed this threshold for the first time need to inform their national competent authority of this on 17 June 2021.

Those subject to UK EMIR that exceed this threshold for the first time similarly need to inform the FCA of this on 17 June 2021.

In addition, 17 June 2021 is the date by which the FCA requires those entities that had notified the FCA prior to 31 December 2020 that they exceeded the threshold for mandatory clearing under EU EMIR to resubmit a notification to the FCA that this is similarly the case under UK EMIR.

For financial counterparties and non-financial counterparties subject to EU EMIR or UK EMIR that were not in existence or did not have any outstanding OTC derivatives on 17 June 2019, their date for calculation of AANA is each anniversary of the date that the entity first entered into an OTC derivative.

Please see our note on EMIR Refit for more detail on the calculation.

Should you have any questions on this complex area or on EMIR in general, please contact any member of the derivatives & trading team.