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ESMA

ESMA

European Securities and Markets Authority

Medium Impact

ESAs propose EMIR RTS amendment to release initial margin when counterparties fall below the EUR 8bn AANA threshold

Published

Aug 3, 2026

Topics

EMIR, Uncleared OTC derivatives, Initial margin, AANA threshold, Collateral management, EMIR 3, Equity options

Executive Summary

On 3 August 2026, the European Supervisory Authorities published a Final Report containing draft RTS to amend Commission Delegated Regulation (EU) 2016/2251 under EMIR. The proposal targets the initial margin rules for non-centrally cleared OTC derivatives where one of two counterparties has an aggregate month-end average notional amount of uncleared OTC derivatives below EUR 8 billion, calculated using March, April and May. The key regulatory change is relief for existing trades: the derogation from collecting initial margin would no longer be limited to new contracts, and counterparties could release initial margins already collected for outstanding contracts between them. The ESAs also propose that the exemption may be implemented as early as 1 June of the relevant year, while counterparties moving above the threshold would have until no later than 1 January of the following calendar year to apply initial margin to new contracts. The draft is not yet legally binding; it requires European Commission endorsement, scrutiny by Parliament and Council, and publication in the Official Journal.

What Changed

modifiedInitial margin derogation extended to outstanding contracts

Previous

The Article 28(1) derogation exempted new OTC derivative contracts entered into within a calendar year where one counterparty was below the EUR 8 billion AANA threshold, while existing trades remained subject to initial margin.

New

Under the draft RTS, the derogation would cover all non-centrally cleared OTC derivative contracts between the two counterparties when one counterparty is below the threshold.

newRelease of initial margin already collected

Previous

The current RTS did not provide a derogation allowing release of initial margin on existing trades solely because one counterparty later fell below the EUR 8 billion threshold.

New

Under draft Article 28(1)(a)(ii), initial margins collected for outstanding non-centrally cleared OTC derivative contracts between the two counterparties are released.

modifiedEarlier exemption timing after AANA calculation

Previous

Article 28(1) was framed around the calendar year following the AANA calculation for March, April and May of the preceding year.

New

The draft allows the exemption to be implemented as early as 1 June of the same year in which the relevant March-May AANA is below EUR 8 billion.

modifiedTiming when both counterparties exceed the threshold

Previous

The existing framework used the EUR 8 billion AANA threshold to determine whether counterparties became subject to initial margin requirements, with preparation time until the following calendar year.

New

The draft preserves the 1 January following-year deadline for counterparties moving into scope, while specifying application to new contracts between the two counterparties.

removedOutdated transitional equity options provision

Previous

Article 38(1) contained transitional arrangements for single stock equity options and equity index options.

New

The draft deletes Article 38(1), while the exemption for single stock options and equity index options continues under Article 11(3a) of EMIR as amended by Regulation (EU) 2024/2987.

Business Impact

Who is affected

Directly affected

EU EMIR counterparties with non-centrally cleared OTC derivatives whose initial margin status depends on the EUR 8 billion AANA threshold, including financial counterparties and in-scope non-financial counterparties, and groups calculating AANA at counterparty or group level.

Indirectly affected

collateral operations teams, treasury teams, legal documentation teams, risk and compliance functions, custodians, triparty agents, collateral management vendors, and non-EU counterparties trading with EU counterparties.

Jurisdictions

European Union, European Economic Area, given the draft Regulation states text with EEA relevance

Business processes

Annual AANA calculation using March, April and May month-end averages, Initial margin applicability determination by counterparty relationship, Collateral call, dispute and release workflows, Segregated initial margin custody and triparty account management, Legal documentation and collateral schedule review, Counterparty onboarding and annual threshold attestation, Equity option margin-scope classification

Estimated effort

Medium

Compliance risk

Medium

Affected Reports

AANA threshold assessment and evidence fileCounterparty initial margin applicability matrixOutstanding uncleared OTC derivatives margin inventoryInitial margin release approval and audit controlSegregated custody and triparty account maintenance control
FieldValidation rule
AANA measurement monthsUse aggregate month-end average notional amount of non-centrally cleared OTC derivatives for March, April and May of the given year.
AANA thresholdEUR 8 billion determines whether the Article 28(1) initial margin derogation may apply or whether initial margin must apply to new contracts.
Counterparty or group calculation levelThe aggregate month-end average notional amount is calculated at counterparty level or at group level where the counterparty belongs to a group.
Contract population for exemptionWhere one counterparty is below the EUR 8 billion threshold, the draft exemption applies to non-centrally cleared OTC derivative contracts between the two counterparties, including outstanding contracts.
Initial margin status for outstanding tradesInitial margins collected for outstanding non-centrally cleared OTC derivative contracts between the two counterparties are released where the below-threshold condition is met.
Earliest exemption implementation dateWhere the below-threshold condition is met, counterparties may implement the exemption as early as 1 June of the relevant year.
Latest in-scope implementation dateWhere both counterparties exceed the threshold, initial margin requirements must be applied no later than 1 January of the following calendar year for new non-centrally cleared OTC derivative contracts.

Recommended Actions

7 suggested next steps· derived from source analysis
  1. 1
    AI generatedStep 1 of 7

    update annual AANA controls so March-May calculations can support a June decision on whether a counterparty relationship can cease collecting initial margin.

  2. 2
    AI generatedStep 2 of 7

    create an approval workflow for releasing initial margin on outstanding contracts, including legal, collateral operations and treasury sign-off before any release instruction is sent.

  3. 3
    AI generatedStep 3 of 7

    review CSAs, custody agreements and triparty arrangements to confirm how optional cessation or release of initial margin can be implemented contractually and operationally.

  4. 4
    AI generatedStep 4 of 7

    maintain a counterparty-level applicability matrix distinguishing relationships below the threshold, relationships newly above the threshold, and relationships where firms elect to continue collecting initial margin voluntarily.

  5. 5
    AI generatedStep 5 of 7

    assess liquidity and funding impacts from potential margin release, but also plan for re-entry where both counterparties exceed the threshold and new trades become subject to initial margin by 1 January of the following year.

  6. 6
    AI generatedStep 6 of 7

    remove reliance on the deleted Article 38(1) transitional logic in internal rule inventories and confirm single stock option and equity index option treatment against EMIR Article 11(3a).

  7. 7
    AI generatedStep 7 of 7

    monitor the Commission endorsement, Parliament/Council non-objection period and Official Journal publication before treating the draft RTS as binding law.

Timeline

publication

Dec 4, 2024

Regulation (EU) 2024/2987, EMIR 3, was published in the Official Journal and introduced Article 11(3a) into EMIR for single stock options and equity index options not cleared by a CCP.

publication

Aug 3, 2026

The ESAs published the Final Report and submitted draft RTS to the European Commission for endorsement.

implementation

Date not specified

Counterparties calculate AANA for non-centrally cleared OTC derivatives using month-end averages for March, April and May.

implementation

Date not specified

Under the draft RTS, where one counterparty is below EUR 8 billion AANA, counterparties may implement the exemption from initial margin requirements as early as this date.

implementation

Date not specified

Under the draft RTS, where both counterparties are above EUR 8 billion AANA, counterparties must apply initial margin requirements no later than this date for new non-centrally cleared OTC derivative contracts.

effective date

Date not specified

The draft Commission Delegated Regulation would enter into force on this day after Official Journal publication, if endorsed and adopted.

Sources

AI-generated analysis is based on the following primary sources. Always verify against the official publication.

Related Evidence

Verified source support for this analysis

The evidence agent checks whether the drafted finding is supported by official publications and relevant public source material.

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