Annual OKRs are meant to be directional and strategic where quarterly OKRs are the executional component. With that in mind, Initiatives should live at the quarterly level.
If it helps provide perspective, you can add annual Initiatives, however, you'll likely end up with duplicative work since they'll need to be updated in two places.
Need a hand? Contact our friendly Support team via the in-app chat at the bottom-right of your screen, or email firstname.lastname@example.org.