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Clearing Thresholds

Clearing Thresholds

Regulation (EU) 2019/834 amending EMIR, EMIR Refit, provides for a new regime to determine when Financial counterparties (FC) and Non-Financial counterparties (NFC) are subject to the clearing obligation.

    When does a counterparty become subject to the clearing obligation?

    Under the new EMIR Refit regime to determine when do counterparties become subject to the clearing obligation, FCs and NFCs will decide to calculate or not their positions in OTC derivative contracts against the clearing thresholds:

    • Where a FC or a NFC does not to calculate its positions against the clearing thresholds, it will become subject to the clearing obligation for all OTC derivative contracts pertaining to any class of OTC derivatives for which the clearing obligation is applicable.
    • Where a FC calculates its positions and the result of that calculation exceeds the clearing threshold, the FC will become subject to the clearing obligation for all OTC derivative contracts pertaining to any class of OTC derivatives for which the clearing obligation is applicable (regardless of not exceeding the clearing threshold of each asset class, see table below on value of clearing thresholds).
    • Where a NFC calculates its positions and the result of that calculation exceeds the clearing thresholds, the NFC will become subject to the clearing obligation only for the OTC derivative contracts in asset classes for which the result of the calculation exceeds the clearing thresholds.

    For further details on by when counterparties need to determine whether they are subject to the clearing obligation, please refer to the Public Statement issued by ESMA on the implementation of the new EMIR Refit regime for the clearing obligation for FCs and NFCs. 

     

    What is the Clearing Threshold?

    The Clearing Threshold is an amount set by class of OTC derivative contracts. It is set by regulatory technical standards and will be reviewed on a regular basis following public consultation.

    Value of the clearing thresholds

    EUR 1 billion*

    Credit derivative contracts

     

    EUR 1 billion*

    Equity derivative contracts

     

    EUR 3 billion*

    Interest rate derivative contracts

     

    EUR 3 billion*

    Foreign exchange derivative contracts

     

    EUR 3 billion*

    Commodity derivative contracts and others

     

    * in gross notional value

    Notification

    Under the EMIR Refit regime, where a FC or a NFC does not calculate its positions against the clearing threshold, or when the result of the calculation exceeds the clearing thresholds, FCs and NFCs are required to immediately notify ESMA and the relevant competent authority. These counterparties will become subject to the clearing obligation for the OTC derivative contracts entered into, or novated, from four months following the notification.

    FCs and NFCs should also notify ESMA and the relevant national competent authority when they no longer exceed the clearing thresholds.

    For the purpose of notifying ESMA when counterparties exceed or no longer exceed the clearing thresholds, FCs and NFCs should use this notification template and send it to EMIR-notifications@esma.europa.eu  Please, do not modify the structure of the template file (e.g. number of sheets, sheet names). 

    Please note that only notification templates should be submitted through EMIR-notifications@esma.europa.eu. This inbox is not monitored for queries. ESMA has a specific tool to process Q&As.