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Clearing Threshold Under EMIR

2021-04-12 07:04:45

What is the Clearing Threshold?

OTC derivative contracts that are not executed on a regulated market or third country equivalent have a clearing obligation if they exceed 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 Asset Class
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

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 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 (FC+), 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).
  • Where a NFC calculates its positions and the result of that calculation exceeds the clearing thresholds(NFC+), 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.

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