Notification when exceeding or no longer exceeding clearing threshold
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.
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* for equity derivative contracts
- EUR 3 billion* for interest rate derivative contracts
- EUR 3 billion* for foreign exchange derivative contracts
- EUR 3 billion* for commodity derivative contracts and others
* in gross notional value
Notification
The AFM has been appointed as the supervisor for EMIR supervision of non-financial counterparties and of financial counterparties, insofar as the financial counterparty is not considered a credit institution, (re)insurance undertaking or institution for occupational retirement. These three types of financial counterparty are supervised by the Dutch Central Bank (DNB).
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 the AFM as well as ESMA. 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 the AFM as well as ESMA when they no longer exceed the clearing thresholds.
How to notify the AFM and ESMA?
For the purpose of notifying both the AFM and ESMA when counterparties exceed or no longer exceed the clearing threshold, FCs and NFCs should use the notification form in the link on this page and send it to EMIR@afm.nl (use Cryptshare if you want to securely transfer the file to AFM) and separately to EMIR-notifications@esma.europa.eu
Please, do not modify the structure of the template file (e.g. number of sheets, sheet names).