The European Securities and Markets Authority has published
its Final Report on draft Regulatory Technical Standards for clearing
thresholds under EMIR 3. The report follows amendments introduced by EMIR 3 and
sets out a revised framework for counterparties active in over-the-counter
derivatives markets.
Financial Firms Calculate Cleared, Uncleared Positions
The main change is a new calculation methodology focusing on
uncleared OTC derivatives. ESMA said the approach is intended to “better
recognise the benefits of central clearing while maintaining coverage of
systemic risk.”
Under the revised rules, non-financial counterparties must
calculate positions based only on uncleared OTC derivatives at entity level,
excluding hedging transactions. Financial counterparties must calculate two
sets of positions. One covers uncleared OTC derivatives at group level,
excluding funds. The second aggregates cleared and uncleared OTC derivatives
and acts as a backstop.
Uncleared Thresholds Increased Across Key Assets
ESMA updated its data analysis covering August 2024 to July
2025 to calibrate the new thresholds. The regulator said this was intended to
ensure the revised levels capture a similar population of counterparties as
under the previous regime.
Aggregate thresholds for financial counterparties remain
unchanged and apply only to asset classes subject to the clearing obligation.
The threshold for interest rate derivatives is €3 billion, while the threshold
for credit derivatives remains at €1 billion.
For uncleared thresholds, which apply to both financial and
non-financial counterparties, some values were increased compared with ESMA’s
April 2025 Consultation Paper. Interest rate derivatives are set at €2.2
billion, up from €1.8 billion. Credit derivatives are €0.8 billion, up from
€0.7 billion. Equity derivatives are €0.7 billion. Foreign exchange derivatives
are €3 billion.
Commodity and emission allowance derivatives are €4 billion, up
from €3 billion. ESMA said the adjustments reflect market conditions, inflation
and other relevant factors.
Commodity Class Renamed for Broader Scope
ESMA decided not to introduce separate thresholds for
sub-classes such as energy or agriculture, nor for ESG-linked commodities or
crypto-derivatives. The fifth asset class was renamed “commodity and emission
allowance derivatives” to reflect a broader scope.
During the consultation, some respondents asked whether
virtual power purchase agreements qualify as hedging. ESMA said changes to the
hedging exemption would require amendments to the Level 1 Regulation and
“cannot be addressed in these RTS.”
Counterparties Apply Calculations at Annual Date
The report also introduces a flexible review mechanism for
clearing thresholds. Reviews will not be automatic. ESMA will monitor
indicators at least once a year, including price volatility, the proportion of
cleared versus uncleared transactions, the share of entities that clear,
inflation, global financial conditions and geopolitical uncertainty.
Counterparties will be able to apply the new calculation
methodology at their usual annual calculation date after the RTS enters into
force, typically in June. If a counterparty’s status does not change under the
new framework, it will not need to re-notify ESMA or national authorities.
Credit Institutions Dominate Notional Above Thresholds
Following input from the European Systemic Risk Board, ESMA
analysed non-bank financial intermediaries. The data show credit institutions
account for 86% of notional traded above the thresholds. ESMA said it is
premature to introduce specific thresholds for non-bank financial
intermediaries but will continue monitoring developments.
Under EMIR, entities exceeding one or more clearing
thresholds are subject to additional requirements, including the clearing
obligation.
This article was written by Tareq Sikder at www.financemagnates.com.
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