EMIR 3: ESMA proposes clearing thresholds

The European Securities and Markets Authority (ESMA) has published a consultation paper setting out draft regulatory technical standards (RTS) amending the RTS on the clearing thresholds (CTs) under the European Markets Infrastructure Regulation (EMIR). Under the latest revisions to EMIR, known as EMIR 3, the calculation of CTs will be amended (once these RTS enter into force), shifting away from distinguishing between exchange-traded derivatives (ETD) and over-the-counter (OTC) derivatives (where only OTC derivatives counted towards the threshold) to a framework based on the level of OTC-uncleared transactions. Financial counterparties (FCs) will need to calculate their uncleared positions and their aggregate OTC exposure (both cleared and uncleared) to determine if they exceed the CTs. Non-financial counterparties (NFCs) will be required to count only their uncleared positions towards the CTs.

EMIR 3 mandates ESMA to draft RTS to specify the values of CTs for both aggregate and uncleared positions. ESMA's proposals are as follows:
 

Product	Current Thresholds (as per Commision Delegated  Regulation (EU) No 149/2013)	Proposed Threshold: Aggregate OTC exposure (both cleared and uncleared) FCs only	Proposed Threshold: Uncleared positions FCs and NFCs
OTC credit derivative contracts	EUR 1 billion	EUR 1 billion	EUR 0.7 billion
OTC equity derivative contracts	EUR 1 billion		EUR 0.7 billion
OTC interest rate derivative contracts	EUR 3 billion	EUR 3 billion	EUR 1.8 billion
OTC foreign exchange derivative contracts	EUR 3 billion		EUR 3 billion
OTC commodity derivative contracts	EUR 4 billion		EUR 3 billion

ESMA is not intending to introduce separate thresholds for the various commodity derivatives sub-asset classes and is not proposing more granular thresholds for commodity derivatives based on ESG factors or crypto-related features.

EMIR 3 also requires ESMA to define the criteria for determining which OTC derivative contracts objectively reduce risks, regarding which ESMA is not proposing any amendments because in ESMA's view, the RTS are clear. Responses to the consultation may be submitted until 16 June. Based on the feedback received, ESMA will proceed with publishing a final report and submit the draft technical standards to the European Commission, which it must do by 25 December at the latest.  

Return to main website.