The European Securities and Markets Authority (ESMA) has published its final report with draft regulatory technical standards (RTS) amending the RTS on the clearing thresholds in Delegated Regulation (EU) No 149/2013, under the European Markets Infrastructure Regulation (EMIR). The amendments reflect changes introduced by EMIR 3, which revise the clearing threshold regime by moving from the exchange traded derivatives (ETD) versus over the counter (OTC) distinction to a methodology based primarily on uncleared OTC transactions. This approach aims to better capture the benefits of central clearing. Under the new framework, financial counterparties (FCs) must calculate both their uncleared positions and aggregate OTC exposure (cleared and uncleared), while non financial counterparties (NFCs) need only consider their uncleared positions.
In the final report, ESMA sets revised clearing thresholds that focus on uncleared OTC derivatives, while keeping aggregate thresholds for FCs in asset classes subject to the clearing obligation unchanged at EUR3 billion for interest rate derivatives (IRDs) and EUR1bn for credit derivatives.
For uncleared positions, applicable to both FCs and NFCs, the thresholds are:
- EUR2.2bn for IRDs (decrease from current threshold of EUR3bn) (up from EUR1.8bn in the consultation).
- EUR0.8bn for credit derivatives (decrease from current threshold of EUR1bn) (up from EUR0.7bn in the consultation).
- EUR0.7bn for equity derivatives (decrease from current threshold of EUR1bn).
- EUR3bn for foreign exchange derivatives (consistent with current threshold).
- EUR4bn for commodity and emission allowance derivatives (consistent with current threshold) (up from EUR3bn in the consultation).
(Remembering that current thresholds include both cleared and uncleared positions for both FCs and NFCs so the thresholds are not directly comparable).
ESMA states that thresholds that were increased following the consultation reflect recent price developments, inflation and other relevant market factors while ensuring a proportionate coverage of the systemic risk. ESMA has retained five clearing threshold categories, avoiding additional categories or more granular thresholds. In particular, the fifth clearing threshold category will cover only commodity and emission allowance derivatives and it has decided not to introduce more granular commodity sub thresholds at this stage.
In response to consultation feedback, ESMA also clarified implementation timing, stating that counterparties may apply the new methodology during their usual annual calculation window, typically June, or earlier if they wish to benefit from the new regime. It also confirmed that the hedging exemption cannot be broadened, including for virtual power purchase agreements, as this would require amendments to the Level 1 Regulation. The draft RTS have now been submitted to the European Commission for endorsement, following which they will be subject to adoption.
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