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Clearing thresholds: Difference between revisions
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Depending on the volume of derivatives a counterparty enters into, [[ESMA]] ([[European Securities and Markets Authority]]) has defined a set of clearing thresholds for each class of derivative and [[NFC]]s are classified relative to these thresholds.The calculation is based on gross notional values of positions (excluding cash products and spot [[FX]] that are ‘objectively measurable as reducing risks directly related to its commercial activity or treasury financing activity or that of its group (‘hedging derivatives’). | Depending on the volume of derivatives a counterparty enters into, [[ESMA]] ([[European Securities and Markets Authority]]) has defined a set of clearing thresholds for each class of derivative and [[NFC]]s are classified relative to these thresholds.The calculation is based on gross notional values of positions (excluding cash products and spot [[FX]] that are ‘objectively measurable as reducing risks directly related to its commercial activity or treasury financing activity or that of its group (‘hedging derivatives’). | ||
{{ | The regulatory obligations imposed on NFCs depend upon their NFC sub-categorisation. | ||
*'''[[NFC+]]''': A “non-financial counterparty above the threshold” or NFC+, is one whose rolling average position over 30 working days (excluding hedging derivatives) exceeds the thresholds. | |||
*'''[[NFC-]]''': A [[non-financial counterparty below the threshold]] or NFC-, is one whose rolling average position over 30 working days doesn’t exceed the thresholds in any derivative classes. | |||
Query also whether your counterparty might qualify for the hedging exemption in Article 10(3) on the basis that it is fully, objectively, hedged. | |||
====[[Clearing thresholds]] by class==== | |||
*'''[[Credit derivative|Credit]]''': EUR1billion | |||
*'''[[Equity derivative|Equity]]''': EUR1 billion | |||
*'''[[Interest rate derivative|Interest rates]]''': EUR3 billion | |||
*'''[[FX|Foreign Exchange]]''': EUR3 billion | |||
*'''[[Commodities]] and others''': EUR3 billion | |||
{{sa}} | |||
*[[clearing thresholds]] | |||
*[[Non-financial counterparty]] | |||
*[[NFC-]] | |||
*[[Financial counterparty]] | |||
*[[Hedging exemption]] | |||