Clearing thresholds

Non-financial counterparties

EMIR identifies two sub-categories of Non-Financial Counterparties (“NFC”).

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 NFCs 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’).

Clearing thresholds by class

Credit: EUR1billion Equity: EUR1 billion Interest Rates: EUR3 billion Foreign Exchange: EUR3 billion Commodities and others: EUR3 billion

NFC Sub-categorisation

The regulatory obligations imposed on NFCs depend upon their NFC sub-categorisation.

• NFC+: A “non-financial counterparty above the threshold” or NFC+, is one that has a rolling average position over 30 working days (excluding hedging derivatives) exceeds the threshold.
• NFC-: A non-financial counterparty below the threshold or [[NFC-[[, as long as your rolling average position over 30 working days doesn’t exceed the thresholds in any derivative classes.