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Clearing thresholds: Difference between revisions
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Amwelladmin (talk | contribs) (Created page with "===Non-financial counterparties=== EMIR identifies two sub-categories of Non-Financial Counterparties (“N...") |
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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’). | ||
====Clearing thresholds by class==== | ====[[Clearing thresholds]] by class==== | ||
'''Credit''': EUR1billion | '''Credit''': EUR1billion | ||
'''Equity''': EUR1 billion | '''Equity''': EUR1 billion | ||
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The regulatory obligations imposed on NFCs depend upon their 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 | *'''[[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 [[Clearing thresholds - EMIR|thresholds]]. | ||
*'''[[NFC-]]''': A [[non-financial counterparty below the threshold]] or [[NFC- | *'''[[NFC-]]''': A [[non-financial counterparty below the threshold]] or [[NFC-]], is one whose '''rolling average position over 30 working days''' doesn’t exceed the [[Clearing thresholds - EMIR|thresholds]] in any derivative classes. | ||