Asset class

Current clearing thresholds (gross notional value)

(unless otherwise specified, this relates to both UK EMIR and EU EMIR, as each is currently in force)

Proposed clearing thresholds (gross notional value)

UK EMIR

EU EMIR

Aggregate positions calculation

Uncleared positions calculation

Credit derivatives

EUR 1bn

EUR 1bn

EUR 1bn

EUR 0.8bn

Equity derivatives

EUR 1bn

EUR 1bn

N/A

EUR 0.7bn

Interest rate derivatives

EUR 3bn

EUR 3bn

EUR 3bn

EUR 2.2bn

Foreign exchange derivatives

EUR 3bn

EUR 3bn

N/A

EUR 3bn

Commodity derivatives (noting the scope of this asset class, as set out below)

UK EMIR: EUR 3bn

EU EMIR: EUR 4bn

EUR 5bn

N/A

EUR 4bn

Note that this asset class covers commodity derivatives and “other derivatives” not provided for by the above asset classes.

N/A

Note that this asset class covers “commodity derivative and emission allowance derivative contracts”. There is no asset class expressly covering “other derivatives”.

Applicability and calculation methodology

Products to be included in the calculation

Cleared and uncleared OTC derivatives

Cleared and uncleared OTC derivatives

Cleared and uncleared OTC derivatives

Uncleared (i.e. not cleared at an authorised or recognised CCP) OTC derivatives only

FCs

Applicability

Calculation applicable

Calculation applicable

Calculation applicable

Calculation applicable

Additional key considerations

Groups

The calculation should include all OTC derivative contracts entered into by the FC or by other entities (including NFCs) within the FC’s group.

The calculation should include all uncleared OTC derivative contracts entered into by the FC or by other entities (including NFCs) within the FC’s group.

Notwithstanding the above, for UCITS and AIFs the calculation should be made at the level of the fund (or in case of umbrella funds, at the level of the sub-fund), subject to certain requirements.

When considered a “+”

An FC is considered a “+” if:

• the result of the calculation exceeds any clearing threshold; or

• it does not perform the calculation.

An FC is considered a “+” if:

• the result of either the aggregate positions calculation or the uncleared positions calculation exceeds any relevant threshold; or

• it does not perform both calculations.

Scope of being a “+”

If an FC is a “+”, the clearing obligation (depending on the FC’s counterparty) applies to all mandatorily clearable derivatives entered into by the FC. For example, if an FC exceeds a threshold in respect of interest rate derivatives, it may be required (depending on its counterparty) to clear mandatorily clearable credit derivatives that it enters into.

NFCs

Applicability

Calculation applicable

Calculation applicable

Calculation not applicable

Calculation applicable

Additional key considerations

Groups

The calculation should include all OTC derivative contracts entered into by the NFC or by other NFCs within its group, which are not objectively measurable as reducing risks directly relating to the commercial activity or treasury financing activity of the NFC or its group (i.e. hedging derivatives are excluded).

N/A

The calculation should include all uncleared OTC derivative contracts entered into by the NFC only (i.e. there is no need to consider other NFCs within its group), which are not objectively measurable as reducing risks directly relating to the commercial activity or treasury financing activity of the NFC or its group (i.e. hedging derivatives are excluded).

When considered a “+”

An NFC is considered a “+” if:

• the result of the calculation exceeds a relevant threshold; or

• it does not perform the calculation.

Scope of being a “+”

If, following the relevant calculation, an NFC is a “+”, the clearing obligation (depending on its counterparty) only applies to the asset class(es) in which the NFC has exceeded the relevant threshold. For example, if an NFC exceeds a threshold in respect of interest rate derivatives only, it would only be required (depending on its counterparty) to clear mandatorily clearable interest rate derivatives. However, in respect of an NFC which has been classified as a “+” because it did not perform the relevant calculation, it will be subject to the clearing obligation in relation to all asset classes.