What is the Clearing Threshold?
OTC derivative contracts that are not executed on a regulated market or third country equivalent have a clearing obligation if they exceed the Clearing Threshold. The Clearing Threshold is an amount set by class of OTC derivative contracts. It is set by regulatory technical standards and will be reviewed on a regular basis following public consultation.
| Value of the clearing thresholds | Asset Class |
| EUR 1 billion* | Credit derivative contracts |
| EUR 1 billion* | Equity derivative contracts |
| EUR 3 billion* | Interest rate derivative contracts |
| EUR 3 billion* | Foreign exchange derivative contracts |
| EUR 4 billion** | Commodity derivative contracts and others |
* in gross notional value
** Initially EUR 3 billion in gross notional value for OTC commodity derivative contracts and other OTC derivative contracts but under the Commission Delegated Regulation of 18.10.2022 amending the regulatory technical standards laid down in Delegated Regulation (EU) 149/2013 as regards the value of the clearing threshold for positions held in OTC commodity derivative contracts and other OTC derivative contracts adopted by the European Commission the clearing threshold value for positions held in OTC commodity derivatives is increased from EUR 3 billion to EUR 4 billion.
Under the new EMIR Refit regime to determine when do counterparties become subject to the clearing obligation, FCs and NFCs will decide to calculate or not their positions in OTC derivative contracts against the clearing thresholds:
- Where a FC or a NFC does not calculate its positions against the clearing thresholds, it will become subject to the clearing obligation for all OTC derivative contracts pertaining to any class of OTC derivatives for which the clearing obligation is applicable.
- Where a FC calculates its positions and the result of that calculation exceeds the clearing threshold (FC+), the FC will become subject to the clearing obligation for all OTC derivative contracts pertaining to any class of OTC derivatives for which the clearing obligation is applicable (regardless of not exceeding the clearing threshold of each asset class).
- Where a NFC calculates its positions and the result of that calculation exceeds the clearing thresholds(NFC+), the NFC will become subject to the clearing obligation only for the OTC derivative contracts in asset classes for which the result of the calculation exceeds the clearing thresholds.
