This is the process designed for verifying your compliance status versus EMIR clearing thresholds. The first step is purporting to examine whether you have included in your calculations the correct items. 

 

 

question-mark-womenUse the table below for verification. 

 

 

 

Field

number

Position of the Annex I to the MiFID

Derivatives' Category Description    

Which items have you included in your Clearing Threshold Calculation Base?*

1 C1

 

Transferable securities

 

 
2  C2

  

Money-market instruments

 

 

3

 C3

 

Units in collective investment undertakings

 

 

4

C4

Options, futures, swaps, forward rate agreements and any other derivative contracts relating to securities, currencies, interest rates or yields, or other derivatives instruments, financial indices or financial measures which may be settled physically or in cash

 

5

C5

Options, futures, swaps, forward rate agreements and any other derivative contracts relating to commodities that must be settled in cash or may be settled in cash at the option of one of the parties (otherwise than by reason of a default or other termination event)

 

6

C6 

Options, futures, swaps, and any other derivative contract relating to commodities that can be physically settled provided that they are traded on a regulated market

 

7

C6

 

Options, futures, swaps, and any other derivative contract relating to commodities that can be physically settled provided that they are traded on a third-country market considered as equivalent to a regulated market in accordance with Article 19(6) of Directive 2004/39/EC

 

 

8

n/a

Options, futures, swaps, and any other derivative contract relating to commodities that can be physically settled provided that they are traded on a third-country market considered as non-equivalent to a regulated market in accordance with Article 19(6) of Directive 2004/39/EC

 

 9

n/a

 

Derivatives transactions (such as block trades) executed outside the trading platform of the regulated market, but subject to the rules of the regulated market and executed in compliance with those rules, including the immediate processing by the regulated market after execution and the clearing by a CCP

 

 

 10

n/a

 

Derivative contracts which are not executed on a regulated market, but which share the same characteristics as exchange traded derivatives, so that once cleared they become fungible with them

  

 

11

C6

 

Options, futures, swaps, and any other derivative contract relating to commodities that can be physically settled provided that they are traded on an MTF

 

 

12 

C7 

Options, futures, swaps, forwards and any other derivative contracts relating to commodities, that can be physically settled not otherwise mentioned in C.6 and not being for commercial purposes, which have the char­acteristics of other derivative financial instruments, having regard to whether, inter alia, they are cleared and settled through recognised clearing houses or are subject to regular margin calls

 
13  C8 

 

Derivative instruments for the transfer of credit risk

 

 

14

C9

Financial contracts for differences

 

15

C10

Options, futures, swaps, forward rate agreements and any other derivative contracts relating to climatic variables, freight rates, emission allowances or inflation rates or other official economic statistics that must be settled in cash or may be settled in cash at the option of one of the parties (otherwise than by reason of a default or other termination event), as well as any other derivative contracts relating to assets, rights, obligations, indices and measures not otherwise mentioned in this Section, which have the characteristics of other derivative financial instruments, having regard to whether, inter alia, they are traded on a regulated market or an MTF, are cleared and settled through recognised clearing houses or are subject to regular margin calls

 

16

n/a 

 

Spot contracts

 

 

each applicable field mark with "yes" or "no"

 

 

Answer

 

 

 

 

If you have inserted "yes" in the fields: 1, 2, 3, 6, 7, 9, 10, 16 of the above table, this is incorrect and you should recalculate your positions as you are at risk that you are above the clearing threshold and your OTC derivatives positions must be cleared with the CCP.

 

 

 

 

 

 

 

Comments

 

1. With respect to mandatory clearing EMIR requirements are applicable to the over-the-counter ('OTC') derivative contracts (EMIR Article 1(1)):

 

- 'derivative contract' or 'derivative' means a financial instrument as set out in points (4) to (10) of Section C of Annex I to Directive 2004/39/EC as implemented in Article 38 and 39 of Regulation (EC) No 1287/2006 (EMIR Article 2(5)).


- 'over-the-counter derivative' means a derivative contract the execution of which does not take place on a regulated market as within the meaning of Article 4(1)(14) of Directive 2004/39/EC or on a third-country market considered as equivalent to a regulated market in accordance with Article 19(6) of Directive 2004/39/EC (EMIR Article 2(7)).

 

2. Derivative contracts traded on MTFs are OTC derivatives in the context of EMIR, and consequently, are required to be included in the clearing thresholds calculations.

 

3. Derivative contracts executed on non-EU exchanges that are equivalent to a regulated market in accordance with Article 19(6) of MiFID do not count for the purpose of the determination of the clearing threshold. Derivatives traded in other non-EU exchanges will count for the determination of the clearing threshold. To date, there is no publicly available list of non-EU exchange equivalent to a regulated market, as envisaged under Article 19(6) of MiFID.

 

4.Derivatives transactions, such as block trades, which are executed outside the trading platform of the regulated market, but are subject to the rules of the regulated market and are executed in compliance with those rules, including the immediate processing by the regulated market after execution and the clearing by a CCP, should not be regarded as OTC derivatives transactions. Therefore, these transactions should not be considered for the purpose of the clearing obligation and the calculation of the clearing threshold by NFC that only relates to OTC derivatives.


5. Derivative contracts which are not executed on a regulated market, but which share the same characteristics as exchange traded derivatives, so that once cleared they become fungible with them are not OTC derivative since the definition laid down in Article 2(7) of EMIR explicitly refers to the place of execution ("a derivative contract the execution of which does not take place on a regulated market"). The characteristics that the above-mentioned contracts have in common with exchange traded derivatives are therefore not relevant for the purpose of the definition of OTC derivatives.

 

6. The specification which contracts have the "characteristics of other derivative financial instruments" is laid down in Articles 38 and 39 of the Regulation (EC) No 1287/2006 of 10 August 2006 implementing Directive 2004/39/EC of the European Parliament and of the Council as regards record-keeping obligations for investment firms, transaction reporting, market transparency, admission of financial instruments to trading, and defined terms for the purposes of that Directive (OJ L 241, 2.9.2006, p.1).

 

 

 

 

Check the next step for verification.

 

 

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