Clearing Threshold Calculations
Based on ESMA’s Q&A document, the following rules apply for calculating the clearing threshold within a group of counterparties:
- NFC (EU) with NFC (EU) of same group: double counting of trades.
- NFC (EU) of the group with external counterparty: single counting of trades.
- FC (EU) of the group with external counterparty: no counting of trades.
- NFC (Non-EU, but equivalent to EU) of the group with external counterparty: single counting of trades.
- NFC (EU) with NFC (Non-EU, but equivalent to EU) of same group: double counting of trades.
Please note:
- Only speculative trades are considered;
- Thresholds are calculated on group level;
- Only fully consolidated entities are counted towards the clearing threshold;
- Netting per counterparty / contract type allowed;
- If hedging, then entire “chain” is hedging (i.e. bank with NFC, NFC intragroup trade with another NFC).