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).

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