EMIR – Annual calculation for Non-Financial and Financial counterparties – 17 June 2022

Background

European Market Infrastructure Regulation (EMIR) REFIT (Regulation 2019/834) entered into force on June 17, 2019. One of the recurring tasks for any counterparty in derivatives is the annual calculation of the clearing threshold and then subsequent possible notifications to authorities. Failure to calculate will automatically lead to your entity requiring clearing for asset classes where you breach the clearing threshold (if you are a non-financial counterparty) or for all asset classes (if you are a financial counterparty – i.e. a credit institution, investment firm/fund, an insurance company, etc).

The clearing thresholds (in gross notional value) are:

• 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 3 billion      Commodity derivative contracts and others
  
  

Your To-Do

All entities will need to calculate their status in line with the requirements or decide not to calculate considering the impact on their specific business environment. In any case, the decision and outcome should be documented and authorities should be notified, as required. This calculation of gross notional value might have some complexity.

How Deloitte can help you

Deloitte Regwatch will help you stay tuned to regulatory updates and anticipate regulatory changes impacting your business and organization.

Deloitte’s advisory and consulting services can help you in the assessment, understanding, and operation to comply with EMIR while assisting with the calculation, methodology review, notification and much more such as an OperateService on Transaction Reporting through our proprietary solution.

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