EMIR 3 clearing thresholds: should you reassess your clearing status?

New thresholds for OTC derivatives. Which positions count, and when should you recalculate?

New EMIR 3 clearing thresholds for over-the-counter (OTC) derivatives apply from 10 November 2026. The rules also change which positions count towards those thresholds. Your clearing status may change even if your portfolio stays the same. According to the European Securities and Markets Authority (ESMA), you can apply the new method at your usual annual calculation date.

At a glance

• Financial counterparties assess their uncleared positions. For interest rate and credit derivatives, they also assess their total positions.

• Non-financial counterparties calculate at entity level and exclude qualifying hedging contracts.

• If you exceed an applicable threshold, notify ESMA and your competent authority immediately. You have four months from notification to put clearing arrangements in place.

Which positions count?

For both financial and non-financial counterparties, the first step is to identify which contracts qualify as OTC derivatives under EMIR. A derivative executed on a trading venue can still qualify as an OTC derivative. Check the regulatory status of the venue. For the uncleared positions test, also check whether the contract is cleared through a central counterparty (CCP) authorised or recognised under EMIR.

A financial counterparty (FC) that calculates its positions assesses its uncleared OTC positions. For interest rate and credit derivatives, it also assesses its total OTC positions, both cleared and uncleared. The calculation generally takes place at group level. UCITS and alternative investment funds calculate at fund level, with safeguards against understating positions or circumventing the clearing obligation. Check the data for all relevant group entities or each fund, as applicable, and record the results of the two tests separately.

A non-financial counterparty (NFC) includes the uncleared OTC contracts it has entered into itself. It may exclude contracts that can be objectively shown to reduce risks directly related to its commercial or treasury financing activities, or those of its group. An interest rate swap hedging exposure on a variable-rate business loan may qualify. Document the risk each excluded contract hedges and how you substantiate the reduction in risk.

Which EMIR 3 clearing thresholds apply?

Why do financial counterparties run two tests?

For interest rate and credit derivatives, FCs also compare their total OTC positions in each asset class with a separate threshold. Cleared and uncleared positions count together. NFCs apply only the uncleared positions test.

Illustrative example. Over the previous twelve months, a financial counterparty’s month-end positions averaged €2 billion in uncleared interest rate derivatives and €1.2 billion in cleared interest rate derivatives. Its uncleared positions remain below the €2.2 billion threshold. Its total positions of €3.2 billion exceed the €3 billion threshold. The second test can therefore still trigger a clearing obligation. The example compares the two EMIR 3 tests. A separate comparison is needed to determine whether clearing status changes relative to the previous regime.

For each asset class, compare the average of the relevant month-end positions over the previous twelve months with the applicable threshold. The thresholds are expressed in gross notional value. For NFCs, the move from group-level to entity-level calculation can change the result.

Do you need to recalculate on 10 November?

According to ESMA, you can keep your usual annual calculation date. If you normally calculate in June, you can first apply the new method in June 2027. You can also recalculate earlier, from 10 November 2026, if you expect your clearing status to change and want to assess the impact sooner. Your next twelve-month cycle starts from that earlier calculation date.

If you are already subject to the clearing obligation and your new calculation falls below the relevant thresholds, the obligation continues until you demonstrate to your competent authority that you meet the conditions for it to end.

What happens if you exceed a threshold?

Notify ESMA and your competent authority immediately. You must put the necessary clearing arrangements in place within four months of notification. The clearing obligation applies to relevant contracts entered into or novated more than four months after notification.

For an FC, exceeding one applicable threshold can trigger the clearing obligation across all asset classes for which it has been established. For an NFC that calculates its positions, the obligation is limited to the asset classes in which it exceeds a threshold. Whether an individual contract must be cleared also depends on the product and the counterparty’s status.

If you choose to forgo an applicable calculation, notify ESMA and your competent authority immediately. In that case, the clearing obligation extends to all asset classes for which it has been established, where the contracts meet the applicable conditions.

What can you do now?

• Confirm whether you are an FC or NFC and at what level you should calculate.

• Check which OTC positions count. If you are an NFC, retain the evidence for any hedging exclusions.

• Record your calculation date and retain the data, assumptions and results.

• If your status may change, review the representations you make to counterparties and assign responsibility for notifications and clearing arrangements.

What does this mean for your business, and how can DUFINCO help?

DUFINCO helps you determine which OTC positions count, assess whether your clearing status could change and identify what that means for your documentation, notifications and clearing arrangements.

To discuss what your business needs to do, email info@dufinco.nl or call +31 6 512 47 217.

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