(1)

While financial counterparties are subject to the thresholds applicable to uncleared positions in over-the-counter (‘OTC’) derivatives (‘uncleared thresholds’), in order to ensure a prudent coverage of financial counterparties subject to the clearing obligation in accordance with Article 5(2) of Regulation (EU) 648/2012, it is necessary to set out the clearing thresholds applicable to aggregate positions in OTC derivatives (‘aggregate thresholds’) to which those counterparties are also subject. Since their purpose is to avoid excluding from the scope of the clearing obligation financial counterparties that have large cleared portfolios while remaining below the uncleared thresholds, these aggregate thresholds should only apply to the asset classes which are subject to that clearing obligation, namely OTC interest rate derivatives and OTC credit derivatives. This would ensure that an appropriate scope of financial counterparties is effectively subject to the clearing obligation.

(2)

The changes introduced by Regulation (EU) 2024/2987 of the European Parliament and of the Council (2) to the calculation methodology referred to in Article 4a(3) and Article 10(3) of Regulation (EU) No 648/2012 require a calibration of the uncleared thresholds applying to the positions held by both financial and non-financial counterparties. Those thresholds should be calibrated separately for interest rates, credit, equity, foreign exchange, commodity and emission allowance derivatives in order to ensure a prudent coverage of financial and non-financial counterparties subject to the clearing obligation. Furthermore, their calibration should be based on elements such as the systemic relevance of the sum of net positions, and the sum of net exposures, of those counterparties.

(3)

ESMA acknowledged the difference between the new methodology (on which the simulations were based) introduced through amendments of Article 10(3) under Regulation (EU) 2024/2987 which only considers uncleared OTC derivatives positions and the previous methodology which looked at both cleared and uncleared OTC derivative positions. With respect to the actual level of the uncleared thresholds, in the absence of previous thresholds, ESMA considered that the current population of counterparties and notional captured should be used as a guide for the calibration of the uncleared thresholds. On that basis, ESMA has run, for each of the five relevant asset classes, simulations showing how the coverage of the clearing obligation would change depending on the level of the threshold selected. It is appropriate to set the uncleared thresholds on the basis of those findings.

(4)

In order to ensure the timely review of the clearing thresholds, while preserving a sufficient degree of flexibility and limiting administrative burden, the mechanisms triggering the review of the values of the clearing thresholds referred to in Article 10(4), point (c) of Regulation (EU) No 648/2012 should include the monitoring, on an ongoing basis, of indicators used to monitor market developments in the exercise of the tasks conferred to ESMA under Article 32 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (3).

(5)

Commission Delegated Regulation (EU) No 149/2013 (4) should therefore be amended accordingly.

(6)

This Regulation is based on the draft regulatory technical standards submitted to the European Commission by ESMA.

(7)

ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010,

(1)

Article 11 is replaced by the following:

(2)

the following Articles 11a and 11b are inserted in Chapter VII: