Clearer Calculations: A Revamp of the EU EMIR Clearing Threshold Calculation

November 10, 2026

Key Takeaways

Changes to the EU EMIR clearing thresholds regime take effect on Tuesday 10 November 2026.
The changes affect those directly in-scope of EU EMIR, or that trade with EU counterparties.
Changes are significant and require new calculation processes.
There is some flexibility as to when the new calculation is made.
The UK EMIR clearing threshold calculation is unaffected.

Changes to the EU EMIR¹ clearing thresholds regime take effect on Tuesday 10 November 2026.

The changes have their beginnings in EMIR 3² which entered into force on 24 December 2024, but were contingent on the associated regulatory technical standards being consulted on and finalised. That process is now complete. Read on for our high-level look at those changes and what in-scope entities need to know.

What is Happening?

New clearing threshold tests

The existing clearing threshold test that applies to both “Financial Counterparties” or “FCs” and “Non-financial counterparties” or “NFCs”³ will be replaced. The new tests focus on cleared versus uncleared derivatives, answering one of the criticisms of the current regime that the benefits of clearing are not recognised:
- For FCs, there will be two clearing threshold tests4 to determine if any of the clearing threshold values set out in the table below are exceeded:
  1. Uncleared Positions Test: the aggregate month-end average position for the previous 12 months in OTC “uncleared” derivative contracts, being those OTC derivatives that are not cleared by an EU-authorised or non-EU-recognised central counterparty;
  2. Aggregate Positions Test: the aggregate month-end average position in cleared and uncleared OTC derivatives contracts for the previous 12 months.
    
    If an FC exceeds the clearing threshold in either of the two clearing threshold tests, it will be classified as a so called ‘large’ FC (or "FC+").
- For NFCs, the sole clearing threshold test will be the Uncleared Positions Test⁵.
  
  If an NFC exceeds a clearing threshold in the Uncleared Position Test it becomes a “NFC+".
  
  Given the change in approach to the calculation methodology, the clearing threshold values have been recalibrated. Currently, the Aggregate Positions Test applies only to those asset classes in scope of the mandatory clearing obligation, being the interest rate and credit derivatives classes.

Group Calculation
- FCs. When determining both the Uncleared Positions Test and the Aggregate Positions Test, FCs will continue to include the relevant positions of all FCs and NFCs within its “group”. The existing exception for UCITS and AIFs will remain, provided the criteria specified in EU EMIR are met.
- NFCs. The group calculation changes for NFCs. Going forwards, NFCs will calculate their uncleared positions on an entity-only basis, rather than including positions entered into by other NFCs in their group. NFCs may continue to exclude hedging transactions⁶ they enter into that benefit themselves or other group members.

When will the Changes Occur?

From Tuesday 10 November 2026 when the Delegated Regulation⁷enters into force.

No immediate recalculation is required. ESMA⁸ has clarified that counterparties should have flexibility to either:

i) wait until their next annual calculation date and use the new methodology at that time i.e., for a counterparty that has 19 June 2026 as an annual calculation date, they may wait until 19 June 2027; or

ii) transition to the new methodology before their next annual calculation date, so at any time on or after 10 November 2026, and then every 12 months thereafter.

Who is Affected?

Those entities who need to determine their EU EMIR regulatory classification and/or provide the same to a counterparty. In other words, all derivatives users directly in scope of EU EMIR and those who trade with counterparties who are directly in scope of EU EMIR.

The Current EU EMIR Clearing Threshold Calculation

Pursuant to EU EMIR, counterparties taking positions in “OTC derivatives” may calculate their aggregate month-end average position in OTC derivatives in each prescribed asset class for the previous 12 months on a “group” basis (where relevant) and compare the result to the clearing threshold value for the relevant asset class to determine whether the applicable clearing threshold(s) are exceeded. All cleared (including those cleared voluntarily) and uncleared OTC derivatives must be included in the calculation.

The current iteration of the clearing threshold calculation has been in force since 2019⁹. The current clearing threshold levels for each asset class are set out in the table below.

The clearing threshold tests that EU EMIR mandates differ between FCs and NFCs, as do the consequences. For example, an FC+ categorisation results in that FC being required to clear all OTC derivatives that have been declared subject to the clearing obligation irrespective of whether the FC has exceeded the clearing threshold in that derivatives class; whereas NFC+s are only required to clear the OTC derivative contracts in the specific derivatives class in which the clearing threshold has been exceeded, and provided those derivatives are subject to mandatory clearing.

Compare and Contrast - Clearing Threshold Values Old and New

OTC derivative class	Current: EU and UK EMIR All FCs and NFCs Gross Notional Value* (cleared and uncleared OTC derivatives)	New: EU EMIR “Uncleared Positions Test” (FCs and NFCs) Gross Notional Value* (uncleared positions in OTC derivatives)	New: EU EMIR “Aggregate Positions Test” (FCs only) Gross Notional Value* (cleared and uncleared OTC derivatives)
Credit derivatives	*EUR 1 billion*	EUR 0.8 billion	EUR 1 billion
Equity derivatives	*EUR 1 billion*	EUR 0.7 billion	N/A
Interest rate derivatives	*EUR 3 billion*	EUR 2.2 billion	EUR 3 billion
FX derivatives	*EUR 3 billion*	EUR 3 billion	N/A
Other derivatives (including commodities)	*EUR 4 billion (EU EMIR)* *EUR 6 billion (UK EMIR)*	This bucket will be limited to Commodity and Emission Allowance Derivatives EUR 4 billion	N/A

*In each case the calculation is by reference to the aggregate month-end average positions for the previous 12 months in the relevant categories of derivative.

Next Steps

In-scope firms should consider when to adopt the new clearing threshold calculation.

Any change in counterparty classification should be notified to relevant counterparties and (where applicable) to ESMA and the relevant national competent authority. It may also be necessary to update representations and (for EU EMIR reporting purposes) static data information previously provided to counterparties.

UK EMIR

These changes do not affect the equivalent UK EMIR clearing thresholds regime.

For firms where both regimes apply, either directly or indirectly by virtue of trading with a UK / EU counterparty, new systems and controls will need to be established to ensure that the firm can correctly conduct both the EU EMIR and the UK EMIR versions of the clearing thresholds calculation at the appropriate time.

Any questions please ask the team.

Footnotes

Regulation (EU) No 648/2012 of the European Parliament and of the Counsel of 4 July 2012 on OTC derivatives, central counterparties and trade repositories, as amended; available here.
EMIR 3 is available here and our related publication, EMIR 3: A buy-side 101 is available here.
"Financial Counterparties” and “Non-Financial Counterparties” as defined in Article 2(8) and Article 2(9) of EU EMIR.
See Article 4a of EU EMIR, as amended by Article 1(4) of EMIR 3.
See Article 10 of EU EMIR, as amended by Article 1(9) of EMIR 3.
See Article 10(3) of EU EMIR, as amended by Article 1(9)(b) of EMIR 3 and further detail as is set out in Article 10, Commission Delegated Regulation (EU) no 149/2013, as amended.
Available here. The related Final Report can be found here (the “Final Report”).
The European Securities and Markets Authority. See Section 2.3.4.5 of the Final Report.
See our related note here.