EU EMIR: New clearing thresholds and calculation methodologies apply from 10 November 2026
Key points
New EU EMIR clearing thresholds and calculation methods will apply from 10 November 2026, changing how financial counterparties (FCs) and non-financial counterparties (NFCs) determine whether they are above or below the relevant clearing thresholds.
The changes have been introduced by EU Regulation 2024/2987 (EMIR 3) and EU Regulation 2026/2343 and must be applied by market participants no later than their first annual calculation date after 10 November 2026 (although may be applied earlier). For many, this will be June 2027.
ESMA expects most counterparties to retain their existing clearing classification under the revised thresholds. However, market participants with large uncleared positions may move from a "-" to a "+" classification.
The main changes taking effect on 10 November 2026 are as follows:
- FCs will need to perform two separate calculations1:
- their group-wide positions across all five asset classes in OTC derivative transactions that are not cleared through an EU CCP or a recognised third-country CCP (uncleared transactions); and
- their group-wide aggregate positions in both cleared and uncleared OTC derivative transactions, but only for credit derivatives and interest rate derivatives.
- NFCs will perform only one calculation, covering their positions in uncleared transactions across all five asset classes. NFCs will not need to calculate aggregate positions.
- NFC calculations will be based solely on the calculating NFC's transactions and will not include transactions entered into by other NFCs in its group.
- Once calculated, FCs and NFCs will need to measure their uncleared positions against the following revised thresholds:
- EUR 0.8 billion for credit derivatives;
- EUR 0.7 billion for equity derivatives;
- EUR 2.2 billion for interest rate derivatives;
- EUR 3 billion for foreign exchange derivatives; and
- EUR 4 billion for commodity and emission allowances derivatives.
- FCs will also need to measure their aggregate cleared and uncleared positions against additional thresholds, but only for credit derivatives and interest rate derivatives:
- EUR 1 billion for credit derivatives; and
- EUR 3 billion for interest rate derivatives.
- The existing thresholds for equity, foreign exchange, and commodity derivatives will no longer apply to aggregate positions.
The proposed amendments were consulted on by ESMA in April 2025 and ESMA published its Final Report in February 2026.
No corresponding changes are currently expected under UK EMIR. The revised EU regime will therefore create a significant divergence between the UK and EU regimes, with implications for market participants operating across both jurisdictions.
The table below compares the original and revised clearing thresholds.
| Asset class |
Original thresholds |
Revised thresholds |
Revised thresholds |
| 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 |
| Foreign exchange derivatives | EUR 3 billion | EUR 3 billion | N/A |
| Commodity derivatives and other OTC derivatives not mentioned above | EUR 4 billion | EUR 4 billion (commodity and emission allowance derivatives combined) | N/A |
Background
EMIR 3 introduced fundamental changes to the way in which counterparties calculate their derivative positions for assessment against the clearing thresholds for classification purposes. It also mandated ESMA to re-visit the clearing thresholds and the parameters of the NFC hedging exemption to check they are still appropriate.
Although EMIR 3 largely entered into force in December 2024, the changes to the calculation methodologies were postponed pending the adoption of new clearing thresholds. These have now been adopted and will apply from 10 November 2026. Market participants therefore have until their first annual calculation date thereafter to implement the new methodologies. For many market participants this will be in June 2027.
The revised thresholds and the new calculation methodologies are discussed below.
New clearing thresholds
EU Regulation 2026/2343 revises the clearing thresholds in EU Regulation 149/2013 as of 10 November 2026 to:
- remove the aggregate thresholds applicable to equity, foreign exchange and commodity derivatives so that aggregate thresholds remain for credit and interest rate derivatives only (EUR 1 billion and EUR 3 billion, respectively); and
- incorporate the new clearing thresholds shown above for uncleared positions.
New FC calculation methodology
Under the new methodology, when assessing their positions against the revised clearing thresholds, FCs will need to perform two calculations:
- one to calculate their uncleared positions, counting all uncleared2 transactions; and
- another to separately calculate their aggregate positions in credit derivatives and interest rate derivatives, counting their cleared and uncleared positions. This aggregate calculation need not be performed in respect of the other asset classes (equity, foreign exchange, and commodity derivatives).
FCs will still need to include all group transactions and will not benefit from the hedging exemption.
If the result of either 1 or 2 exceeds one of the relevant thresholds, the FC will be categorised as an FC+.
The aggregate calculation applies only to credit and interest rate derivatives, being the only asset classes currently subject to the clearing obligation.
The rationale for the methodology change is to recognise the benefits of clearing by putting more emphasis on the level of uncleared transactions, given that these carry more risk. However, ESMA wanted to avoid de-scoping counterparties with large cleared portfolios (including potentially significant volumes cleared through systemically important third-country CCPs) simply because they have relatively few uncleared transactions - hence the requirement for FCs to also calculate aggregate positions in the most-cleared asset classes.
FCs and NFCs can still elect not to perform the calculation, but they are then automatically categorised as an FC+ or NFC+.
New NFC calculation methodology
Under the new methodology, when assessing their positions against the revised clearing thresholds, NFCs will:
- count only uncleared transactions;
- calculate their positions by reference to their own transactions only, rather than including transactions entered into by other NFCs in their group; and
- still be able to use the hedging exemption, including for transactions entered into to hedge the risk of another group entity.
If the result exceeds one of the above thresholds, the NFC will be categorised as an NFC+.
Regular review
ESMA is required to review the thresholds at least every two years, or sooner if it identifies significant changes to certain factors, including:
- price volatility in the underlyings of in-scope asset classes;
- the proportion of in-scope OTC derivative transactions that are cleared;
- the proportion of entities clearing OTC derivatives transactions; or
- the inflation rate, global financial conditions, or geopolitical and economic policy uncertainties.
Hedging exemption
ESMA also assessed the hedging exemption, which remains available to cover transactions entered into by an NFC to hedge its own risks or those of another entity in its group. To help market understanding of the exemption, ESMA provided various (non-exhaustive) case study examples in its 2025 Consultation, which are replicated in the Annex.
Commentary
ESMA explained in its February 2026 Final Report that it calibrated the new thresholds to ensure that broadly the same counterparties remain subject to the clearing obligation. Most counterparties should therefore retain their existing classification.
However, this will be counterparty dependent. For example, an entity that is currently an NFC– could become an NFC+ if most of its group trading is uncleared and concentrated in one asset class and one entity. The same could apply to FCs whose group-wide uncleared positions sit just below the legacy thresholds.
Market participants should therefore ensure that they fully understand the new calculation methodologies and revised clearing thresholds and that they have the necessary processes and systems in place to operationalise these ahead of their next annual calculation date.
Annex
Case A
An NFC (NFC A) has a 3 billion EUR position in interest rate derivatives not for hedging and a 2 billion EUR position in interest rate derivatives classified as hedging.
Total NFC position in interest rate derivatives for the purpose of the clearing thresholds would be 3 billion EUR.
Case B
An NFC (NFC A) has a 4 billion EUR position in interest rate derivatives not for hedging and a 2 billion EUR position in interest rate derivatives classified as hedging on behalf of another NFC (NFC B) within the same group (with an intragroup trade between A and B for example).
Total NFC A position in interest rate derivatives for the purpose of the clearing thresholds would be 4 billion EUR, total NFC B position in interest rate derivatives for the purpose of the clearing thresholds would be 0.
Case B-bis
An NFC (NFC A) has a 4 billion EUR position in interest rate derivatives not for hedging and another NFC (NFC B) within the same group has a 2 billion EUR position in interest rate derivatives classified as hedging (with no link between A and B regarding that trade/position).
Total NFC A position in interest rate derivatives for the purpose of the clearing thresholds would also be 4 billion EUR, total NFC B position in interest rate derivatives for the purpose of the clearing thresholds would also be 0.
Case C
An NFC (NFC A) has a 1 billion EUR position in interest rate derivatives not for hedging and two other NFCs (NFC B and NFC C) within the same group only have a 2 billion EUR position each in interest rate derivatives classified as hedging.
Total NFC A position in interest rate derivatives for the purpose of the clearing thresholds would be 1 billion EUR, total NFC B and NFC C position for the purpose of the clearing thresholds in interest rate derivatives would be 0 respectively.
Case D
An NFC (NFC A) conducts some sort of portfolio management of its trading activity. For example, NFC A has a 2 billion EUR position in interest rate derivatives which are partly (1 billion EUR) not for hedging and partly (1 billion EUR) for hedging on behalf of another NFC (NFC B) within the same group.
Total NFC A position in interest rate derivatives for the purpose of the clearing thresholds would be 1 billion EUR and total NFC B position in interest rate derivatives for the purpose of the clearing thresholds would be 0.
Authors: Daniel Franks, Partner; Kirsty McAllister-Jones, Expertise Counsel.
- FCs and NFCs may still elect not to perform the calculation, in which case they are automatically categorised as an FC+ or NFC+ (as applicable).
- EU EMIR defines "uncleared position" as "the aggregate month-end average position for the previous 12 months in OTC derivative contracts that are not cleared by a CCP authorised under Article 14 or recognised under Article 25".
