• there is a central counterparty (CCP) authorised to clear the relevant derivative instrument (and)
• EU Commission has decided that the instrument shall be cleared, clearing obligation
• Both parties to the transaction are subject to the clearing requirement

The clearing requirement only covers transactions that Swedbank does with other financial counterparties above the clearing threshold, FC, and with companies that exceed the clearing threshold, NFC+.

Clearing obligation applies to the following instruments:

• Interest Rate Swaps, Basis Swaps, Forward Rate Agreements (FRA) and Overnight Index Swaps (OIS) in USD, EUR, JPY and GBP
• Interest rate swaps and FRA in SEK, NOK and PLN
• Non-deliverable forward
• Index credit default swaps

For more information on clearing and risk mitigation measures, see ESMA’s website

Clearing thresholds

The clearing threshold is a threshold set by the EU institution ESMA, in order to distinguish between Financial and Non-Financial counterparties, whose OTC derivative exposure can be considered larger or smaller. Below are some main rules for how the threshold is calculated for FC and NFC respectively.

Calculating the

FC

• All OTC derivatives entered into for each asset class must be included in the calculation.
• The calculations must be made separately for the different asset classes, see below. If an asset class exceeds the threshold, the counterparty is categorised as FC. This means that all OTC derivatives that the EU Commission has decided on clearing obligation for must be cleared, including the asset classes that are below threshold.
  The calculation must be made at Group level.

NFC

• All OTC derivatives not made for hedging purposes for the respective asset class shall be included in the threshold calculation.
• The calculations shall be made separately for different asset classes. If an asset class exceeds the threshold, the counterparty will be categorised as NFC+ and all OTC derivatives in that category shall be cleared, but not the asset classes that are below the threshold.
• The calculation must be made at Group level.
• If you do not perform calculations in accordance with the regulations, you will be subject to compulsory clearing in all asset classes.
• Companies that do not calculate or alternatively calculate and fall above one or more clearing thresholds must immediately notify ESMA and the Swedish Financial Supervisory Authority.

If a non-financial counterparty is subject to clearing due to any of the above reasons, other stricter EMIR requirements will also apply in full, including requirements for the provision of collateral and reporting obligations, see transaction reporting. However, if you perform the calculations in accordance with the rules and do not exceed the threshold amounts mentioned, you do not need to clear or follow other risk-mitigating measures.

The bank’s offer

In order to clear derivatives, the customer must go through a clearing member specifically appointed by the customer. Swedbank is a clearing member of Nasdaq OMX and LCH (London Clearing House) and offers clearing there.