• there is a central counterparty (CCP) which is approved to clear the relevant derivative (and)
  • the EU Commission has confirmed that the financial instrument shall be cleared (mandatory clearing)
  • the clearing requirement is applicable for both parties involved in the transaction.

The clearing requirement is applicable only for transactions which Swedbank conducts with other financial counterparties that exceed the clearing threshold, FC+, and with other companies that exceed the clearing threshold, NFC+.

Mandatory clearing applies to the following instruments:

  • Interest Rate Swaps, Basis Swaps, Forward Rate Agreements (FRAs), and Overnight Index Swaps (OIS) in the following currencies: USD, EUR, JPY and GBP
  • Interest Rate Swaps and FRAs in the following currencies: SEK, NOK and PLN

The clearing threshold

The clearing threshold is a limit set by the European Securities and Markets Authority (ESMA) in order to distinguish between financial and non-financial counterparties whose derivative engagement can be considered extensive, and counterparties whose engagement in derivatives can be considered less extensive. The main rules for calculating the threshold for FCs and for NFCs are described below.

FC

  • All OTC derivative transactions which have been entered into shall be included in the calculation.
  • Calculations shall be made separately for each asset class. If an asset class exceeds the threshold, the categorisation of the counterparty will be FC+ and all OTC derivatives that are subject to mandatory clearing according to ESMA requirements shall be cleared. This also applies to asset classes that are below the threshold.
  • The calculation shall be made on a Group level.

NFC

  • OTC derivative transactions entered into for the purposes of hedging shall not be included in the threshold calculation.
  • Calculations shall be made separately for each asset class. If an asset class exceeds the threshold, the categorisation of the counterparty will be NFC+ and all OTC derivatives that are subject to mandatory clearing according to ESMA requirements shall be cleared. Asset classes that are below the threshold shall not be cleared.
  • The calculation shall be made on a Group level.