EMIR 3.0 AAR – Frequently Asked Questions

For the details around the 85% exemption, we would refer to section 3.4 of ESMA’s consultation paper:

Application - It seems to apply to both the 3 operational criteria under the AAR (Art. 7a(3) points a) to c)) and the related reporting and stress testing requirements (Art. 7a(4) subparagraph 4 and Art. 7b(2). It remains to be discussed with the authorities if a market participant needs to continuously measure if they keep meeting the 85% threshold and align with their NCA that they are still eligible for the exemption. However, the exemptions appear not to apply to the representativeness criterion ((Art. 7a(3) point d) and the reporting under that criterion (section 6.3 of ESMA draft RTS and Art. 9 of the draft ESMA RTS) as well as the general reporting of activities and risk exposures (Art. 7b(1) and Art. 7 of the ESMA draft RTS).

Calculation - It seems to apply to the outstanding contracts already cleared by a firm at an EU CCP in the relevant derivative contracts in scope of the AAR contracts and on aggregate across all categories of derivatives in scope of the AAR, measured in gross notional value of the aggregate month-end average position for the previous 12 months at group level, i.e., including the clearing activity of all the entities of a group subject to consolidated supervision in the EU, but excluding intragroup transactions and client clearing activity. We recommend clarifying the calculation's starting period with ESMA and the NCA. However, we would assume it is aligned with the application date of EMIR 3.0 and the AAR.

We would understand that if a firm already clears its total business on an EU CCP, it should qualify for the 85% exemption, including an exemption from related reporting and stress testing. We would recommend aligning with the relevant competent authority if this exemption and potentially further ones are to be applied.

We understand that the 85% exemption allows for relief from both the operational conditions themselves as well as from the related reporting and stress testing for those conditions. We would recommend aligning with the relevant competent authority to see if a firm is eligible for the exemption and if the exemption will be granted accordingly.

EMIR 3.0 foresees that firms need to clear 5 trades in each of the identified most relevant subcategories per contract class in scope per reference period. Based on the matrix suggested by ESMA in their draft RTS, we understand that a market participant would have to multiply the generally foreseen 5 trades with the number of relevant subcategories and the reference period, which are both defined for each contract class in scope in order to determine how much they need to clear on average on an annual basis per contract class.

Please refer to the illustration above for the details defined for each contract class in scope of the AAR.

To provide an example, we refer to the first row of the matrix in the presentation above, i.e., EUR IRS: Here, a firm would multiply the required 5 trades by the 5 most relevant subcategories defined for EUR IRS – which would be 25 trades. Now, the firm needs to add the reference period defined for EUR IRS: Depending on whether it is a small or large firm, they would either have to clear those 25 trades every 6 months, so twice a year, or every month, so 12 times a year. This means they would have to multiply the 25 trades by 2 or 12, respectively. A small firm would, therefore, have to clear, on average, at least 50 EUR IRS trades each year on their EU account, and a large firm would have to clear 300 EUR IRS trades.

The same calculation logic applies to all other classes of derivatives in the matrix.

Please refer to the illustration above for the “buckets” that were suggested by ESMA’s draft RTS for each contract class in scope of the AAR.

Generally, the combination of maturity and trade size ranges described in the illustration above result in the number of possible subcategories for each of the classes of derivatives that ESMA has proposed. For instance, sticking with the EUR IRS example in the matrix, ESMA proposes 4 maturity ranges from up to 5 years, 5-10 years, 10-15 years and above 15 years, and 3 trade size ranges from up to 25mn, 25-50mn and anything above 50mn EUR. If a market participant multiplies the 4 maturity ranges by the 3 trade sizes, they receive 12 possible subcategories for EUR IRS. ESMA has proposed that market participants need to identify 5 most relevant subcategories for EUR IRS. This means that the market participant needs to identify those 5 buckets out of the possible 12 buckets where they have the highest level of trading activity as per number of trades. In those subcategories, market participants are expected to clear the required minimum level of activity.

Using the highest number of trades during a reference period to determine a market participant's individual most relevant subcategories concurs with our understanding, in line with Article 7a(8) EMIR 3.0 and paragraphs (134) and (135) of ESMA's draft RTS. We are not aware of a minimum number of trades for this determination. The matrix provided by ESMA provides the flexibility to identify those subcategories where an individual market participant has the highest number of trades.

Please refer to the illustration above.

We understand that only the contract types defined by ESMA in the draft RTS will be relevant for the AAR. Please refer to the illustration above for the concrete list of defined IRD classes.

ESMA clarified in paragraphs (117) and (118) of the consultation paper for their draft RTS that both options and futures for any cash-settled derivative contracts that are executed on an EU or a third-country exchange and have a 3-month interest rate as underlying referenced in Euribor and €STR shall be considered for the representativeness criterion.

We understand that the 6bn exemption applies only to the representativeness criterion (and related reporting provisions) but not to the rest of the requirements under the AAR. Therefore, even if a market participant is carved out from the representativeness criterion through the 6bn exemption, they are not out of scope of the AAR. They still need to set up and maintain an operational account at an EU CCP, including compliance with the related reporting and stress testing provisions associated with the operational criteria.

We would refer to Recital (12) or EMIR 3.0 and section 3.3 of ESMA's draft RTS, which clarify the entity vs. group level calculations. Based on that, we understand that if a market participant belongs to a group that is subject to consolidated supervision in the EU, it shall include all relevant contacts cleared by that entity as well as by any other entity within that group (except intragroup transactions) for determining their AAR thresholds and obligations. Where this is the case, the group level calculation applies to all requirements in Article 7a(1) EMIR 3.0. Nevertheless, it appears to be sufficient that one entity of the group maintains the account and represents the group's activities on the account, similar to the clearing obligation approach. Particularly for the 6bn threshold, we would refer to paragraphs (50) and (51) of ESMA's draft RTS where ESMA clarifies the entity vs. group level calculation. Note that also for reporting, ESMA clarifies the information to be provided on counterparty vs. group level in Article 7 of the draft RTS or, respectively Annex II.

We understand that client clearing activities are exempted from the representativeness criterion and the calculations to determine a counterparty's clearing volume in accordance with Art. 7a(4) EMIR 3.0.

We understand that client clearing activities are explicitly exempted from the representativeness criterion and the calculations to determine a counterparty's clearing volume in accordance with Art. 7a(4) EMIR 3.0. We would recommend clarifying with ESMA and/or the relevant competent authority if this allows for client clearing business to be considered completely out of scope. Where clients themselves are subject to the AAR, we would understand that the obligation to ensure an active account, either directly or indirectly, would sit with them.

We would refer to section 3.4 of ESMA's draft RTS, which reiterates the exemptions granted in Article 7a(5) EMIR 3.0. Based on that, we understand that the 85% exemption explicitly only applies to the operational requirements, including reporting and stress testing of the operational conditions, but not to the rest of the AAR, such as the representativeness criterion and the reporting of activities under the representativeness criterion.

When it comes to the timing, ESMA seems to suggest in Chapter III for Reporting Requirements in their draft RTS that firms submit their reports to their NCAs on the last day of January or, respectively, July each year for the information of the previous 12 months. Based on Article 10 paragraph 2 of the ESMA draft RTS, we understand that the first reports shall be submitted not earlier than 6 months after the ESMA final RTS are effective. Assuming that the final RTS will be available in summer 2025, we would therefore understand that the first reports would have to be submitted by the end of January 2026.

When it comes to what needs to be reported, a list of required information is provided in Chapter III for Reporting Requirements in the ESMA draft RTS. In addition, ESMA added several Tables in the Annexes to the draft RTS to give more specific information on what should be reported. As many firms already provide similar information under EMIR Art. 9 reporting, paragraph (160) of ESMA’s consultation paper implies that firms may re-use data that is already being reported. However, the AAR reporting is a separate reporting regime.

When it comes to reporting formats and channels, we refer to section 6.4 of the consultation paper, where ESMA announced that it would provide further guidance to ensure consistent reporting and define data standards, formats, methods, and arrangements in due course.

From paragraph (180) of ESMA's draft RTS, we understand that further guidance will be made available, which will also address data standards, formats, methods and arrangements for reporting to NCAs and ESMA. We would encourage market participants to flag it to ESMA and the NCAs if specific templates or other information are recommended for further guidance.

We would refer to paragraphs (162 to 166), Articles 7 and 9 as well as Annex II of ESMA's draft RTS, but also encourage firms to align with ESMA and the NCAs if more guidance is required.

Eurex noted that the stress-testing and certification proposals in the ESMA draft RTS are to be provided by EU CCPs to facilitate market participants’ compliance with their operational and stress-testing provisions under the AAR. Generally, it should be noted that there are no operational restrictions for respective accounts at Eurex to take the proposed increase in activities. Depending on the outcome of the final RTS, Eurex is committed to facilitate market participants’ firms’ compliance and will provide simulation and confirmation solutions. However, being aware that many market participants consider the proposed approach burdensome, Eurex would be open to accommodating alternative/more pragmatic solutions. We refer to our public response to ESMA’s consultation on the draft RTS for details in this respect.

We would assume that indirect clearing arrangements with an EU CCP via clearing brokers fulfill the requirement. We would base this assumption on Recital (11) of EMIR 3.0 and ESMA's references to arrangements "with the CCP, directly or via a clearing member or client providing client clearing services" in their draft RTS.

We would refer to where they elaborate on the double condition to determine if a market participant is subject to the AAR:

Based on this, the first condition is to check if a market participant exceeds the current 3bn OTC IRD clearing threshold as such. However, the second condition is to check whether the market participant meets the same threshold either individually for any of the contracts that are in scope of the AAR (EUR OTC IRD, PLN OTC IRD and EUR STIR) or on an aggregated level. Our interpretation is, therefore, that once you exceed the IRD clearing threshold of 3 bn EUR in the contract classes in scope of the AAR or on an aggregated level, you are not only subject to mandatory clearing but also to the AAR.

We would refer to the STIR specifications in section 3.2.3 of ESMA’s consultation paper: ESMA clarifies that STIR contracts executed on ICE in the UK are considered OTC contracts. Hence, we understand that they should be counted against the OTC IRD clearing threshold for the AAR calculations.

Based on ESMA's draft RTS section 3.2.3 on STIR specifications, we would concur that any STIR contracts traded and cleared on EU exchanges and CCPs would not be considered under the AAR calculations.

Generally, there are no operational restrictions for respective accounts at Eurex to take a significant increase in activities. Eurex Clearing systems are designed to scale.

There are a number of vendor tools to estimate the best results, and our margin calculators are also available online via our website or via API. See the link to the webpage to access the margin calculator: Margin Calculators

Once all forms and data are submitted by the Clearing member of the Direct Clients are deemed complete and accurate, the go-live date will be effective 5 business days later.

Eurex encourages all market participants to begin the onboarding of new accounts well ahead of the EMIR 3.0 effectiveness timeline on 24 June 2025 to avoid bottleneck situations and facilitate timely compliance.