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       The verification's subject     mark-to-market                    

 

notional amount

 

 

Which valuation method did you use for establishing your position versus EMIR clearing thresholds?

 

   

 

 

 

 

 

 

 

 

AnswerIf you have chosen "mark-to-market" and not the "notional amount" in the table above, you are at risk of non-compliance.

 

EMIR requires to add up the nominal value of all outstanding OTC derivative contracts, irrespective of whether they are in or out of the money.

 

 

 

 

 

 

 

 

Comments

 

1. When the notional amount of a derivative contract is subject to modifications which were already foreseen in the original contract specifications (e.g. a reduction/increase of the notional at fixed dates), the updated notional amount should be taken into account for the purpose of calculating the clearing threshold.

 

2. In respect of instruments like options, contracts for difference (CFD) and commodity derivatives which are designated in units such as barrels or tons, the nominal or notional amounts are the reference amount from which contractual payments are determined in derivatives markets. It can also be defined as the value of a derivative's underlying assets at the applicable price at the transaction's start (in the case of options, this is not the premium).

 

3. In the case of contracts where prices will only be available by the time of settlement, the notional amount should be evaluated using the price of the underlying asset at the time the calculation of the positions in OTC derivatives to be compared to the clearing thresholds is made.

 

4. With respect to contracts with a notional amount that varies in time, the notional amount to be considered is the one valid at the time the calculation of the positions in OTC derivatives to be compared to the clearing thresholds is made.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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