The International Swaps and Derivatives Association (ISDA) has published an updated classification letter that will enable counterparties to notify each other of their status for clearing and other requirements under the European Market Infrastructure Regulation (EMIR). The updated letter covers the clearing obligation for certain interest rate derivatives classes denominated in European Economic Area (EEA) currencies and certain credit default swap (CDS) index classes.
The updated letter makes the following substantive amendments to the classification letter of 13 July 2015:
- aligns the definition of “Category 1 entity” to the one used in the final, published version of the G-4 Interest Rate Products RTS (Commission Delegated Regulation supplementing EMIR with regard to regulatory technical standards on the clearing obligation in respect of interest rate over-the-counter (OTC) derivatives denominated in Euro, British Pound, Japanese Yen or US Dollar);
- adds two new questions (and supporting definitions), allowing the named entity to state its clearing category in respect of each of the Second Rates RTS (Commission Delegated Regulation supplementing EMIR with regard to regulatory technical standards on the clearing obligation in respect of interest rate OTC derivatives denominated in Norwegian Krone, Swedish Krona and Polish Zloty) and the Index CDS RTS (Commission Delegated Regulation supplementing EMIR with regard to regulatory technical standards on the clearing obligation in respect of index CDS OTC derivatives); and
- removes the forward looking statement about classification in respect of future classes of OTC derivatives contracts made subject to mandatory clearing, which used to appear in question 1 of Appendix I, and the related “form of” notice which was attached at Appendix IV. These were no longer seen as necessary given the addition of the two new questions noted above.
View ISDA updates EMIR classification letter, 12 April 2016
