Update on the EMIR Clearing Obligation and Credit Default Swaps

The second Delegated Regulation implementing the EMIR clearing obligation for two iTraxx Index CDS was published in the European Union’s Official Journal on 19 April 2016 (here).

European Commission Delegated Regulation (EU) 2016/592 applies the clearing obligation to Untranched iTraxx Index CDS (Main, EUR, 5Y) and Untranched iTraxx Index CDS (Crossover, EUR, 5Y). It will come into force on 9 May 2016 and the clearing obligation will take effect as follows:

  • 9 February 2017 for clearing members of a recognised or authorised central counterparty for at least one of the classes of iTraxx Index CDS covered by the Delegated Regulation;
  • 9 August 2017 for financial counterparties as defined in EMIR (“FCs”), and alternative investment funds as defined in the Alternative Investment Fund Managers Directive (“AIFs”) that are non-financial counterparties as defined in EMIR (“NFCs”), which belong to a group whose aggregate month-end average of outstanding gross notional amount of non-centrally cleared derivatives is above EUR 8 billion for January, February and March 2016;
  • 9 February 2018 for FCs and AIFs that are NFCs not falling within categories 1 or 2; and
  • 9 May 2019 for NFCs not falling within another category.

For further information, see our previous briefing, EMIR Clearing for Credit Default Swaps.