Counterparties must communicate their EMIR status to Natixis (the "EMIR Categorization") according to criteria set by the EMIR regulation. In case of a change in your EMIR status, please notify Natixis without delay of any change by contacting the following address: regulatory_csg@natixis.com

The EMIR regulation, within the meaning of Article 2 of Regulation (EU) 648/2012 of 4 July 2012, distinguishes between types of market participants and defines two broad categories of counterparties:

 

Financial Counterparty ("FC"):

• An investment firm authorized in accordance with Directive 2014/65/EU of the European Parliament and of the Council;
• A credit institution authorized in accordance with Directive 2013/36/EU of the European Parliament and of the Council;
• An insurance or reinsurance undertaking authorized in accordance with Directive 2009/138/EC of the European Parliament and of the Council;
• A UCITS, and where appropriate, its management company authorized in accordance with Directive 2009/65/EC, unless that UCITS is established exclusively for the purpose of serving one or more employee share schemes;
• An institution for occupational retirement provision (IORP) within the meaning of Article 6, point (1), of Directive (EU) 2016/2341 of the European Parliament and of the Council;
• An alternative investment fund (AIF) within the meaning of Article 4(1)(a) of Directive 2011/61/EU, which is either established in the Union or managed by an alternative investment fund manager (hereinafter "AIFM"), authorized or registered in accordance with that Directive, unless that AIF is established exclusively for the purpose of serving one or more employee share schemes, or the AIF is an ad hoc securitisation vehicle referred to in Article 2(3)(g) of Directive 2011/61/EU and, where appropriate, its AIFM established in the Union;
• A central securities depository authorized in accordance with Regulation (EU) No 909/2014 of the European Parliament and of the Council; Also concerned is any entity established outside the European Union that would meet one of the above definitions if it were established in the European Union.

 

Non-Financial Counterparty ("NFC"):

• This includes any entity established in the European Union that does not meet the definition of a Financial Counterparty or any entity established outside the European Union that would meet the definition of an NFC. Non-financial counterparties are subdivided according to the extent of their exposure to OTC derivatives: those that exceed a certain notional amount threshold ("NFC+") and those for which the notional amount is below this threshold ("NFC-"). An NFC+ is a non-financial counterparty whose average over the last 12 months of its aggregated month-end positions in OTC derivative contracts (excluding hedging derivatives) exceeds one of the clearing thresholds mentioned below. This calculation applies at the group level or, if the counterparty is not part of a group, at the entity level.

 

Note: when an NFC exceeds one of the clearing thresholds, it:

 

• Must immediately inform the European Securities and Markets Authority (ESMA) and its competent local authority, specifying the period used for the calculation;
• Must establish clearing agreements within four months of this notification;
• Must clear OTC derivative contracts subject to clearing belonging to the asset class whose threshold is exceeded and which are concluded or novated more than four months after the notification.

 

Petite Contrepartie Financière (« SFC ») :

• The EMIR regulation defines an SFC as a financial counterparty whose average, over the last 12 months, of its aggregated month-end positions in OTC derivative contracts (including hedging derivatives) does NOT exceed ANY of the clearing thresholds mentioned above. This calculation applies at the group level or, if the counterparty is not part of a group, at the entity level. When the entity is an alternative investment fund (AIF) or a UCITS or an equivalent foreign investment fund (non-EU), the calculation is done at the fund level only.

 

Note: when an SFC exceeds one of the clearing thresholds, it:

 

• Must immediately inform the European Securities and Markets Authority (ESMA) and its competent local authority, specifying the period used for the calculation;
• Must establish clearing agreements within four months of this notification;
• Must clear all OTC derivative contracts subject to clearing that are concluded or novated more than four months after the notification.

 

To determine if counterparties are subject to the clearing obligation:

• Financial Counterparties (FCs) must calculate, at the group level:
  • Their OTC derivative positions (cleared and non-cleared) in gross notional value, and
  • Their non-cleared OTC derivative positions in gross notional value.
• Non-Financial Counterparties (NFCs) must calculate, at their entity level, their positions relating only to non-cleared OTC derivatives in gross notional value.

The list of derivative products subject to the clearing obligation is as follows:

Asset classes	Index	Currency	Maturity
Basis swaps (single currency)	EURIBOR	EUR	28 days – 50 ans
Fixed-to-Float Interest Rate Swap (single currency)	EURIBOR NIBOR WIBOR STIBOR	EUR NOK PLN SEK	28 days – 50 years 28 days – 10 years 28 days – 10 years 28 days – 15 years
Forward Rate Agreement(single currency)	EURIBOR NIBOR WIBOR STIBOR	EUR NOK PLN SEK	3 days – 3 years 3 days – 2 years 3 days – 2 years 3 days – 3 years
Overnight Index Swap(single currency)	FedFunds SONIA €STR SOFR TONA	USD GBP EUR USD JPY	7 days – 3 years 7 days – 50 years 7 days – 3 years 7 days – 50 years 7 days – 30 years

Note: Please check for regular updates on the ESMA website via the following link: Public Register for the Clearing Obligation under EMIR
 

Asset classes and clearing thresholds for uncleared OTC derivative positions:

Asset classes	New thresholds for uncleared OTC derivatives positions in gross notional value
Interest rate derivatives	2.2 billions euros
Foreign exchange derivatives	3 billions euros
Commodity and other emission allowance derivatives	4 billions euros
Credit derivatives	0.8 billions euros
Equity derivatives	0.7 billions euros

   

Asset classes and clearing thresholds for aggregate cleared and uncleared positions in gross national value:

 

Asset classes	New thresholds for uncleared OTC derivatives positions in gross notional value
Interest rate derivatives	3 billions euros
Credit derivatives	1 billion euro

  You must clear derivative products falling within the scope of EMIR through a clearing house authorized or recognized by ESMA. The list of central clearing houses authorized or recognized by ESMA is available via this link: List of Central Counterparties authorised to offer services and activities in the Union  

The reporting of transactions aims to ensure transparency in derivative markets for regulators to facilitate the identification and mitigation of systemic risk.

The reporting obligation applies to all FC (including SFC), NFC, and CCP counterparties that enter into a derivative contract, whether over-the-counter or admitted to trading on a trading platform.

EMIR requires that this reporting of derivative contract transactions be carried out with central repositories registered or recognized (Trade Repository) by ESMA. The list of central repositories authorized or recognized by ESMA is available via this link: List of registered trade repositories

Natixis, as an FC, is required to report all OTC derivative transactions executed with NFC-. The client must provide Natixis with its Legal Entity Identifier ("LEI") and (i) ensure that its LEI is up-to-date at all times and (ii) take the necessary steps to renew its LEI annually.

Natixis can systematically generate the standard, unique, and universal product identifier ("UTI / UPI") for EMIR transaction reporting or follow ISDA's recommendation to identify the responsible party. Natixis reports transactions to the Central Repository (DDR) for EMIR regulation.

In the event of a change in your EMIR status, please notify Natixis without delay of any change regarding the delegation of transaction reporting by contacting the following address:

 

regulatory_csg@natixis.com

Financial counterparties, including small financial counterparties, and non-financial counterparties that enter into over-the-counter derivative contracts not belonging to a product category declared subject to the clearing obligation must use risk mitigation techniques and ensure:

• Prompt confirmation, where possible by electronic means, of the terms of the relevant OTC derivative contract;
• The establishment of robust, resilient, and auditable formalized procedures to:
  • Reconcile portfolios;
  • Manage associated risk;
  • Promptly detect and resolve any disputes between parties;
  • Monitor the value of outstanding contracts.

Portfolio Reconciliation and Dispute Resolution

Portfolio reconciliation allows two counterparties to compare the transactions within a portfolio of derivative contracts to identify any differences (discrepancies in the number of operations, valuation discrepancies, etc.).

Natixis, as a financial counterparty, is required to report reconciliation anomalies to regulatory authorities, particularly any valuation discrepancies in transactions or any failure to exchange collateral exceeding 15 million euros, when these anomalies persist for at least 15 business days.

 

Counterparty type	Number of contract with Natixis	Matching Frequency
FC (FC+/FC-) et NFC+	500 and more 51 to 499 50 and less	Once a day Once a week Once a quarter
NFC-	101 and more 100 and less	Once a quarter Once a year