- Question ID
-
2013_472
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
382
- Paragraph
-
4
- Subparagraph
-
a
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
not applicable
- Name of institution / submitter
-
Austrian Federal Economic Chamber, Division Bank and Insurance
- Country of incorporation / residence
-
Austria
- Type of submitter
-
Industry association
- Subject matter
-
Determination of clearing threshold of non-financial counterparties
- Question
-
Who decides if a non-financial counterparty exceeds a clearing threshold and therefore has to be included in the CVA calculation? Is this the responsibility of the counterparty? Is this only relevant for counterparties in third countries or also for counterparties in member states?
- Background on the question
-
Determination of clearing threshold of non-financial counterparties.
- Submission date
- Final publishing date
-
- Final answer
-
According to Article 382(4)(a) of Regulation (EU) No. 575/2013 (CRR), transactions with non-financial counterparties as defined in Article 2(9) of Regulation (EU) No. 648/2012 (EMIR), or with non-financial counterparties in third countries, shall be excluded from the own funds requirements for CVA risk where those transactions do not exceed the clearing threshold specified in Article 10(3) and (4) of EMIR.
The institution itself is responsible for taking the necessary steps to identify all non-financial counterparties that qualify for the exemption under Article 382(4)(a) of the CRR and calculate their own funds requirements for CVA risk with respect to those eligible non-financial counterparties accordingly (regardless of whether they are located within the EU or in a third country). Institutions should define appropriate arrangements with non-financial counterparties to ensure they remain informed of their status as regards the clearing threshold on an ongoing basis.
Please note that this does not prejudice the mandate of the EBA under Article 382(5) of the CRR to develop, in cooperation with ESMA, draft regulatory technical standards to specify the procedures for excluding transactions with non-financial counterparties established in a third country from the own funds requirements for CVA risk charge further to its review of international regulatory developments.
Where an institution has no information as to whether a non-financial counterparty exceeds the clearing threshold, the institution shall calculate an own funds requirement for CVA risk for all transactions with that counterparty.
- Status
-
Final Q&A
- Answer prepared by
-
Answer prepared by the EBA.
- Note to Q&A
-
Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.
Disclaimer
The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.