Regulation (EU) No 575/2013 (Capital Requirements Regulation-CRR) Article 382(4)(a) excludes from the own funds requirements for CVA risk an institution’s transactions with non-financial counterparties (NFCs), regardless of whether these NFCs are established in the EU or in a third country, where those transactions do not exceed the clearing threshold as specified in Regulation (EU) No 648/2012 (European Markets Infrastructure Regulation-EMIR)Article 10 (3) and (4) (in that case, the NFC is referred to as ‘NFC-‘). As a result, an institution’s transactions with a NFC are excluded when the NFC is NFC-according to EMIR or would qualify as NFC-if it were established in the EU. The cross-references to EMIR Article 10(3) and (4) require in the specific case of NFC established in a third country that the clearing threshold as specified in EMIR is applied by NFCs established in a third country in order for transactions with those NFCs to be excluded from the CVA risk charge. The EBA is mandated to develop, in cooperation with ESMA, RTS to specify the procedures for excluding from CVA risk transactions with NFCs established in a third country. These proposed draft RTS further clarify that the institution itself is responsible for taking the necessary steps to identify all non-financial counterparties that qualify for the exemption under CRR Article 382(4)(a) and calculate their own funds requirements for CVA risk accordingly http://www.eba.europa.eu/single-rule-book-qa.
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