Commission Delegated Regulation (EU) 2018/728 of 24 January 2018 supplementing Regulation (EU) No 575/2013
as it stood on 2018-01-24, permalink: /eu-eurlex/32018r0728/2018-01-24
Article 1
- For the purposes of point (a) of Article 382(4) of Regulation (EU) No 575/2013, institutions shall consider as non-financial counterparties established in a third country, counterparties that meet both of the following conditions:
| (a) | they are established in a third country; |
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| (b) | they would qualify as a non-financial counterparty within the meaning of point (9) of Article 2 of Regulation (EU) No 648/2012 if they were established in the Union. |
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- Institutions shall verify whether a counterparty is a non-financial counterparty established in a third country:
| (a) | at trade inception when trading with a new counterparty; |
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| (b) | on an annual basis for existing counterparties; |
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| (c) | where there is reason to believe that the counterparty is no longer a non-financial counterparty established in a third country. |
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- Institutions shall substantiate their opinion that an undertaking is a non-financial counterparty established in a third country.
Article 2
For the purpose of excluding transactions with a non-financial counterparty established in a third country from the own funds requirements for CVA risk in accordance with point (a) of Article 382(4) of Regulation (EU) No 575/2013, institutions shall verify, for each class of OTC derivative contracts referred to in Article 11 of Delegated Regulation (EU) No 149/2013, that the gross notional value of the OTC derivative contracts of that non-financial counterparty within that class does not exceed the relevant clearing threshold referred to in Article 11 of that Regulation.
Institutions shall carry out the verification referred to in paragraph 1 in one of the following cases:
| (a) | at the inception of each new trade with that counterparty; |
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| (b) | on a periodic basis. |
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- For the purpose of point (b) of paragraph 2, the periodic verification shall be performed in accordance with one of the following frequencies:
| (a) | on an annual basis; |
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| (b) | on a quarterly basis, where for any of the classes of OTC derivatives the gross notional value of OTC derivatives transactions of the non-financial counterparty established in a third country is greater than 75 % of the clearing threshold value for that class referred to in Article 11 of Delegated Regulation (EU) No 149/2013. |
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- Institutions shall substantiate their opinion that, for each class of OTC derivatives contracts referred to in Article 11 of Delegated Regulation (EU) No 149/2013, the gross notional value of the OTC derivative contracts of a non-financial counterparty established in a third country, for that class, does not exceed the corresponding clearing threshold referred to in that Article.
Article 3
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
Provenance and validity dates, identifier, hash
| as of | 2018-01-24 → this version applied |
| valid | 2018-01-24 → open publisher-asserted |
| type | REG_DEL Commission Delegated Regulation (EU) 2018/728 of 24 January 2018 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for procedures for excluding transactions with non-financial counterparties established in a third country from the own funds requirement for credit valuation adjustment risk (Text with EEA relevance. ) |
| language | en |
| published | 2018-01-24 |
| lex_id | eu-eurlex:32018r0728:2018-01-24 |
| record sha256 | bf6aeaa129077cade1f917f32d6c331fb0c2252c0e291e3ae39eb2992495627b |
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