These FAQs address the Regulatory Technical Standards (RTS) published in the EU Official Journal in May 2018, which set out the procedures for excluding third-country non-financial counterparties (NFCs) from the Credit Value Adjustment (CVA) capital risk charge under the Capital Requirements Regulation (CRR).
We have divided the FAQs into three sections related to the scope of the RTS, the requirements applicable under the RTS and the potential effects resulting from the current review of the European Market Infrastructure Regulation (EMIR Refit) and Brexit.
The responses to these FAQs involve an assessment of the existing requirements and their implications for firms; but do not constitute exhaustive nor definitive answers.
Disclaimer: This page does not contain legal advice and merely is intended as an information resource to assist market participants in planning and assessing for the identification of non-EU NFCs for the purpose of CVA requirements under CRR. For a legal interpretation of the rules, market participants should take independent counsel advice on the points addressed in these FAQs.