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. )
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. )
Data as of 2026-07-04 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗
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;
(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.
2. 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;
(b)
on an annual basis for existing counterparties;
(c)
where there is reason to believe that the counterparty is no longer a non-financial counterparty established in a third country.
3. Institutions shall substantiate their opinion that an undertaking is a non-financial counterparty established in a third country.
1. 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.
2. 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;
(b)
on a periodic basis.
3. 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;
(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.
4. 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.
