Determination of clearing threshold of non-financial counterparties

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.