Regulatory Alerts2021-12-03
Added · Updated
Q&A on IFR/IFD Counterparty Credit Risk Permissions
Investment firms must submit specific documentation, including organizational charts, risk management descriptions, and legal opinions, to apply for permission to exclude intra-group transactions from K-TCD calculations under Article 25(3) of the IFR. Firms seeking to use CRR methods such as SA-CCR, SSA, or OEM for exposure value calculations must demonstrate compliance with CRR thresholds and provide comparative own funds requirement breakdowns pursuant to Article 25(4). Applications for permission to calculate own delta using specific models require detailed model governance, validation strategies, and instrument specifications under Article 29(6). DNB confirms it will not exercise discretion to adjust volatility for commodities or increase CVA risk exposures for securities financing transactions.