Counterparty Credit Risk

1.1

This Part applies to every firm that is a CRR firm.

1.2

In this Part the following definitions shall apply:

CCR Mark-to-Market method

means the method set out in in Chapter Six, Section 3 of the CRR.

interest-rate contract

means an interest rate contract of a type listed in paragraph 1 of Annex II of the CRR.

1.3

Unless otherwise defined, any italicised expression used in this Part and in the CRR has the same meaning as in the CRR.

2.1

For the purpose of Article 282(6) of the CRR, a firm must apply the CCR Mark-to-Market method to:

1. (a) transactions with a non-linear risk profile; or
2. (b) payment legs and transactions with debt instruments as underlying

for which it cannot determine the delta or modified duration, as the case may be, using an internal model approved by the PRA under Title IV of the CRR for the purposes of determining own funds requirements for market risk.

2.2

For the purposes of 2.1, a transaction means a transaction to which Chapter Six of the CRR applies.

3.1

For the purpose of Article 298(4) of the CRR, a firm must use the original maturity of the interest-rate contract.