10

Intragroup Credit Valuation Adjustment Risk

10.1

A ring-fenced body and a ring-fenced affiliate that is a CRR firm must include an intragroup transaction in its calculation of its own funds requirements for credit valuation adjustment risk in accordance with Part 3, Title VI of the CRR where the intragroup transaction is entered into with a member of its group that is not a ring-fenced affiliate.

10.2

A ring-fenced body that is required under Article 11(5) of the CRR to comply with obligations on a sub-consolidated basis must comply with 10.1 on that sub-consolidated basis.

[Note: Art. 382(4)(b) of the CRR]