The European Commission has adopted a Delegated Regulation that determines the method for the measurement of additional collateral outflows resulting from the impact of an adverse market scenario on institutions’ derivative transactions, as a component of the liquidity coverage requirement specified in Commission Delegated Regulation (EU) No 2015/61 of 10 October 2014 supplementing the Capital Requirements Regulation with regard to the liquidity coverage requirement for credit institutions. Also, the Delegated Regulation determines the threshold above which an institution’s derivative transactions must be considered material for the purposes of the first subparagraph of Article 423(3) of the CRR.

The next step is for the Council of the EU and the European Parliament to consider the Delegated Regulation. If neither of them objects to it, the Delegated Regulation will enter into force 20 days after its publication in the Official Journal of the EU.

View Commission Delegated Regulation (EU) No…/… of 31.10.2016 supplementing Regulation (EU) No. 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for additional liquidity outflows corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution’s derivatives transactions, 31 October 2016