Article 2 Calculation of an Additional Outflow Corresponding to Collateral Needs Resulting from the Impact of an Adverse Market Scenario on an Institution's Derivative Transactions
1.
The additional outflow corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution's derivatives transactions considered as material in application of Article 1, shall be the largest absolute net 30-day collateral flow realised during the 24 months preceding the date of calculation of the liquidity coverage requirement referred to in Article 412(1) of CRR.
- 01/01/2022
2.
Institutions may only treat inflows and outflows of transactions on a net basis where they are executed under the same master netting agreement. The absolute net collateral flow shall be based on both realised outflows and inflows, and the netting shall be calculated at the institution's portfolio level.
[Note: This rule corresponds to Article 2 of Regulation (EU) No 2017/208 as it applied immediately before revocation by the Treasury]
- 01/01/2022