Commission Delegated Regulation (EU) 2017/208 of 31 October 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 (Text with EEA relevance. )
Commission Delegated Regulation (EU) 2017/208 of 31 October 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 (Text with EEA relevance. )
Data as of 2026-07-04 · Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗
Materiality of an institution's derivatives transactions
1. An institution's derivatives transactions shall be considered material for the purposes of the first subparagraph of Article 423(3) of Regulation (EU) No 575/2013 where the total of notional amounts of such transactions has exceeded 10 % of the net liquidity outflows as referred to in Article 412(1) of Regulation (EU) No 575/2013 at any time in the previous two years.
2. For the purposes of paragraph 1, the net liquidity outflows shall be calculated without the additional outflow component referred to in the first subparagraph of Article 423(3) of Regulation (EU) No 575/2013.
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 of this Regulation, 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 Regulation (EU) No 575/2013.
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.
