EU Technical Standards On Additional Collateral Outflows For Derivative Transactions Published

Author:Shearman & Sterling LLP
Profession:Shearman & Sterling LLP
 
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On February 8, 2017, a Commission Delegated Regulation, in the form of RTS, on additional liquidity outflows corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution's derivatives transactions was published in the Official Journal of the European Union. The CRR requires firms to add an additional outflow for collateral needs that would result from an adverse market scenario on a firm's derivatives transactions, financing transactions and other contracts if material. Due to materiality considerations, the EU has adopted the RTS for derivatives transactions first. The rules apply only to collateralized derivative transactions, including those that mature within 30 days.

The RTS require that the calculation of the additional collateral outflows be based on the Historical Look Back Approach...

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