Commission Delegated Regulation (EU) 2015/61Show full title

Article 30 U.K. Additional outflows

1. Collateral other than cash and assets referred to in Article 10 which is posted by the credit institution for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives, shall be subject to an additional outflow of 20 %.

Collateral in assets referred to in Article 10(1)(f) which is posted by the credit institution for contracts listed in Annex II of Regulation (EU) No 575/2013 and credit derivatives shall be subject to an additional outflow of 10 %.

2. Credit institutions shall calculate and notify to the competent authorities an additional outflow for all contracts entered into the contractual conditions of which lead within 30 calendar days and following a material deterioration of the credit quality of the credit institution to additional liquidity outflows or collateral needs. Credit institutions shall notify the competent authorities of this outflow no later than the submission of the reporting in accordance with Article 415 of Regulation (EU) No 575/2013. Where competent authorities consider such outflows material in relation to the potential liquidity outflows of the credit institution, they shall require the credit institution to add an additional outflow for those contracts corresponding to the additional collateral needs or cash outflows resulting from a material deterioration in the credit quality of the credit institution corresponding to a downgrade in its external credit assessment by three notches. The credit institution shall apply a 100 % outflow rate to those additional collateral or cash outflows. The credit institution shall regularly review the extent of this material deterioration in the light of what is relevant under the contracts it has entered into and shall notify the result of its review to the competent authorities.

3. The credit institution shall add an additional outflow corresponding to collateral needs that would result from the impact of an adverse market scenario on the credit institution's derivatives transactions, financing transactions and other contracts if material. This calculation shall be made in accordance with the delegated act to be adopted by the Commission pursuant to Article 423(3) of Regulation (EU) No 575/2013.

4. Credit institutions shall take outflows and inflows expected over 30 calendar days from the contracts listed in Annex II of Regulation (EU) No 575/2013 into account on a net basis in accordance with Article 21. In the case of a net outflow, the credit institution shall multiply the result by 100 % outflow rate. Credit institutions shall exclude from such calculations those liquidity requirements that would result from the application of paragraphs 1, 2 and 3.

5. The credit institution shall add an additional outflow corresponding to 100 % of the market value of securities or other assets sold short and to be delivered within 30 calendar days unless the credit institution owns the securities to be delivered or has borrowed them at terms requiring their return only after 30 calendar days and the securities do not form part of the liquid assets of credit institutions. If the short position is being covered by a collateralised securities financing transaction, the credit institution shall assume the short position will be maintained throughout the 30 calendar day period and receive a 0 % outflow.

6. The credit institution shall add an additional outflow corresponding to 100 % of:

(a) the excess collateral the credit institution holds that can be contractually called at any times by the counterparty;

(b) collateral that is due to be posted to a counterparty within 30 calendar days;

(c) collateral that corresponds to assets that would qualify as liquid assets for the purposes of Title II that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purposes of Title II without the consent of the credit institution.

7. Deposits received as collateral shall not be considered as liabilities for the purposes of Article 27 or 29 but shall be subject to the provisions of paragraphs 1 to 6 of this Article where applicable.

8. Credit institutions shall assume a 100 % outflow for loss of funding on asset-backed securities, covered bonds and other structured financing instruments maturing within 30 calendar days, when these instruments are issued by the credit institution itself or by conduits or SPVs sponsored by the credit institution.

9. Credit institutions shall assume a 100 % outflow for loss of funding on asset-backed commercial papers, conduits, securities investment vehicles and other such financing facilities. This 100 % outflow rate shall apply to the maturing amount or to the amount of assets that could potentially be returned or the liquidity required.

10. For that portion of financing programs under paragraphs 8 and 9, credit institutions that are providers of associated liquidity facilities do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.

11. Assets borrowed on an unsecured basis and maturing within 30 calendar days shall be assumed to run-off in full, leading to a 100 % outflow of liquid assets unless the credit institution owns the securities and they do not form part of the credit institution's liquidity buffer.

12. In relation to the provision of prime brokerage services, where a credit institution has financed the assets of one client by internally netting them against the short sales of another client, such transactions shall be subject to a 50 % outflow for the contingent obligation, since in the event of client withdrawals the credit institution may be obliged to find additional sources of funding to cover these positions.