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Commission Delegated Regulation (EU) 2015/61Show full title
Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (Text with EEA relevance)
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CHAPTER 1 Net Liquidity outflows
Article 20Definition of net liquidity outflows
1.The net liquidity outflows shall be the sum of liquidity outflows in point (a) reduced by the sum of liquidity inflows in point (b), but shall not be less than zero, and shall be calculated as follows:
(a)the sum of the liquidity outflows as defined in Chapter 2;
(b)the sum of liquidity inflows as defined in Chapter 3, calculated as follows:
(i)
the inflows exempted from the cap as referred to in Article 33(2) and (3);
(ii)
the lower of the inflows referred to in Article 33(4) and 90 % of the outflows referred to in (a) reduced by the exempt inflows in Article 33(2) and (3), but not less than zero;
(iii)
the lower of the inflows other than those referred to in Article 33(2), (3) and (4) and 75 % of the outflows referred to in (a) reduced by the exempt inflows in Article 33(2) and (3) and the inflows in Article 33(4) divided by 0,9 to allow for the effect of the 90 % cap, but not less than zero.
2.Liquidity inflows and liquidity outflows shall be assessed over a 30 calendar day stress period, under the assumption of a combined idiosyncratic and market-wide stress scenario as referred to in Article 5.
3.The calculation laid down in paragraph 1 shall be performed in accordance with the formula set out in Annex II.
Article 21Requirements for assessing the effect of collateral received in derivatives transactions
Credit institutions shall calculate liquidity outflows and inflows expected over a 30 calendar day period for the contracts listed in Annex II of Regulation (EU) No 575/2013 on a net basis by counterparty subject to the existence of bilateral netting agreements in accordance with Article 295 of that Regulation. For the purposes of this Article, net basis shall be considered to be net of collateral to be received provided that it qualifies as a liquid asset under Title II of this Regulation. Cash outflows and inflows arising from foreign currency derivative transactions that involve a full exchange of principal amounts on a simultaneous basis (or within the same day) shall be calculated on a net basis, even where those transactions are not covered by a bilateral netting agreement.
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