(1)

Pursuant to Article 423(3) of Regulation (EU) No 575/2013, institutions are to add an additional outflow corresponding to collateral needs that would result from the impact of an adverse market scenario on the institution's derivatives transactions, financing transactions and other contracts if material. Given considerations of materiality, there is an urgency to specify an additional outflow corresponding to collateral needs that would result from the impact of an adverse market scenario on the institution's derivatives transactions while the materiality of collateral needs that would result from the impact of an adverse market scenario on the institution's financing transactions and other contracts will be considered in a next step.

(2)

Given that Article 423(3) of Regulation (EU) No 575/2013 refers to collateral needs, the rules to be introduced should be restricted to derivatives transactions that are collateralised, including those that mature within 30 days.

(3)

In order to ensure a level playing field for institutions and derivative markets, the calculation of the additional collateral outflows should be based on the Historical Look Back Approach for market valuation changes developed by the Basel Committee on Banking Supervision (‘BCBS’) for determining those additional collateral outflows, which uses for that purpose the largest aggregated cumulative net collateral outflow or inflow realised at the end of all 30-day periods during the preceding 24 months at the portfolio level.

(4)

The European Banking Authority (‘EBA’) submitted to the Commission draft regulatory technical standards. However, in accordance with the procedure set out in Article 10 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (2), the Commission informed the EBA about its intention not to endorse those draft regulatory technical standards, explaining the reasons for the non endorsement. The EBA resubmitted the draft regulatory technical standards in the form of a formal opinion accepting the Commission's proposed approach strictly based on the BCBS's Historical Look Back Approach.

(5)

This Regulation is based on the draft regulatory technical standards as resubmitted by the EBA to the Commission.

(6)

The EBA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010,