Reporting of cash flows related to collateral management transactions in which collateral to be delivered/received is defined using the participants netting exposure

The fact that the CCP exchanges the collateral (the “repoed” assets) on a net basis does not change the treatment and reporting of the different repos. For the purpose of the LCR, repos and reverse repos have to be treated and reported separately irrespective of the fact that collateral is exchanged on a net basis. In this regard, a credit institution shall report outflows/ inflows resulting from secured lending transactions maturing within 30 calendar days in accordance with the provisions of Articles 28(3) / 32(3)(b), respectively, of Delegated Regulation (EU) No 2015/61 depending on the type of collateral posted / received, respectively. The outflow/ inflow rate that should be applied depends on the type of asset posted / received as set out in Articles 28(3) and 32(3)(b) respectively. With regards to cash flows between the reporting credit institution and the CCP, Delegated Regulation (EU) No 2015/61 does not provide for a specific treatment. The netting of cash outflows and inflows in the LCR is restricted to Articles 21, 26 and 32(5) of Delegated Regulation (EU) No 2015/61.