On which rows of the liquidity coverage templates C 73.00  - Outflows and C 74.00 - Inflows should firms report flows arising from secured lending transaction where collateral is not Level 1, Level 2A and Level 2B asset and therefore non-liquid asset. ANNEX XXV – REPORTING ON LIQUIDITY (PART 2 OUTFLOWS) and ANNEX XXV – REPORTING ON LIQUIDITY (PART 3: INFLOWS) state that ‘Credit institutions shall only report the Level 1, Level 2A and Level 2B assets that qualify as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. Where collateral is Level 1, Level 2A or Level 2B but does not qualify as liquid asset in accordance with Title II of Commission Delegated Regulation (EU) 2015/61 it shall be reported as non-liquid.’

Therefore are firms not required to report flows arising from secured lending transaction where collateral is non Level 1, Level 2A and Level 2B asset in section ID 1.2 of the C 73.00  and C 74.00 on the rows for collateral that does not qualify as a liquid asset? The specific remark regarding secured lending and capital market-driven transactions on ANNEX XXV – REPORTING ON LIQUIDITY (PART 3 INFLOWS) 1.2 (3) is ambiguous when viewed in conjunction with the decision tree guidance for reporting assets and liabilities from secured lending which states ‘Allocate into one relevant item of ID 1.2’.

If firms are not required to report flows arising from secured lending transaction where collateral is non Level 1, Level 2A and Level 2B asset in section ID 1.2 of the C 73.00  and C 74.00 where should they be reported? We assume they must be reported somewhere as they contribute to the firms’ net liquidity outflow, but to report these flows in section 1.2 can distort the numerator calculation on row 090 of C 76.00.