As defined under Article 28(4) of Delegated Regulation (EU) 2015/61 (DR with regard to liquidity coverage requirement), the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent in collateral swaps that mature within the next 30 days where the counterparty is a central bank shall not be considered as an outflow. Different to that and in accordance with Article 32(3)(e) of the DR with regard to liquidity coverage requirement, collateral swaps that mature within the next 30 days where the counterparty is a central bank shall lead to an inflow for the excess liquidity value of the assets lent compared to the liquidity value of the assets borrowed.

There is no need to introduce additional rows in the template for collateral swaps that mature within the next 30 days where the counterparty is a central bank, as those collateral swaps are generally reported as any other collateral swap that matures within the next 30 days in the template C 75.00 of Annex XXIV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), in the rows corresponding to the relevant asset category. The only deviation is that no outflow will have to be reported for the excess liquidity value of the assets borrowed compared to the liquidity value of the assets lent under column 050 of the template C 75.00 for collateral swaps where the counterparty is a central bank.

In addition, credit institutions shall separately report the market value of the collateral involved in collateral swaps where the counterparty is a central bank in row 760 (Reporting ID 4) of template C 75.00. Also, all inflows arising from collateral swaps that mature within the next 30 days where the counterparty is a central bank shall be reported in row 410 (Reporting ID 1.3) of template C 74.00 of Annex XXIV.