How should the market value of Level 2A Assets be reported in C66 Maturity Ladder in Section 3.4 Counterbalancing Capacity Level 2A Assets?
In Annex 23 (AMM - Maturity Ladder), Section 3. Counterbalancing capacity (730-1080) it is mentioned that all security values shall be reported in the relevant bucket at current market values.
Nevertheless, in the specific section 3.4 (C 66.01, r820), where Level 2A Assets would be reported, it is said that the amount to be reported is the market value of tradable assets in accordance with Articles 7, 8 and 11 of Delegated Regulation (EU) 2015/61.
Article 11.2 of Delegated Regulation (EU) 2015/61 mentions that the market value of each of the level 2A assets shall be subject to a haircut of at least 15% (this the only reference to market value in this article).
Taking into account the above and not having found any EBA Q&A that further clarifies the above, we want clarification on whether in Section 3 for Level 2A Assets it should be reported the market value as mentioned in Section 3 in general, or the market value with the haircut (15% in the case of Level 2A Assets) applied according to LCR Regulation as mentioned in Section 3.4.
This question has been rejected because the issue it deals with is already explained or addressed in Regulation (EU) 2021/451 - ITS on supervisory reporting of institutions. For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'