EBA · 2022_6525 Rejected question

Level 2A Assets market value in C 66.01 counterbalancing capacity section.

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Credit institution
Submitted
2022-07-22
Browse ECB SSM Register → More Q&As on this regulation →

Question

How should the market value of Level 2A Assets be reported in C66 Maturity Ladder in Section 3.4 Counterbalancing Capacity Level 2A Assets?

Background

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.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6525

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Assets which are not immediately available for monetisation in C 66.01

Answered 2024-12-13

Assets which are not immediately available for monetisation in C 66.01

Answered 2023-02-17

C66: undrawn ECB open market operations backed with pre-positioned own issuances (retained CB or ABS) as “Undrawn committed facilities received”.

Answered 2020-09-11

Treatment of impediments to the availability of assets and cash inflows in the C 66.00 maturity ladder template

Answered 2020-12-04

Eligible asset classification for counterbalancing capacity C 71.00 – Concentration of Counterbalancing capacity by issuer / counterparty

Answered 2018-03-09

More Q&As on this topic

COREP Additional Liquidity Monitoring Metrics - technical implementation of DPM v4.2 for template C_67.00.a and C_67.00.w - SubCategory "new_CO4" used instead of "new_CO1"

Answered 2026-03-13

ASF factors for Additional Tier 1 items as wells as Tier 2 items and other capital instruments maturing between 6 month and 1 year

Answered 2025-10-07

Treatment of wholesale term deposits with early withdrawal penalty clauses for maturity ladder purposes

Answered 2025-07-11

Own secured debt issues in Top 10 - C71.00

Answered 2025-02-21

Treatment of deposits pledged as collateral against loans in c66.01

Answered 2025-01-10

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.