EBA · 2013_154 Final Q&A

Liquidity: Market value of assets and payments due on liquid assets not reflected in the market value of the asset

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
418, para. 1
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Consultancy firm
Submitted
2013-08-13
Answered
2014-04-30
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Which value is to be reported for liquid assets, the clean price or the dirty price? (CRR Articles 418(1) and 425(7))

Background

Example: A T-bill with a face value of 100m GBP with a 3% annual coupon, the next coupon payment will fall within the next 30 days. Let’s say the clean price is 100m GBP, the dirty price (including accrued interest) is 102.8m GBP

Answer

For the purpose of the liquidity reporting (templates C 51.00 to C 61.00 of Annex XII), the market value of a liquid asset shall be its "dirty price" (OPTION 1). In the example given, the reporting should be as follows if the asset also matures over the next 30 days: the market value of the liquid assets amounts to 102.8 m GBP (its "dirty price") and should be reported in {C 51.00, r040, c010}; the difference between the payments due on liquid assets over the next 30 days (103 m GBP) and its market value (102.8 m GBP) amounts to 0.2 m GBP and should be reported in {C 53.00, r970, c010}.

Original source: European Banking Authority, Q&A ID 2013_154

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.

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