- Question ID
-
2013_154
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Supervisory reporting - Liquidity (LCR, NSFR, AMM)
- Article
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418
- Paragraph
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1
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
- Article/Paragraph
-
Annex XII and XIII Liquidity ratios templates and instructions
- Type of submitter
-
Consultancy firm
- Subject matter
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Liquidity: Market value of assets and payments due on liquid assets not reflected in the market value of the asset
- Question
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Which value is to be reported for liquid assets, the clean price or the dirty price? (CRR Articles 418(1) and 425(7))
- Background on the question
-
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
- Submission date
- Final publishing date
-
- Final 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}.
- Status
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.