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 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
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}.