Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
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Article 418 Valuation of liquid assets

1. The value of a liquid asset to be reported shall be its market value, subject to appropriate haircuts that reflect at least the duration, the credit and liquidity risk and typical repo haircuts in periods of general market stress. The haircuts shall not be less than 15 % for the assets referred to in point (d) of Article 416(1). If the institution hedges the price risk associated with an asset, it shall take into account the cash flow resulting from the potential close-out of the hedge.

2. Shares or units in CIUs as referred to in Article 416(6) shall be subject to haircuts, looking through to the underlying assets as follows:

(a) 0 % for the assets referred to in point (a) of Article 416(1);

(b) 5 % for the assets referred to in points (b) and (c) of Article 416(1);

(c) 20 % for the assets referred to in point (d) of Article 416(1).

3. The look-through approach referred to in paragraph 2 shall be applied as follows:

(a) where the institution is aware of the underlying exposures of