Valuation
When determining the value of underlying assets used in reverse transactions, the Eurosystem applies,
among others, the following principles:
Marketable assets
- For each eligible marketable asset, the Eurosystem defines the most representative price source to be used for the calculation of the market value.
- The value of a marketable asset is calculated on the basis of the most representative price on the business day preceding the valuation date. If more than one price is quoted, the lowest of these prices (normally the bid price) is used. In the absence of a representative price for a particular asset on the business day preceding the valuation date, the last trading price is used. If the obtained reference price is older than five days or has not moved for at least five days, the Eurosystem defines a theoretical price.
Non-marketable assets
Non-marketable assets are assigned a value corresponding either to the theoretical price or to the outstanding amount.
If the national central bank opts for the valuation corresponding to the outstanding amount, the non-marketable assets may be subject to higher haircuts.
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For details, see the
-
General Documentation, Section 6.5,
1.1MB,
en, as well as the amendments set out in
Guideline ECB/2007/10,
en
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