Question ID: 1488
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: S.06.02
Status: Final
Date of submission: 01 Feb 2018
Question
Field C0380 of template S.06.02 requires to report the unit percentage of par amount Solvency II price.
For inflation linked bonds is the price that should be delivered defined as the clean stock market price not including the inflation adjustment or should it be the real clean price including the inflation adjustment?
The clean stock market price is the price without inflation adjustments and accrued interests observable at the stock exchange. The real clean purchase price however includes the inflation adjustment that is not directly observable on the stock price. Our preference would be to show the real price including the inflation adjustment.
EIOPA answer
Assets have to be values according to article 75 of the Directive. In addition, the valuation hierarchy defined in article 10 of the Delegated Regulation should be considered.
This means that in your example the clean stock market price should be used, and method 1 chosen in C0150, but excluding the accrued interests as required in the Instructions.